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
AllianceBernstein 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, 2006
Date of reporting period: September 30, 2006
ITEM 1. SCHEDULE OF INVESTMENTS.
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount
(000) U.S. $ Value
---------- --------------
U.S. GOVERNMENT AND GOVERNMENT SPONSORED
AGENCY OBLIGATIONS-101.8%
U.S. Treasury Bonds-37.0%
5.375%, 2/15/31(a) ................... U.S. $ 1,961 $ 2,118,033
6.25%, 5/15/30(b) .................... 62,230 74,787,827
7.25%, 5/15/16(b) .................... 21,695 26,001,805
11.25%, 2/15/15(b) ................... 160,000 232,712,480
12.00%, 8/15/13(a) ................... 82,000 92,611,948
12.50%, 8/15/14(a) ................... 70,300 84,994,317
13.25%, 5/15/14(a) ................... 150,000 181,540,950
--------------
694,767,360
--------------
U.S. Treasury Strips-15.7%
Zero coupon, 5/15/17(a) .............. 260,000 157,930,500
Zero coupon, 11/15/21(a) ............. 285,350 137,046,180
--------------
294,976,680
--------------
U.S. Treasury Notes-14.5%
1.875%, 7/15/13 TIPS(c) .............. 11,875 12,814,202
3.00%, 11/15/07(b) ................... 19,000 18,614,072
3.25%, 8/15/07(b) .................... 19,000 18,723,911
3.375%, 10/15/09(c) .................. 24,550 23,694,580
3.50%, 11/15/09(a) ................... 154 149,085
4.00%, 9/30/07-2/15/15(a)(b) ......... 122,510 120,655,899
4.125%, 8/15/08-5/15/15(a) ........... 3,074 3,011,837
4.25%, 11/30/07-8/15/14(a) ........... 11,627 11,537,422
4.375%, 8/15/12(a) ................... 700 692,699
4.50%, 2/15/16(a) .................... 598 591,997
4.75%, 5/15/14(b) .................... 60,280 60,790,994
4.875%, 2/15/12(a) ................... 250 253,486
--------------
271,530,184
--------------
Federal National Mortgage
Association-13.4%
4.00%, 5/01/19-3/01/20(c) ............ 18,933 17,917,950
4.116%, 12/01/34(c) .................. 10,141 10,104,130
4.125%, 11/01/34(c) .................. 2,866 2,860,996
4.172%, 9/01/35(a) ................... 1,565 1,560,710
4.35%, 8/01/34(a) .................... 2,285 2,288,527
4.372%, 8/01/34(a) ................... 3,976 3,984,659
4.415%, 8/01/34(a) ................... 2,507 2,507,113
4.467%, 1/01/36(a) ................... 2,155 2,146,617
4.488%, 5/01/33(a) ................... 2,466 2,473,260
4.519%, 8/01/35(a) ................... 1,390 1,385,011
4.566%, 7/01/35(a) ................... 3,492 3,490,174
4.703%, 5/01/35(a) ................... 2,662 2,647,878
4.79%, 7/01/35(a) .................... 5,608 5,580,176
4.809%, 7/01/35(a) ................... 2,285 2,278,633
5.00%, TBA(c) ........................ 77,905 76,541,662
5.00%, 2/01/18-10/25/33(a) ........... 31,347 11,859,768
5.375%, 6/07/21(c) ................... GBP 144 287,629
5.50%, TBA(c) ........................ U.S. $ 37,640 37,075,400
5.50%, 6/01/20(c) .................... 32,539 32,610,928
6.50%, 4/25/32-2/01/36(a) ............ 26,809 27,410,978
6.552%, 1/01/36(a) ................... 3,904 4,005,184
--------------
251,017,383
--------------
Federal Home Loan Mortgage
Corporation-8.7%
4.12%, 1/01/35(a) .................... 17,182 17,251,690
4.243%, 10/01/35(a) .................. 2,746 2,731,406
4.394%, 9/01/34(a) ................... 1,509 1,506,797
4.398%, 8/01/34(a) ................... 2,101 2,117,717
4.599%, 4/01/35(a) ................... 1,986 1,966,975
4.682%, 6/01/35(a) ................... 4,027 3,993,050
5.875%, 5/15/16(a) ................... 42,130 42,333,808
6.00%, 9/01/36(c) .................... 91,787 92,267,529
--------------
164,168,972
--------------
Government National Mortgage
Association-8.5%
0.48594%, 11/16/45(g) ................ 16,668 955,810
5.50%, 7/15/33-6/20/36(c) ............ 156,585 155,257,719
7.00%, 12/15/26(a) ................... 3,793 3,914,933
--------------
160,128,462
--------------
Resolution Funding Corp.-4.0%
Zero coupon, 10/15/20(c) ............. 150,000 74,690,400
--------------
Total U.S. Government and Government
Sponsored Agency Obligations
(cost $1,883,940,587) ................ 1,911,279,441
--------------
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount
(000) U.S. $ Value
---------- --------------
SOVEREIGN DEBT OBLIGATIONS-38.4%
Argentina-1.7%
Republic of Argentina
Zero coupon, 12/15/35(c)(g) .......... ARS 4,423 $ 127,910
0.63%, 12/31/38(c)(g) ................ 1,285 206,055
4.889%, 8/03/12 FRN(c) ............... U.S. $ 22,587 20,836,514
5.83%, 12/31/33(c) ................... ARS 1,420 571,665
7.00%, 3/28/11(c) .................... U.S. $ 365 351,252
7.82%, 12/31/33(c) ................... EUR 5,763 6,942,698
