PIMCO Commercial Mortgage Securities Trust, Inc.

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: 811-07816

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: January 1, 2006 to March 31, 2006

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

PIMCO Commercial Mortgage Securities Trust, Inc.

March 31, 2006 (Unaudited)

 

     Principal
Amount
(000s)		    Value
(000s)		  

COMMERCIAL MORTGAGE BACKED SECURITIES 120.2%

      

Multi-Class 91.8%

      

Asset Securitization Corp.

      

7.384% due 08/13/2029

    $ 750    $ 772  

10.115% due 02/14/2041

      3,969      4,235  

Banc of America Commercial Mortgage, Inc.

      

7.708% due 11/15/2031 (i)

      2,800      3,009  

6.290% due 06/11/2035 (a)

      700      706  

5.918% due 04/11/2036 (a)(i)

      953      965  

7.224% due 04/15/2036

      2,500      2,699  

5.275% due 03/11/2041 (a)

      2,000      1,930  

Bear Stearns Commercial Mortgage Securities, Inc.

      

5.060% due 11/15/2016

      17      17  

5.561% due 02/11/2041 (a)

      1,000      967  

Carey Commercial Mortgage Trust

      

5.970% due 08/20/2032 (a)(i)

      1,386      1,363  

Chase Commercial Mortgage Securities Corp.

      

6.900% due 11/19/2006 (i)

      1,500      1,511  

6.650% due 07/15/2010 (a)

      2,600      2,658  

5.857% due 02/12/2016 (a)(i)

      2,000      2,081  

6.900% due 11/19/2028 (a)

      5,500      5,450  

6.887% due 10/15/2032 (a)

      1,500      1,510  

Commercial Mortgage Acceptance Corp.

      

6.355% due 11/15/2009 (i)

      1,500      1,551  

Commercial Mortgage Asset Trust

      

6.640% due 09/17/2010 (i)

      2,500      2,583  

6.975% due 04/17/2013 (i)

      2,500      2,711  

Commercial Mortgage Pass-Through Certificates

      

8.131% due 08/15/2033 (a)

      1,500      1,627  

6.830% due 02/15/2034 (a)(i)

      2,893      3,053  

6.586% due 07/16/2034 (a)

      1,500      1,581  

6.812% due 07/16/2034 (a)

      1,500      1,615  

CS First Boston Mortgage Securities Corp.

      

5.322% due 08/15/2036 (a)

      2,000      1,846  

5.402% due 12/15/2036 (a)

      2,600      2,540  

7.170% due 05/17/2040 (i)

      3,000      3,206  

CVS Lease Pass-Through

      

5.880% due 01/10/2028 (a)

      1,994      1,918  

DLJ Commercial Mortgage Corp.

      

7.044% due 11/12/2031

      135      141  

Federal Housing Administration

      

7.380% due 04/01/2041

      2,426      2,424  

FFCA Secured Lending Corp.

      

1.477% due 09/18/2020 (a)(d)

      10,546      475  

First Union-Bank of America

      

6.000% due 01/15/2011 (a)

      1,000      989  

First Union-Lehman Brothers-Bank of America

      

6.778% due 11/18/2035 (i)

      2,000      2,138  

GMAC Commercial Mortgage Securities, Inc.

      

7.860% due 11/15/2006 (a)

      478      481  

6.500% due 03/15/2012

      20      21  

7.070% due 05/15/2030 (a)

      1,500      1,125  

6.500% due 05/15/2035 (i)

      2,500      2,563  

6.500% due 05/15/2035

      2,000      2,065  

8.064% due 09/15/2035 (a)

      1,500      1,630  

Greenwich Capital Commercial Funding Corp.

      

4.111% due 07/05/2035 (i)

      2,700      2,484  

5.419% due 01/05/2036 (a)

      1,500      1,470  

GS Mortgage Securities Corp.

      

6.615% due 02/16/2016 (a)(i)

      3,500      3,687  

7.397% due 08/05/2018 (a)

      3,480      3,697  

6.967% due 04/13/2031 (i)

      1,000      1,032  

GSMPS Mortgage Loan Trust

      

8.000% due 09/20/2027 (a)(i)

      1,769      1,852  

JP Morgan Chase Commercial Mortgage Securities Corp.

      

6.162% due 05/12/2034 (i)

      2,000      2,068  

6.465% due 11/15/2035 (i)

      3,000      3,140  

5.270% due 05/15/2041 (a)

      1,500      1,435  

LB-UBS Commercial Mortgage Trust

      

4.853% due 09/15/2031 (i)

      2,000      1,933  

6.950% due 03/15/2034 (a)

      1,572      1,668  

7.290% due 09/15/2034 (a)

      2,000      2,140  

5.683% due 07/15/2035 (a)

      1,500      1,471  

Merrill Lynch Mortgage Investors, Inc.

