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, 2007
Date of reporting period: March 31, 2006
ITEM 1. SCHEDULE OF INVESTMENTS.
2
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
U.S. GOVERNMENT AND GOVERNMENT SPONSORED
AGENCY OBLIGATIONS-99.5%
U.S. Treasury Bonds-36.1%
5.375%, 2/15/31(a) ..................... U.S.$ 1,961 $ 2,064,258
6.25%, 5/15/30(b) ...................... 62,230 72,726,459
11.25%, 2/15/15(b) ..................... 160,000 232,312,480
12.00%, 8/15/13(a) ..................... 82,000 95,027,094
12.50%, 8/15/14(a) ..................... 70,300 86,891,925
13.25%, 5/15/14(a) ..................... 150,000 186,216,750
--------------
675,238,966
--------------
U.S. Treasury Notes-17.5%
2.625%, 5/15/08(a) ..................... 24,615 23,534,254
3.00%, 11/15/07(a) ..................... 50,000 48,566,400
3.25%, 8/15/07(a) ...................... 80,000 78,300,000
3.50%,11/15/09(a) ...................... 154 147,262
3.875%, 2/15/13(a) ..................... 3,030 2,856,960
4.00%, 9/30/07-11/15/12(a)(b) .......... 54,614 53,767,440
4.125%, 8/15/08-5/15/15(a) ............. 3,074 2,973,243
4.25%, 11/30/07-8/15/15(a) ............. 21,020 20,491,615
4.375%, 8/15/12(a) ..................... 700 681,816
4.50%, 11/15/15(b) ..................... 36,435 35,356,196
4.50%, 2/15/16(a) ...................... 598 581,602
4.75%, 5/15/14(a)(b) ................... 60,280 59,752,550
4.875%, 2/15/12(a) ..................... 250 250,391
--------------
327,259,729
--------------
U.S. Treasury Strips-14.9%
Zero coupon, 5/15/17(a) ................ 260,000 149,831,760
Zero coupon, 11/15/21(a) ............... 285,350 129,174,235
--------------
279,005,995
--------------
Federal National Mortgage Association-20.8%
5.00%, TBA ............................. 53,460 50,887,237
5.00%, 1/01/18-10/25/33(a) ............. 37,191 18,689,446
5.375%, 6/07/21(c) ..................... GBP 144 269,057
5.50%, TBA ............................. U.S.$ 115,505 112,725,719
5.50%, 9/25/17-7/25/34(a) .............. 15,771 15,542,024
6.00%, TBA ............................. 36,960 36,948,468
6.50%, TBA ............................. 111,260 113,346,125
6.50%, 1/01/36(c) ...................... 9,100 9,305,461
6.50%, 4/25/32-2/01/36(a) .............. 30,854 31,462,093
--------------
389,175,630
--------------
Federal Home Loan Mortgage Corporation-5.8%
5.00%, 4/15/16(a) ...................... 10,623 10,460,729
5.50%, 7/15/17(a) ...................... 15,680 15,782,674
5.50%, 10/01/27(c) ..................... 73,095 71,358,994
6.00%, 6/01/20(a) ...................... 9,451 9,567,620
--------------
107,170,017
--------------
Resolution Funding Corp.-3.8%
Zero coupon, 10/15/20 .................. 150,000 70,431,900
--------------
Government National Mortgage
Association-0.6%
6.00%, 7/20/32(c) ...................... 6,560 6,564,100
7.00%, 12/15/26(a) ..................... 4,274 4,451,232
--------------
11,015,332
--------------
Total U.S. Government and Government
Sponsored Agency Obligations
(cost $1,857,809,295) ................. 1,859,297,569
--------------
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
SOVEREIGN DEBT OBLIGATIONS-33.3%
ARGENTINA-1.6%
Republic of Argentina
Zero Coupon, 12/15/35(c) ................ U.S.$ 6,338 $ 570,420
Zero Coupon, 12/15/35(c) ................ ARS 4,423 130,628
0.63%, 12/31/38(c) ...................... 1,285 212,272
4.889%, 8/03/12 FRN(c) .................. U.S.$ 20,783 19,283,239
5.83%, 12/31/33(c) ...................... ARS 1,320 542,594
7.82%, 12/31/33(c) ...................... EUR 5,648 6,605,359
8.28%, 12/31/33(b) ...................... U.S.$ 2,183 2,145,186
------------
29,489,698
------------
BRAZIL-9.6%
Brazilian Real Structured Notes
Zero Coupon, 9/20/07(d) ................. BRL 120,551 45,397,471
Zero Coupon, 1/03/08(d) ................. 59,180 21,470,725
Zero Coupon, 1/05/09(d) ................. 76,692 24,195,934
Zero Coupon, 1/05/10(d) ................. 180,614 49,460,567
Republic of Brazil
7.125%, 1/20/37(b)(c) ................... 3,865 3,787,700
8.00%, 1/15/18(c) ....................... 1,144 1,240,096
8.25%, 1/20/34(c) ....................... 3,274 3,606,311
8.875%, 10/14/19(c) ..................... 539 623,353
10.50%, 7/14/14(c) ...................... 2,137 2,660,565
12.00%, 4/15/10(c) ...................... 11,100 13,542,000
12.50%, 1/05/16(c) ...................... 15,439 7,205,818
12.75%, 1/15/20(c) ...................... U.S.$ 3,400 5,057,500
Republic of Brazil-DCB FRN
Series L
5.25%, 4/15/12(c) ....................... 1,554 1,555,440
------------
179,803,480
------------
BULGARIA-0.0%
Republic of Bulgaria
8.25%, 1/15/15(d) ....................... 346 404,474
------------
COLOMBIA-1.0%
Republic of Colombia
10.75%, 1/15/13(c) ...................... 1,239 1,535,121
11.75%, 3/01/10(c) ...................... COP 14,062,000 7,072,587
11.75%, 2/25/20(c) ...................... U.S.$ 6,404 9,109,690
12.00%, 10/22/15(c) ..................... COP 950,000 528,639
------------
18,246,037
------------
COSTA RICA-0.1%
Costa Rican Colon Structured Notes
Zero Coupon, 1/12/07(d) ................. CRC 226,359 403,470
Republic of Costa Rica
8.05%, 1/31/13(d) ....................... U.S.$ 195 210,112
8.11%, 2/01/12(d) ....................... 227 244,025
------------
857,607
------------
DOMINICAN REPUBLIC-0.0%
Dominican Peso Structured Notes
Zero Coupon, 12/11/06(d) ................ DOP 13,100 364,680
Zero Coupon, 3/12/07(d) ................. 3,936 104,820
Dominican Republic
9.50%, 9/27/11(d) ....................... U.S.$ 229 246,699
------------
716,199
------------
ECUADOR-0.1%
Republic of Ecuador
9.00%, 8/15/30(d)(e) .................... 1,161 1,169,708
9.375%, 12/15/15(d) ..................... 348 365,400
------------
1,535,108
------------
EL SALVADOR-0.0%
Republic of El Salvador
7.625%, 9/21/34(d) ...................... 527 575,748
7.65%, 6/15/35(d) ....................... 19 19,903
------------
595,651
------------
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