8.28%, 12/31/33(c) ................... U.S. $ 3,274 3,155,965
--------------
32,192,059
--------------
Brazil-9.9%
Brazilian Real Structured Notes
Zero Coupon, 9/20/07(d) .............. BRL 120,551 49,131,859
Zero Coupon, 1/03/08(d) .............. 59,180 23,257,187
Zero Coupon, 1/05/09(d) .............. 76,692 26,340,664
Zero Coupon, 1/05/10(d) .............. 180,614 54,132,801
Republic of Brazil
7.125%, 1/20/37(b)(c) ................ U.S. $ 3,865 3,948,098
8.00%, 1/15/18(c) .................... 1,144 1,255,540
8.25%, 1/20/34(c) .................... 6,408 7,321,140
8.875%, 10/14/19-4/15/24(c) .......... 10,161 12,112,371
11.00%, 8/17/40(c) ................... 821 1,069,353
12.50%, 1/05/16(c) ................... BRL 15,484 7,174,783
--------------
185,743,796
--------------
Bulgaria-0.0%
Republic of Bulgaria
8.25%, 1/15/15(d) .................... U.S. $ 346 407,069
--------------
Colombia-0.9%
Republic of Colombia
7.375%, 9/18/37(c) ................... 215 217,688
10.75%, 1/15/13(c) ................... 1,239 1,513,438
11.75%, 3/01/10(c) ................... COP 26,673,000 11,892,891
11.75%, 2/25/20(c) ................... U.S. $ 2,492 3,476,340
--------------
17,100,357
--------------
Costa Rica-0.0%
Costa Rican Colon Structured Notes
Zero coupon, 1/12/07(d) .............. CRC 226,359 419,580
Republic of Costa Rica
8.05%, 1/31/13(d) .................... U.S. $ 220 236,280
8.11%, 2/01/12(d) .................... 202 216,645
--------------
872,505
--------------
Dominican Republic-0.1%
Dominican Peso Structured Notes
Zero coupon, 10/30/06(d) ............. DOP 3,424 100,591
Zero coupon, 12/11/06(d) ............. 13,100 379,560
Zero coupon, 3/12/07(d) .............. 3,936 110,592
Dominican Republic
8.625%, 4/20/27(d) ................... U.S. $ 302 319,667
9.50%, 9/27/11(d) .................... 121 129,396
--------------
1,039,806
--------------
Ecuador-0.2%
Republic of Ecuador
9.00%, 8/15/30(d)(e) ................. 4,363 3,992,145
9.375%, 12/15/15(d) .................. 214 207,580
--------------
4,199,725
--------------
El Salvador-0.1%
Republic of El Salvador
7.625%, 9/21/34(d) ................... 527 574,430
7.65%, 6/15/35(d) .................... 469 503,003
--------------
1,077,433
--------------
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount
(000) U.S. $ Value
---------- --------------
France-0.0%
French Treasury Note
3.00%, 1/12/10(c) .................... EUR 600 $ 746,765
--------------
Indonesia-0.7%
Indonesian Rupiah Structured Notes
11.00%, 10/15/14-11/18/20(d) ......... IDR 6,057,537 643,518
12.90%, 6/17/22(d) ................... 2,102,200 228,505
14.00%, 6/17/09(d) ................... 4,000,000 466,233
14.25%, 6/19/13(d) ................... 80,000,000 9,956,684
Republic of Indonesia
6.75%, 3/10/14(d) .................... U.S. $ 565 572,910
6.875%, 3/09/17(d) ................... 269 275,053
7.25%, 4/20/15(d) .................... 362 376,118
8.50%, 10/12/35(d) ................... 251 293,670
--------------
12,812,691
--------------
Jamaica-0.0%
Government of Jamaica
9.25%, 10/17/25(c) ................... 104 110,864
10.625%, 6/20/17(c) .................. 207 241,155
--------------
352,019
--------------
Lebanon-0.1%
Lebanese Republic
7.875%, 5/20/11(d) ................... 420 410,130
10.125%, 8/06/08(d) .................. 875 916,562
11.625%, 5/11/16(d) .................. 120 142,140
--------------
1,468,832
--------------
Mexico-6.6%
Mexican Bonos
8.00%, 12/24/08(c) ................... MXN 555,816 50,930,383
9.00%, 12/20/12(c) ................... 565,573 53,424,336
10.00%, 12/05/24(c) .................. 25,347 2,624,100
United Mexican States
5.625%, 1/15/17(c) ................... U.S. $ 1,400 1,383,200
6.375%, 1/16/13(c) ................... 2,626 2,757,300
6.75%, 9/27/34(c) .................... 460 488,290
7.50%, 1/14/12(c) .................... 775 849,789
8.00%, 9/24/22(c) .................... 2,370 2,835,705
8.125%, 12/30/19(c) .................. 3,775 4,530,000
9.875%, 2/01/10(c) ................... 2,180 2,485,200
11.375%, 9/15/16(c) .................. 1,201 1,722,234
--------------
124,030,537
--------------
New Zealand-0.1%
New Zealand Government
6.00%, 7/15/08(c) .................... NZD 1,733 1,119,116
--------------
Nigeria-0.1%
Central Bank of Nigeria
6.25%, 11/15/20(c) ................... U.S. $ 2,000 2,000,000
--------------
Panama-0.2%
Republic of Panama
6.70%, 1/26/36(c) .................... 654 654,000
7.125%, 1/29/26(c) ................... 973 1,026,515
7.25%, 3/15/15(c) .................... 75 80,062
8.875%, 9/30/27(c) ................... 372 460,350
9.375%, 7/23/12-4/01/29(c) ........... 473 594,866
