UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-7816
PIMCO Commercial Mortgage Securities Trust, Inc.
(Exact name of registrant as specified in charter)
840 Newport Center Drive, Newport Beach, CA 92660
(Address of principal executive offices)
John P. Hardaway
Treasurer
PIMCO Funds
840 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
Brendan C. Fox
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Registrant’s telephone number, including area code: (866) 746-2606
Date of fiscal year end: December 31
Date of reporting period: July 1, 2005 to September 30, 2005
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1.5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
Schedule of Investments
Commercial Mortgage Securities Trust
September 30, 2005 (Unaudited)
| Principal Amount |
Value | |||||||
| (000s) | (000s) | |||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 106.6% |
||||||||
| Healthcare 4.9% |
||||||||
| Green Tree Recreational Equipment & Consumer Trust |
||||||||
| 6.715% due 02/01/2009 (a) |
$ | 1,770 | $ | 1,849 | ||||
| RMF Commercial Mortgage Pass-Through Certificates |
||||||||
| 7.072% due 01/15/2019 (a) |
2,000 | 1,698 | ||||||
| 7.471% due 01/15/2019 (a) |
1,000 | 177 | ||||||
| 8.920% due 01/15/2019 (a)(b)(c) |
317 | 6 | ||||||
| 9.150% due 11/28/2027 (a) |
3,069 | 2,998 | ||||||
| 6,728 | ||||||||
| Hospitality 12.0% |
||||||||
| Bear Stearns Commercial Mortgage Securities, Inc. |
||||||||
| 5.817% due 05/14/2016 (a) |
1,500 | 1,516 | ||||||
| Hilton Hotel Pool Trust |
||||||||
| 1.000% due 10/01/2016 (a)(b)(d) |
32,597 | 969 | ||||||
| Host Marriot Pool Trust |
||||||||
| 8.310% due 08/03/2009 (a) |
2,000 | 2,177 | ||||||
| Nomura Asset Capital Corp. |
||||||||
| 7.500% due 07/15/2013 (a)(g) |
3,387 | 3,503 | ||||||
| Office Portfolio Trust |
||||||||
| 6.778% due 02/01/2016 (a) |
1,000 | 1,004 | ||||||
| Starwood Commercial Mortgage Trust |
||||||||
| 6.920% due 02/03/2009 (a)(g) |
2,500 | 2,657 | ||||||
| Times Square Hotel Trust |
||||||||
| 8.528% due 08/01/2026 (a) |
3,770 | 4,469 | ||||||
| 16,295 | ||||||||
| Multi-Class 82.9% |
||||||||
| American Southwest Financial Securities Corp. |
||||||||
| 1.078% due 01/18/2009 (b)(d) |
72 | 0 | ||||||
| Asset Securitization Corp. |
||||||||
| 7.384% due 08/13/2029 (b) |
750 | 786 | ||||||
| 10.115% due 02/14/2041 |
3,774 | 4,165 | ||||||
| Banc of America Commercial Mortgage, Inc. |
||||||||
| 7.929% due 11/15/2031 (b) |
2,800 | 3,100 | ||||||
| 7.224% due 04/15/2036 (g) |
2,500 | 2,698 | ||||||
| Bear Stearns Commercial Mortgage Securities, Inc. |
||||||||
| 5.060% due 11/15/2016 |
20 | 20 | ||||||
| Carey Commercial Mortgage Trust |
||||||||
| 5.970% due 08/20/2032 (a)(g) |
1,404 | 1,411 | ||||||
| Chase Commercial Mortgage Securities Corp. |
||||||||
| 6.900% due 11/19/2006 |
1,500 | 1,533 | ||||||
| 6.650% due 07/15/2010 (a) |
2,600 | 2,702 | ||||||
| 6.484% due 02/12/2016 (b)(g) |
2,000 | 2,134 | ||||||
