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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.TCW.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary (such as a broker-dealer, bank, or retirement plan), or by calling 1-800-241-4671 if you invest directly with the Funds.

You may elect to receive all future reports in paper free of charge. Contact your financial intermediary or, if you invest directly with the Funds, call 1-800-241-4671, to request that you continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held through your financial intermediary or directly with TCW.

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METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the year ended March 31, 2020. During the reporting period, overall assets across the complex increased to approximately $87 billion, which we are gratified to see - particularly against a backdrop of heightened volatility and rebalancing activity in early 2020.

The March 31, 2020 Annual Report covers the following Metropolitan West Funds:

Economic Review and Market Environment

With devastating speed, the longest bull market in U.S. history was brought to an end in the first quarter of 2020, laid low by the global transmission of the novel coronavirus and the strict economic curbs invoked to slow its further spread. The consequent market volatility sent risk premiums soaring across the bond markets as well, with no sector spared the repricing, particularly as leveraged investor (forced) sales and more routine redemptions tested liquidity in a fashion unhappily reminiscent of 2008. Assessing the damage, the S&P 500 saw all of its gains since 2016 erased in a near-20% first quarter loss, punctuated by a 34% tumble from February 19 through March 23 and a one-day plummet of 12% on March 16. The swing in sentiment in the first quarter of 2020 was dramatic, particularly so given that it occurred on the heels of a year in which equities experienced over 30% gains. Corporate fixed income’s difficulties were nearly as staggering, posting intra-quarter peak-to-trough slides of 15.4% in investment grade and close to 21% in high yield. In a testament to the volatility and unusual circumstances, the U.S. Treasury market rallied ferociously with the entire curve trading below 1% in early March. Not to be left out, as well as to foreshadow a coming cascade of stimulus, the Federal Reserve weighed in with two between-meeting cuts to its target rate, lopping the final 150 basis points in a return to a zero interest rate policy (ZIRP), and resuming/expanding its asset purchase programs. Over the trailing one-year period, the Treasury yield curve collapsed, led by shorter maturities where yields were down over 230 bps, though the bellwether 10-Year yield dropped nearly 200 bps lower as well, closing March at 0.67%.

Fixed income total returns benefitted from the drop in rates, reflected in an 8.9% gain for the Bloomberg Barclays U.S. Aggregate Index for the period, though negative excess returns were over 322 bps on the increased non-U.S. Treasuries risk premiums. Most noteworthy, investment grade corporate spreads moved substantially wider from cycle tights to close March 2020 at 272 bps, and the sector trailed duration-matched Treasuries by 10.6%. High yield corporates repriced more precipitously, with spreads nearly 500 bps wider on average, leading to a 6.9% decline. Both investment grade and high yield bond funds saw some panic selling through mid-March, with outflows particularly sharp in short-dated investment grade as investors sold more liquid, shorter-dated securities in a rush for liquidity. Outside of credit, securitized products generally fared better, though still experienced spread widening. Of note, agency mortgage-backed securities (MBS) have had a historically volatile year, as the better part of 2019 was marked by Fed balance sheet reduction, Treasury rate volatility, and changes to the TBA market which caused spreads to fluctuate. Moving forward into 2020, spreads gapped wider in March (touching as high as 132 bps), then remediated as investors started to price in the renewed Fed support (i.e., it became clear that purchases were committed until trading levels stabilized fully) and ended the period at 60 bps. In securitized credit, non-agency MBS provided consistent positive returns through the better part of the period, though the sector experienced some pricing weakness late in 2019, followed by sharper action in late March on selling pressures from mortgage REITs, despite no concurrent change in fundamentals. Asset-backed securities (ABS) returned 2.8% for the period, while commercial MBS (CMBS) was led higher by strong returns from agency CMBS (+8.8%) while non-agency backed issues trailed (+4.4%).

