<PAGE>
Registration File No. 33-46049
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Two World Trade Center
New York, New York 10048
DEAR SHAREHOLDER:
- -----------------------------------------------------------------------------
Over the last six months, the fixed-income market in the United States has
been exceptionally volatile. Between November 1995 and January 1996, reports
on the U.S. economy indicated weaker overall economic conditions culminating
in the Federal Reserve Board's decision to cut short-term interest rates in
December 1995 and January 1996. However, strong employment reports released
during February and March 1996 prompted concerns of a stronger economy and a
return of inflationary fears. The stronger data resulted in a sharp decline
in the fixed-income market and a more than 50 basis point increase in
intermediate- and long-term U.S. Treasury yields for the six-month period
ended April 30, 1996.
South of the border, the Mexican government continued to take steps to
stabilize its political and financial situation during the period. As a
result, yields on existing U.S. dollar-linked securities (Tesobonos) remained
steady through their final maturities in February 1996.
In Canada, the political and financial situation also continued to
stabilize during the period. Publicity regarding the separatist issue in
Quebec has died down in recent months and the Canadian government continues
to take steps toward reducing its national deficit. Canadian interest rates
have generally increased in line with U.S. interest rates.
PERFORMANCE
For the six-month period ended April 30, 1996, TCW/DW North American
Government Income Trust's net asset value declined from $8.33 to $8.04 per
share. Based on this change, the Fund's total return for the period was -0.63
percent. This return assumes the reinvestment of income distributions
totaling approximately $0.24 per share. During the same time period, the
Fund's benchmark, the Lehman Brothers Short (1-5) U.S. Government Index,
posted a total return of 1.73 percent.
INVESTMENT SECTORS
United States
As of April 30, 1996, 100 percent of the Fund's assets were invested in
the United States. The Fund's investment adviser, TCW Funds Management, Inc.
(TCW) continues to emphasize high credit quality mortgage backed securities,
including various types of AAA- rated collateralized mortgage obligations
(CMOs), pass-through securities and adjustable rate mortgages (ARMs) that
generally have yields in excess of U.S. Treasury securities. The recent rise
in interest rates reduced prepayment risk which helped the mortgage backed
sector's performance. The issuance of new CMOs is currently at a fraction of
the volume generated in previous years. The portfolio managers seek to
benefit from this slow down in prepayment activity by investing a portion of
the Fund's assets in ARMs that generally perform well as prepayment
expectations subside.
Mexico
To limit exposure to volatility in the Mexican market, the Fund only
invested in dollar-linked Tesobonos during the period. During February 1996,
all of the Fund's Tesobonos matured. At this time, the Mexican
<PAGE>
government has not announced the issuance of additional short-term
dollar-linked securities. In the absence of higher-yielding Tesobonos, the
income generated by the Fund declined. Accordingly, the monthly dividend was
reduced from $0.046 to $0.035 per share, as outlined in a special letter to
shareholders dated February 20, 1996.
As stated earlier, as of April 30, 1996, the Fund did not hold any Mexican
investments. The portfolio managers will continue to monitor the Mexican
fixed-income market for investment opportunities.
Canada
The Fund remained on the sidelines with respect to investing in Canada
during the period. In general, the portfolio managers purchase Canadian
securities when currency-hedge costs decline and yield spreads widen.
Similarly, when hedge costs increase or yield spreads narrow, Canadian
securities are sold. TCW continually monitors this sector for attractive
investment opportunities relative to those in the United States and Mexico.
LOOKING AHEAD
Although interest rates have risen recently, TCW remains positive on the
U.S. fixed-income market as a whole. Real rates of interest (taking the
effect of inflation into account) are still historically high. (In the past,
periods of strong bond market performance have correlated with high real
rates of interest.) Mexico has made substantial progress toward economic
stabilization but still faces a number of challenges, such as an overall weak
banking system and continuing political uncertainty. At this time, currency
and interest rate volatility are expected to continue to play a major role as
Mexico confronts these and other challenges. TCW will evaluate these factors
when weighing any decisions to invest in peso-denominated securities. The
Fund's net asset value will continue to fluctuate as prices of the securities
held in the portfolio respond to changes in market conditions and interest
rates.
We appreciate your ongoing support of TCW/DW North American Government
Income Trust and look forward to continuing to serve your investment needs.
