UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05207
ACM INCOME FUND, INC.
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York 10105
(Address of principal executive offices) (Zip code)
Mark R. Manley
Alliance Capital Management L.P.
1345 Avenue of the Americas
New York, New York 10105
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 221-5672
Date of fiscal year end: December 31, 2005
Date of reporting period: September 30, 2005
ITEM 1. SCHEDULE OF INVESTMENTS.
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND GOVERNMENT SPONSORED AGENCY OBLIGATIONS-96.8%
U.S. Treasury Bonds-37.1%
5.375%, 2/15/31(a) U.S.$ 731 $ 818,948
6.25%, 5/15/30(a)(b) 62,230 77,269,746
11.25%, 2/15/15(a)(b) 160,000 243,956,320
12.00%, 8/15/13(a) 82,000 99,184,740
12.50%, 8/15/14(b) 70,300 90,906,687
13.25%, 5/15/14(a)(b) 150,000 195,222,600
----------------
707,359,041
----------------
U.S. Treasury Notes-16.0%
1.625%, 1/15/15 TIPS(a) 45,000 45,495,894
1.875%, 7/15/15 TIPS(a) 13,000 13,172,731
2.375%, 8/15/06(a) 20,000 19,710,940
2.625%, 5/15/08(a)(b) 24,615 23,670,793
3.00%, 11/15/07(b) 50,000 48,828,100
3.25%, 8/15/07(b) 80,000 78,700,000
3.50%,11/15/09(a) 154 149,849
3.875%, 2/15/13(a) 3,030 2,952,002
4.00%, 11/15/12(a) 4,664 4,588,028
4.00%, 2/15/15(a) 974 948,129
4.125%, 5/15/15(a) 795 781,305
4.25%, 11/15/13-8/15/14(a) 4,895 4,877,633
4.375%, 8/15/12(a) 700 704,129
4.75%, 5/15/14(a)(b) 58,900 60,680,783
4.875%, 2/15/12(a) 250 258,428
----------------
305,518,744
----------------
U.S. Treasury Strips-15.2%
Zero coupon, 5/15/17(a) 260,000 154,343,800
Zero coupon, 11/15/21(a) 285,350 134,749,974
----------------
289,093,774
----------------
Federal National Mortgage Association-13.4%
4.581%, 4/01/35 VRN(a) 18,426 18,276,701
4.898%, 9/01/35 VRN(c) 6,836 6,827,560
5.00%, 9/25/23-10/25/33(a) 54,704 54,220,481
5.375%, 6/07/21(c) GBP 144 275,053
5.50%, 9/25/17-3/25/33(a) U.S.$ 26,013 26,026,055
6.50%, 3/25/32-1/25/44(a) 18,899 19,488,514
6.50%, TBA 127,720 131,431,799
----------------
256,546,163
----------------
Federal Home Loan Mortgage Corporation-10.7%
5.00%, 1/15/17-7/15/26 I/O(a) 25,302 2,100,987
5.00%, 4/15/16 - 6/15/31(a) 127,078 125,557,355
5.50%, 7/15/17(a) 15,680 16,010,198
5.50%, TBA 35,080 35,080,000
6.00%, 6/01/20-5/15/35(a) 24,540 25,100,592
----------------
203,849,132
----------------
Resolution Funding Corp.-3.8%
Zero coupon, 10/15/20 150,000 72,946,950
----------------
Government National Mortgage Association-0.6%
6.00%, 7/20/32(c) 6,560 6,691,200
7.00%, 12/15/26(a) 4,905 5,184,317
----------------
11,875,517
----------------
Total U.S. Government and Government
Sponsored Agency Obligations
(cost $1,791,691,243) 1,847,189,321
----------------
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
SOVEREIGN DEBT OBLIGATIONS-34.7%
Argentina-1.8%
Republic of Argentina
0.63%, 12/31/38(c) ARS 1,285 $ 222,652
4.005%, 8/03/12 FRN(c) U.S.$ 18,597 17,024,443
5.83%, 12/31/33(c) ARS 1,166 521,269
7.82%, 12/31/33(c) EUR 12,074 14,917,189
8.28%, 12/31/33(c) U.S.$ 2,385 2,461,178
----------------
35,146,731
----------------
Belize-0.0%
Government of Belize
9.50%, 8/15/12(c) 142 119,990
----------------
Brazil-9.2%
Republic of Brazil
8.00%, 1/15/18(c) 1,144 1,206,920
8.25%, 1/20/34(c) 65 65,260
9.25%, 10/22/10(c) 1,480 1,663,520
10.50%, 7/14/14(c) 2,137 2,585,770
11.00%, 8/17/40(b) 15,608 19,119,800
12.00%, 4/15/10(c) 13,100 16,047,500
12.50%, 1/05/16(c) 6,870 2,963,384
12.75%, 1/15/20(c) 3,429 4,766,310
14.50%, 10/15/09(c) 1,260 1,638,000
Republic of Brazil-DCB FRN
Series L
4.3125%, 4/15/12(c) 3,161 3,114,957
Brazilian Real Structured Notes
Zero Coupon, 9/20/07(d) BRL 120,551 39,562,002
Zero Coupon, 1/03/08(d) 59,180 18,646,770
Zero Coupon, 1/05/09(d) 76,692 20,931,186
Zero Coupon, 1/05/10(d) 180,614 43,242,283
----------------
175,553,662
----------------
Bulgaria-0.0%
Republic of Bulgaria
8.25%, 1/15/15(d) U.S.$ 346 427,829
----------------
Canada-0.6%
Canadian Government
4.25%, 9/01/09(c) CAD 10,795 9,530,430
5.75%, 6/01/33(c) 1,570 1,684,120
----------------
11,214,550
----------------
Colombia-1.3%
Republic of Colombia
10.75%, 1/15/13(c) U.S.$ 1,239 1,556,804
11.75%, 3/01/10(c) COP 14,062,000 7,117,222