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The Economy and Market Ahead

Given the unique impact of the coronavirus across the economy, there are more questions than answers in terms of outlook. Without doubt, the ramifications of the coronavirus will be widespread and longstanding, with disproportionate effects on certain industries and even permanent changes to previously routine day-to-day activity. What’s clear right now is that large portions of the economy have been shut down, capital markets are in turmoil - beset by uncertainty, illiquidity, deleveraging and de-risking - and the Federal Reserve and U.S. Government are responding aggressively. For that reason, it’s difficult to envision a v-shaped recovery – instead expecting a more muted, protracted rebound as solutions to the pandemic materialize. From a more sector-specific perspective, it’s likely that down-in-quality names will remain under stress, with periods of mark-to-market volatility and illiquidity, particularly for high yield and emerging market debt. Rating agency activity should intensify with downgrades and accelerate fallen angel activity, in numerous areas, most obviously hospitality and leisure, but also in the commodity-related space as oil prices have been hit hard by both OPEC disagreements leading to supply glut coupled with plummeting global demand on slowed economic activity. Recent market stresses have created opportunities, though extreme caution is still warranted as a recession will likely trigger a significant wave of downgrades and defaults.

Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.

Fund Performance Commentary

The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Funds’ website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in a Fund, when redeemed, may be worth more or less than its original purchase cost.

Metropolitan West AlphaTrak 500 Fund

(MWATX)

The MetWest AlphaTrak 500 Fund (“Fund”) fell 9.36% (net of fees) for the year ended March 31, 2020, while the S&P 500 Index declined 6.98%. The Fund’s 0.6 year duration positioning from the beginning of the period was extended to 0.8 years, benefiting performance as yields declined to historic lows toward the latter part of the timeframe. Despite good performance in 2019, short corporates weighed on returns as spreads widened over 200 bps with investors selling short to hold on to cash amid the pandemic. No corporate sector was spared of the widening, but those of lower quality and with more market sensitivities like energy and basic industry were among the worst performing. Similarly, securitized products also weighed on returns despite positive performance in 2019, as the sector was not immune from the market volatility due to the pandemic. Non-agency MBS was a particular drag on performance as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have solid underlying fundamentals. Meanwhile, issue selection favoring higher rated, senior ABS and CMBS helped returns, with the small exposure to agency MBS further additive on the unlimited Fed sponsorship instituted toward the end of the period.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacy non-agency residential MBS (RMBS), both agency and non-agency CMBS, AAA-rated collateralized loan obligations (CLOs) and Federal Family Education Loan Program (FFELP) student loan receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. Corporate credit exposure has increased modestly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. The ABS exposure remains focused on government-guaranteed student loans andAAA-rated CLOs, though the positions may be modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. Finally, a duration positioning with mostly front-end exposure will be maintained given historically low rates with the propensity to add duration faster on a rate backup than reduced on a fall in rates. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.

M-Class (MWCSX), I-Class (MWCBX)

For the one year period ending March 31, 2020, the MetWest Corporate Bond Fund–I Class (“Fund”) gained 9.46% (net of fees), outpacing the Bloomberg Barclays U.S. Corporate Index by 448 bps. Outperformance was driven by the underweight to investment grade corporates, which widened to end the period amid virus-induced volatility, despite good 2019 performance. No corporate industry was spared, though those with more market sensitivities like energy and cyclicals performed the worst, benefiting the Fund’s bias for more defensive industries like communications such as cable and wirelines, though an underweight to banking detracted as the sector outpaced the Index. The underweight to emerging market debt was another boost to returns, as the sector was among the worst performers in fixed income during this timeframe, while detracting were issue selection among municipals and high yield corporates, as these sectors also widened. Further benefiting the Fund issue selection among senior, higher rated CMBS, as well as agency MBS, which overcame 2019 underperformance to pace fixed income for the period given unlimited Fed sponsorship. Finally, the impact from duration positioning was negative with a relatively neutral profile extending to slightly long toward the end of 2019 as rates fell, while shortening further as yields plunged to record lows in March 2020.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, positioning manifested itself across via a more conservative posture, with core holdings focused on higher quality, more senior areas of fixed income and a short duration profile relative to the Index. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. The corporate credit exposure favors higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; with additions largely being funded through a reduction in the CMBS position. With anticipation that there will be further bouts of volatility in the credit market, lower quality areas of the credit markets are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more, as distressed sellers appear. These opportunities will allow the Fund to deploy capital in lower rated credits at more attractive entry points. Outside of credit, the focus remains on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on non-agency CMBS and agency MBS. Given the unlimited purchasing power of the Fed, we believe agency MBS will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. Finally, the duration position was shortened as rates rallied to historic lows, bringing the relative position to roughly 1.8 year short versus the Index. As always, these and future Fund actions will be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.