| 6.900% due 11/19/2028 (a) |
5,500 | 5,469 | ||||||
| 6.887% due 10/15/2032 (a) |
1,500 | 1,552 | ||||||
| Commercial Mortgage Acceptance Corp. |
||||||||
| 6.912% due 11/15/2009 (b) |
1,500 | 1,579 | ||||||
| Commercial Mortgage Asset Trust |
||||||||
| 6.640% due 09/17/2010 (g) |
2,500 | 2,642 | ||||||
| 6.975% due 04/17/2013 (g) |
2,500 | 2,803 | ||||||
| Commercial Mortgage Pass-Through Certificates |
||||||||
| 8.389% due 08/15/2033 (a)(b) |
1,500 | 1,656 | ||||||
| 6.830% due 02/15/2034 (a)(g) |
2,893 | 3,116 | ||||||
| 6.586% due 07/16/2034 (a) |
1,500 | 1,617 | ||||||
| 6.937% due 07/16/2034 (a)(b) |
1,500 | 1,577 | ||||||
| CS First Boston Mortgage Securities Corp. |
||||||||
| 7.170% due 05/17/2040 (g) |
3,000 | 3,289 | ||||||
| DLJ Commercial Mortgage Corp. |
||||||||
| 7.275% due 11/12/2031 (b) |
135 | 143 | ||||||
| Federal Housing Administration |
||||||||
| 7.380% due 04/01/2041 |
2,432 | 2,377 | ||||||
| FFCA Secured Lending Corp. |
||||||||
| 1.000% due 09/18/2020 (a)(b)(d) |
10,719 | 495 | ||||||
| First Union-Bank of America |
||||||||
| 6.000% due 01/15/2011 (a) |
1,000 | 1,003 | ||||||
| First Union-Lehman Brothers-Bank of America |
||||||||
| 6.778% due 11/18/2035 |
2,000 | 2,193 | ||||||
| GMAC Commercial Mortgage Securities, Inc. |
||||||||
| 7.860% due 11/15/2006 (a) |
500 | 513 | ||||||
| 6.500% due 03/15/2012 |
20 | 21 | ||||||
| 7.190% due 05/15/2030 (a)(b) |
1,500 | 1,158 | ||||||
| 6.500% due 05/15/2035 |
4,500 | 4,722 | ||||||
| 8.336% due 09/15/2035 (a)(b) |
1,500 | 1,582 | ||||||
| Greenwich Capital Commercial Funding Corp. |
||||||||
| 4.111% due 07/05/2035 (g) |
2,700 | 2,562 | ||||||
| 5.419% due 01/05/2036 (a)(b) |
1,500 | 1,470 | ||||||
| GS Mortgage Securities Corp. |
||||||||
| 6.615% due 02/16/2016 (a)(g) |
3,500 | 3,796 | ||||||
| 7.644% due 08/05/2018 (a)(b) |
3,480 | 3,765 | ||||||
| 6.526% due 08/15/2018 (a)(g) |
2,000 | 2,172 | ||||||
| 7.191% due 04/13/2031 (b)(g) |
1,000 | 1,053 | ||||||
| GSMPS Mortgage Loan Trust |
||||||||
| 8.000% due 09/20/2027 (a)(g) |
2,094 | 2,230 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Corp. |
||||||||
| 6.162% due 05/12/2034 (g) |
2,000 | 2,129 | ||||||
| 6.465% due 11/15/2035 (g) |
3,000 | 3,233 | ||||||
| 5.440% due 05/15/2041 (a)(b) |
1,500 | 1,462 | ||||||
| JP Morgan Commercial Mortgage Finance Corp. |
||||||||
| 8.358% due 11/25/2027 (a)(b) |
2,284 | 2,280 | ||||||
| LB-UBS Commercial Mortgage Trust |
||||||||
| 4.853% due 09/15/2031 (g) |
2,000 | 1,990 | ||||||
| 6.950% due 03/15/2034 (a)(b) |
1,572 | 1,693 | ||||||
| 7.290% due 09/15/2034 (g) |
2,000 | 2,176 | ||||||
| 5.683% due 07/15/2035 (a) |
1,500 | 1,481 | ||||||
| Merrill Lynch Mortgage Investors, Inc. |
||||||||
| 7.735% due 06/15/2021 (b) |
183 | 182 | ||||||
| 7.405% due 02/15/2030 (b)(g) |
2,000 | 2,114 | ||||||
| 7.134% due 12/15/2030 (b) |
1,500 | 1,657 | ||||||
| Morgan Stanley Capital I, Inc. |
||||||||
| 6.850% due 02/15/2020 (a) |