11.75%, 2/25/20(c) U.S.$ 11,770 16,377,955
12.00%, 10/22/15(c) COP 550,000 295,733
----------------
25,347,714
----------------
Dominican Republic-0.1%
Dominican Republic
9.50%, 9/27/11(d) U.S.$ 938 1,031,264
----------------
Ecuador-0.1%
Republic of Ecuador
9.00%, 8/15/30(d)(e) 2,451 2,313,744
----------------
El Salvador-0.1%
Republic of El Salvador
7.625%, 9/21/34(d) 527 583,653
7.65%, 6/15/35(d) 449 468,083
----------------
1,051,736
----------------
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Indonesia-0.5%
Republic of Indonesia
6.75%, 3/10/14(d) U.S.$ 965 $ 948,113
7.25%, 4/20/15(d) 362 359,285
14.00%, 6/17/09(d) IDR 4,000,000 389,133
14.25%, 6/19/13(d) 80,000,000 7,047,258
----------------
8,743,789
----------------
Jamaica-0.0%
Government of Jamaica
10.50%, 10/27/14(c) EUR 200 286,401
----------------
Japan-0.5%
Government of Japan
0.1%, 6/20/06(c) JPY 1,121,000 9,880,264
----------------
Lebanon-0.1%
Lebanese Republic
7.875%, 5/20/11(c)(d) U.S.$ 270 272,430
10.125%, 8/06/08(c)(d) 875 934,937
11.625%, 5/11/16(c) 120 139,740
----------------
1,347,107
----------------
Mexico-5.6%
Mexican Bonos
8.00%, 12/19/13(c) MXP 20,204 1,810,669
9.00%, 12/20/12(c) 384,205 36,573,906
9.50%, 3/08/07(c) 328,855 31,645,010
10.00%, 12/05/24(c) 212,990 21,890,018
United Mexican States
6.375%, 1/16/13(c) U.S.$ 2,626 2,794,064
7.50%, 1/14/12(c) 775 869,937
8.00%, 9/24/22(c) 2,170 2,625,700
8.125%, 12/30/19(c) 4,025 4,880,313
9.875%, 2/01/10(c) 2,180 2,594,200
11.375%, 9/15/16(c) 1,201 1,771,475
----------------
107,455,292
----------------
Panama-0.2%
Republic of Panama
8.875%, 9/30/27(c) 972 1,200,420
9.375%, 7/23/12-4/01/29(c) 283 352,570
9.625%, 2/08/11(c) 480 573,600
10.75%, 5/15/20(c) 730 1,017,620
----------------
3,144,210
----------------
Peru-0.8%
Peru Bono Soberano
8.60%, 8/12/17(c) PEN 7,350 2,399,688
9.91%, 5/05/15(c) 1,600 569,548
Republic of Peru
7.35%, 7/21/25(c) U.S.$ 1,953 2,070,180
8.375%, 5/03/16(c) 3,753 4,387,257
8.75%, 11/21/33(c) 3,920 4,733,400
9.875%, 2/06/15(c) 557 711,568
----------------
14,871,641
----------------
Philippines-1.1%
Republic of Philippines
8.875%, 3/17/15(c) 3,135 3,338,775
9.00%, 2/15/13(c) 450 482,175
9.50%, 2/02/30(c) 7,648 8,099,232
9.875%, 1/15/19(c) 750 836,250
10.625%, 3/16/25(c) 6,312 7,369,260
----------------
20,125,692
----------------
Russia-6.2%
Russian Federation
5.00%, 3/31/30(d) 99,969 114,864,381
Russian Ministry of Finance
3.00%, 5/14/11(c) 4,320 3,861,216
----------------
118,725,597
----------------
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Spain-0.0%
Kingdom of Spain
5.25%, 4/06/29(c) GBP 109 $ 211,706
----------------
Sweden-0.0%
Government of Sweden
5.00%, 1/28/09(c) SEK 6,100 848,508
----------------
Turkey-4.8%
Republic of Turkey
7.375%, 2/05/25(c) U.S.$ 462 461,538
11.00%, 1/14/13(c) 1,860 2,378,940
11.50%, 1/23/12(c) 860 1,100,800
11.75%, 6/15/10(c) 623 776,570
11.875%, 1/15/30(c) 836 1,228,084
Turkish Lira Structured Notes
Zero coupon, 12/08/05(d) TRL 63,937 46,099,590
Zero coupon, 2/23/06(d) 55,243 38,735,077
Zero coupon, 1/25/07(d) 914 560,604
----------------
91,341,203
----------------
Ukraine-0.1%
Government of Ukraine
6.875%, 3/04/11(d) U.S.$ 302 316,345
7.65%, 6/11/13(d) 157 172,935
11.00%, 3/15/07(d) 774 817,226
----------------
1,306,506
----------------
United Kingdom-0.2%
United Kingdom Gilt
4.25%, 6/07/32(c) GBP 1,255 2,214,667
5.00%, 3/07/08(c) 100 179,660
5.00%, 3/07/25(c) 407 785,109
8.00%, 6/07/21(c) 378 944,508
----------------
4,123,944
----------------
Uruguay-0.3%
Republic of Uruguay
7.25%, 2/15/11(c) U.S.$ 1,076 1,056,098
7.50%, 3/15/15(c) 4,120 4,218,880
7.875%, 1/15/33 PIK(c) 500 520,000
9.25%, 5/17/17(c) 730 819,425
----------------
6,614,403
----------------
Venezuela-1.1%
Republic of Venezuela
4.64%, 4/20/11 FRN(d) 420 412,986
5.375%, 8/07/10(c) 2,680 2,610,320
8.50%, 10/08/14(c) 99 109,890
9.25%, 9/15/27(c) 14,439 17,095,776
10.75%, 9/19/13(c) 226 280,805
----------------
20,509,777
----------------
Total Sovereign Debt Obligations
(cost $546,609,707) 661,743,260
----------------
CORPORATE DEBT OBLIGATIONS-11.0%
Corporate Debt - High Yield Obligations-6.4%
Amtrol Inc.