Very truly yours,
/s/ Charles A. Fiumefreddo
CHARLES A. FIUMEFREDDO
Chairman of the Board
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Portfolio of Investments April 30, 1996 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) COUPON RATE MATURITY DATE VALUE
---------- --------------------------------------------------------- ----------- ---------------- ------------
<S> <C> <C> <C> <C>
COLLATERALIZED MORTGAGE
OBLIGATIONS (61.3%)
U.S. GOVERNMENT AGENCIES (57.2%)
$17,878 Federal Home Loan Mortgage Corp. 1067 I ................... 8.00 % 04/15/21 $ 17,713,665
34 Federal Home Loan Mortgage Corp. 1370 K (PAC I/O) ........ 1089.16+ 09/15/22 1,007,859
10,966 Federal Home Loan Mortgage Corp. 1504 A (PAC) ............. 7.00 07/15/22 10,249,675
2,257 Federal Home Loan Mortgage Corp. 1508 Q1 .................. 8.25+ 05/15/23 1,411,337
13,684 Federal Home Loan Mortgage Corp. 1560 A (PAC) ............. 6.50 02/15/23 12,613,570
13,420 Federal Home Loan Mortgage Corp. 1606 LB .................. 7.25+ 05/15/08 10,086,348
28,102 Federal Home Loan Mortgage Corp. 1610 A ................... 6.50 11/15/23 26,196,284
15,832 Federal Home Loan Mortgage Corp. G 93 P ................... 6.50 08/25/20 15,428,444
36,774 Federal Home Loan Mortgage Corp. G 21 M ................... 6.50 10/25/23 33,663,076
18,304 Federal National Mortgage Assoc. 1993-138 MA (PAC) ....... 7.00 05/25/23 17,421,944
53,956 Federal National Mortgage Assoc. 1993-139 M (PAC) ........ 6.50 08/25/23 49,305,055
10,394 Federal National Mortgage Assoc. 1993-163 A ............... 7.00 03/25/23 9,868,371
9,181 Federal National Mortgage Assoc. 1993-163 SB .............. 10.00+ 04/25/23 7,711,817
9,017 Federal National Mortgage Assoc. 1993-165 SE .............. 8.07+ 09/25/23 5,497,916
15,499 Federal National Mortgage Assoc. 1993-166 M (PAC) ........ 7.00 06/25/23 14,680,522
22,036 Federal National Mortgage Assoc. 1993-167 M (PAC) ........ 6.00 09/25/23 19,422,436
17,857 Federal National Mortgage Assoc. 1993-179 SJ .............. 8.07+ 10/25/23 11,141,068
-------------
TOTAL U.S. GOVERNMENT AGENCIES
(IDENTIFIED COST $297,656,411) .......................................................... 263,419,387
-------------
PRIVATE ISSUES (4.1%)
1,719 Citicorp Mortgage Securities, Inc. 1991-1A ................ 8.50 03/25/06 1,620,057
12,232 CountryWide Funding Corp. 1993-7 AS3 (TAC) ................ 14.33+ 11/25/23 9,785,779
3,622 General Electric Capital Mortgage Services, Inc. 1992-11 M 8.00 09/25/22 3,632,447
3,772 Resolution Trust Corp. 1991-6 C1 .......................... 9.00 09/25/28 3,668,413
-------------
TOTAL PRIVATE ISSUES
(IDENTIFIED COST $21,980,513) ........................................................... 18,706,696
-------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $319,636,924) .......................................................... 282,126,083
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (33.4%)
11,710 Federal Home Loan Mortgage Corp. ARM ...................... 7.58++ 03/01/25 11,592,856
13,050 Federal Home Loan Mortgage Corp. ARM ...................... 7.92++ 08/01/23 13,049,632
25,305 Federal Home Loan Mortgage Corp. PC GOLD .................. 6.00 11/01/00-12/01/00 24,474,984
11,361 Federal Home Loan Mortgage Corp. PC GOLD .................. 7.00 02/01/98 11,411,197
2,131 Federal National Mortgage Assoc. .......................... 9.50 06/01/20 2,234,207
50,923 Government National Mortgage Assoc. II ARM ................ 7.00++ 08/20/22-12/20/24 50,976,873
27,830 Government National Mortgage Assoc. II ARM ................ 7.375++ 06/20/22-04/20/23 27,791,508
12,573 Small Business Administration ARM ......................... 7.00++ 03/25/16 12,569,655
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $156,698,468) .......................................................... 154,100,912
-------------
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Portfolio of Investments April 30, 1996 (unaudited) (continued)
- -------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT (IN
THOUSANDS) COUPON RATE MATURITY DATE VALUE
---------- --------------------------------------------------------- ----------- ---------------- ------------
SHORT-TERM INVESTMENTS (4.8%)
U.S. GOVERNMENT AGENCY (A) (2.1%)
$10,000 Federal Home Loan Mortgage Corp. .......................... 5.30 % 05/01/96 $ 10,000,000
-------------
REPURCHASE AGREEMENT (2.7%)
12,303 The Bank of New York (dated 04/30/96; proceeds
$12,304,364; collateralized by $12,601,480 Federal Home
Loan Banks due 05/28/96 valued at $12,548,599) .......... 5.3125 05/01/96 12,302,549
-------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $22,302,549) ............................... 22,302,549
-------------
TOTAL INVESTMENTS (IDENTIFIED COST $498,637,941) (B) ................... 99.5% 458,529,544
OTHER ASSETS IN EXCESS OF LIABILITIES .................................. 0.5 2,350,186
-------------
NET ASSETS ............................................................. 100.0% $460,879,730