France-0.1%
French Treasury Note
3.00%, 1/12/10(c) ....................... EUR 600 $ 714,672
------------
Indonesia-0.7%
Indonesian Rupiah Structured Notes
11.00%, 11/18/20(d) ..................... IDR 3,553,512 355,936
12.90%, 3/15/16(d) ...................... 2,102,200 237,084
14.00%, 6/17/09(d) ...................... 4,000,000 463,271
14.25%, 6/19/13(d) ...................... 80,000,000 9,677,102
Republic of Indonesia
6.75%, 3/10/14(d) ....................... U.S.$ 965 960,175
6.875%, 3/09/17(d) ...................... 269 264,965
7.25%, 4/20/15(d) ....................... 362 370,688
8.50%, 10/12/35(d) ...................... 251 279,865
------------
12,609,086
------------
Lebanon-0.1%
Lebanese Republic
7.875%, 5/20/11(d) ...................... U.S.$ 270 280,530
10.125%, 8/06/08(d) ..................... 875 940,187
11.625%, 5/11/16(d) ..................... 120 151,860
------------
1,372,577
------------
Mexico-5.7%
Mexican Bonos
8.00%, 12/19/13(c) ...................... MXN 59,613 5,344,166
9.00%, 12/22/11(c) ...................... 324,550 30,639,393
9.00%, 12/20/12(c) ...................... 384,205 36,348,807
10.00%, 12/05/24(c) ..................... 197,428 20,254,287
United Mexican States
6.375%, 1/16/13(c) ...................... U.S.$ 2,626 2,691,650
7.50%, 1/14/12(c) ....................... 775 837,000
8.00%, 9/24/22(c) ....................... 2,170 2,536,730
8.125%, 12/30/19(c) ..................... 3,775 4,435,625
9.875%, 2/01/10(c) ...................... 2,180 2,485,200
11.375%, 9/15/16(c) ..................... 1,201 1,692,209
------------
107,265,067
------------
Panama-0.2%
Republic of Panama
6.70%, 1/26/36(c) ....................... 863 861,274
7.125%, 1/29/26(c) ...................... 973 997,325
7.25%, 3/15/15(c) ....................... 75 79,500
8.875%, 9/30/27(c) ...................... 372 451,980
9.375%, 7/23/12-4/01/29(c) .............. 283 346,278
9.625%, 2/08/11(c) ...................... 288 331,200
------------
3,067,557
------------
Peru-0.7%
Peru Bono Soberano
7.84%, 8/12/20(c) ....................... PEN 1,250 355,250
8.60%, 8/12/17(c) ....................... 7,350 2,263,549
9.91%, 5/05/15(c) ....................... 1,600 535,558
Republic of Peru
7.35%, 7/21/25(c) ....................... U.S.$ 1,273 1,250,086
8.375%, 5/03/16(c) ...................... 3,928 4,261,880
8.75%, 11/21/33(c) ...................... 3,854 4,297,210
9.875%, 2/06/15(c) ...................... 557 654,475
------------
13,618,008
------------
Philippines-1.2%
Republic of Philippines
7.75%, 1/14/31(c) ....................... 4,441 4,468,756
8.375%, 2/15/11(c) ...................... 84 91,031
8.875%, 3/17/15(c) ...................... 3,135 3,523,740
9.00%, 2/15/13(c) ....................... 450 487,125
9.50%, 2/02/30(c) ....................... 4,112 4,868,608
9.875%, 1/15/19(c) ...................... 750 901,875
10.625%, 3/16/25(c) ..................... 6,182 8,021,145
------------
22,362,280
------------
Poland-0.0%
Poland Government Bond
6.25%, 10/24/15(c) ...................... PLN 2,036 687,992
------------
Russia-4.8%
Russian Federation
5.00%, 3/31/30(d) ....................... U.S.$ 76,487 83,676,778
11.00%, 7/24/18(d) ...................... 490 702,660
Russian Ministry of Finance
3.00%, 5/14/08-5/14/11(c) ............... 6,020 5,651,226
------------
90,030,664
------------
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
South Korea-2.0%
Korean Won Structured Notes
5.25%, 12/10/10-12/11/10(d) ............. KRW 36,649,060 $ 37,559,690
------------
Spain-0.0%
Kingdom of Spain
5.25%, 4/06/29(c) ....................... GBP 109 210,287
------------
Turkey-3.0%
Republic of Turkey
6.875%, 3/17/36(c) ...................... U.S.$ 953 919,645
7.375%, 2/05/25(c) ...................... 462 478,863
11.00%, 1/14/13(c) ...................... 1,860 2,332,440
11.50%, 1/23/12(c) ...................... 860 1,075,000
11.75%, 6/15/10(c) ...................... 623 749,158
11.875%, 1/15/30(c) ..................... 208 321,360
Turkish Lira Structured Notes
Zero coupon, 1/25/07(d) ................. TRY 914 609,006
Zero coupon, 6/28/07(d) ................. 78,561 49,975,889
------------
56,461,361
------------
Ukraine-0.1%
Government of Ukraine
6.875%, 3/04/11(d) ...................... U.S.$ 302 304,265
7.65%, 6/11/13(d) ....................... 157 164,693
11.00%, 3/15/07(d) ...................... 320 331,539
------------
800,497
------------
United Kingdom-1.1%
United Kingdom Gilt
4.00%, 3/07/09(c) ....................... 8,666 14,860,044
4.25%, 6/07/32-3/07/36(c) ............... GBP 1,675 2,973,171
4.75%, 9/07/15(c) ....................... 45 80,266
5.00%, 3/07/25(c) ....................... 865 1,650,016
8.00%, 6/07/21(c) ....................... 205 498,744
8.75%, 8/25/17(c) ....................... 203 489,170
------------
20,551,411
------------
Uruguay-0.3%
Republic of Uruguay
7.50%, 3/15/15(c) ....................... 4,120 4,295,100
7.875%, 1/15/33 PIK(c) .................. 425 440,096
8.00%, 11/18/22(c) ...................... U.S.$ 334 349,030
9.25%, 5/17/17(c) ....................... 739 859,088
------------
5,943,314
------------
Venezuela-1.0%
Republic of Venezuela
5.614%, 4/20/11 FRN(d) .................. 420 421,218
8.50%, 10/08/14(c) ...................... 287 321,440
9.25%, 9/15/27(c) ....................... 8,614 10,939,780
10.75%, 9/19/13(c) ...................... 4,654 5,801,211
13.625%, 8/15/18(c) ..................... 422 648,825
------------
18,132,474
------------
Total Sovereign Debt Obligations
(cost $502,574,354) ..................... 623,035,191
------------
CORPORATE DEBT OBLIGATIONS-11.7%
Corporate Debt - High Yield
Obligations-7.8%
ABB International Finance LTD
11.50%, 5/29/09(c) ...................... GBP 40 80,101
Allied Domecq Finance PLC
6.625%, 4/18/11(c) ...................... 50 90,832
Antenna TV SA
7.25%, 2/15/15(d) ....................... EUR 10 12,285
Ardagh Glass Finance BV
8.875%, 7/01/13(d) ...................... 3 3,090
Associated Materials Inc. ..................