10.625%, 12/31/06(c) 625 556,250
Antenna TV SA
7.25%, 2/15/15(d) EUR 10 11,838
Ardagh Glass Finance BV
8.875%, 7/01/13(d) 10 12,019
Associated Materials Inc.
11.25%, 3/01/14(c)(f) U.S.$ 12,545 6,272,500
AT&T Corp.
8.00%, 11/15/31(c) 1,000 1,266,250
Berry Plastics Corp.
10.75%, 7/15/12(c) 3,820 4,106,500
Central Bank of Nigeria
6.25%, 11/15/20(c) 750 757,500
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Central European Distribution Corp.
8.00%, 7/25/12(d) U.S.$ 78 $ 100,775
Chaoda Modern Agriculture
7.75%, 2/08/10(d) 423 410,310
Charter Communications Holdings
11.00%, 10/01/15(c)* 4,009 3,908,891
11.75%, 5/15/14(c)(f) 10,000 7,150,000
Citigroup (JSC Severstal)
9.25%, 4/19/14(d) 230 254,656
Cognis GmbH
9.50%, 5/15/14(d) EUR 5 6,610
Dayton Superior Corp.
13.00%, 6/15/09*(c) U.S.$ 3,805 3,044,000
Deutsche Bank AG for Gazstream SA
5.625%, 7/22/13(d) 237 237,593
Digicel, Ltd.
9.25%, 9/01/12(d) 1,426 1,475,910
Eircom Funding
8.25%, 8/15/13(c) EUR 10 13,671
Fairfax Financial Holdings Ltd.
7.375%, 4/15/18(c)* U.S.$ 9,500 8,217,500
8.30%, 4/15/26(c)* 5,000 4,325,000
Freeport-McMoran Copper & Gold, Inc.
10.125%, 2/01/10(c) 500 552,500
Gazprom OAO
9.625%, 3/01/13(d) 3,180 3,932,771
General Motors Acceptance Corp
6.75%, 12/01/14(c)* 10,000 8,698,440
Hawaiian Telecom Communications, Inc.
12.50%, 5/01/15(d)* 4,940 4,989,400
Heckler & Koch GmbH
9.25%, 7/15/11(d) EUR 5 6,820
Hurricane Finance BV
9.625%, 2/12/10(d) U.S.$ 200 228,750
Inmarsat Finance PLC
10.375%, 11/15/12(c)(f) 7,475 6,129,500
Kazkommerts International BV
8.50%, 4/16/13(d) 125 136,719
Kyivstar
7.75%, 4/27/12(d) 100 102,210
10.375%, 8/17/09(d) 200 224,240
Milacron Escrow Corp.
11.50%, 5/15/11(c) 5,000 4,900,000
Mobifon Holdings BV
12.50%, 7/31/10(c) 5,205 6,115,875
Mobile Telesystems Finance S.A.
9.75%, 1/30/08(d)* 1,185 1,279,800
NCL Corp.
11.625%, 7/15/14(d) 4,845 5,111,475
Newpage Corp.
10.00%, 5/01/12(c)* 3,000 2,820,000
Noble Group Ltd.
6.625%, 3/17/15(d) 460 424,651
Paxson Communications Corp.
12.25%, 1/15/09(c)(f) 10,000 9,700,000
Pliant Corp.
13.00%, 6/01/10(c)* 6,818 3,238,550
Quality Distribution LLC
9.00%, 11/15/10(c) 1,775 1,633,000
Rainbow National Services LLC
10.375%, 9/01/14(d) 2,500 2,825,000
Rural Cellular Corp.
9.75%, 1/15/10(c)* 6,500 6,565,000
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Russian Standard Finance SA
8.125%, 4/21/08(c) U.S.$ 167 $ 167,000
Select Medical Corp.
9.933%, 9/15/15 FRN(d) 5,000 4,975,000
SGL Carbon Luxembourg SA
8.50%, 2/01/12(c)(d) EUR 10 13,100
SunGard Data Systems, Inc.
9.125%, 8/15/13(d)* U.S.$ 5,000 5,181,250
Tyumen Oil Co.