</TABLE>
- ------------
ARM Adjustable rate mortgage.
I/O Interest-only securities.
PAC Planned Amortization Class.
PC Participation Certificate.
TAC Targeted Amortization Class.
+ Inverse floater: interest rate moves inversely to a designated
index, such as LIBOR (London Inter-Bank Offered Rate) or COFI
(Cost of Funds Index), typically at a multiple of the changes of
the relevant index rate.
++ Floating rate security. Rate shown is the rate in effect at April
30, 1996.
(a) Security was purchased on a discount basis. The interest rate
shown has been adjusted to reflect a money market equivalent
yield.
(b) The aggregate cost for federal income tax purposes approximates
identified cost. The aggregate gross unrealized appreciation was
$2,785,754 and the aggregate gross unrealized depreciation was
$42,894,151, resulting in net unrealized depreciation of
$40,108,397.
See Notes to Financial Statements
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Financial Statements
- -----------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
April 30, 1996 (unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities, at value (identified cost $498,637,941) ......... $ 458,529,544
Receivable for:
Interest ................................................................... 2,808,703
Principal paydowns ......................................................... 1,724,490
Shares of beneficial interest sold ......................................... 53,973
Deferred organizational expenses ............................................ 50,297
Prepaid expenses and other assets ........................................... 88,171
---------------
TOTAL ASSETS ............................................................. 463,255,178
---------------
LIABILITIES:
Payable for:
Shares of beneficial interest repurchased .................................. 1,410,825
Plan of distribution fee ................................................... 318,447
Dividends to shareholders .................................................. 211,316
Management fee ............................................................. 165,592
Investment advisory fee .................................................... 110,395
Accrued expenses and other payables ......................................... 158,873
Contingencies (Note 10) .................................................... --
---------------
TOTAL LIABILITIES ........................................................ 2,375,448
---------------
NET ASSETS:
Paid-in-capital ............................................................ 715,431,712
Net unrealized depreciation ................................................ (40,108,397)
Distributions in excess of net investment income ........................... (658,428)
Accumulated net realized loss .............................................. (213,785,157)
---------------
NET ASSETS ............................................................... $ 460,879,730
===============
NET ASSET VALUE PER SHARE,
57,348,518 shares outstanding (unlimited shares authorized of $.01 par
value) ..................................................................... $ 8.04
===============
</TABLE>
See Notes to Financial Statements
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Financial Statements (continued)
- -----------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the six months ended April 30, 1996 (unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
NET INVESTMENT INCOME:
INTEREST INCOME ........................ $ 21,329,996
--------------
EXPENSES
Plan of distribution fee .............. 2,094,664
Management fee ........................ 1,128,529
Investment advisory fee ............... 752,353
Transfer agent fees and expenses ..... 320,551
Professional fees ..................... 178,498
Registration fees ..................... 175,321
Insurance expense ..................... 53,532
Shareholder reports and notices ...... 36,563
Organizational expenses ............... 19,910
Trustees' fees and expenses ........... 14,803
Custodian fees ........................ 8,394
Other ................................. 6,511
--------------
TOTAL EXPENSES ....................... 4,789,629
--------------
NET INVESTMENT INCOME ................ 16,540,367
--------------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss ..................... (139,691)
Net change in unrealized depreciation (16,320,944)
--------------
NET LOSS ............................. (16,460,635)
--------------
NET INCREASE ......................... $ 79,732
==============
</TABLE>
See Notes to Financial Statements
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Financial Statements (continued)
- -----------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED OCTOBER
APRIL 30, 1996 31, 1995
---------------- ----------------
<S> <C> <C>
(unaudited)
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income ........................................... $ 16,540,367 $ 67,259,196