Zero Coupon, 3/01/14(c)(f) .............. U.S.$ 12,545 7,213,375
AT&T Corp. .................................
9.75%, 11/15/31(c) ...................... 1,000 1,194,063
Banco BMG SA
9.15%, 1/15/16(d) ....................... 400 410,000
C&M Finance LTD
8.10%, 2/01/16(d) ....................... 1,690 1,690,593
Central Bank of Nigeria
6.25%, 11/15/20(c) ...................... 2,000 2,002,600
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
Central European Distribution Corp.
8.00%, 7/25/12(d)........................ EUR 78 $ 104,095
Chaoda Modern Agriculture
7.75%, 2/08/10(d)........................ U.S. $ 423 423,000
Charter Communications Holdings
Zero coupon, 5/15/14(c)(f)............... 10,000 5,200,000
11.00%, 10/01/15(c)...................... 4,009 3,332,481
Citigroup (JSC Severstal)
9.25%, 4/19/14(d)........................ 230 247,871
Cognis GmbH
9.50%, 5/15/14(d)........................ EUR 5 6,908
Deutsche Bank AG for Gazstream SA
5.625%, 7/22/13(d)....................... U.S. $ 230 226,108
Digicel, Ltd.
9.25%, 9/01/12(d)........................ 865 914,738
Eircom Funding
8.25%, 8/15/13(c)........................ EUR 10 13,482
Evraz Group SA
8.25%, 11/10/15(d)....................... U.S. $ 5,502 5,557,020
Fairfax Financial Holdings Ltd.
8.30%, 4/15/26*.......................... 5,000 3,900,000
Ford Motor Co.
6.375%, 2/01/29(c)....................... 300 199,500
Ford Motor Credit Co.
4.95%, 1/15/08(c)........................ 152 141,646
6.625%, 6/16/08(c)....................... 454 429,706
7.00%, 10/01/13(c)....................... 1,500 1,341,609
8.625%, 11/01/10(c)...................... 25,000 23,951,400
Freeport-McMoran Copper & Gold, Inc.
10.125%, 2/01/10(c)...................... 500 538,750
Gazprom OAO
9.625%, 3/01/13(d)....................... 3,180 3,760,647
General Motors Acceptance Corp.
6.75%, 12/01/14(c)*...................... 10,000 9,002,050
6.875%, 9/15/11(c)....................... 3,995 3,723,656
8.00%, 11/01/31(c)*...................... 4,000 3,780,408
Hawaiian Telecom Communications, Inc.
12.50%, 5/01/15(d)*...................... 4,940 4,890,600
Heckler & Koch GmbH
9.25%, 7/15/11(d)........................ EUR 5 6,665
Hertz Corporation
10.50%, 1/01/16(d)*...................... U.S. $ 5,000 5,425,000
Inmarsat Finance PLC
Zero coupon, 11/15/12(c)(f).............. 6,475 5,503,750
Kazkommerts International BV
8.50%, 4/16/13(d)........................ 125 133,438
Kyivstar
7.75%, 4/27/12(d)........................ 100 100,375
10.375%, 8/17/09(d)...................... 200 217,000
Legrand S.A.
8.50%, 2/15/25(c)........................ 10 12,250
Mobifon Holdings BV
12.50%, 7/31/10(c)....................... 5,205 5,946,713
Mobile Telesystems Finance S.A.
9.75%, 1/30/08(d)*....................... 1,185 1,245,731
NCL Corp.
10.625%, 7/15/14(c)...................... 3,845 3,979,575
Noble Group Ltd.
6.625%, 3/17/15(d)....................... 560 495,014
NRG Energy Inc.
7.25%, 2/01/14(c)........................ 5 5,081
7.375%, 2/01/16(c)....................... 15 15,319
Paxson Communications Corp. FRN
10.7769%, 1/15/13(d)..................... 6,000 5,940,000
Quality Distribution LLC
9.00%, 11/15/10(c)....................... 1,775 1,672,938
Rainbow National Services LLC
10.375%, 9/01/14(d)...................... 2,500 2,800,000
Reliant Energy Inc.
9.50%, 7/15/13(c)........................ 4,800 4,806,000
R H Donnelley Corp.
6.875%, 1/15/13(d)....................... 935 874,225
R H Donnelley Finance Corp. III
6.875%, 1/15/13(d)....................... 1,706 1,595,110
8.875%, 1/15/16(d)....................... 2,695 2,802,800
Rural Cellular Corp.
9.75%, 1/15/10(c)*....................... 4,500 4,567,500
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
Russian Standard Finance SA
7.50%, 10/07/10(d)....................... U.S. $ 386 $ 377,798
Select Medical Corp.