11.00%, 11/06/07(d) 90 99,767
Willis Group N America
5.125%, 7/15/10(c) 500 499,632
----------------
Total Corporate Debt - High Yield Obligations
(cost $123,275,008) 122,678,223
----------------
Corporate Debt - High Grade Obligations-4.6%
Abbey National PLC
7.037%, 2/14/26(c)(e) GBP 29 61,265
Aegon NV
6.125%, 12/15/31(c) 26 53,194
AFC Capital Trust I
8.207%, 2/03/27(c) U.S.$ 1,025 1,110,674
AK Steel Corp.
7.875%, 2/15/09(c)* 6,000 5,820,000
Allied Irish Banks PLC
5.25%, 9/01/15(c) GBP 200 352,905
Amerada Hess Corp.
6.65%, 8/15/11(c) U.S.$ 165 178,281
7.125%, 3/15/33(c) 335 383,407
America Movil S.A. de C.V.
6.375%, 3/01/35(c) 279 270,524
Aries Vermogensverwaltng
9.60%, 10/25/14(d) 11,750 15,508,825
Australia & New Zealand Banking Group Ltd.
4.875%, 12/22/08(c) GBP 173 307,535
Aviva PLC
5.9021%, 7/27/20(c) 40 72,551
Bank Of Scotland Capital Funding
8.117%, 5/31/10(c)(e) 90 179,759
Barclays Bank
8.55%, 9/29/49(d) U.S.$ 638 747,769
9.875%, 5/12/08(c) GBP 195 385,786
Berkley W R Corp.
6.15%, 8/15/19(c) U.S.$ 100 100,922
British Sky Broadcasting PLC
7.75%, 7/09/09(c) GBP 94 181,332
British Telecommunications PLC
7.125%, 2/15/11(c)(e) EUR 1,500 2,152,553
8.625%, 3/26/20(c) GBP 34 78,295
Capital One Bank
6.50%, 6/13/13(c) U.S.$ 1,200 1,287,272
CIT Group, Inc.
5.50%, 12/15/08(c) GBP 175 314,598
Citigroup, Inc.
5.875%, 7/01/24(c) 32 62,163
Clear Channel Communications, Inc.
5.75%, 1/15/13(c) U.S.$ 220 217,689
Columbia/HCA HealthCare Corp.
6.25%, 2/15/13(c) 175 172,977
7.58%, 9/15/25(c) 630 624,275
7.69%, 6/15/25(c) 355 356,768
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Comcast Corp.
4.95%, 6/15/16(c) U.S.$ 1,400 $ 1,340,655
Comerica Bank
8.375%, 7/15/24(c) 2,000 2,417,416
Commonwealth Bank of Australia
4.875%, 12/19/23(c) GBP 180 315,971
Danske Bank A/S
5.563%, 3/16/17(c) 46 83,418
Dominion Resources Capital Trust III
8.40%, 1/15/31(c) U.S.$ 374 460,530
Duke Capital Corp.
5.50%, 3/01/14(c) 500 502,952
6.25%, 2/15/13(c) 1,500 1,577,763
Emap PLC
6.25%, 12/09/13(c) GBP 124 230,663
European Investment Bank
9.50%, 12/09/09(c) 223 468,632
Farmers Exchange Capital
7.05%, 7/15/28(d) U.S.$ 200 206,497
Farmers Insurance Exchange
8.625%, 5/01/24(d) 250 298,616
FirstEnergy Corp.
6.45%, 11/15/11(c) 243 258,738
7.375%, 11/15/31(c) 491 575,878
Foodcorp LTD.
8.875%, 6/15/12(d) EUR 194 250,646
Ford Motor Co.
6.375%, 2/01/29(c) U.S.$ 300 215,250
Ford Motor Credit Co.
4.95%, 1/15/08(c) 152 144,649
6.625%, 6/16/08(c) 454 443,729
7.00%, 10/01/13(c) 1,500 1,391,036
Friends Provident PLC
6.292%, 7/01/15(c) GBP 174 318,531
Gallaher Group PLC
6.625%, 5/21/09(c) 114 212,436
General Electric Capital Corp.
5.375%, 12/18/40(c) 41 77,628
General Motors Corp.
7.75%, 3/15/36(c)(f) U.S.$ 1,742 444,210
Goldman Sachs Group Inc.
6.125%, 2/14/17(c) GBP 45 85,939
HBOS PLC
5.75%, 11/28/25(c)(e) 32 60,040
HSBC Bank USA
4.625%, 4/01/14(c) U.S.$ 1,000 970,597
ING Bank NV
7.00%, 10/05/10(c) GBP 155 300,303
Inter-American Development Bank
9.75%, 5/15/15(c) 173 427,903
International Lease Finance Corp.
3.50%, 4/01/09(c) U.S.$ 496 472,915
Investec Finance PLC
7.75%, 3/01/16(c)(e) GBP 83 157,631
Ipalco Enterprises Inc.
8.375%, 11/14/08(c) U.S.$ 100 106,000
J.P. Morgan Chase & Co.
5.125%, 9/15/14(c) 250 249,371
6.625%, 3/15/12(c) 1,400 1,520,903
KFW International Finance
5.375%, 12/07/11(c) GBP 125 230,494
Legal & General Finance PLC
5.875%, 4/05/33(c) 26 51,823
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Liberty Mutual Group Inc.
5.75%, 3/15/14(d) U.S.$ 170 $ $ 166,111
Lloyds TSB Capital
7.834%, 2/07/15(c)(e) GBP 49 102,646
Marks & Spencer PLC
5.625%, 3/24/14(c) 159 269,976
MBNA Europe Funding PLC
6.00%, 11/12/10(c) 70 130,219
Merrill Lynch & Co.