9.625%, 2/08/11(c) ................... 288 327,600
--------------
3,143,393
--------------
Peru-0.7%
Peru Bono Soberano
7.84%, 8/12/20(c) .................... PEN 1,250 408,245
8.20%, 8/12/26(c) .................... 1,019 339,134
8.60%, 8/12/17(c) .................... 7,350 2,534,139
9.91%, 5/05/15(c) .................... 1,600 591,171
Republic of Peru
7.35%, 7/21/25(c) .................... U.S. $ 1,273 1,358,928
8.375%, 5/03/16(c) ................... 3,928 4,517,200
8.75%, 11/21/33(c) ................... 2,669 3,269,525
9.875%, 2/06/15(c) ................... 557 689,288
--------------
13,707,630
--------------
Philippines-1.4%
Republic of Philippines
7.75%, 1/14/31(c) .................... 4,441 4,629,742
8.00%, 1/15/16(c) .................... 142 155,135
8.25%, 1/15/14(c) .................... 1,113 1,213,170
8.375%, 2/15/11(c) ................... 84 90,216
8.875%, 3/17/15(c) ................... 3,135 3,566,062
9.00%, 2/15/13(c) .................... 266 298,984
9.50%, 10/21/24-2/02/30(c) ........... 4,662 5,742,890
9.875%, 1/15/19(c) ................... 1,087 1,341,358
10.625%, 3/16/25(c) .................. 6,267 8,344,510
--------------
25,382,067
--------------
Poland-0.0%
Poland Government Bond
6.25%, 10/24/15(c) ................... PLN 2,538 852,749
--------------
Russia-5.5%
Russian Federation
5.00%, 3/31/30(d)(e) ................. U.S. $ 85,537 95,288,218
11.00%, 7/24/18(d) ................... 490 702,905
Russian Ministry of Finance
3.00%, 5/14/08-5/14/11(c) ............ 6,690 6,376,900
--------------
102,368,023
--------------
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount
(000) U.S. $ Value
---------- --------------
South Korea-2.1%
Korean Won Structured Notes
5.25%, 12/10/10-12/11/10(d) .......... KRW 36,649,060 $ 39,629,878
--------------
Spain-0.0%
Kingdom of Spain
5.25%, 4/06/29(c) .................... GBP 109 223,283
--------------
Turkey-5.3%
Republic of Turkey
6.875%, 3/17/36(c) ................... U.S. $ 953 864,848
7.00%, 6/05/20(c) .................... 1,430 1,385,670
7.375%, 2/05/25(c) ................... 587 579,663
8.00%, 2/14/34(c) .................... 150 154,875
9.50%, 1/15/14(c) .................... 740 841,750
11.00%, 1/14/13(c) ................... 2,090 2,516,360
11.50%, 1/23/12(c) ................... 860 1,037,590
11.75%, 6/15/10(c) ................... 623 728,910
11.875%, 1/15/30(c) .................. 208 306,800
Turkish Lira Structured Notes
Zero coupon, 1/25/07(d) .............. TRY 914 573,811
Zero coupon, 6/28/07(d) .............. 153,757 89,568,524
--------------
98,558,801
--------------
Ukraine-0.0%
Government of Ukraine
6.875%, 3/04/11(d) ................... U.S. $ 302 305,020
7.65%, 6/11/13(d) .................... 387 409,253
11.00%, 3/15/07(d) ................... 160 163,475
--------------
877,748
--------------
United Kingdom-1.3%
United Kingdom Gilt
4.00%, 3/07/09(c) .................... GBP 8,666 15,920,053
4.25%, 12/07/27-3/07/36(c) ........... 2,058 3,916,893
4.75%, 9/07/15-3/07/20(c) ............ 1,384 2,660,619
5.00%, 9/07/14-3/07/25(c) ............ 881 1,779,176
8.00%, 6/07/21(c) .................... 150 386,805
8.75%, 8/25/17(c) .................... 175 447,595
--------------
25,111,141
--------------
Uruguay-0.4%
Republic of Uruguay
5.00%, 9/14/18(c) ............... UYU 6,700 283,316
7.50%, 3/15/15(c) ............... U.S. $ 4,120 4,301,280
7.875%, 1/15/33 PIK(c) .......... 429 444,497
8.00%, 11/18/22(c) .............. 1,164 1,228,020
9.25%, 5/17/17(c) ............... 739 863,891
--------------
7,121,004
--------------
Venezuela-1.0%
Republic of Venezuela
5.75%, 2/26/16(c) .................... 1,847 1,694,623
6.51%, 4/20/11 FRN(d) ................ 420 415,464
7.00%, 12/01/18(d) ................... 1,957 1,932,538
8.50%, 10/08/14(c) ................... 612 677,790
9.25%, 9/15/27(c) .................... 6,315 7,688,514
10.75%, 9/19/13(c) ................... 4,904 5,995,140
13.625%, 8/15/18(c) .................. 522 769,950
--------------
19,174,019
--------------
Total Sovereign Debt Obligations
(cost $628,009,819) .................. 721,312,445
--------------
CORPORATE DEBT OBLIGATIONS-9.9%
Corporate Debt - High Yield
Obligations-7.0%
ALB Finance BV
9.25%, 9/25/13(d) .................... 226 223,568
Alfa Bond Issuance PLC for OJC
8.625%, 12/09/15(e)(g) ............... 300 298,428
Allied Domecq Finance PLC
6.625%, 4/18/11(c) ................... GBP 50 97,053
Antenna TV SA
7.25%, 2/15/15(d) .................... EUR 10 11,032
Associated Materials Inc.
11.25%, 3/01/14(c)(f) ................ U.S. $ 12,545 6,899,750
AT&T Corp.