1,000 | 1,019 | ||||||
| 7.695% due 10/03/2030 (a) |
2,000 | 1,511 | ||||||
| 7.210% due 12/15/2031 (b) |
200 | 213 | ||||||
| 7.674% due 04/30/2039 (a)(b) |
2,000 | 2,126 | ||||||
| Mortgage Capital Funding, Inc. |
||||||||
| 7.531% due 04/20/2007 |
1,000 | 1,041 | ||||||
| Nationslink Funding Corp. |
||||||||
| 7.050% due 02/20/2008 (a) |
2,000 | 2,062 | ||||||
| 7.105% due 01/20/2013 (a) |
2,500 | 2,724 | ||||||
| Prudential Securities Secured Financing Corp. |
||||||||
| 6.755% due 08/15/2011 (a) |
2,000 | 2,140 | ||||||
| 7.610% due 12/26/2022 |
289 | 289 | ||||||
| Trizec Hahn Office Properties |
||||||||
| 7.604% due 05/15/2016 (a) |
3,000 | 3,210 | ||||||
| Wachovia Bank Commercial Mortgage Trust |
||||||||
| 5.517% due 01/15/2041 (a)(b) |
1,500 | 1,459 | ||||||
| 113,295 | ||||||||
| Multi-Family 6.8% |
||||||||
| Commercial Capital Access One, Inc. |
||||||||
| 7.676% due 11/15/2028 (a)(b) |
3,000 | 3,200 | ||||||
| Fannie Mae |
||||||||
| 8.157% due 12/25/2015 (a)(b) |
454 | 461 | ||||||
| 15.747% due 12/25/2015 (a)(b) |
874 | 882 | ||||||
| 9.375% due 04/01/2016 |
190 | 172 | ||||||
| 7.875% due 11/01/2018 |
22 | 20 | ||||||
| 5.237% due 07/01/2035 (g) |
1,469 | 1,512 | ||||||
| Federal Housing Administration |
||||||||
| 8.360% due 01/01/2012 |
238 | 242 | ||||||
| 7.500% due 12/01/2030 |
1,244 | 1,252 | ||||||
| Multi-Family Capital Access One, Inc. |
||||||||
| 7.400% due 01/15/2024 |
1,492 | 1,551 | ||||||
| 9,292 | ||||||||
| Total Commercial Mortgage-Backed Securities (Cost $145,595) |
145,610 | |||||||
| CORPORATE BONDS & NOTES 1.1% |
||||||||
| Utilities 1.1% |
||||||||
| Midwest Generation LLC |
||||||||
| 8.560% due 01/02/2016 |
662 | 729 | ||||||
| TECO Energy, Inc. |
||||||||
| 7.500% due 06/15/2010 |
700 | 756 | ||||||
| Total Corporate Bonds & Notes (Cost $1,360) |
1,485 | |||||||
| REAL ESTATE ASSET-BACKED SECURITIES 34.2% |
||||||||
| Access Financial Manufactured Housing Contract Trust |
||||||||
| 7.650% due 05/15/2021 |
2,500 | 1,808 | ||||||
| Conseco Finance Securitizations Corp. |
||||||||
| 7.960% due 02/01/2032 |
2,000 | 1,655 | ||||||
| 7.970% due 05/01/2032 |
1,000 | 797 | ||||||
| ContiMortgage Home Equity Loan Trust |
||||||||
| 7.550% due 08/15/2028 |
415 | 330 | ||||||
| CS First Boston Mortgage Securities Corp. |
||||||||
| 7.000% due 02/25/2033 (g) |
2,000 | 2,021 | ||||||
| Fannie Mae |
||||||||
| 8.500% due 07/01/2008 |
10 | 11 | ||||||
| 8.500% due 05/01/2009 |
7 | 7 | ||||||
| 8.000% due 07/01/2009 (g) |
346 | 361 | ||||||
| 8.000% due 10/01/2010 |
27 | 28 | ||||||
| 6.056% due 07/01/2012 (g) |
9,005 | 9,550 | ||||||
| 8.000% due 12/01/2012 |
2 | 3 | ||||||
| 8.000% due 06/01/2015 |
52 | 56 | ||||||
| 8.000% due 08/01/2015 |
38 | 41 | ||||||
| 8.500% due 05/01/2017 |
4 | 5 | ||||||
| 8.500% due 07/01/2017 |
7 | 8 | ||||||
| 8.500% due 08/01/2019 |
4 | 5 | ||||||
| 8.500% due 11/01/2019 |
4 | 4 | ||||||
| 8.500% due 01/01/2020 |
1 | 1 | ||||||