10.82%, 9/15/15 FRN(d)*.................. 5,000 4,550,000
SGL Carbon Luxembourg SA
8.50%, 2/01/12(d)........................ EUR 10 13,300
SunGard Data Systems, Inc.
9.125%, 8/15/13(d)*...................... U.S. $ 3,500 3,701,250
Time Warner Telecom Inc.
10.125%, 2/01/11(c)*..................... 2,465 2,591,331
Tyumen Oil Co.
11.00%, 11/06/07(d)...................... 90 96,597
Unibanco
8.70%, 2/11/10(d)........................ BRL 4,290 1,903,142
Willis Group N America
5.125%, 7/15/10(c)....................... U.S. $ 500,000 489,470
Yioula Glassworks SA
9.00%, 12/01/15(d)....................... EUR 253 328,828
------------
Total Corporate Debt - High Yield
Obligations
(cost $149,590,534)...................... 146,578,814
------------
Corporate Debt - High Grade Obligations-3.8%
Aegon NV
6.125%, 12/15/31(c)...................... GBP 26 52,689
AK Steel Corp.
7.875%, 2/15/09(c)*...................... U.S. $ 5,000 5,025,000
Allied Irish Banks PLC
5.25%, 9/01/15(c)........................ GBP 200 344,307
America Movil S.A. de C.V.
6.375%, 3/01/35(c)....................... U.S. $ 104 97,784
AMP Group Finance Services
7.125%, 8/06/19(c)....................... GBP 50 90,535
AMP UK Finance Services
6.375%, 11/17/10(c)...................... 110 198,585
Aries Vermogensverwaltng
9.60%, 10/25/14(d)....................... U.S. $ 11,750 14,680,450
Australia & New Zealand Banking Group Ltd.
4.875%, 12/22/08(c)...................... GBP 106 184,294
Aviva PLC
6.125%, 9/29/22(c)....................... 40 73,199
Bank of Scotland Capital Funding
8.117%, 5/31/10(d)(e).................... 90 173,505
Barclays Bank
8.55%, 6/15/11(d)........................ U.S. $ 638 717,832
9.875%, 5/12/08(c)....................... GBP 195 371,133
Berkley W R Corp.
6.15%, 8/15/19(c)........................ U.S. $ 100 97,768
BMW U.S. Capital Corp.
4.625%, 11/28/08(c)...................... GBP 60 103,472
British Sky Broadcasting PLC
7.75%, 7/09/09(c)........................ 94 175,238
British Telecommunications PLC
8.625%, 3/26/20(c)....................... 34 73,686
BSKYB Finance UK PLC
5.625%, 10/15/15(d)...................... U.S. $ 350 337,330
5.75%, 10/20/17(d)....................... GBP 126 219,266
Capital One Bank
6.50%, 6/13/13(c)........................ U.S. $ 1,200 1,248,691
CIT Group, Inc.
5.50%, 12/15/08(c)....................... GBP 175 307,158
Citigroup, Inc.
5.50%, 11/18/15(c)....................... 85 152,870
5.875%, 7/01/24(c) ...................... 32 61,329
Clear Channel Communications, Inc.
5.75%, 1/15/13(c)........................ U.S. $ 220 209,403
Columbia/HCA HealthCare Corp.
6.25%, 2/15/13(c)........................ 175 169,755
7.58%, 9/15/25(c)........................ 630 609,971
7.69%, 6/15/25(c)........................ 355 351,014
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
Comcast Corp.
4.95%, 6/15/16(c)........................ U.S. $ 1,400 $1,275,805
Comerica Bank
8.375%, 7/15/24.......................... 2,000 2,316,438
Commerzbank CAP FUND
5.905%, 04/12/18(c)...................... GBP 50 86,493
Commonwealth Bank of Australia
4.875%, 12/19/23(c)...................... 180 306,705
Countrywide Home Loan
5.875%, 12/15/08(c)...................... 53 93,577
DaimlerChrysler NA Holding
7.50%, 12/07/06(c)....................... 210 370,584
Danske Bank A/S
5.563%, 3/16/17(c)....................... 46 81,124
Duke Capital Corp.
6.25%, 2/15/13(c)........................ U.S. $ 1,500 1,537,799
Emap PLC
6.25%, 12/09/13(c)....................... GBP 124 218,723
Farmers Exchange Capital
7.05%, 7/15/28(d)........................ U.S. $ 200 202,857
Farmers Insurance Exchange
8.625%, 5/01/24(d)....................... 250 292,072
FirstEnergy Corp.
6.45%, 11/15/11(c)....................... 243 251,441
7.375%, 11/15/31(c)...................... 491 545,390
Foodcorp Ltd.
8.875%, 6/15/12(d)....................... EUR 194 259,198
FP Finance PLC
9.125%, 11/25/06(d)(e)................... GBP 60 106,757
Friends Provident PLC
6.292%, 7/01/15(c)....................... 127 226,189
General Electric Capital Corp.
5.375%, 12/18/40(c)...................... 41 78,457
GE Capital UK Funding
4.75%, 3/15/11(c)........................ 120 206,699
Goldman Sachs Group Inc.
6.125%, 2/14/17(c)....................... 45 83,538
HBOS PLC
5.75%, 11/28/25(c)(e).................... 32 58,726
HSBC Bank USA
4.625%, 4/01/14(c)....................... U.S. $ 1,000 934,179
ILFC E-Capital Trust I
5.90%, 12/21/65(d)(e).................... 750 727,889
ING Bank NV
7.00%, 10/05/10(c)....................... GBP 95 177,904
Inter-American Development Bank
9.75%, 5/15/15(c)........................ 56 133,730
International Lease Finance Corp.
3.50%, 4/01/09(c)........................ U.S. $ 496 470,039
Investec Finance PLC
7.75%, 3/01/16(c)(e)..................... GBP 83 154,429
Ipalco Enterprises Inc.
8.375%, 11/14/08(c)...................... U.S. $ 100 104,500
J.P. Morgan Chase & Co.
6.625%, 3/15/12.......................... 1,400 1,471,683
KFW International Finance
5.375%, 12/07/11(c)...................... GBP 49 87,888
Legal & General Finance PLC
5.875%, 4/05/33(c)....................... 26 51,768
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
Liberty Mutual Group Inc.