Net realized loss ............................................... (139,691) (256,423,219)
Net change in unrealized depreciation ........................... (16,320,944) 162,024,285
---------------- ----------------
Net increase (decrease) ........................................ 79,732 (27,139,738)
---------------- ----------------
Dividends and distributions from:
Net investment income ........................................... (16,807,050) --
Paid-in-capital ................................................. -- (64,021,457)
---------------- ----------------
Total .......................................................... (16,807,050) (64,021,457)
---------------- ----------------
Net decrease from transactions in shares of beneficial interest . (180,700,290) (610,142,782)
---------------- ----------------
Total decrease ................................................. (197,427,608) (701,303,977)
NET ASSETS:
Beginning of period .............................................. 658,307,338 1,359,611,315
---------------- ----------------
END OF PERIOD (Including distributions in excess of net
investment income of $658,428 and $391,745, respectively) ....... $ 460,879,730 $ 658,307,338
================ ================
</TABLE>
See Notes to Financial Statements
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Notes to Financial Statements April 30, 1996 (unaudited)
- -----------------------------------------------------------------------------
1. ORGANIZATION AND ACCOUNTING POLICIES -- TCW/DW North American Government
Income Trust (the "Fund") is registered under the Investment Company Act of
1940, as amended (the "Act"), as a non-diversified, open-end management
investment company. The Fund was organized as a Massachusetts business trust
on February 19, 1992 and commenced operations on July 31, 1992.
The following is a summary of significant accounting policies:
A. Valuation of Investments -- (1) portfolio securities for which
over-the-counter market quotations are readily available are valued at
the latest available bid price prior to the time of valuation; (2) when
market quotations are not readily available, including circumstances
under which it is determined by the Adviser that sale or bid prices are
not reflective of a security's market value, portfolio securities are
valued at their fair value as determined in good faith under procedures
established by and under the general supervision of the Trustees
(valuation of debt securities for which market quotations are not
readily available may be based upon current market prices of securities
which are comparable in coupon, rating and maturity or an appropriate
matrix utilizing similar factors); and (3) short-term debt securities
having a maturity date of more than sixty days at time of purchase are
valued on a mark-to-market basis until sixty days prior to maturity and
thereafter at amortized cost based on their value on the 61st day.
Short-term debt securities having a maturity date of sixty days or less
at the time of purchase are valued at amortized cost.
B. Accounting for Investments -- Security transactions are accounted for
on the trade date (date the order to buy or sell is executed). Realized
gains and losses on security transactions are determined by the
identified cost method. The Fund amortizes premiums and accretes
discounts based on the respective life of the securities. Interest
income is accrued daily.
C. Foreign Currency Translation -- The books and records of the Fund are
maintained in U.S. dollars as follows: (1) the foreign currency market
value of investment securities, other assets and liabilities and forward
contracts are translated at the exchange rates prevailing at the end of
the period; and (2) purchases, sales, income and expenses are translated
at the exchange rates prevailing on the respective dates of such
transactions. The resultant exchange gains and losses are included in
the Statement of Operations as realized and unrealized gain/loss on
foreign exchange transactions. Pursuant to U.S. Federal income tax
regulations, certain foreign exchange gains/losses included in realized
and unrealized gain/loss are included in or are a reduction of ordinary
income for federal income tax purposes. The Fund does not isolate that
portion of the results of operations arising as a result of changes in
the foreign exchange rates from the changes in the market prices of the
securities.
D. Forward Foreign Currency Contracts -- The Fund may enter into forward
foreign currency contracts which are valued daily at the appropriate
exchange rates. The resultant unrealized exchange gains and losses are
included in the Statement of Operations as unrealized foreign currencies
gain or loss. The Fund records realized gains or losses on delivery of
the currency or at the time the forward contract is extinguished
(compensated) by entering into a closing transaction prior to delivery.