| 8.500% due 10/01/2020 |
15 | 17 | ||||||
| 8.500% due 05/01/2021 |
0 | 1 | ||||||
| 6.930% due 09/01/2021 (g) |
7,153 | 7,520 | ||||||
| 8.500% due 09/01/2021 |
114 | 123 | ||||||
| 8.500% due 12/01/2021 |
10 | 11 | ||||||
| 8.500% due 06/01/2022 |
39 | 42 | ||||||
| 8.500% due 09/01/2022 (g) |
369 | 403 | ||||||
| 8.500% due 11/01/2025 |
15 | 16 | ||||||
| 8.500% due 01/01/2026 |
8 | 8 | ||||||
| 8.500% due 03/01/2029 |
7 | 8 | ||||||
| 8.500% due 04/01/2030 |
91 | 99 | ||||||
| 8.500% due 06/01/2030 |
101 | 110 | ||||||
| 8.500% due 11/01/2030 |
115 | 126 | ||||||
| 8.500% due 01/01/2031 |
105 | 115 | ||||||
| 8.500% due 04/01/2032 |
146 | 159 | ||||||
| 7.000% due 08/01/2033 (g) |
236 | 247 | ||||||
| 7.000% due 10/01/2033 (g) |
2,576 | 2,699 | ||||||
| 7.000% due 11/01/2033 (g) |
1,323 | 1,396 | ||||||
| Freddie Mac |
||||||||
| 7.000% due 08/01/2007 |
26 | 27 | ||||||
| 7.000% due 12/01/2007 |
9 | 9 | ||||||
| 8.000% due 07/01/2010 |
13 | 14 | ||||||
| 7.000% due 09/01/2010 |
8 | 8 | ||||||
| 8.000% due 10/01/2010 |
11 | 11 | ||||||
| 7.000% due 11/01/2010 |
270 | 277 | ||||||
| 7.000% due 02/01/2011 |
23 | 24 | ||||||
| 8.000% due 06/01/2011 |
12 | 13 | ||||||
| 8.000% due 01/01/2012 |
6 | 7 | ||||||
| 8.000% due 05/01/2012 |
6 | 6 | ||||||
| 8.000% due 06/01/2012 |
11 | 12 | ||||||
| 7.000% due 07/01/2012 |
41 | 43 | ||||||
| 7.000% due 07/01/2013 |
263 | 275 | ||||||
| 7.000% due 12/01/2014 |
64 | 67 | ||||||
| 7.000% due 02/01/2015 |
27 | 28 | ||||||
| 8.000% due 05/01/2015 |
1 | 2 | ||||||
| 8.000% due 06/01/2015 |
1 | 1 | ||||||
| 7.000% due 09/01/2015 |
69 | 72 | ||||||
| 7.000% due 12/01/2015 |
1 | 1 | ||||||
| 7.000% due 03/01/2016 |
23 | 24 | ||||||
| 7.000% due 06/01/2016 |
82 | 86 | ||||||
| 7.000% due 07/01/2016 |
156 | 163 | ||||||
| 8.500% due 11/15/2021 |
1,102 | 1,171 | ||||||
| 6.090% due 08/01/2025 (b) |
421 | 429 | ||||||
| 7.000% due 03/01/2031 |
212 | 221 | ||||||
| 7.000% due 10/01/2031 |
75 | 78 | ||||||
| 7.000% due 08/01/2032 (g) |
1,240 | 1,296 | ||||||
| Green Tree Financial Corp. |
||||||||
| 7.050% due 02/15/2027 |
922 | 808 | ||||||
| 6.810% due 12/01/2027 |
627 | 645 | ||||||
| 7.070% due 01/15/2029 |
216 | 225 | ||||||
| 6.220% due 03/01/2030 |
728 | 727 | ||||||
| 6.180% due 04/01/2030 |
180 | 179 | ||||||
| 6.530% due 02/01/2031 |
982 | 905 | ||||||
| Greenpoint Manufactured Housing |
||||||||
| 8.300% due 10/15/2026 |
2,000 | 1,793 | ||||||
| 7.590% due 11/15/2028 |
157 | 163 | ||||||
| Impac Secured Assets CMN Owner Trust |
||||||||
| 7.000% due 10/25/2031 (b)(g) |
707 | 705 | ||||||
| Keystone Owner Trust |
||||||||
| 9.000% due 01/25/2029 (a)(b) |
952 | 966 | ||||||
| Mego Mortgage Home Loan Trust |
||||||||
| 8.010% due 08/25/2023 (b) |
124 | 123 | ||||||
| Merrill Lynch Mortgage Investors, Inc. |
||||||||
| 4.533% due 08/25/2033 (b) |
812 | 739 | ||||||
| Oakwood Mortgage Investors, Inc. |
||||||||
| 3.998% due 05/15/2013 (b) |
222 | 191 | ||||||