5.75%, 3/15/14(d)........................ U.S. $ 170 $ 165,255
Lloyds TSB Capital
7.834%, 2/07/15(c)(e).................... GBP 49 99,040
10.625%, 10/21/08(c)..................... 134 264,568
Marks & Spencer PLC
5.625%, 3/24/14(c)....................... 89 155,054
6.250%, 1/23/07(c)....................... 23 40,317
MBNA Europe Funding PLC
6.00%, 11/12/10(c)....................... 70 126,641
Merrill Lynch & Co.
6.00%, 2/17/09(c)........................ U.S. $ 100 101,785
Mizuho Finance
5.79%, 4/15/14(d)........................ 100 100,252
MM02 PLC
7.625%, 1/25/12(c)....................... GBP 106 205,381
MMG Fiduciary (AES EL Salvador) 144A
6.75%, 2/01/16(d)........................ U.S. $ 350 340,145
Morgan Stanley
5.125%, 11/30/15(c)...................... GBP 100 171,733
Nationwide Building Society
5.25%, 2/12/18(c)(e)..................... 65 113,608
Northern Rock PLC
5.75%, 2/28/17(c)(e)..................... 169 301,687
Oracle Corp. / Ozark Holding Inc.
5.25%, 1/15/16(d)........................ U.S. $ 980 940,107
PanAmSat Corp.
Zero Coupon, 11/01/14(c)(f).............. 8,405 6,051,600
Philip Morris
7.75%, 1/15/27(c)........................ 1,900 2,174,092
Prudential PLC
6.125%, 12/19/31(c)...................... GBP 27 52,413
Resolution PLC
6.5864%, 4/25/16(c)...................... 50 85,999
Resona Bank Ltd.
4.125%, 9/27/12(d)....................... EUR 67 79,057
5.85%, 4/15/16(d)........................ U.S. $ 138 133,905
Resona Preferred Global Securities
7.191%, 7/30/15(d)....................... 160 166,945
Rexam PLC
7.125%, 3/27/09(c)....................... GBP 58 105,711
Rogers Cable, Inc.
5.50%, 3/15/14(c)........................ U.S. $ 360 341,100
Royal & Sun Alliance Insurance
8.50%, 12/08/14(c)(e).................... GBP 65 131,678
Royal Bank of Scotland Group PLC
5.625%, 6/07/32(c)(e).................... 85 157,600
7.387%, 12/31/10(c)...................... 117 221,653
Santander Central Hispano Issue Ltd.
6.80%, 11/29/10(c)....................... 83 154,729
7.25%, 12/07/11(c)....................... 70 133,985
SBC Jersey
8.75%, 12/18/25(c)....................... 118 304,697
SLM Student Loan Trust
5.15%, 9/17/15(d)........................ 100 177,554
South Wales Electricity
9.25%, 11/09/20(c)....................... 19 46,136
Southern Peru Copper Corp.
6.375%, 7/27/15(c)....................... U.S. $ 100 97,413
Sprint Capital Corp.
8.75%, 3/15/32(c)*....................... 5,663 7,080,205
Standard Chartered Bank
6.75%, 4/27/09(c)........................ GBP 100 182,000
Svenska Handelsbanken
6.125%, 3/04/09(c)....................... 169 301,667
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
TCNZ Finance LTD.
6.125%, 12/12/08(c)........................ GBP 60 $ 107,028
Telekom Finanzmanagement
5.00%, 7/22/13(c).......................... EUR 1,174 1,455,016
Tengizchevroil Fin Co
6.124%, 11/15/14(d)........................ U.S.$ 2,172 2,161,140
Time Warner Entertainment Co. LP
8.375%, 3/15/23(c)......................... 145 163,941
TYCO International Group SA
6.00%, 11/15/13(c)......................... 140 140,636
6.50%, 11/21/31(c)......................... GBP 1,585 3,004,387
Union Carbide Corp.
7.75%, 10/01/96(c)......................... U.S.$ 1,785 1,839,011
Vodafone Group PLC
5.625%, 12/04/25(c)........................ GBP 84 147,767
6.250%, 7/10/08(c)......................... 47 83,920
Wachovia Cap Trust III
5.80%, 3/15/11(c).......................... U.S.$ 552 542,328
WellPoint Inc.
5.85%, 1/15/36(c).......................... 83 78,421
Western Power Distribution LLC
5.875%, 3/25/27(c)......................... GBP 30 56,224
Westpac Banking Corp.
5.875%, 4/29/18(c)......................... 60 109,247
WMC Finance USA
5.125%, 5/15/13(c)......................... U.S.$ 500 484,998
WPP Finance Corp.
5.875%, 6/15/14(c)......................... 180 177,741
Yorkshire Power Finance
7.25%, 8/04/28(c).......................... GBP 86 185,591
Zurich Capital Trust
8.376%, 6/01/37(d)......................... U.S.$ 253 270,649
Zurich Finance PLC
6.625%, 10/02/22(c)(e)..................... GBP 94 178,815
------------
Total Corporate Debt - High Grade Obligations
(cost $89,382,639)......................... 71,531,417
------------
Total Corporate Debt Obligations
(cost $238,973,173)........................ 218,110,231
------------
BANK LOANS-5.1%
ACCO Brands Corporation
6.35225-6.68%, 8/15/12..................... U.S.$ 925 931,364
Advantage Sales
6.90%, 3/29/13............................. 1,000 1,000,000
Allegheny Energy Supply Company, LLC
6.102-6.36%, 3/08/11....................... 696 699,190
Allied Waste North America, Inc.
6.39-6.97%, 1/15/12........................ 1,913 1,920,062
American Safety Razor Company
7.55%, 8/28/12............................. 1,392 1,409,484
Amscan 1TL
7.77%,12/21/12............................. 500 500,000
Arena O-2 TLB
3.50%, 1/31/12............................. 250 252,657
Atlantic Broadband Finance, LLC
7.62%, 6/30/11............................. 1,000 1,015,000
Basell TLB
7.31%, 9/30/15............................. 500 507,610
Basell TLC
7.6675%, 9/30/16........................... 500 507,610
Blockbuster TLB
4.00%, 8/20/11............................. 1,000 975,000
Builders FirstSource, Inc.
7.49%, 7/11/11............................. 178 178,222
Butler Animal Health Supply, LLC
7.44%, 6/01/11............................. 1,985 1,999,888
Cablevisions TLB
1.75%, 3/14/13............................. 500 503,280
Calgen 1TL Ommerc BRL SC
8.38%, 4/01/09............................. 500 521,695
Cellnet Techonolgy, Inc.