      

6.906% due 02/15/2030

      2,000      2,074  

6.525% due 12/15/2030

      1,500      1,618  

Morgan Stanley Capital I, Inc.

      

6.850% due 02/15/2020 (a)(i)

      1,000      1,006  

7.695% due 10/03/2030 (a)

      2,000      1,604  

6.987% due 12/15/2031

      200      209  

7.646% due 04/30/2039 (a)(i)

      2,000      2,083  

Mortgage Capital Funding, Inc.

      

7.531% due 04/20/2007 (i)

      1,000      1,018  

Nationslink Funding Corp.

      

7.050% due 02/20/2008 (a)

      2,000      2,041  

7.105% due 01/20/2013 (a)

      2,500      2,624  

Prudential Securities Secured Financing Corp.

      

6.755% due 08/15/2011 (a)

      2,000      2,073  

Trizec Hahn Office Properties

      

7.604% due 05/15/2016 (a)

      3,000      3,247  

Wachovia Bank Commercial Mortgage Trust

      

6.290% due 04/15/2034 (a)

      2,000      2,031  

4.982% due 02/15/2035 (a)

      1,020      949  

5.339% due 01/15/2041 (a)

      1,500      1,452  

5.188% due 02/15/2041 (a)

      2,500      2,379  
           
        122,641  
           

Hospitality 11.0%

      

Bear Stearns Commercial Mortgage Securities, Inc.

      

5.817% due 05/14/2016 (a)(i)

      1,500      1,503  

Commercial Mortgage Pass-Through Certificates

      

5.750% due 02/05/2019 (a)

      2,000      1,953  

Hilton Hotel Pool Trust

      

0.613% due 10/01/2016 (a)(d)(i)

      32,280      866  

Host Marriot Pool Trust

      

8.310% due 08/03/2009 (a)

      2,000      2,125  

Nomura Asset Capital Corp.

      

7.500% due 07/15/2013 (a)

      282      282  

Office Portfolio Trust

      

6.778% due 02/01/2016 (a)

      1,000      1,044  

Starwood Commercial Mortgage Trust

      

6.920% due 02/03/2009 (a)(i)

      2,500      2,633  

Times Square Hotel Trust

      

8.528% due 08/01/2026 (a)

      3,737      4,216  
           
        14,622  
           

Multi-Family 6.5%

      

Commercial Capital Access One, Inc.

      

7.602% due 11/15/2028 (a)

      3,000      3,151  

Fannie Mae

      

8.345% due 12/25/2015

      1,084      1,086  

9.375% due 04/01/2016 (i)

      184      161  

7.875% due 11/01/2018

      21      21  

5.237% due 07/01/2035 (i)

      1,460      1,427  

Federal Housing Administration

      

8.360% due 01/01/2012

      214      217  

7.500% due 12/01/2030

      1,237      1,249  

Multi-Family Capital Access One, Inc.

      

7.400% due 01/15/2024 (i)

      1,365      1,398  
           
        8,710  
           

Healthcare 3.6%

      

RMF Commercial Mortgage Pass-Through Certificates

      

7.072% due 01/15/2019 (a)

      2,000      1,719  

7.471% due 01/15/2019 (a)

      1,000      284  

8.920% due 01/15/2019 (a)(c)

      317      0  

9.150% due 11/28/2027 (a)

      3,018      2,778  
           
        4,781  
           

Other Mortgage-Backed Securities 7.3%

      

Continental Airlines, Inc.

      

6.545% due 08/02/2020 (i)

      963      977  

Denver Arena Trust

      

6.940% due 11/15/2019 (a)

      1,535      1,531  

First International Bank

      

10.499% due 04/15/2026

      1,856      139  

LB Commercial Conduit Mortgage Trust

      

6.000% due 11/19/2035 (a)

      5,000      5,038  

Nextcard Credit Card Master Note Trust

      

9.454% due 12/15/2006 (a)

      1,000      80  

Northwest Airlines, Inc.

      

7.041% due 04/01/2022

      2,000      2,002  

US Airways Group, Inc.

      

9.330% due 01/01/2049 (c)

      633      5  
           
        9,772  
           
Total Commercial Mortgage-Backed Securities
(Cost $164,689)		         160,526  
           

CORPORATE BONDS & NOTES 2.7%

      

Banking & Finance 0.9%

      

General Motors Acceptance Corp.