5.125%, 9/24/10(c) 89 159,242
6.00%, 2/17/09(c) U.S.$ 100 104,023
Mizuho Finance
5.79%, 4/15/14(d) 100 104,160
8.375%, 12/29/49(c) 2,295 2,484,338
MM02 PLC
7.625%, 1/25/12(c) GBP 135 269,710
Morgan Stanley
5.375%, 11/14/13(c) 61 110,132
National Capital Trust I
5.62%, 12/17/18(c)(e) U.S.$ 43 78,078
Nationwide Building Society
5.25%, 2/12/18(c)(e) GBP 65 116,569
Northern Rock PLC
5.75%, 2/28/17(c) 169 309,727
PanAmSat Corp.
10.375%, 11/01/14(c)(f) U.S.$ 8,405 5,799,450
Prudential PLC
6.125%, 12/19/31(c) GBP 27 53,031
Qwest Corp.
14.00%, 12/15/14(c) U.S.$ 8,907 10,799,738
Residential Capital Corp.
6.375%, 6/30/10(c)(d) 1,000 1,013,079
Resona Bank Ltd.
4.125%, 9/27/12(d) EUR 67 79,891
Resona Preferred Global Securities
7.191%, 7/30/15(d) U.S.$ 300 310,579
Rexam PLC
7.125%, 3/27/09(c) GBP 58 108,651
Rogers Cable, Inc.
5.50%, 3/15/14(c) U.S.$ 360 332,100
Royal & Sun Alliance Insurance
8.50%, 12/08/14(c)(e) GBP 45 92,685
Royal Bank of Scotland Group PLC
5.625%, 6/07/32(c)(e) 85 159,182
7.387%, 12/31/10(c) 117 229,208
Santander Central Hispano Issue Ltd.
6.80%, 11/29/10(c) 83 159,704
7.25%, 12/07/11(c) 70 138,280
SBC Jersey
8.75%, 12/18/25(c) 118 308,994
SLM Student Loan Trust
5.15%, 9/17/15(c) 100 181,434
South Wales Electricity
9.25%, 11/09/20(c) 19 46,843
Southern Peru Copper Corp.
6.375%, 7/27/15(d) U.S.$ 100 100,822
Sprint Capital Corp.
8.75%, 3/15/32(c) 5,663 7,593,675
Standard Chartered Bank
6.75%, 4/27/09(c) GBP 100 187,395
Svenska Handelsbanken
6.125%, 3/04/09(c) 169 310,481
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Telecom Italia Capital SA
5.25%, 10/01/15(c) U.S.$ 600 $ 589,578
Telecom Italia SpA
5.625%, 12/29/15(c) GBP 50 89,671
Tengizchevroil Fin Co
6.124%, 11/15/14(d) U.S.$ 2,172 2,220,870
Time Warner Entertainment Co. LP
8.38%, 3/15/23(c) 145 175,883
Tyco International Group SA
6.50%, 11/21/31(c) GBP 47 93,012
Union Carbide Corp.
7.75%, 10/01/96(c) U.S.$ 1,785 1,877,136
Vodafone Group PLC
5.625%, 12/04/25(c) GBP 181 337,795
Western Power Distribution LLC
5.875%, 3/25/27(c) 30 57,300
Westpac Banking Corp.
5.875%, 4/29/18(c) 60 112,310
WMC Finance USA
5.125%, 5/15/13(c) U.S.$ 500 505,530
WPP Finance Corp.
5.875%, 6/15/14(c) 180 186,106
Yorkshire Power Finance
7.25%, 8/04/28(c) GBP 86 185,270
Zurich Capital Trust
8.376%, 6/01/37(d) U.S.$ 253 270,326
Zurich Finance PLC
6.625%, 10/02/22(c)(e) GBP 94 179,697
----------------
Total Corporate Debt - High Grade Obligations
(cost $84,191,105) 87,141,719
----------------
Total Corporate Debt Obligations
(cost $207,466,113) 209,819,942
----------------
BANK LOANS-5.6%
ACCO Brands Corporation
5.59-5.92%, 8/15/12 U.S.$ 1,000 1,013,000
Allegheny Energy Supply Company, LLC
5.54-5.81%, 3/08/11 719 728,958
Allied Waste North America, Inc.
3.34-6.09%, 1/15/12 1,957 1,970,603
American Acheivement Corp.
6.37-8.25%, 3/31/11 1,345 1,345,168
American Safety Razor Company
6.61%, 8/28/12 1,493 1,514,887
Atlantic Broadband Finance, LLC
6.52%, 6/30/11 1,000 1,015,000
Aveta Holding TLB GS
3.50%, 7/27/11 1,000 1,002,500
Basell TLB
2.5%, 9/30/15 500 507,500
Basell TLC
3.00%, 9/30/16 500 508,750
Builders FirstSource, Inc.
6.19%, 7/11/11 289 290,333
Butler Animal Health Supply, LLC
6.46-8.50%, 6/01/11 1,995 2,014,950
Celanese Holdings LLC
6.31%, 4/06/11 2,792 2,832,317
Cellnet Techonolgy, Inc.