7.98%, 4/22/12............................. 992 1,001,810
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
Cheniere LNG Holdings, LLC
7.72938%, 9/30/12.......................... U.S.$ 1,492 $1,505,559
CII Carbon, LLC
6.875%, 8/18/12............................ 992 1,002,425
Cognis Deutschland GMBH & Co.
9.3075%, 11/10/13.......................... 1,000 1,018,750
Coinstar, Inc.
6.55%, 7/01/11............................. 753 760,924
Consolidated Communications, Inc.
6.52-6.72938%, 10/14/11.................... 1,330 1,340,773
DaVita Inc.
6.53-7.11%, 4/30/12........................ 942 952,535
Delphi Corp TL JP PR
13.25%, 6/14/11............................ 1,500 1,552,500
Doubleclick, Inc.
8.75%, 6/14/12............................. 990 1,007,724
DynCorp International LLC
7.4375-7.8125%, 2/08/11.................... 993 1,004,489
Eastman-Kodak TLB
6.61-7.19%, 10/18/12....................... 997 1,008,413
F & W Publications
10.40%, 1/12/13............................ 500 481,250
Fender Musical 2TL
8.72%, 9/30/12............................. 500 502,500
Georgia Pacific TLB
6.88-6.97938%, 2/14/13..................... 499 502,137
Georgia Pacific TLC
7.69813-7.92%, 2/14/14..................... 500 510,795
Graham Packaging Company, L.P.
9.25%, 3/04/12............................. 1,000 1,021,250
Harlan TL
7.05-9.25%, 12/19/11.............. ........ 499 503,114
Hawaiian Telecom Communications, Inc.
7.23%, 10/31/12............................ 1,000 1,008,750
Hertz Corp LOC
4.93%, 12/21/12............................ 33 33,733
Hertz Corp TL
1.125%, 12/21/12........................... 227 229,976
Hexion Specialty Chemicals
7.50%, 5/25/12............................. 1,986 2,017,296
Hil Operating TLC
10.01-10.18%, 6/30/10...................... 500 492,500
HIT Entertainment, Inc.
7.17%, 8/05/12............................. 995 1,001,428
Huntsman International LLC
6.53%, 12/31/10............................ 1,155 1,161,243
IPC Acquisition Corp.
7.38-7.59%, 7/31/11........................ 479 485,577
Jarden Corporation
6.99-8.75%, 1/01/12........................ 926 931,801
John Maneely CTL
3.00%, 3/24/13............................. 550 558,250
Keystone Automotive TL
7.46475%, 12/30/12......................... 997 999,994
Kranson Industries, Inc.
7.73%, 7/31/11............................. 932 941,356
La Paloma Generating Company, LLC
6.57875-6.72938%, 8/16/12.................. 1,930 1,947,419
Lear Corp TL
1.50%, 2/11/07............................. 1,000 990,000
London Arena W TLB
8.38%, 1/31/12............................. 250 252,657
Longyear CAD 1LC
7.98%, 7/28/12............................. 63 63,656
Longyear Holdings, Inc.
7.98%, 7/18/12............................. 435 441,229
LPL Holdings TLB GS PR
3.25%, 6/28/13............................. 1,500 1,513,125
Maax, Inc.
7.63975-7.97938%, 6/01/11.................. 1,736 1,709,764
MetroPCS Wireless, Inc.
9.50%, 5/03/11............................. 2,200 2,260,500
MGM Holdings II
7.22938%, 3/15/12.......................... 2,500 2,525,000
Motorsport Aftermarket Group, Inc.
8.23%, 12/31/11............................ 1,471 1,476,989
Mueller Group LLC
6.9175-7.36%, 10/30/12..................... 2,686 2,720,753
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
NewPage Corp.
7.96%, 4/15/11............................. U.S.$ 858 $ 871,100
NRG Funded LOC
6.97938%, 1/03/13.......................... 139 140,929
NRG TLB
6.82%, 1/06/13............................. 611 618,131
Ntelos, Inc.
9.83%, 2/24/12............................. 1,000 1,014,380
Owens Corning BKD
6.56%, 6/26/07............................. 946 1,438,658
Owens-Illinois Group, Inc.
6.15%, 4/01/08............................. 788 790,896
PanAmSat Corporation
6.81-6.90%, 7/01/11........................ 980 992,336
Penn National Gaming, Inc.
6.26-6.73%, 5/03/12........................ 2,487 2,517,250
Plumpoint 2NL
8.043%, 9/15/14............................ 2,000 1,940,000
Prestige Brands, Inc.
6.89-9.00%, 4/05/11........................ 2,659 2,689,717
Rainbow National Services LLC
7.18%, 3/31/12............................. 2,970 3,003,650
Rayovac Corporation
6.17-6.78%, 2/07/12........................ 1,849 1,863,759
Regency Gas Services, LLC
7.23%, 5/15/10............................. 1,985 2,012,294
Reliant Energy, Inc.
7.175%, 12/22/10........................... 181 181,663
Riverside Energy Center
8.9175%, 6/22/11........................... 1,603 1,618,980
Rocky Mountain Energy Center, LLC
8.9175%, 6/22/11........................... 1,236 1,248,861
Sealy Mattress Company
6.50-6.57%, 4/15/13........................ 1,593 1,611,239
SemCrude, L.P.
7.33-7.41%, 3/16/11........................ 818 817,637
Smurfit Stone Container
6.9375-7.125%, 10/01/10.................... 349 354,123
6.9375-7.125%, 10/01/11.................... 1,005 1,018,459
SSA Global TL
6.97%, 9/28/11............................. 1,492 1,498,097
Stewart Enterprises
6.4225-6.80625%, 11/01/11.................. 404 407,522
Stratus Technologies 2LT
9.00%, 3/28/12............................. 1,000 970,000
SunGard Data Systems Inc.
7.215%, 1/15/13............................ 1,985 2,010,150
Swett & Crawford 2LL
11.12%, 11/10/12........................... 500 503,750
Telcordia TLB
7.22-7.31%, 9/15/12........................ 499 493,133
UAL
8.625%, 2/01/12............................ 250 254,062
Universal City Development Partners, Ltd
6.60-6.98%, 6/09/11........................ 987 999,429
UPC Broadband Holding B.V.