      

6.125% due 02/01/2007

      1,300      1,280  
           

Industrials 1.0%

      

CSC Holdings, Inc.

      

7.250% due 07/15/2008

      1,300      1,319  
           

Utilities 0.8%

      

Midwest Generation LLC

      

8.560% due 01/02/2016

      2      2  

NRG Energy, Inc.

      

7.250% due 02/01/2014

      350      357  

7.375% due 02/01/2016

      650      665  
           
        1,024  
           
Total Corporate Bonds & Notes
(Cost $3,585)		         3,623  
           

REAL ESTATE ASSET-BACKED SECURITIES 25.5%

      

Access Financial Manufactured Housing Contract Trust

      

7.650% due 05/15/2021

      2,500      2,116  

Conseco Finance Securitizations Corp.

      

7.960% due 02/01/2032

      2,000      1,639  

7.970% due 05/01/2032

      1,000      806  

CS First Boston Mortgage Securities Corp.

      

7.000% due 02/25/2033 (i)

      1,361      1,366  

Fannie Mae

      

8.500% due 07/01/2008

      6      6  

8.500% due 05/01/2009

      2      2  

8.000% due 07/01/2009 (i)

      283      290  

8.000% due 10/01/2010

      21      22  

6.059% due 07/01/2012 (i)

      8,257      8,471  

8.000% due 12/01/2012

      2      2  

8.000% due 06/01/2015

      37      39  

8.000% due 08/01/2015

      32      34  

8.500% due 05/01/2017

      4      4  

8.500% due 07/01/2017

      7      7  

8.500% due 08/01/2019

      4      4  

8.500% due 11/01/2019

      3      3  

8.500% due 01/01/2020

      1      1  

8.500% due 10/01/2020

      6      6  

8.500% due 09/01/2021

      90      96  

8.500% due 12/01/2021

      10      11  

8.500% due 06/01/2022

      37      41  

8.500% due 09/01/2022 (i)

      309      331  

8.500% due 11/01/2025

      14      15  

8.500% due 01/01/2026

      3      4  

8.500% due 03/01/2029

      7      7  

8.500% due 04/01/2030 (i)

      75      81  

8.500% due 06/01/2030 (i)

      91      98  

8.500% due 11/01/2030 (i)

      76      82  

8.500% due 01/01/2031 (i)

      104      112  

8.500% due 04/01/2032

      144      155  

7.000% due 08/01/2033 (i)

      62      64  

7.000% due 10/01/2033 (i)

      1,972      2,033  

7.000% due 11/01/2033 (i)

      627      646  

6.000% due 11/01/2035 (i)

      999      994  

Freddie Mac

      

7.000% due 08/01/2007

      18      19  

7.000% due 12/01/2007

      6      6  

8.000% due 07/01/2010

      9      9  

7.000% due 09/01/2010

      7      7  

8.000% due 10/01/2010

      9      9  

7.000% due 11/01/2010 (i)

      201      203  

7.000% due 02/01/2011

      19      20  

8.000% due 06/01/2011

      11      12  

8.000% due 01/01/2012

      5      5  

8.000% due 05/01/2012

      5      6  

8.000% due 06/01/2012

      9      9  

7.000% due 07/01/2012

      34      35  

7.000% due 07/01/2013 (i)

      220      227  

7.000% due 12/01/2014

      58      60  

7.000% due 02/01/2015

      21      22  

8.000% due 05/01/2015

      1      1  

8.000% due 06/01/2015

      1      1  

7.000% due 09/01/2015

      60      61  

7.000% due 12/01/2015

      1      1  

7.000% due 03/01/2016

      23      23  

7.000% due 06/01/2016

      67      69  

7.000% due 07/01/2016 (i)

      127      130  

8.500% due 11/15/2021 (i)

      894      943  

6.081% due 08/01/2025 (i)

      362      361  

7.000% due 03/01/2031 (i)

      109      112  

7.000% due 10/01/2031 (i)

      62      64  

7.000% due 08/01/2032 (i)

      1,049      1,080  

Green Tree Financial Corp.

      

7.050% due 02/15/2027

      922      783  

6.810% due 12/01/2027

      581      583  

7.070% due 01/15/2029

      190      194  

6.220% due 03/01/2030

      676      657  

6.180% due 04/01/2030

      166      161  

6.530% due 02/01/2031

      922      838  

Greenpoint Manufactured Housing

      

8.300% due 10/15/2026

      2,000      1,731  

7.590% due 11/15/2028

      134      137  

Keystone Owner Trust

      

9.000% due 01/25/2029 (a)

      745      747  

Mego Mortgage Home Loan Trust

      

8.010% due 08/25/2023

      88      87  

Merrill Lynch Mortgage Investors, Inc.