Metropolitan West Flexible Income Fund

M-Class (MWFSX), I-Class (MWFEX)

The MetWest Flexible Income Fund – I Class (“Fund”) gained 10.14% (net of fees) for the one year period ended March 31, 2020, 121 bps ahead of the Bloomberg Barclays U.S. Aggregate Index. While relative performance was weighed down late in the period by the overweight to securitized products given pricing volatility, this was more than offset by strong returns during 2019. The Fund was considerably overweight commercial MBS, and its non-agency CMBS positions, in particular, were beneficial to returns over the trailing year period. Issue selection favoring higher quality, senior ABS was also favorable to returns. In terms of credit exposures, the drag on performance from an underweight to outperforming investment grade corporates in 2019 was overcome by spread widening during the first quarter of 2020, resulting in a positive for the full year period. Issue selection favoring more defensive sectors like consumer non-cyclicals and communications further contributed to returns. The small exposure to high yield, however,

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held back returns as the sector was among the worst performing in the fixed income universe, though an underweight to trailing emerging market debt was additive. Finally, the duration positioning was maintained considerably short relative to the Index, resulting in a large drag on relative performance as rates declined to historic lows during the period.

Given our late cycle concerns, the Fund was defensively positioned going into this crisis, providing us with ample flexibility to respond to rapidly changing market valuations and add to high quality sectors that either benefit directly from Fed activity or that are robust enough to survive without assistance. In the corporate sector, the Fund maintains a slight overweight, with positioning concentrated among high conviction, high quality names as well as defensive sectors like non-cyclicals, communications, and pharmaceuticals/healthcare. Additions in this cheapening phase are focused on long-dated bonds from issuers with “fortress balance sheets” at now attractive yield premiums as well as Fed-supported assets such as money center banks given potential for very strong returns if spreads tighten. A small position in high yield credit is maintained, with expectations for this to be increased if valuations improve. The Fund’s securitized products holdings emphasize commercial MBS, though the allocation was trimmed over the course of the period given better relative opportunities elsewhere. Among non-agency MBS, the strategy will look for longer duration, deeply discounted senior legacy non-agency MBS bonds with solid, stable fundamentals and significant upside. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs.

Metropolitan West Floating Rate Income Fund

M-Class (MWFRX), I-Class (MWFLX)

For the one year period ending March 31, 2020, the MetWest Floating Rate Bond Fund – I Class (“Fund”) fell 5.17% (net of fees), outperforming the S&P/LSTA Leveraged Loan Index by 399 bps. Outperformance was driven by a defensive orientation held by the Fund, boosted by the underweight to industries that have more market sensitivities like cyclicals, metals/minerals, and energy, as these were among the worst performing in the loans universe amid coronavirus-induced volatility, with energy further weighed down by a collapse in oil prices given abundant supply besides the downturn in demand due to social distancing. Further bolstering performance was issue selection favoring higher quality names in cyclicals like services, while avoiding leisure, lodging, and retailers which were most adversely impacted by COVID-19 due to stay-at-home measures, though gaming was a modest drag on performance. Other positive contributions came from issue selection within food, drugs, financials, packaging, chemicals, communications, and technology. Finally, the Fund’s up-in-quality orientation boosted performance, with lower rated loans (CCCs/Split CCCs) returning -21% while better rated (split BBBs) returned -2.3% for the specified one year period.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, positioning manifested itself via a more conservative posture, with core holdings focused on higher quality, more senior areas of the leveraged loan market. Through the course of the first quarter’s cheapening phase, the Fund began to add in exposure as spreads widened considerably. Additions included swapping into loans that are now at attractive yield premiums, with an overall focus on issuers with “fortress balance sheets” – those able to withstand ongoing market volatility, like consumer non-cyclicals, banking, communications, packaging, as well as cyclicals and technology on weakness. With anticipation that there will be further bouts of volatility in the loans market, lower quality areas are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more at attractive entry points, as distressed sellers appear.As the coronavirus crisis hit markets, subsequent volatility in the loans universe was unparalleled in past history. Rating agencies have done their best to make their mark in this environment, with Moody’s and S&P downgrading about 15% of loans secured in collateralized loan obligations (CLOs) by the end of March. This action has increased the segment of loans that are precluded from CLOs, as CCCs have fallen sub-80 in price, the point at which CLOs do not sponsor, making it more difficult for the broader loans market to recover going forward. As such, the Fund continues to emphasize what are viewed as more resilient, defensive areas such as non-cyclical, recession-resistant sectors (i.e., communications, food & beverage, pharmaceuticals, and healthcare) while cyclicals, financials (except banking), and technology represent a relative underweight.