6.68%, 4/22/12 1,000 1,005,000
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
Central Garden & Pet Company
5.52-5.59%, 5/30/09 U.S.$ 992 $ 1,004,841
Cheniere LNG Holdings, LLC
6.77-6.95%, 9/30/12 1,500 1,512,499
CII Carbon, LLC
5.87%, 8/18/12 998 992,512
Cincinnati Bell, Inc.
5.22-5.36%, 1/26/11 500 503,541
Cognis Deutschland GMBH & Co.
8.24%, 11/15/13 1,000 1,021,500
Coinstar, Inc.
5.55%, 7/01/11 827 841,710
Consolidated Communications, Inc.
4.50-6.05%, 10/14/11 1,330 1,343,260
DaVita Inc.
6.25-6.54%, 4/30/12 1,000 1,014,028
Doubleclick, Inc.
7.79%, 6/14/12 1,000 1,017,500
DynCorp International LLC
6.69-6.81%, 2/08/11 998 1,006,644
Escanaba Timber, LLC
6.43%, 5/02/08 1,000 1,011,250
F & W Publications
10.02%, 1/12/13 500 509,375
General Growth Properties, Inc.
5.85%, 12/01/08 1,987 2,011,028
Graham Packaging Company, L.P.
8.25%, 3/04/12 1,000 1,017,500
Hawaiian Telecom Communications, Inc.
6.28%, 10/31/12 1,000 1,010,625
HealthSouth Corporation
6.53%, 3/21/10 213 213,297
6.53%, 3/02/11 786 788,477
Hexion Specialty Chemicals
3.39-6.56%, 5/25/12 1,995 2,017,904
HIT Entertainment, Inc.
5.95%, 8/15/12 1,000 1,011,250
Huntsman International LLC
5.52%, 8/19/12 2,433 2,450,614
IPC Acquisition Corp.
6.59%, 7/31/11 500 506,250
Jarden Corporation
5.69-6.02%, 1/24/12 1,990 2,001,934
Kranson Industries, Inc.
6.78%, 7/30/11 988 999,844
La Paloma Generating Company, LLC
5.54-5.77%, 8/16/12 2,000 2,023,126
Lion Gables Realty Limited Partnership
5.63%, 9/06/06 1,000 1,005,313
Longyear Holdings, Inc.
6.53%, 7/18/12 998 1,012,462
Maax, Inc.
6.25-6.59%, 6/01/11 1,975 1,965,125
MetroPCS Wireless, Inc.
8.25%, 5/03/11 2,000 2,062,500
MGM Holdings II
6.27%, 3/15/12 3,500 3,540,568
Motorsport Aftermarket Group, Inc.
7.28%, 12/30/11 1,488 1,495,817
Mueller Group LLC
6.21-6.49%, 10/30/12 2,700 2,718,900
6.51-8.25%, 3/24/11 2,768 2,781,901
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
NewPage Corp.
6.49-6.68%, 4/15/11 U.S.$ 1,000 $ 1,012,500
NewQuest, Inc.
6.66%, 3/01/11 950 961,875
Ntelos, Inc.
9.03%, 2/24/12 1,000 995,833
Owens-Illinois Group, Inc.
5.57%, 4/01/08 788 795,984
PanAmSat Corporation
6.05-6.12%, 7/01/11 985 994,230
Penn National Gaming, Inc.
5.89-6.22%, 5/03/12 2,500 2,528,515
PQ Corporation
6.06%, 1/24/12 1,990 2,012,387
Prestige Brands, Inc.
5.18-8.00%, 4/15/11 2,679 2,708,051
Rainbow National Services LLC
6.44%, 3/31/12 2,993 3,014,944
Rayovac Corporation
5.55-6.06%, 2/07/12 1,992 2,014,078
Regency Gas Services, LLC
6.78%, 5/15/10 1,985 2,018,497
Reliant Energy, Inc.
6.08-6.21%, 12/22/10 995 999,620
Riverside Energy Center
7.93%, 6/22/11 1,611 1,659,646
Rocky Mountain Energy Center, LLC
3.58-7.93%, 6/22/11 1,243 1,279,778
Sealy Mattress Company
5.54-5.62%, 4/15/13 1,770 1,788,165
SemCrude, L.P.
6.12-7.75%, 3/16/11 2,223 2,250,666
Smurfit Stone Container
5.56-5.88%, 10/01/10 349 352,231
5.56-5.88%, 10/01/11 1,090 1,098,808
Spanish Broadcasting System, Inc.
7.51%, 5/15/13 1,000 1,013,750
SSA Global TL
2.00%, 9/28/11 1,500 1,507,500
Stewart Enterprises
5.39-5.77%, 11/01/11 475 480,088
SunGard Data Systems Inc.
6.28%, 1/15/13 2,000 2,022,046
Texas Genco LLC
5.77-6.02%, 12/14/11 1,986 1,996,703
United Subcontractors, Inc.
6.68%, 6/30/12 998 1,008,722
Universal City Development Partners, Ltd
5.60-6.03%, 6/09/11 993 1,004,492
UPC Broadband Holding B.V.
6.00%, 3/03/12 1,000 1,010,000
VWR International, Inc.
6.14%, 4/05/11 2,204 2,232,590
William Carter Company
5.65-5.81%, 6/29/12 2,000 2,028,750
WMG Acquisitions Corporation
5.52-5.86%, 3/22/11 3,442 3,478,769
----------------
Total Bank Loans
(cost $105,521,892) 106,431,279
----------------
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
Shares or
Principal
Amount
(000) U.S.$ Value
-------------------------------------------------------------------------------------------
NON-CONVERTIBLE - PREFERRED STOCKS-0.1%
Banco Santander
6.41%(c) U.S.$ 4,000 $ 103,200
Duquesne Light Co.