7.28%, 3/03/12............................. 1,000 1,000,970
Vertafore Inc.
7.31-7.32875%, 1/31/12..................... 263 266,296
VWR International, Inc.
7.12%, 4/05/11............................. 2,022 2,044,829
William Carter Company
6.4175-6.54063%, 6/29/12................... 1,680 1,698,703
WMG Acquisitions Corporation
6.37125-6.81%, 3/22/11..................... 1,428 1,443,414
Xerium Technology TLB
7.22938%, 5/18/12.......................... 748 748,709
-----------
Total Bank Loans
(cost $94,755,650)......................... 95,444,132
-----------
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
NON-CONVERTIBLE - PREFERRED STOCKS-0.1%
Metlife Inc
6.50%(c)............................. 40 $ 1,023,200
Zurich Funding Trust
1.71%(d)(e).......................... 500 503,750
---------------
Total Non-Convertible Preferred Stocks
(cost $1,511,500).................... 1,526,950
---------------
CONVERTIBLE - PREFERRED STOCKS-0.0%
UBS Capital VIII
6.35%(c)
(cost $975,000)...................... 39,000 944,956
---------------
WARRANTS-0.0%
Central Bank of Nigeria
Warrants, expiring 11/15/20(c)....... 4,500 99,000
Republic of Venezuela
Warrants, expiring 4/15/20(g)........ 1,785 0
---------------
Total Warrants
(cost $0)............................ 99,000
---------------
SHORT-TERM INVESTMENTS-13.5%
Repurchase Agreement-9.3%
Merrill Lynch & Co.
4.74%, 3/31/06, due
4/03/06 in the amount of
$174,168,770 (collateralized by
$43,105,000 FHLB, 5.75%, 7/21/25;
value-$40,359,000 $44,370,000
FHLB, 5.75%, 6/30/25;
value-$41,705,000 $50,000,000
FNMA, 6.03%,
12/14/29; value-$47,488,000
$38,345,000 FHLMC, 6.75%, 9/15/29;
value-$44,548,000)
(cost $174,100,000).................. U.S.$ 174,100 174,100,000
---------------
Time Deposit-0.6%
State Street Time Deposit
4.10%, 4/03/06
(cost $11,410,000)................... 11,410 11,410,000
---------------
U.S. Treasury Obligations-3.6%
U.S. Treasury Bills
0.01%, 6/22/06(h).................... 6,000 5,940,492
3.062%, 4/20/06(a)................... 57,000 56,877,906
3.244%, 8/10/06(a)(c)................ 4,000 3,935,040
---------------
(cost $66,743,423)................... 66,753,438
---------------
Total Short-Term Investments
(cost $252,253,423).................. 252,263,438
---------------
Total Investments Before Security
Lending Collateral-163.2%
(cost $2,948,852,395)................ 3,050,721,468
---------------
INVESTMENT OF CASH COLLATERAL FOR
SECURITIES LOANED-1.8%
Short-Term Investment
UBS Private Money Market Fund, LLC
4.67% 34,172,716 34,172,716
---------------
(cost $34,172,716)...................
Total Investments-165.0%
(cost $2,982,895,285)................ 3,084,894,184
Other assets less liabilities-(65.0%)... (1,215,726,647)
---------------
Net Assets-100.0%....................... $ 1,869,167,537
===============
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
FINANCIAL FUTURES CONTRACTS SOLD
Value at
Number of Expiration March 31, Unrealized
Type Contracts Month Original Value 2006 Appreciation
----------------------------------------------------------------------------------------
5 Year Swap June
Futures 2,555 2006 $263,880,184 $263,244,844 $ 635,340
U.S. Treasury 5 Year June
Futures 1,824 2006 191,234,579 190,494,000 740,579
U.S. Treasury 10 Year June
Futures 4,385 2006 471,638,302 466,522,891 5,115,411
U.S. Treasury 30 Year June
Futures 189 2006 21,337,489 20,630,531 706,958
----------
$7,198,288
----------
FORWARD EXCHANGE CURRENCY CONTRACTS
U.S. $
Contract Value on U.S. $ Unrealized
Amount Origination Current Appreciation/
(000) Date Value (Depreciation)
-----------------------------------------------------------------------------
Buy Contracts
Australian Dollar,
settling 5/12/06 ... 25,676 $18,946,943 $18,367,777 $ (579,166)
British Pound,
settling 4/06/06 ... 105 183,506 181,758 (1,748)
settling 4/18/06 ... 48 81,539 81,279 (260)
settling 4/21/06 ... 157 272,807 273,051 244
settling 4/27/06 ... 765 1,340,930 1,330,181 (10,749)
Canadian Dollar,
settling 4/10/06 ... 27,776 24,111,978 23,790,422 (321,556)
Euro,
settling 4/18/06 ... 22,529 26,944,430 27,331,956 387,526
Japanese Yen,
settling 3/31/06 ... 4,318,617 36,660,282 36,691,733 31,451
settling 5/31/06 ... 3,222,426 27,543,895 27,610,758 66,863
Mexican Peso,
settling 4/21/06 ... 2,801 258,676 256,977 (1,699)
Polish Zloty,
settling 4/06/06 ... 7,791 2,402,166 2,407,867 5,701
South African Rand,
settling 4/28/06 ... 3,261 524,998 528,004 3,006
South Korean Won,
settling 7/21/06 ... 19,544,302 20,047,494 20,169,558 122,064
Sale Contracts
British Pound,
settling 4/06/06 ... 40 70,120 69,481 639
settling 4/21/06 ... 49 86,781 85,882 899
settling 4/27/06 ... 9,780 17,026,094 16,996,531 29,563
Euro,
settling 4/18/06 ... 28,561 34,163,914 34,648,758 (484,844)
settling 5/18/06 ... 574 693,891 697,785 (3,894)
Japanese Yen,
settling 3/31/06 ... 4,318,617 36,710,694 36,691,733 18,961
Mexican Peso,
settling 4/21/06 ... 378,533 35,757,650 34,729,707 1,027,943
settling 5/23/06 ... 300,080 27,781,105 27,463,927 317,178
Peruvian Nuevo Sol,
settling 5/03/06 ... 1,483 440,000 439,335 665
Polish Zloty,
settling 4/06/06 ... 9,439 2,995,000 2,917,405 77,595
South Korean Won,
settling 9/18/06 ... 18,408,728 18,948,377 19,026,617 (78,240)
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
CREDIT DEFAULT SWAP CONTRACTS
Notional Unrealized
Swap Counterparty & Amount Interest Termination Appreciation/
Referenced Obligation (000) Rate Date (Depreciation)
------------------------------------------------------------------------------------
Buy Contracts:
Citigroup Global Markets, Inc.