Metropolitan West High Yield Bond Fund

M-Class (MWHYX), I-Class (MWHIX)

The MetWest High Yield Bond Fund – I Class (“Fund”) returned 0.19% (net of fees) for the one-year period ended March 31, 2020, outpacing the return of the Bloomberg Barclays High Yield 2% Issuer Capped Index by 713 bps. Positive issue selection was a large driver of relative returns, particularly within the energy space, where avoiding credit accidents became increasingly important given that certain names held in the Index lost over 60% during the period on oil price weakness. Communications and consumer non-cyclicals credits held in the Fund also outperformed those in the Index, further bolstering relative returns. From a quality tiering perspective, while no cohort was spared from the significant degree of volatility that plagued the broader market, lower rated bonds disproportionately underperformed, as CCCs lost 18.8% relative to a 3.2% and 6.8% fall in BB and B-rated credits during the period. As such, the Fund’s overall focus on higher quality issues was beneficial given the significant underperformance of the lower quality cohort. In terms of sector allocation, an underweight to energy and consumer cyclicals in favor of high quality, defensive non-cyclicals and communications contributed to returns, though this was somewhat offset by lagging electric utility names. Energy was the worst performing high yield sector, with especially poor performance by oil field services and independent Exploration and Production (E&P) (down 55% and 48% on a total return basis, respectively), while communications names outperformed, with wireless and cable satellite delivering positive returns. Finally, the duration positioning was maintained at a relative short to the Index, weighing on performance as rate volatility persisted and the 10-Year bellwether yield moved nearly 195 bps lower during the period.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, the positioning manifested itself across via a more conservative posture, with core holdings focused on higher quality, more senior areas of the high yield market and a short duration profile relative to the Index. Through the course of the first quarter’s cheapening phase, the Fund began to add in exposure as spreads widened considerably. Additions included swapping into longer-dated bonds at now-attractive yield premiums, with an overall focus on issuers with “fortress balance sheets” able to withstand ongoing market volatility, while also adding to gaming, autos, and technology names on weakness, and taking advantage of attractive new issue offerings among cable satellite, technology and banking. Finally, the duration position was modestly shortened as rates rallied to historic lows, bringing the relative position to roughly six-tenths of a year short versus the Index. With anticipation that there will be further bouts of volatility in the credit market, lower quality areas of the credit markets are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more, as distressed sellers appear. These opportunities will allow the portfolio to deploy capital in lower rated credits (i.e. CCC and below) at more attractive entry points. Meanwhile, the Fund continues to emphasize what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors (e.g., communications and healthcare) while financial, retail and select leisure credits represent a relative underweight.

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Metropolitan West Intermediate Bond Fund

M-Class (MWIMX), I-Class (MWIIX)