8.00%, 11/15/31(c) ................... 1,000 1,222,255
Banco BMG SA
9.15%, 1/15/16(d) .................... 400 401,000
Broder Brothers Co.
11.25%, 10/15/10(c) .................. 1,000 975,000
Burlington Coat Factory Warehouse Corp.
11.125%, 4/15/14(d)* ................. 1,500 1,447,500
C&M Finance LTD
8.10%, 2/01/16(d) .................... 1,690 1,656,200
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount
(000) U.S. $ Value
---------- --------------
Centennial Communication CP
10.00%, 1/01/13(c)* .................. U.S. $ 1,500 $ 1,518,750
Central European Distribution Corp.
8.00%, 7/25/12(d) .................... EUR 78 106,821
Chaoda Modern Agriculture
7.75%, 2/08/10(d) .................... U.S. $ 435 418,687
Charter Communications Holdings
11.00%, 10/01/15(c) .................. 4,009 3,648,190
11.75%, 5/15/14(c)(f) ................ 10,000 7,125,000
Citigroup (JSC Severstal)
9.25%, 4/19/14(d) .................... 230 244,439
Cognis GmbH
9.50%, 5/15/14(d) .................... EUR 5 6,721
Deutsche Bank AG for Gazstream SA
5.625%, 7/22/13(d) ................... U.S. $ 218 215,327
Digicel, Ltd.
9.25%, 9/01/12(d) .................... 965 1,001,187
Dole Foods Co.
8.875%, 3/15/11(c)* .................. 1,000 957,500
Electronic Data Systems Corp.
6.00%, 8/01/13(c) .................... 600 608,656
Evraz Group SA
8.25%, 11/10/15(d) ................... 489 490,222
Fairfax Financial Holdings Ltd.
8.30%, 4/15/26(c)* ................... 5,000 4,300,000
Ford Motor Credit Co.
4.95%, 1/15/08(c) .................... 152 147,810
6.625%, 6/16/08(c) ................... 454 447,136
7.00%, 10/01/13(c) ................... 1,500 1,391,757
Freeport-McMoran Copper & Gold, Inc.
10.125%, 2/01/10(c) .................. 500 530,000
Gallery Capital
10.125%, 5/15/13(d) .................. 200 195,660
Gazprom OAO
9.625%, 3/01/13(d) ................... 8,330 9,843,991
General Motors Acceptance Corp.
6.125%, 3/15/07(c) ................... 20 25,499
6.75%, 12/01/14(c)* .................. 10,000 9,762,550
6.875%, 9/15/11(c) ................... 3,960 3,939,020
8.00%, 11/01/31(c) ................... 4,000 4,182,324
Hawaiian Telcom Communications, Inc.
12.50%, 5/01/15(c)* .................. 4,940 5,187,000
Heckler & Koch GmbH
9.25%, 7/15/11(d) .................... EUR 5 6,530
Hertz Corporation
10.50%, 1/01/16(d)* .................. U.S. $ 5,000 5,500,000
HLI Operating Co. Inc.
10.50%, 6/15/10(c)* .................. 1,500 1,233,750
Houghton Mifflin Co.
11.50%, 10/15/13(f) .................. 1,000 872,500
Iirsa Norte Finance Ltd.
8.75%, 5/30/24(d) .................... 200 206,500
Inmarsat Finance PLC
10.375%, 11/15/12(c)(f) .............. 6,475 5,730,375
Intelsat Bermuda Ltd.
11.25%, 6/15/16(d) ................... 3,000 3,187,500
Kazkommerts International BV
8.50%, 4/16/13(d) .................... 325 342,062
Kyivstar
7.75%, 4/27/12(d) .................... 100 101,250
10.375%, 8/17/09(d) .................. 200 217,400
Legrand S.A.
8.50%, 2/15/25(c) .................... 10 11,325
Level 3 Communications Inc.
11.50%, 3/01/10(c)* .................. 2,500 2,568,750
Mobifon Holdings BV
12.50%, 7/31/10(c) ................... 5,205 5,836,106
Mobile Telesystems Finance S.A.
9.75%, 1/30/08(d)* ................... 1,185 1,230,919
NCL Corp.
10.625%, 7/15/14(c) .................. 3,845 3,720,037
Noble Group Ltd.
6.625%, 3/17/15(d) ................... 560 495,616
NRG Energy Inc.
7.25%, 2/01/14(c) .................... 5 4,962
7.375%, 2/01/16(c) ................... 15 14,906
Paxson Communications Corp.
11.318%, 1/15/13 FRN(d)* ............. 6,000 6,045,000
Quality Distribution LLC
9.00%, 11/15/10(c) ................... 1,775 1,699,562
Rainbow National Services LLC
10.375%, 9/01/14(d) .................. 2,500 2,825,000
RBS Global Inc. & Rexnord Corp.
11.75%, 8/01/16(d) ................... 2,000 2,070,000
R H Donnelley Corp.
6.875%, 1/15/13(c) ................... 9 8,213
Rhodia S.A.
10.25%, 6/01/10(c) ................... 5 5,600
Rural Cellular Corp.
9.75%, 1/15/10(c)* ................... 4,500 4,528,125
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount
(000) U.S. $ Value
---------- --------------
Russian Standard Finance SA
7.50%, 10/07/10(d) ................... U.S. $ 386 $ 374,420
Select Medical Corp.
11.175%, 9/15/15 FRN(c)* ............. 5,000 4,400,000
Sirius Satellite Radio Inc.
9.625%, 8/01/13(c)* .................. 1,500 1,466,250
Six Flags Inc.
9.625%, 6/01/14(c)* .................. 1,500 1,335,000
Tyumen Oil Co.