| 6.890% due 11/15/2032 |
1,000 | 297 | ||||||
| Ocwen Residential MBS Corp. |
||||||||
| 6.835% due 06/25/2039 (a)(b) |
955 | 752 | ||||||
| 7.000% due 10/25/2040 (a) |
1,739 | 1,401 | ||||||
| Salomon Brothers Mortgage Securities VII, Inc. |
||||||||
| 7.500% due 05/25/2026 |
15 | 15 | ||||||
| Saxon Asset Securities Trust |
||||||||
| 8.640% due 09/25/2030 |
547 | 343 | ||||||
| Structured Asset Investment Loan Trust |
||||||||
| 6.830% due 10/25/2033 (b) |
500 | 507 | ||||||
| UCFC Manufactured Housing Contract |
||||||||
| 7.900% due 01/15/2028 |
1,000 | 640 | ||||||
| Wilshire Mortgage Loan Trust |
||||||||
| 8.990% due 05/25/2028 (a) |
508 | 507 | ||||||
| Total Real Estate Asset-Backed Securities (Cost $46,756) |
46,787 | |||||||
| OTHER 7.5% |
||||||||
| Denver Arena Trust |
||||||||
| 6.940% due 11/15/2019 (a) |
1,657 | 1,663 | ||||||
| First International Bank |
||||||||
| 9.539% due 04/15/2026 (b) |
1,856 | 139 | ||||||
| Golden State Tobacco Securitization Corp., California Tobacco Settlement Revenue Bonds, Series 2003-A1 |
||||||||
| 6.750% due 06/01/2039 |
1,000 | 1,150 | ||||||
| LB Commercial Conduit Mortgage Trust |
||||||||
| 6.000% due 11/19/2035 (a) |
5,000 | 5,094 | ||||||
| Nextcard Credit Card Master Note Trust |
||||||||
| 9.454% due 12/15/2006 (a)(b) |
1,000 | 87 | ||||||
| Northwest Airlines, Inc. |
||||||||
| 7.575% due 03/01/2019 (c) |
1,906 | 1,907 | ||||||
| US Airways Group, Inc. |
||||||||
| 9.330% due 01/01/2006 (c) |
660 | 278 | ||||||
| Total Other (Cost $11,173) |
10,318 | |||||||
| SHORT-TERM INSTRUMENTS 1.7% |
||||||||
| Repurchase Agreement 0.4% |
||||||||
| State Street Bank |
||||||||
| 3.400% due 10/03/2005 |
557 | 557 | ||||||
| (Dated 09/30/2005. Collateralized by Federal Home Loan Bank 4.875% due 05/15/2007 valued at $569. Repurchase proceeds are $557.) |
||||||||
| U.S. Treasury Bills 1.3% |
||||||||
| 3.416% due 12/01/2005-12/15/2005 (e)(h) |
1,785 | 1,770 | ||||||
| Total Short-Term Instruments (Cost $2,330) |
2,327 | |||||||
| Total Investments (f) |
151.1 | % | $ | 206,527 | ||||
| (Cost $207,214) |
||||||||
| Written Options (j) |
(0.0 | %) | (24 | ) | ||||
| (Premiums $122) |
||||||||
| Other Assets and Liabilities (Net) |
(51.1 | %) | (69,852 | ) | ||||
| Net Assets |
100.0 | % | $ | 136,651 | ||||
See accompanying notes
Notes to Schedule of Investments (amounts in thousands, except number of contracts):
(a) Securities purchased under Rule 144A of the 1933 Securities Act and, unless registered under the Act or exempt from registration, may only be sold to qualified institutional investors.
(b) Variable rate security.
(c) Security is in default.
(d) Interest only security.
(e) Securities are grouped by coupon or range of coupons and represent a range of maturities.
(f) As of September 30, 2005, portfolio securities with an aggregate market value of $11,167 were valued with reference to securities whose prices are more readily obtainable.