Republic of Colombia
8.375%, 2/15/27 ................ 1,900 3.02% 1/20/10 $ (134,657)
Citigroup Global Markets, Inc.
Republic of Hungary
4.50%, 2/06/13 ................. 10,250 0.50 11/26/13 3,706
Citigroup Global Markets, Inc.
Republic of Hungary
4.50%, 1/29/14 ................. 10,000 0.30 10/20/15 203,507
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 ............... 3,360 5.60 3/20/14 (598,360)
J P Morgan Chase
Republic of Hungary
4.50%, 2/06/13 ................. 1,280 0.30 10/20/15 27,200
J P Morgan Chase
Ford Motor Credit Company
7.00%, 10/01/13 ................ 25,000 5.90 3/20/11 (1,228,469)
Sale Contracts:
Citibank N.A.
Republic of Brazil
12.25%, 3/06/30 ................ 1,910 3.09 8/20/10 133,026
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 ................ 1,932 1.98 4/20/07 50,744
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 ................ 6,275 4.40 5/20/06 139,791
Citigroup Global Markets, Inc.
Republic of Colombia
8.375%, 2/15/27 ................ 3,750 1.13 1/20/07 34,579
Citigroup Global Markets, Inc.
OAO Gazprom
5.875-10.50%, 4/25/07-4/28/34 .. 10,000 1.04 10/20/10 68,572
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 ............... 3,360 4.95 3/20/09 382,948
Credit Suisse First Boston
Republic of Brazil
12.25%, 3/06/30 ................ 600 6.90 6/20/07 58,346
Credit Suisse First Boston
Republic of Venezuela
9.25%, 10/20/15 ................ 950 3.17 10/20/15 86,141
Deutsche Bank AG
Republic of Brazil
12.25%, 3/06/30 ................ 1,932 1.90 4/20/07 48,396
J P Morgan Chase
OAO Gazprom
5.875-10.50%, 4/25/07-4/28/34 .. 1,380 1.04 10/20/10 9,465
Morgan Stanley
Republic of Brazil
12.25%, 3/06/30 ................ 4,800 3.80 8/20/06 87,014
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
REVERSE REPURCHASE AGREEMENTS
Interest
Broker Rate Maturity Amount
-----------------------------------------------------
Barclays Securities 0.750% 12/29/06 $ 1,581,822
Barclays Securities 4.000 12/29/06 2,810,555
Merrill Lynch 4.450 4/04/06 36,302,119
Merrill Lynch 4.530 4/04/06 50,089,091
Merrill Lynch 4.530 4/04/06 75,714,106
Merrill Lynch 4.580 4/04/06 31,466,231
Morgan Guarantee 4.560 4/04/06 231,994,797
------------
$429,958,721
============
* Represents entire or partial securities out on loan.
(a) Positions, or portion thereof, with an aggregate market value of
$1,027,039,731 have been segregated to collateralize the loan payable
outstanding.
(b) Positions, or portion thereof, with an aggregate market value of
$431,081,854 have been segregated to collateralize reverse repurchase
agreements.
(c) Positions, or portion thereof, with an aggregate market value of
$499,669,138 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 March 31, 2006, the aggregate market value of these securities
amounted to $405,970,280 or 21.72% of net assets.
(e) Coupon increases periodically based upon a predetermined schedule. Stated
interest rate in effect at March 31, 2006.
(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 $5,940,492
has been segregated to collateralize margin requirements for the open
futures contracts.
Currency Abbreviations:
ARS - Argentine Peso
BRL - Brazilian Real
COP - Colombian Peso
CRC - Costa Rican Colon
DOP - Dominican Peso
EUR - Euro
GBP - British Pound
IDR - Indonesian Rupiah
KRW - South Korean Won
MXN - Mexican Peso
PEN - Peruvian Nuevo Sol
PLN - Polish Zloty
TRY - New Turkish Lira
U.S. $ - United States Dollar
Glossary of Terms:
DCB - Debt Conversion Bond
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
FRN - Floating Rate Note
PIK - Pay-In-Kind Payments
TBA - (To Be Assigned) - Securities are purchased on a forward commitment with
an approximate principal amount (generally +/- 1.0%) and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are
assigned.
PORTFOLIO OF INVESTMENTS
March 31, 2006 ACM Income Fund
COUNTRY BREAKDOWN
Percent of Total
Country Investments
-------------------------------------
United States 77.80%
Brazil 5.91
Mexico 3.52
Russia 3.08
Turkey 1.85
United Kingdom 1.07
Argentina 0.97
Philippines 0.73
Colombia 0.60
South Korea 0.60
Venezuela 0.59
Germany 0.49
Peru 0.45
Indonesia 0.41
Luxembourg 0.35
Netherlands 0.24
Uruguay 0.19
Bermuda 0.18
Cayman Islands 0.15
Canada 0.14
Panama 0.11
Kazakhstan 0.08
Nigeria 0.07
Austria 0.05
Ecuador 0.05
Lebanon 0.05
Australia 0.04
Costa Rica 0.03
Ukraine 0.03
Dominican Republic 0.02
El Salvador 0.02
France 0.02
Ireland 0.02
Poland 0.02
Spain 0.02
Bulgaria 0.01
Greece 0.01
Japan 0.01
South Africa 0.01
Sweden 0.01
All data are as of March 31, 2006. The Fund's country breakdowns are expressed
as a percentage of total investments and may vary over time.
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-3(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
----------- ------------------------------------------------------------------
3 (a) (1) Certification of Principal Executive Officer Pursuant to Section
302 of the Sarbanes-Oxley Act of 2002
3 (a) (2) Certification of Principal Financial Officer Pursuant to Section
302 of the Sarbanes-Oxley Act of 2002
3
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: May 25, 2006
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: May 25, 2006
By: /s/ Mark D. Gersten
---------------------------------
Mark D. Gersten
Treasurer and Chief Financial Officer
Date: May 25, 2006
4