11.00%, 11/06/07(d) .................. 90 94,780
Unibanco
8.70%, 2/11/10(d) .................... BRL 4,290 1,834,935
William Lyon Homes Inc.
10.75%, 4/01/13(c) ................... U.S. $ 2,000 1,840,000
Willis Group N America
5.125%, 7/15/10(c) ................... 500 491,534
XM Satellite Radio Inc.
9.75%, 5/01/14(c) .................... 1,500 1,432,500
--------------
Yioula Glassworks SA
9.00%, 12/01/15(d) ................... EUR 253 341,671
--------------
Total Corporate Debt - High Yield
Obligations (cost $133,209,886) ...... 131,599,111
--------------
Corporate Debt - High Grade
Obligations-2.9%
Aegon NV
6.125%, 12/15/31(c) .................. GBP 26 56,718
AK Steel Corp.
7.875%, 2/15/09(c)* .................. U.S. $ 5,000 4,981,250
AMP Group Finance Services
7.125%, 8/06/19(c)(g) ................ GBP 50 96,194
AMP UK Finance Services
6.375%, 11/17/10(c) .................. 110 211,164
Australia & New Zealand Banking Group
Ltd. 4.875%, 12/22/08(c) ............. 106 196,708
Bank of Scotland Capital Funding
8.117%, 5/31/10(d)(g) ................ 90 183,205
Barclays Bank
8.55%, 6/15/11(d)(g) ................. U.S. $ 638 717,105
9.875%, 5/12/08(c)(g) ................ GBP 195 389,480
Berkley W R Corp.
6.15%, 8/15/19(c) .................... U.S. $ 100 100,001
BMW U.S. Capital Corp.
4.625%, 11/28/08(c) .................. GBP 60 110,738
British Sky Broadcasting PLC
7.75%, 7/09/09(c) .................... 94 185,434
BSKYB Finance UK PLC
5.625%, 10/15/15(d) .................. U.S. $ 350 342,538
5.75%, 10/20/17(d) ................... GBP 50 92,473
Capital One Bank
6.50%, 6/13/13(c) .................... U.S. $ 1,200 1,255,064
Centex Corp.
7.50%, 1/15/12(c) .................... 200 213,994
CIT Group, Inc.
5.50%, 12/15/08(c) ................... GBP 175 328,076
Citigroup, Inc.
5.50%, 11/18/15(c) ................... 85 163,043
5.875%, 7/01/24(c) ................... 32 64,537
Clear Channel Communications, Inc.
5.75%, 1/15/13(c) .................... U.S. $ 220 211,435
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount U.S. $
(000) Value
--------------------------------------------------------------------------------
Comcast Corp.
4.95%, 6/15/16(c) ......................... U.S. $ 1,400 $1,305,371
Comerica Bank
8.375%, 7/15/24(c) ........................ 2,000 2,314,834
Countrywide Home Loan
5.875%, 12/15/08(c) ....................... GBP 53 99,841
DaimlerChrysler NA Holding
5.75%, 8/10/11(c) ......................... 110 204,791
7.50%, 12/07/06(c) ........................ 210 394,529
Duke Capital Corp.
6.25%, 2/15/13(c) ......................... U.S. $ 1,500 1,541,313
Embarq Corp.
7.082%, 6/01/16(c) ........................ 1,202 1,226,159
Farmers Exchange Capital
7.05%, 7/15/28(d) ......................... 200 204,989
Farmers Insurance Exchange
8.625%, 5/01/24(d) ........................ 250 296,185
FirstEnergy Corp.
6.45%, 11/15/11(c) ........................ 243 253,492
7.375%, 11/15/31(c) ....................... 491 567,667
Foodcorp Ltd.
8.875%, 6/15/12(d) ........................ EUR 194 253,383
FP Finance PLC
9.125%, 11/25/06(d)(g) .................... GBP 60 112,801
Friends Provident PLC
6.292%, 7/01/15(c)(g) ..................... 50 93,645
General Electric Capital Corp.
5.375%, 12/18/40(c) ....................... 41 83,959
Goldman Sachs Group Inc.
5.50%, 10/12/21(c) ........................ 50 93,351
6.125%, 2/14/17(c) ........................ 45 88,951
GPB Eurobond Finance
6.50%, 9/23/15(c) ......................... U.S. $ 400 390,750
HSBC Bank USA
4.625%, 4/01/14(c) ........................ 1,000 953,110
HSBC Holdings PLC
6.50%, 5/02/36(c) ......................... 1,600 1,698,493
ILFC E-Capital Trust I
5.90%, 12/21/65(d)(g) ..................... 650 654,768
ING Bank NV
7.00%, 10/05/10(c) ........................ GBP 95 188,216
Inter-American Development Bank
9.75%, 5/15/15(c) ......................... 56 140,899
International Lease Finance Corp.
3.50%, 4/01/09(c) ......................... U.S. $ 496 475,642
Ipalco Enterprises Inc.
8.375%, 11/14/08(c) ....................... 100 102,750
J.P. Morgan Chase & Co.
5.375%, 9/28/16(c) ........................ GBP 50 93,875
6.625%, 3/15/12(c) ........................ U.S. $ 1,400 1,484,889
Legal & General Finance PLC
5.875%, 4/05/33(c) ........................ GBP 26 54,663
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount U.S. $
(000) Value
--------------------------------------------------------------------------------
Liberty Mutual Group Inc.