(g) The average amount of borrowings outstanding during the nine-months ended September 30, 2005 was $67,467 at a weighted average interest rate of 4.20%. On September 30, 2005, securities valued at $75,557 were pledged as collateral for reverse repurchase agreements. The Fund is authorized to borrow funds and utilize leverage in amounts not exceeding thirty-three and one-third percent of its total assets. The Fund’s ability to leverage creates an opportunity for increased net income, but at the same time poses special risks. If the income from the securities purchased with borrowed funds is not sufficient to cover the cost of borrowing, the net income of the Fund will be less than if borrowing had not been used, reducing the amount available for distribution to shareholders.
(h) Securities with an aggregate market value of $283 have been segregated with the custodian to cover margin requirements for the following open futures contracts on September 30, 2005:
| Type | Expiration Month |
# of Contracts |
Unrealized Appreciation | ||||
| U.S. Treasury 30-Year Bond Short Futures |
12/2005 | 154 | $ | 475 | |||
(i) Swap agreements outstanding on September 30, 2005:
| Interest Rate Swaps |
||||||||||||||||
| Counterparty | Floating Rate Index |
Pay/Receive Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||||
| Barclays Bank PLC |
3-month USD-LIBOR | Pay | 4.980 | % | 09/29/2025 | $ | 28,000 | $ | 102 | |||||||
| Goldman Sachs & Co. |
3-month USD-LIBOR | Receive | 5.000 | % | 06/15/2025 | 28,000 | 792 | |||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Pay | 5.240 | % | 03/16/2025 | 40,000 | 1,504 | |||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Pay | 5.010 | % | 05/10/2025 | 20,000 | 278 | |||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Receive | 5.250 | % | 06/15/2025 | 60,000 | 967 | |||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Receive | 5.000 | % | 06/15/2025 | 25,000 | (212 | ) | ||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Pay | 5.003 | % | 08/15/2025 | 25,000 | 215 | |||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Pay | 4.955 | % | 09/28/2025 | 20,000 | 18 | |||||||||
| UBS Warburg LLC |
3-month USD-LIBOR | Receive | 5.000 | % | 12/15/2025 | 20,000 | (15 | ) | ||||||||
| $ | 3,649 | |||||||||||||||
(j) Written options outstanding on September 30, 2005:
| Name of Issuer | Exercise Price |
Expiration Date |
# of Contracts |
Premium | Value | ||||||||
| Call - CBOT U.S. Treasury Note December Futures |
$ | 114.000 | 11/22/2005 | 100 | $ | 12 | $ | 3 | |||||
| Put - CBOT U.S. Treasury Note December Futures |
107.000 | 11/22/2005 | 100 | 20 | 9 | ||||||||
| $ | 32 | $ | 12 | ||||||||||
| Name of Issuer | Counterparty | Exercise Rate |
Expiration Date |
Notional Amount |
Premium | Value | ||||||||||
| Call - OTC 7-Year Interest Rate Swap |
Bank of America | 4.250 | %** | 10/31/2005 | $ | 13,700 | $ | 29 | $ | 1 | ||||||
| Put - OTC 7-Year Interest Rate Swap |
Bank of America | 5.000 | %* | 10/31/2005 | 13,700 | 61 | 11 | |||||||||
| $ | 90 | $ | 12 | |||||||||||||
| * | The Fund will pay a floating rate based on 3-month USD-LIBOR. |
| ** | The Fund will receive a floating rate based on 3-month USD-LIBOR. |
(k) On September 30, 2005, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows (amounts in thousands):
| Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized (Depreciation) |
||||
| $ 7,945 |
$ (8,632) | $ | (687 | ) | ||
Item 2. Controls and Procedures
| (a) | The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing of this report on Form N-Q, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms. |
| (b) | There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits
A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act is attached as Exhibit 99.CERT.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| PIMCO Commercial Mortgage Securities Trust, Inc. | ||
| By: |
/s/ ERNEST L. SCHMIDER | |
| Ernest L. Schmider | ||
| President, Principal Executive Officer | ||
| Date: |
November 23, 2005 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: |
/s/ ERNEST L. SCHMIDER | |
| Ernest L. Schmider | ||
| President, Principal Executive Officer | ||
| Date: |
November 23, 2005 | |
| By: |
/s/ JOHN P. HARDAWAY | |
| John P. Hardaway | ||
| Treasurer, Principal Financial Officer | ||
| Date: |
November 23, 2005 | |