The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 5.60% (net of fees) for the one year period ended March 31, 2020, 128 bps behind the Bloomberg Barclays Intermediate Government/Credit Index (“Index”). Relative performance was weighed down by the overweight to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019. Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. The overweight positions to ABS and CMBS also detracted from performance, though this was somewhat offset by positive issue selection among higher quality holdings. As agency MBS spreads widened given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its mortgage basis at attractive entry points, to nearly 25% by the end of March 2020 from 10% during the middle of 2019. This upsized shift benefited Fund performance as agency MBS spreads retraced on Fed’s massive buying instituted in mid-March. In terms of credit exposures, the drag from an underweight to outperforming investment grade corporates in 2019 was overcome by spread widening during the first quarter of 2020, resulting in a slight positive for the full year period, with issue selection favoring more defensive sectors like consumer non-cyclicals and communications further contributing. The Fund opportunistically increased its corporate allocation in early March to take advantage of this weakness, moving from an underweight to a small overweight by the end of the period. The small exposure to high yield, however, held back returns as the sector was among the worst performing in the fixed income universe, though an underweight to trailing emerging market debt was additive. Finally, duration positioning had a minimal effect on Fund performance for the period, given that the benefit of a longer duration profile as yields fell in 2019 was offset by a headwind from a relative short position in the first quarter of 2020 as rates declined to historic lows.

Given our late cycle concerns, the Fund was defensively positioned going into this crisis, providing us with ample flexibility to respond to rapidly changing market valuations. Our approach has been to add risk aggressively in high quality sectors that either benefit directly from Fed activity or that are robust enough to survive without assistance. As those sectors recover, we will look to migrate down the quality spectrum to take advantage of expected further dislocation in more credit-sensitive sectors. In the corporate sector, the Fund is now overweight overall, with positioning concentrated among high conviction, high quality names as well as defensive sectors like non-cyclicals, communications, and pharmaceuticals/healthcare. Additions in this cheapening phase are focused on long-dated bonds from issuers with “fortress balance sheets” at now attractive yield premiums as well as Fed-supported assets such as money center banks given potential for very strong returns if spreads tighten. A small position in high yield credit is maintained, with expectations for this to be increased if valuations improve. The securitized products allocation emphasizes agency MBS, with the position upsized as spreads widened. The sector remains attractive given explicit Fed support and potential for tighter spreads, though the position has been and will continue to be trimmed as spreads tighten back in. Among non-agency MBS, the strategy will look for opportunities in longer duration, deeply discounted senior legacy non-agency MBS bonds with solid, stable fundamentals and significant upside. Within CMBS, the agency CMBS was trimmed to fund relative value additions in corporate credit, while non-agency CMBS continues to favor single asset single borrower deals. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market.

Metropolitan West Investment Grade Credit Fund

M-Class (MWISX), I-Class (MWIGX)

For the one year period ending March 31, 2020, the MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 5.02% (net of fees), outpacing the Bloomberg Barclays U.S. Intermediate Credit Index by 174 bps. Outperformance was driven by the underweight to investment grade corporates, which widened to end the period amid virus-induced volatility, despite good 2019 performance. No corporate industry was spared, though those with more market sensitivities like energy and cyclicals performed the worst, benefiting the Fund’s bias for more defensive industries like communications such as wirelines and non-cyclicals such as healthcare and food & beverage, though an underweight to banking detracted as the sector outpaced the Index. The underweight to emerging market debt and non-U.S. sovereigns was another boost to returns, as these were among the worst performers in fixed income during this timeframe. Further benefiting the Fund was the off-Index allocation to securitized products overall, despite a drag coming from

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ABS and non-agency MBS. Non-agency MBS experienced considerable markdowns towards the end of the period – even among higher quality holdings that have solid underlying fundamentals, while ABS was weighed down by REITs which came under pressure from margin calls. However, issue selection within senior, higher rated CMBS was additive, along with a sizable allocation to agency MBS, which overcame 2019 underperformance to pace fixed income for the period given unlimited Fed sponsorship. Finally, the impact from duration positioning was negative with a relatively neutral profile extending to slightly long toward the end of 2019 as rates fell, while shortening further as yields plunged to record lows in March 2020.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. For the Fund, positioning manifested itself across via a more conservative posture, with core holdings focused on higher quality, more senior areas of fixed income and a short duration profile relative to the Index. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned. The corporate credit exposure has increased slightly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. With anticipation that there will be further bouts of volatility in the credit market, lower quality areas of the credit markets are expected to be impacted more acutely and provide additional opportunities to expand the risk budget more, as distressed sellers appear. These opportunities will allow the Fund to deploy capital in lower rated credits at more attractive entry points. Outside of credit, the focus remains on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on agency MBS and collateralized mortgage obligations (CMOs), both agency and non-agency CMBS, FFELP student loan receivables, and legacy non-agency RMBS. Agency MBS is the largest securitized sector in the Fund. Given the unlimited purchasing power of the Fed, we believe the sector will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. Finally, the duration position was shortened as rates rallied to historic lows, bringing the relative position to roughly seven-tenths of a year short versus the Index. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.