E. Dollar Rolls -- The Fund may enter into dollar rolls in which the
Fund sells securities for delivery and simultaneously contracts to
repurchase substantially similar securities at the current sales price
on a specified future date. The difference between the current sales
price and the lower forward price for the future purchase (often
referred to as the "drop") is amortized over the life of the dollar
roll.
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Notes to Financial Statements April 30, 1996 (unaudited) (continued)
- ------------------------------------------------------------------------------
F. Federal Income Tax Status -- It is the Fund's policy to comply with
the requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to its
shareholders. Accordingly, no federal income tax provision is required.
G. Dividends and Distributions to Shareholders -- The Fund records
dividends and distributions to its shareholders on the ex-dividend date.
The amount of dividends and distributions from net investment income and
net realized capital gains are determined in accordance with federal
income tax regulations which may differ from generally accepted
accounting principles. These "book/tax" differences are either
considered temporary or permanent in nature. To the extent these
differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis treatment;
temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized
capital gains for financial reporting purposes but not for tax purposes
are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent
they exceed net investment income and net realized capital gains for tax
purposes, they are reported as distributions of paid-in-capital.
H. Organizational Expenses -- Dean Witter InterCapital Inc., an
affiliate of Dean Witter Services Company Inc. (the "Manager"), paid the
organizational expenses which have been reimbursed by the Fund in the
amount of $200,000. Such expenses have been deferred and are being
amortized on the straight-line method over a period not to exceed five
years from the commencement of operations.
2. MANAGEMENT AGREEMENT -- Pursuant to a Management Agreement, the Fund pays
a management fee, accrued daily and payable monthly, by applying the
following annual rates to the net assets of the Fund determined as of the
close of each business day: 0.39% to the portion of average daily net assets
not exceeding $3 billion and 0.36% to the portion of average daily net assets
exceeding $3 billion.
Under the terms of the Agreement, the Manager maintains certain of the Fund's
books and records and furnishes, at its own expense, office space,
facilities, equipment, clerical, bookkeeping and certain legal services and
pays the salaries of all personnel, including officers of the Fund who are
employees of the Manager. The Manager also bears the cost of telephone
services, heat, light, power and other utilities provided to the Fund.
3. INVESTMENT ADVISORY AGREEMENT -- Pursuant to an Investment Advisory
Agreement with TCW Funds Management, Inc. (the "Adviser"), the Fund pays an
advisory fee, calculated daily and payable monthly, by applying the following
annual rates to the net assets of the Fund determined as of the close of each
business day: 0.26% to the portion of average daily net assets not exceeding
$3 billion and 0.24% to the portion of average daily net assets exceeding $3
billion.
Under the terms of the Agreement, the Fund has retained the Adviser to invest
the Fund's assets, including placing orders for the purchase and sale of
portfolio securities. The Adviser obtains and evaluates such information and
advice relating to the economy, securities markets, and specific securities
as it considers necessary or useful to continuously manage the assets of the
Fund in a manner consistent with its investment objective. In addition, the
Adviser pays the salaries of all personnel, including officers of the Fund,
who are employees of the Adviser.
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Notes to Financial Statements April 30, 1996 (unaudited) (continued)
- -----------------------------------------------------------------------------
4. PLAN OF DISTRIBUTION -- Dean Witter Distributors Inc. (the "Distributor"),
an affiliate of the Manager, is the distributor of the Fund's shares and, in
accordance with a Plan of Distribution (the "Plan") pursuant to Rule 12b-1
under the Act, finances certain expenses in connection with the distribution
of shares of the Fund.
Under the Plan, the Distributor bears the expense of all promotional and
distribution related activities on behalf of the Fund, except for expenses
that the Trustees determine to reimburse, as described below. The following
activities and services may be provided by the Distributor under the Plan:
(1) compensation to, and expenses of, account executives of Dean Witter
Reynolds Inc., an affiliate of the Manager and Distributor, and other
employees or selected broker-dealers; (2) sales incentives and bonuses to
sales representatives and to marketing personnel in connection with promoting
sales of the Fund's shares; (3) expenses incurred in connection with
promoting sales of the Fund's shares; (4) preparing and distributing sales
literature; and (5) providing advertising and promotional activities,
including direct mail solicitation and television, radio, newspaper, magazine
and other media advertisements.