5.75%, 3/15/14(d) ......................... U.S. $ 170 $ 167,179
Lloyds TSB Capital
7.834%, 2/07/15(c)(g) ..................... GBP 49 104,231
10.625%, 10/21/08(c) ...................... 134 277,384
Marks & Spencer PLC
5.625%, 3/24/14(c) ........................ 89 166,018
6.250%, 1/23/07(c) ........................ 23 43,109
MBNA Europe Funding PLC
6.00%, 11/12/10(c) ........................ 70 134,617
Merrill Lynch & Co.
6.00%, 2/17/09(c) ......................... U.S. $ 100 101,660
Mizuho Finance
5.79%, 4/15/14(d) ......................... 100 101,080
MM02 PLC
7.625%, 1/25/12(c) ........................ GBP 106 216,271
MMG Fiduciary (AES EL Salvador)
6.75%, 2/01/16(d) ......................... U.S. $ 350 345,609
Morgan Stanley
5.125%, 11/30/15(c) ....................... GBP 100 183,748
National Grid Gas PLC
6.125%, 12/07/06(c) ....................... 60 112,453
Nationwide Building Society
5.25%, 2/12/18(c)(g) ...................... 25 46,575
Oracle Corp. / Ozark Holding Inc.
5.25%, 1/15/16(c) ......................... U.S. $ 980 964,387
Philip Morris
7.75%, 1/15/27(c)* ........................ 3,500 4,237,845
Prudential PLC
6.125%, 12/19/31(c) ....................... GBP 27 55,258
Red Arrow Intl Leasing
8.375%, 3/31/12(c) ........................ RUB 14,176 546,357
Resolution PLC
6.5864%, 4/25/16(c)(g) .................... GBP 50 91,401
Resona Bank Ltd.
4.125%, 9/27/12(d)(g) ..................... EUR 67 82,463
5.85%, 4/15/16(d)(g) ...................... U.S. $ 138 134,914
5.986%, 8/10/11(e)(g) ..................... GBP 50 94,274
Resona Preferred Global Securities
7.191%, 7/30/15(d)(g) ..................... U.S. $ 160 165,600
Rexam PLC
7.125%, 3/27/09(c) ........................ GBP 58 112,303
Royal & Sun Alliance Insurance
7.387%, 12/31/10(c) ....................... 117 233,632
Santander Central Hispano Issue Ltd.
6.80%, 11/29/10(c) ........................ 83 163,273
7.25%, 12/07/11(c)(g) ..................... 70 140,770
SLM Student Loan Trust
5.15%, 9/17/15(d) ......................... 100 188,131
South Wales Electricity
9.25%, 11/09/20(c) ........................ 19 48,527
Southern Peru Copper Corp.
7.50%, 7/27/35(c) ......................... U.S. $ 370 387,247
Sprint Capital Corp.
8.75%, 3/15/32(c) ......................... 5,663 6,906,023
Standard Chartered Bank
6.75%, 4/27/09(c) ......................... GBP 100 193,270
STB Finance Cayman
5.834%, 10/20/11(e)(g) .................... 100 187,664
Svenska Handelsbanken
6.125%, 3/04/09(c)(g) ..................... 169 321,046
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount U.S. $
(000) Value
--------------------------------------------------------------------------------
TCNZ Finance LTD.
6.125%, 12/12/08(c) ..................... GBP 60 $ 113,669
Telecom Italia Finance SA
7.75%, 1/24/33(c) ....................... EUR 20 30,081
Telekom Finanzmanagement
5.00%, 7/22/13(c) ....................... 1,112 1,439,970
Tengizchevroil Fin Co
6.124%, 11/15/14(d) ..................... U.S. $ 2,172 2,150,280
Time Warner Entertainment Co. LP
8.375%, 3/15/23(c) ...................... 145 167,457
TNK-BP Finance
7.50%, 7/18/16(d) ....................... 766 798,858
TYCO International Group SA
6.00%, 11/15/13(c) ...................... 140 144,876
6.50%, 11/21/31(c) ...................... GBP 1,585 3,353,461
Union Carbide Corp.
7.75%, 10/01/96(c) ...................... U.S. $ 1,785 1,877,895
Vodafone Group PLC
6.250%, 7/10/08(c) ...................... GBP 47 89,197
Wachovia Cap Trust III
5.80%, 3/15/11(c)(g) .................... U.S. $ 552 553,498
WellPoint Inc.
5.85%, 1/15/36(c) ....................... 83 80,505
Western Power Distribution LLC
5.875%, 3/25/27(c) ...................... GBP 30 60,125
WMC Finance USA
5.125%, 5/15/13(c) ...................... U.S. $ 500 492,326
WPP Finance Corp.
5.875%, 6/15/14(c) ...................... 180 180,496
Yorkshire Power Finance
7.25%, 8/04/28(c) ....................... GBP 86 197,364
Zurich Capital Trust
8.376%, 6/01/37(d) ...................... U.S. $ 253 266,235
Zurich Finance PLC
6.625%, 10/02/22(c)(g) .................. GBP 47 94,426
------------
Total Corporate Debt - High Grade
Obligations (cost $52,794,124) .......... 54,617,511
------------
Total Corporate Debt Obligations
(cost $186,004,010) ..................... 186,216,622
------------
BANK LOANS-4.4%
Alion Science and Technology Corporation
7.46%, 12/31/11 ......................... U.S. $ 1,000 997,500
Alon USA Energy, Inc.
7.82%, 5/18/13 .......................... 111 111,111
Amscan Holdings, Inc.
8.30-8.3925%,12/21/12 ................... 499 503,719
Atlantic Broadband Finance, LLC
8.14%, 6/30/11 .......................... 1,991 2,005,723
Beverly Enterprises
8.80-9.07%, 7/24/11 ..................... 1,244 1,246,859
Blockbuster Inc. TLB
8.80-9.07%, 8/20/11 ..................... 1,022 1,019,254
Bluegrass Container Company LLC
10.33%, 6/30/13 ......................... 758 765,153
10.33%, 12/30/13 ........................ 242 243,939
Builders FirstSource, Inc.