Metropolitan West Low Duration Bond Fund

M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)

The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 2.14% (net of fees) for the one year period ended March 31, 2020, a shortfall of 328 bps to the ICE BofAML 1-3 Year U.S. Treasury Index. Relative performance was weighed down by the exposure to corporates, which widened to end the period as coronavirus-related volatility in 2020 overcame the positive performance notched in 2019, with industries that have more market sensitivities like energy and cyclicals trailing most. Further detracting from relative returns was the overweight to securitized products, as the sector was not immune from the market volatility, despite positive performance in 2019. Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. Meanwhile, issue selection favoring higher quality, senior ABS was favorable to returns. As agency MBS spreads widened in 2019 given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its allocation to the sector at attractive entry points to over 13% by the end of March from around 6% in 2019. This upsized shift benefited Fund performance on the margin as agency MBS spreads retraced on Fed’s unlimited buying instituted in mid-March. Finally, a neutral duration positioning was reduced as rates declined, with a shorter duration profile holding back performance as yields weakened further to historic lows.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield and emerging market debt comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacy non-agency RMBS, both agency and non-agency CMBS, AAA-rated CLOs and FFELP student loan

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receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and the Fund has consequently repositioned, reflected first in a considerable increase to agency MBS exposure on weakness to over 13% of the Fund’s market value by March month-end from about 6% at the end of 2019. Given the unlimited purchasing power of the Fed, we believe the sector will remain well-supported, with upside potential for spread tightening, at which point harvested gains will be redeployed to other opportunities. For now, corporate credit exposure has increased modestly, with a continued focus on higher quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility; these additions have largely been funded through a reduction in the agency CMBS position. The ABS exposure remains focused on government-guaranteed student loans and AAA-rated CLOs, though the positions may be modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. Finally, duration remains shorter than the Index with yields hovering near record lows. As always, these and future Fund actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.

Metropolitan West Strategic Income Fund

M-Class (MWSTX), I-Class (MWSIX)

As market volatility soared and liquidity demands amplified mark-to-market repricing in most sectors during the latter part of the one-year period ending March 31, 2020, the MetWest Strategic Income Bond Fund – I Class (“Fund”) fell 3.61% (net of fees), 791 bps behind the Merrill Lynch 3-Month T-Bill+200 bps. The largest drag on returns came from the allocation to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019. Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals, though CMBS andABS exposures also detracted. Meanwhile, another drag on performance came from the exposure to investment grade credit as the abrupt halt in economic activity and uncertainty over the length and severity of the coronavirus outbreak caused severe volatility and dislocation in credit markets (even among more defensive sectors). Furthermore, notwithstanding positive issue selection, the allocation to high yield corporates and emerging markets debt (which was increased on weakness) weighed on returns due to the sectors’ underperformance in the risk-off environment. Finally, the duration position that averaged 1.9 years over the period, was a tailwind to performance as Treasury rates collapsed, with the 10-Year yield falling nearly 195 bps year-over-year.

The Fund came out of last year and into 2020 positioned relatively defensively, based on an array of late cycle conditions (even before the spread of the coronavirus), including high corporate leverage in the U.S. and slowing global manufacturing, matched with a valuation environment priced, in our view, for much better conditions. Diminished risk appetite was reflected in a more defensive orientation to investment grade corporate issues while high yield and emerging market debt comprised only a small allocation, skewed to more creditworthy issuers, in keeping with the prevailing late-cycle view. Outside of credit, the focus remained on higher quality securitized exposure, bearing seniority in the priority of payments, delivered through amortization and/or otherwise credit-enhanced, with an emphasis on legacy non-agency RMBS, both agency and non-agency CMBS, AAA-rated CLOs and FFELP student loan receivables. With the recent market volatility, the opportunity set among spread products has become more attractive and consequent repositioning has been focused on corporate credit additions. Additions have thus far been focused on high quality, high conviction names with “fortress balance sheets” – effectively those companies that will be able to withstand sustained market volatility – while the allocation to high yield corporates and emerging market has also been increased at attractive entry points. These additions have largely been funded through a reduction in the CMBS position. The ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market. As always, these and future portfolio actions will always be undertaken with the consistent value discipline that has characterized our active management approach for more than 20 years.