      

4.528% due 08/25/2033

      809      722  

Oakwood Mortgage Investors, Inc.

      

4.979% due 05/15/2013

      185      159  

6.890% due 11/15/2032

      1,000      269  

Ocwen Residential MBS Corp.

      

6.795% due 06/25/2039 (a)

      829      653  

7.000% due 10/25/2040 (a)

      1,718      1,391  

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      323  

Structured Asset Investment Loan Trust

      

7.818% due 10/25/2033

      500      505  

UCFC Manufactured Housing Contract

      

7.900% due 01/15/2028

      1,000      621  

Wilshire Mortgage Loan Trust

      

8.990% due 05/25/2028 (a)

      435      434  
           
Total Real Estate Asset-Backed Securities
(Cost $34,771)		         34,093  
           

SHORT-TERM INSTRUMENTS 1.0%

      

Repurchase Agreement 0.3%

      

State Street Bank

      

4.400% due 04/03/2006

      428      428  

(Dated 03/31/2006. Collateralized by Federal Home Loan Bank 4.250% due 04/16/2007 valued at $440. Repurchase proceeds are $428.)

      
           

U.S. Treasury Bills 0.7%

      

4.508% due 06/01/2006-06/15/2006 (e)(f)(g)

      870      862  
           
Total Short-Term Instruments
(Cost $1,291)		         1,290  
           
Total Investments (b) 149.4%
(Cost $204,336)		       $ 199,532  

Other Assets and Liabilities (Net) (49.4%)

         (65,960 )
           

Net Assets 100.0%

       $ 133,572  
           

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) As of March 31, 2006, portfolio securities with an aggregate market value of $13,021 were valued with reference to securities whose prices are more readily obtainable.

 

(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) Securities with an aggregate market value of $743 have been pledged as collateral for swap and swaption contracts on March 31, 2006.

 

(g) Securities with an aggregate market value of $119 have been segregated with the custodian to cover margin requirements for the following open futures contracts on March 31, 2006:

 

Description    Type    Expiration
Month		    # of
Contracts		    Unrealized
Appreciation

U.S. Treasury 30-Year Bond June Futures

    Short    06/2006    93    $ 312
               

 

(h) Swap agreements outstanding on March 31, 2006:

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    $ (1,709 )

Goldman Sachs & Co.

    3-month USD-LIBOR    Receive    4.405 %   02/23/2016      53,000      194  

Goldman Sachs & Co.

    3-month USD-LIBOR    Receive    5.800 %   02/23/2016      53,000      (238 )

Goldman Sachs & Co.

    3-month USD-LIBOR    Receive    5.000 %   06/15/2025      30,500      885  

UBS Warburg LLC

    3-month USD-LIBOR    Pay    5.240 %   03/16/2025      40,000      (1,159 )

UBS Warburg LLC

    3-month USD-LIBOR    Receive    5.250 %   06/15/2025      60,000      1,700  

UBS Warburg LLC

    3-month USD-LIBOR    Receive    5.000 %   06/15/2025      25,000      703  

UBS Warburg LLC

    3-month USD-LIBOR    Pay    4.955 %   09/28/2025      20,000      (1,274 )

UBS Warburg LLC

    3-month USD-LIBOR    Pay    5.110 %   02/14/2026      100,000      (4,540 )

UBS Warburg LLC

    3-month USD-LIBOR    Pay    5.250 %   02/16/2026      45,000      (1,618 )

UBS Warburg LLC

    3-month USD-LIBOR    Receive    5.000 %   06/21/2026      120,000      5,070  
                      
                 $ (1,986 )
                      

 

(i) The average amount of borrowings outstanding during the three-months ended March 31, 2006 was $68,047 at a weighted average interest rate of 1.15%. On March 31, 2006, securities valued at $73,690 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.

 

(j) On March 31, 2006, 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:

 

Aggregate Gross
Unrealized Appreciation		    Aggregate Gross
Unrealized (Depreciation)		     Net Unrealized
(Depreciation)		  
$ 5,022    $ (9,826 )   $ (4,804 )

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 amended (the “1940 Act”)) 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 Securities and Exchange 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 1940 Act) 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 Act 1940 is attached as Exhibit 99.CERT.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, 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:

  

May 26, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the 1940 Act, 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:

  

May 26, 2006

By:

  

/s/    JOHN P. HARDAWAY        

 

John P. Hardaway

 

Treasurer, Principal Financial Officer

Date:

  

May 26, 2006