8.01%, 7/11/11 .......................... 178 178,222
Burlington Coat Factory Warehouse
Corporation 7.53%, 5/28/13 .............. 995 963,548
Butler Animal Health Supply, LLC
7.44%, 6/01/11 .......................... 1,975 1,982,406
Calgen 1TL Ommerc BRL SC
8.38%, 4/01/09 .......................... 500 511,875
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount U.S. $
(000) Value
--------------------------------------------------------------------------------
Cebridge Conn PIK
11.49%, 4/30/14 ........................... U.S. $ 2,525 $2,396,865
Cebridge Conn Assets Ale Ln
10.49%, 10/30/07 .......................... 2,000 1,980,000
Cebridge Conn Lien 2 Tranche A
9.99%, 4/30/14 ............................ 1,250 1,208,337
Cebridge Conn TLB
7.74%, 10/01/13 ........................... 1,000 990,710
Cedar Fair L.P.
8.12%, 6/30/12 ............................ 1,995 2,006,631
Cellnet Technology, Inc.
8.37%, 4/22/12 ............................ 955 956,848
Cheniere LNG Holdings, LLC
8.25%, 9/30/12 ............................ 1,485 1,492,885
Delphi Corporation
9.41-9.48%, 6/14/11 ....................... 1,500 1,548,750
Doubleclick, Inc.
9.17%, 6/14/12 ............................ 779 788,778
DynCorp International LLC
7.69-7.81%, 2/08/11 ....................... 988 991,825
Eastman Kodak Company
7.64-7.75%, 10/18/12 ...................... 993 992,628
Ferro Corporation
8.58-8.74%, 6/06/12 ....................... 833 830,733
FHC Health Systems, Inc.
5.49%, 6/30/08 ........................... 1,000 1,010,000
GBGH, LLC
10.94%, 8/07/13 ........................... 650 650,000
Georgia-Pacific Corporation
8.39%, 2/14/14 ............................ 1,000 1,009,040
Graham Packaging Company, L.P.
7.81-9.69%, 3/04/12 ....................... 938 944,010
Hertz Corporation
7.61-7.70%, 12/21/12 ...................... 39 39,250
Hertz Corporation
5.39%, 12/21/12 ........................... 33 33,514
Hertz Corporation
7.58-7.73%, 12/21/12 ...................... 226 227,637
HIT Entertainment, Inc.
7.17%, 8/05/12 ............................ 990 993,712
HLI Operating TLC
5.26-5.59%, 6/30/10 ....................... 500 503,440
Infor Enterprise Solutions Holdings, Inc.
9.12%, 7/28/12 ............................ 2,000 2,010,042
IPC Acquisition Corp.
11.87%, 8/24/14 ........................... 1,500 1,526,250
Keystone Automotive Operations, Inc.
7.86-9.75%, 12/30/12 ...................... 995 996,244
Kranson Industries, Inc.
8.17%, 7/31/13 ............................ 1,500 1,507,500
London Arena and Waterfront Finance, LLC
8.89%, 1/31/12 ............................ 1,741 1,752,133
LPL Holdings Inc.
7.88-8.37%, 6/28/13 ....................... 1,489 1,504,099
Maax, Inc.
8.36-8.50%, 6/01/11 ....................... 1,681 1,580,171
MetroPCS Wireless, Inc.
10.19%, 5/03/11 ........................... 2,200 2,246,750
MGM Holdings II, Inc.
8.62%, 3/15/12 ............................ 2,488 2,463,247
Motorsport Aftermarket Group, Inc.
8.33%, 12/31/11 ........................... 1,464 1,465,822
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Principal
Amount U.S. $
(000) Value
--------------------------------------------------------------------------------
MultiPlan Merger Corporation
7.35%, 5/31/13 ........................... U.S. $ 1,421 $ 1,411,710
National Renal Institutes, Inc.
7.56-7.63%, 3/31/13 ...................... 848 848,409
N.E.W. Holdings
12.46%, 2/08/14 .......................... 500 507,500
NewPage Corporation
8.50%, 4/15/11 ........................... 774 777,018
Northeast Biofuels, LLC
8.62%, 6/30/13 ........................... 317 318,659
8.76%, 6/30/13 ........................... 683 686,341
North Las Vegas
8.12%, 4/20/11 ........................... 199 195,020
12.37%, 4/20/12 .......................... 1,100 1,089,000
Plum Point Energy Associates, LLC
10.62%, 9/15/14 .......................... 1,797 1,783,799
Prestige Brands, Inc.
7.71-9.50%, 4/05/11 ...................... 2,646 2,653,954
Rayovac Corporation
8.08-8.44%, 2/07/12 ...................... 1,349 1,350,800
Reliant Energy, Inc.
7.71%, 12/22/10 .......................... 181 180,327
Riverside Energy Center
9.74%, 6/22/11 ........................... 1,595 1,626,486
Rocky Mountain Energy Center, LLC
5.39-9.74%, 6/22/11 ...................... 1,229 1,253,702
Select Personal Services TL
4.50%, 6/30/12 ........................... 1,000 995,000
SemCrude, L.P.
7.64-9.00%, 8/27/08 ...................... 806 810,517
Sensata Technology
7.12-7.24%, 4/26/13 ...................... 998 990,019
Smurfit-Stone Container
7.63-7.69%, 10/01/10 ..................... 1,103 1,107,728
Solo Cup Company
9.66%, 3/31/12 ........................... 2,000 2,005,000
Stratus Technologies Inc.