6.50%(c) 14,950 773,662
Zurich Funding Trust
1.71%(d) 500 502,344
----------------
Total Non-Convertible Preferred Stocks
(cost $1,335,000) 1,379,206
----------------
WARRANTS(g)-0.0%
Central Bank of Nigeria
Warrants, expiring 11/15/20(c) 4,500 99,000
Republic of Venezuela
Warrants, expiring 4/15/20 1,785 0
----------------
Total Warrants
(cost $0) 99,000
----------------
SHORT-TERM INVESTMENTS-9.3%
Repurchase Agreement-5.6%
Merrill Lynch & Co.
3.70%, 9/30/05, due
10/03/05 in the amount of
$107,100,000 (collateralized by
$100,225,000 FNMA, 6.125%,
3/15/12; value - $109,245,250)
(cost $107,100,000) 107,100 107,100,000
----------------
Time Deposit-0.7%
State Street Time Deposit
3.10%, 10/03/05 13,000 13,000,000
----------------
(cost $13,000,000)
U.S. Treasury Obligations-3.0%
U.S. Treasury Bills
2.85%, 10/27/05(a) 48,000 47,902,992
3.20%, 11/17/05(h) 9,000 8,963,415
----------------
(cost $56,848,267) 56,866,407
----------------
Total Short-Term Investments
(cost $176,948,267) 176,966,407
----------------
Total Investments Before Security
Lending Collateral-157.4%
(cost $176,948,267) 3,003,628,415
----------------
INVESTMENT OF CASH COLLATERAL FOR
SECURITIES LOANED-2.9%
Short-Term Investment
UBS Private Money Market Fund, LLC
3.65%
(cost $54,922,931) 54,922,931 54,922,931
----------------
Total Investments-160.3%
(cost $2,884,495,153) 3,058,551,346
Other assets less liabilities-(60.3%) (1,150,706,649)
----------------
Net Assets-100% $ 1,907,844,697
================
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
FINANCIAL FUTURES CONTRACTS SOLD
Value at
Number of Expiration September 30, Unrealized
Type Contracts Month Original Value 2005 Appreciation
-----------------------------------------------------------------------------------------
5 Year Swap Dec
Futures 6,428 2005 $692,282,470 $679,861,437 $ 12,421,033
10 Year Swap Dec
Futures 2,093 2005 234,091,604 228,921,875 5,169,729
U.S. Treasury Dec
Futures 198 2005 22,992,057 22,652,437 339,620
------------
$ 17,930,382
------------
FORWARD EXCHANGE CURRENCY CONTRACTS
U.S.$
Contract Value on U.S.$ Unrealized
Amount Origination Current Appreciation/
(000) Date Value (Depreciation)
----------------------------------------------------------------------------------------
Buy Contracts
British Pound,
settling 10/26/05 10,550 $ 18,669,570 $ 18,601,995 $ (67,575)
Canadian Dollar,
settling 10/14/05 22,520 18,800,000 19,380,037 580,037
Japanese Yen,
settling 10/17/05 2,107,569 18,685,117 18,600,345 (84,772)
South African Rand,
settling 11/22/05 3,261 508,465 510,195 1,730
Sale Contracts
British Pound,
settling 10/26/05 10,000 17,745,600 17,629,305 116,295
Canadian Dollar,
settling 10/14/05 40,525 34,335,297 34,874,979 (539,682)
Euro,
settling 10/18/05 13,429 16,616,456 16,155,108 461,348
Japanese Yen,
settling 10/17/05 1,120,141 10,153,568 9,885,807 267,761
Mexican Peso,
settling 10/19/05 816,686 75,366,832 75,682,791 (315,959)
Swedish Krona,
settling 10/21/05 6,799 911,039 878,074 32,965
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
-------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS
Notional Unrealized
Swap Counterparty & Amount Interest Termination Appreciation/
Referenced Obligation (000) Rate Date Depreciation)
--------------------------------------------------------------------------------------
Buy Contracts
Citibank N.A.
Republic of Brazil
12.25%, 3/06/30 1,230 4.07% 8/20/15 $ (72,143)
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 920 4.14 4/20/10 (88,435)
Citigroup Global Markets, Inc.
Republic of Colombia
8.375%, 2/15/27 1,900 3.02 1/20/10 (114,646)
Citigroup Global Markets, Inc.
Republic of Hungary
4.50%, 2/06/13 10,250 0.50 11/26/13 (186,732)
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 3,360 5.60 3/20/14 (314,116)
Deutsche Bank AG
Republic of Brazil
12.25%, 3/06/30 920 4.02 10/20/10 (79,299)
Sale Contracts
Citibank N.A.
Republic of Brazil
12.25%, 3/06/30 1,910 3.09 8/20/10 66,261
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 1,932 1.98 4/20/07 54,531
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 6,275 4.40 5/20/06 263,061
Citigroup Global Markets, Inc.