The Fund is authorized to reimburse the Distributor for specific expenses the
Distributor incurs or plans to incur in promoting the distribution of the
Fund's shares. The amount of each monthly reimbursement payment may in no
event exceed an amount equal to a payment at the annual rate of 0.75% of the
Fund's average daily net assets during the month. Expenses incurred pursuant
to the Plan in any fiscal year in excess of 0.75% of the Fund's average daily
net assets will not be reimbursed by the Fund through payments accrued in any
subsequent fiscal year. For the six months ended April 30, 1996, the
distribution fee was accrued at the annual rate of 0.72%.
5. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES -- The cost of
purchases and proceeds from sales/prepayments of portfolio securities,
excluding short-term investments, for the six months ended April 30, 1996
were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES/PREPAYMENTS
----------- -----------------
<S> <C> <C>
U.S. Government Agencies .......................... $698,731 $45,516,387
Private Issue Collateralized Mortgage Obligations -- 1,238,866
</TABLE>
Dean Witter Trust Company, an affiliate of the Manager and Distributor, is
the Fund's transfer agent. At April 30, 1996, the Fund had transfer agent
fees and expenses payable of approximately $70,000.
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Notes to Financial Statements April 30, 1996 (unaudited) (continued)
- --------------------------------------------------------------------------------
6. SHARES OF BENEFICIAL INTEREST -- Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
FOR THE SIX MONTHS
ENDED FOR THE YEAR ENDED
APRIL 30, 1996 OCTOBER 31, 1995
------------------------------ -------------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
-------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C>
Sold 3,376,465 $ 28,387,645 11,625,629 $ 96,045,510
Reinvestment of dividends and distributions 1,485,465 12,395,808 5,930,740 48,356,244
-------------- -------------- -------------- ---------------
4,861,930 40,783,453 17,556,369 144,401,754
Repurchased (26,586,996) (221,483,743) (91,392,898) (754,544,536)
-------------- -------------- -------------- ---------------
Net decrease (21,725,066) $(180,700,290) (73,836,529) $(610,142,782)
============== ============== ============== ===============
</TABLE>
7. FEDERAL INCOME TAX STATUS -- At October 31, 1995, the Fund had a net
capital loss carryover of approximately $213,645,000 of which $53,085,000
will be available through October 31, 2002 and $160,560,000 will be available
through October 31, 2003 to offset future capital gains to the extent
provided by regulations.
As of October 31, 1995, the Fund had temporary book/tax differences primarily
attributable to dividend payable and permanent book/tax differences primarily
attributable to a net operating loss and foreign currency losses. To reflect
reclassification arising from permanent book/tax differences for the year
ended October 31, 1995, distributions in excess of net investment income was
charged $66,341,993, paid-in-capital was charged $29,554,165 and accumulated
net realized loss was credited $95,896,158.
8. REVERSE REPURCHASE AND DOLLAR ROLL AGREEMENTS -- Reverse repurchase and
dollar roll agreements involve the risk that the market value of the
securities the Fund is obligated to repurchase under the agreement may
decline below the repurchase price. In the event the buyer of securities
under a reverse repurchase or dollar roll agreement files for bankruptcy or
becomes insolvent, the Fund's use of proceeds of the agreement may be
restricted pending a determination by the other party, its trustee or
receiver, whether to enforce the Fund's obligation to repurchase the
securities.
Reverse repurchase agreements are collateralized by Fund securities with a
market value in excess of the Fund's obligation under the contract.
9. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS -- The
Fund may enter into forward foreign currency contracts ("forward contracts")
to facilitate settlement of foreign currency denominated portfolio
transactions or to manage foreign currency exposure associated with foreign
currency denominated securities.
Forward contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Fund bears the risk
of an unfavorable change in the foreign exchange rates underlying the forward
contracts. Risks may also arise upon entering into these contracts from the
potential inability of the counterparties to meet the terms of their
contracts.