Metropolitan West Total Return Bond Fund

M-Class (MWTRX), I-Class (MWTIX), I-2-Class (MWTTX), Administrative-Class (MWTNX), Plan-Class (MWTSX)

The MetWest Total Return Bond Fund – I Class (“Fund”) gained 8.16% (net of fees) for the one year period ended March 31, 2020, though this was a 77 bps shortfall to the Bloomberg Barclays U.S.Aggregate Index. Relative performance was weighed down by the overweight to securitized products, as the sector was not immune from pricing dislocations stemming from coronavirus-related volatility in the first quarter of 2020, despite positive performance in 2019. Non-agency MBS, in particular, was a drag on performance from an issue selection basis, as the sector experienced considerable markdowns towards the end of the period – even on high quality legacy holdings that have strong underlying fundamentals. Meanwhile, issue selection favoring higher quality, senior CMBS and ABS was favorable to returns. As agency MBS spreads widened given Fed tapering and prepayment risk lurked around the corner as yields fell, the Fund increased its mortgage basis at attractive entry points, to nearly 50% by end of March 2020 from 25% during the middle of 2019. This upsized shift benefited Fund performance as agency MBS spreads retraced on Fed’s massive buying instituted in mid-March. In terms of credit exposures, the drag from an underweight to outperforming investment grade corporates in 2019 was overcome by spread widening during the first quarter of 2020, resulting in a slight positive for the full year period, with issue selection favoring more defensive sectors like consumer non-cyclicals and communications further contributing. The Fund opportunistically increased its corporate allocation in early March to take advantage of this weakness, moving from an underweight to a small overweight by the end of the period. The small exposure to high yield, however, held back returns as the sector was among the worst performing in the fixed income universe, though an underweight to trailing emerging market debt was additive. Finally, duration positioning had a minimal effect on Fund performance for the period, given that the benefit of a longer duration profile as yields fell in 2019 was offset by a headwind from a relative short position in the first quarter of 2020 as rates declined to historic lows.

Given our late cycle concerns, the Fund was defensively positioned going into this crisis, providing us with ample flexibility to respond to rapidly changing market valuations. Our approach has been to add risk aggressively in high quality sectors that either benefit directly from Fed activity or that are robust enough to survive without assistance. As those sectors recover, we will look to migrate down the quality spectrum to take advantage of expected further dislocation in more credit-sensitive sectors. In the corporate sector, the Fund is now overweight overall, with positioning concentrated among high conviction, high quality names as well as defensive sectors like non-cyclicals, communications, and pharmaceuticals/healthcare. Additions in this cheapening phase are focused on long-dated bonds from issuers with “fortress balance sheets” at now attractive yield premiums as well as Fed-supported assets such as money center banks given potential for very strong returns if spreads tighten. A small position in high yield credit is maintained, with expectations for this to be increased if valuations improve. The securitized products allocation emphasizes agency MBS, with the position upsized as spreads widen. The sector remains attractive given explicit Fed support and potential for tighter spreads, though the position has been and will continue to be trimmed as spreads tighten back in. Among non-agency MBS, the strategy will look for opportunities in longer duration, deeply discounted senior legacy non-agency MBS bonds with solid, stable fundamentals and significant upside. Within CMBS, the agency CMBS was trimmed meaningfully to fund relative value additions in corporate credit, while non-agency CMBS continues to favor single asset single borrower deals. Finally, the ABS exposure remains focused on government-guaranteed student loans, and AAA rated CLOs, though these positions were modestly trimmed in favor of longer duration, more discounted opportunities across the securitized market.