Republic of Colombia
8.375%, 2/15/27 3,750 1.13 1/20/07 40,669
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 3,360 4.95 3/20/09 287,269
Credit Suisse First Boston
Republic of Brazil
12.25%, 3/06/30 600 6.90 6/20/07 71,485
Credit Suisse First Boston
Republic of Venezuela
9.25%, 9/15/27 950 3.17 9/21/15 19,658
Deutsche Bank AG
Republic of Brazil
12.25%, 3/06/30 1,932 1.90 10/20/07 47,770
Morgan Stanley
Republic of Brazil
12.25%, 3/06/30 4,800 3.80 8/20/06 158,560
PORTFOLIO OF INVESTMENTS
September 30, 2005 (Unaudited) ACM Income Fund
--------------------------------------------------------------------------------
REVERSE REPURCHASE AGREEMENTS
Interest
Broker Rate Maturity Amount
------------------------------------------------------------------------------
Barclays Securities 1.80% 12/30/05 $13,132,687
Barclays Securities 1.80 10/28/05 4,134,364
Merrill Lynch. 3.50 10/04/05 79,084,486
Merrill Lynch. 3.50 10/04/05 49,552,937
Merrill Lynch. 3.55 10/04/05 78,359,907
Merrill Lynch. 3.58 10/04/05 60,966,618
Merrill Lynch. 3.58 10/04/05 23,365,531
Merrill Lynch. 3.60 10/04/05 115,088,959
Merrill Lynch. 3.60 10/04/05 92,370,246
Merrill Lynch. 3.60 10/04/05 50,186,394
------------
$566,242,129
============
* Represents entire or partial securities out on loan.
(a) Positions, or portion thereof, with an aggregate market value of
$1,103,408,079 have been segregated to collateralize the loan payable
outstanding.
(b) Positions, or portion thereof, with an aggregate market value of
$565,502,292 have been segregated to collateralize reverse repurchase
agreements.
(c) Positions, or portion thereof, with an aggregate market value of
$719,471,060 have been segregated to collateralize open forward exchange
currency contracts.
(d) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. These securities are considered liquid and may be resold in
transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2005, the aggregate market value of these
securities amounted to $392,958,313 or 20.60% of net assets.
(e) Coupon increases periodically based upon a predetermined schedule. Stated
interest rate in effect at September 30, 2005.
(f) Indicates a security that has a zero coupon that remains in effect until a
predetermined date at which time the stated coupon rate becomes effective
until final maturity.
(g) Non-income producing security.
(h) Positions, or portion thereof, with an aggregate market value of
$8,963,415 has been segregated to collateralize margin requirements for
the open futures contracts.
Currency Abbreviations: Glossary of Terms:
ARS - Argentine Peso DCB - Debt Conversion Bond
BRL - Brazilian Real FNMA - Federal National Mortgage Association
CAD - Canadian Dollar FRN - Floating Rate Note
COP - Colombian Peso I/O - Interest Only
EUR - Euro PIK - Pay-In-Kind Payments
GBP - British Pound TBA - (To Be Assigned) - Securities are
IDR - Indonesian Rupiah purchased on a forward commitment
JPY - Japanese Yen with an approximate principal amount
MXP - Mexican Peso (generally +/- 1.0%) and no definite
PEN - Peruvian Nuevo Sol maturity date. The actual principal
SEK - Swedish Krona amount and maturity will be
TRL - Turkish Lira determined upon settlement when the
U.S.$ - United States Dollar specific mortgage pools are assigned.
TIPS - Treasury Inflation Protected Security
VRN - Variable Rate Note
COUNTRY BREAKDOWN
Country Percent of Total Investments
----------------------------------------------------------------
United States 75.56%
Brazil 5.84
Russia 4.09
Mexico 3.59
Turkey 3.04
Aregntina 1.17
Colombia 0.84
Canada 0.80
Venezuela 0.68
Phillippines 0.67
United Kingdom 0.62
Germany 0.54
Peru 0.49
Japan 0.33
Indonesia 0.29
Netherlands 0.22
Uruguay 0.22
Bermuda 0.17
Cayman Islands 0.10
Panama 0.10
Kazakhstan 0.09
Ecuador 0.08
Ukraine 0.05
Lebanon 0.04
Australia 0.04
Sweden 0.04
El Salvador 0.04
Domincan Republic 0.03
Nigeria 0.03
Other 0.20
All data are as of September 30, 2005. The Fund's country breakdowns are
expressed as a percentage of total investments and may vary over time. "Other"
represents less than .03% weightings in Spain, Bulgaria, Hong Kong, China,
Ireland, Belize, Italy, Denmark, South Africa and Greece. Please Note: The
country classifications presented herein are based on the country categorization
methodology of the Adviser.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures (as
defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended)
are effective at the reasonable assurance level based on their evaluation of
these controls and procedures as of a date within 90 days of the filing date of
this document.
(b) There were no changes in the registrant's internal controls over financial
reporting that occurred during the second fiscal quarter of the period that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
The following exhibits are attached to this Form N-Q:
EXHIBIT NO. DESCRIPTION OF EXHIBIT
11(a)(1) Certification of Principal Executive Officer Pursuant to
Section 302 of the Sarbanes-Oxley Act of 2002
11(a)(2) Certification of Principal Financial Officer Pursuant to
Section 302 of the Sarbanes-Oxley Act of 2002
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.
(Registrant): ACM Income Fund, Inc.
By: /s/ Marc O. Mayer
-----------------
Marc O. Mayer
President
Date: November 28, 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/ Marc O. Mayer
-----------------
Marc O. Mayer
President
Date: November 28, 2005
By: /s/ Mark D. Gersten
-------------------
Mark D. Gersten
Treasurer and Chief Financial Officer
Date: November 28, 2005