10. LITIGATION -- Several purported class action lawsuits, which have been
consolidated for pretrial purposes, were instituted in 1995 in the United
States District Court, in New York, against the Fund, some
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Notes to Financial Statements April 30, 1996 (unaudited) (continued)
- ------------------------------------------------------------------------------
of its Trustees and officers, its underwriter and distributor, the Adviser,
the Manager, and other defendants, by certain shareholders of the Fund. The
consolidated amended complaint asserts claims under the Securities Act of
1933 and generally alleges that the defendants made inadequate and misleading
disclosures in the prospectuses for the Fund, in particular as such
disclosures relate to the nature and risks of the Fund's investments in
mortgage-backed securities and Mexican securities. The plaintiffs also
challenge certain fees paid by the Fund as excessive. Damages are sought in
an unspecified amount. All defendants had moved to dismiss the consolidated
amended complaint, and on May 8, 1996 the motions to dismiss were denied. All
defendants have now moved for reargument.
The ultimate outcome of these matters is not presently determinable, and no
provision has been made in the Fund's financial statements for the effect, if
any, of such matters.
<PAGE>
TCW/DW NORTH AMERICAN GOVERNMENT INCOME TRUST
Financial Highlights
- --------------------------------------------------------------------------------
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR ENDED OCTOBER 31, JULY 31, 1992*
MONTHS ENDED --------------------------------- THROUGH
APRIL 30, 1996 1995 1994 1993 OCTOBER 31, 1992
-------------- ---------- ---------- --------- -----------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period .. $ 8.33 $ 8.89 $10.11 $ 9.96 $10.00
-------------- ---------- ---------- --------- ----------------
Net investment income .................. 0.23 0.69 0.68 0.77 0.18
Net realized and unrealized gain (loss) (0.28) (0.59) (1.18) 0.14 (0.05)
-------------- ---------- ---------- --------- ----------------
Total from investment operations ...... (0.05) 0.10 (0.50) 0.91 0.13
-------------- ---------- ---------- --------- ----------------
Less dividends and distributions from:
Net investment income ................. (0.24) -- (0.47) (0.76) (0.17)
Net capital gain ...................... -- -- (0.02) -- --
Paid-in-capital ....................... -- (0.66) (0.23) -- --
-------------- ---------- ---------- --------- ----------------
Total dividends and distributions ..... (0.24) (0.66) (0.72) (0.76) (0.17)
-------------- ---------- ---------- --------- ----------------
Net asset value, end of period ......... $ 8.04 $ 8.33 $ 8.89 $10.11 $ 9.96
============== ========== ========== ========= ================
TOTAL INVESTMENT RETURN+ ............... (0.63)%(1) 1.61% (5.06)% 9.35% 1.28%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses ............................... 1.65%(2) 1.59% 1.52% 1.54% 1.80%(2)
Net investment income .................. 5.70%(2) 8.28% 6.85% 7.78% 8.36%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in millions $461 $658 $1,360 $2,986 $762
Portfolio turnover rate ................ --%(1)++ 44% 27% 77% 2%(1)
<FN>
- ------------
* Commencement of operations.
+ Does not reflect the deduction of sales charge. Calculated based on the
net asset value as of the last business day of the period.
++ Less than 0.5%.
(1) Not annualized.
(2) Annualized.
See Notes to Financial Statements
<PAGE>
TRUSTEES
John C. Argue
Richard M. DeMartini
Charles A. Fiumefreddo
John R. Haire
Dr. Manuel H. Johnson
Paul Kolton
Thomas E. Larkin, Jr.
Michael E. Nugent
John L. Schroeder
Marc I. Stern
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Thomas E. Larkin, Jr.
President
Sheldon Curtis
Vice President, Secretary and
General Counsel
Philip A. Barach
Vice President
James M. Goldberg
Vice President
Jeffrey E. Gundlach
Vice President
Frederick H. Horton
Vice President
Thomas F. Caloia
Treasurer
TRANSFER AGENT
Dean Witter Trust Company
Harborside Financial Center -- Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1177 Avenue of the Americas
New York, New York 10036
MANAGER
Dean Witter Services Company Inc.
ADVISER
TCW Funds Management, Inc.
The financial statements included herein have been taken from the
records of the Fund without examination by the independent accountants and
accordingly they do not express an opinion thereon.
This report is submitted for the general information of shareholders
of the Fund. For more detailed information about the Fund, its officers and
trustees, fees, expenses and other pertinent information, please see the
prospectus of the Fund.
This report is not authorized for distribution to prospective investors in
the Fund unless preceded or accompanied by an effective prospectus. TCW/DW
T C W D W
NORTH AMERICAN
GOVERNMENT
INCOME TRUST
SEMIANNUAL REPORT
APRIL 30, 1996
</TABLE>