14.33%, 3/28/12 .......................... 1,500 1,425,000
Swett & Crawford
11.83%, 11/10/12 ......................... 500 502,500
Targus Group International
8.30%, 11/22/12 .......................... 997 978,348
TDS Investor Corp.
8.37%, 8/22/13 ........................... 1,000 1,000,492
Trinidad Drilling
7.83%, 4/13/11 ........................... 1,000 995,833
United Air Lines, Inc.
9.13-9.25%, 2/01/12 ...................... 249 251,922
Universal City Development Partners, Ltd
7.40-7.51%, 6/09/11 ...................... 925 925,455
UPC Financing Partnership
7.64%, 3/31/13 ........................... 500 498,705
7.64%, 12/31/13 .......................... 500 498,940
Vanguard Car Rental USA Holding, Inc.
8.37%, 5/15/13 ........................... 935 935,000
Venetian Macau TLB
1.375-8.12%, 2/01/13 ..................... 667 669,447
Vertafore, Inc.
7.85-7.90%, 1/31/12 ...................... 258 258,443
1.25-7.90%, 1/31/12 ...................... 33 33,367
Visteon Corporation
8.61%, 5/31/13 ........................... 1,000 996,250
VTR Globalcom
10.25%, 9/20/13 .......................... 500 497,500
Wesco Aircraft
% 9/20/13 ................................ 250 250,000
Wide Open West Finance, LLC
10.40%, 4/28/14 .......................... 1,000 1,007,750
Xerium Technology, Inc.
7.62%, 5/18/12 ........................... 744 741,012
-----------
Total Bank Loans
(cost $82,166,075) ....................... 82,234,113
-----------
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Shares or
Principal
Amount
(000) U.S. $ Value
--------------------------------------------------------------------------------
NON-CONVERTIBLE - PREFERRED STOCK-0.1%
MetLife, Inc.
6.50%(c) ............................ 40,000 $ 1,036,400
---------------
(cost $1,024,000)
CONVERTIBLE - PREFERRED STOCK-0.1%
UBS Capital VIII
6.35%(c)*
(cost $975,000) ..................... 39,000 964,130
---------------
WARRANTS(h)-0.0%
Central Bank of Nigeria
Warrants, expiring 11/15/20(c) ...... 4,500 900,000
Republic of Venezuela
Warrants, expiring 4/15/20 .......... 1,785 0
Total Warrants
---------------
(cost $0) ........................... 900,000
---------------
SHORT-TERM INVESTMENTS-7.3%
Repurchase Agreement-2.6%
Deutsche Bank Finance
4.90%, 9/27/06, due 10/03/06 in the
amount of $24,061,162
(collateralized by $24,615,000 US
Treasury, 2.625%, 5/15/08;
value-$24,061,162)
(cost $24,061,163) .................. U.S. $ 1,785 24,061,162
Merrill Lynch & Co.
5.25%, 9/29/06, due 10/02/06 in the
amount of $24,800,000
(collateralized by $25,915,000 FHLMC,
3.25%, 3/14/08;
value-$24,800,000)
(cost $24,800,000) .................. 24,800 24,800,000
---------------
48,861,162
---------------
Time Deposit-0.4%
State Street
4.60%, 10/02/06
(cost $7,300,000) ................... 7,300 7,300,000
---------------
Canada Government Treasury
Obligation-0.8%
Canada GovernmentTreasury Bill
Zero coupon, 10/05/06(c) ............ CAD 290 259,273
Zero coupon, 11/30/06(c) ............ 16,000 14,214,699
---------------
(cost $14,574,604) .................. 14,473,972
---------------
U.S. Treasury Obligations-3.5%
U.S. Treasury Bills
Zero coupon, 10/05/06(a) ............ U.S. $ 4,000 3,998,436
Zero coupon, 11/02/06(a)(i) ........ 63,000 62,752,284
---------------
(cost $66,731,257) .................. 66,750,720
---------------
Total Short-Term Investments
(cost $137,467,024) ................. 137,385,854
---------------
Total Investments Before Security
Lending Collateral-162.0%
(cost $2,919,586,515) ............... 3,041,329,005
---------------
INVESTMENT OF CASH COLLATERAL FOR
SECURITIES LOANED-2.6%
Short-Term Investment
UBS Private Money Market Fund, LLC
5.11%
(cost $48,771,877) .................. 48,771,877
---------------
Total Investments-164.6%
(cost $2,968,358,392) ............... 3,090,100,882
Other assets less liabilities-(64.6%) .. (1,212,146,627)
---------------
Net Assets-100.0% ...................... $ 1,877,954,255
===============
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
FINANCIAL FUTURES CONTRACTS SOLD (see Note C)
Value at Unrealized
Number of Expiration September 30, Appreciation/
Type Contracts Month Original Value 2006 (Depreciation)
--------------------- --------- ---------- -------------- -------------- --------------
5 Year Swap December
Futures 3,989 2006 $418,308,550 $420,901,828 $(2,593,278)
U.S. Treasury 10 Year December
Futures 2,825 2006 302,535,126 305,276,563 (2,741,437)
U.S. Treasury 30 Year December
Futures 168 2006 18,517,782 18,884,250 (366,468)
-----------
$(5,701,183)
-----------
FORWARD EXCHANGE CURRENCY CONTRACTS (see Note C)
U.S. $
Contract Value on U.S. $ Unrealized
Amount Origination Current Appreciation/
(000) Date Value (Depreciation)
------------------------------------------------------------------------------
Buy Contracts:
Australian Dollar,
settling 10/17/06 59,330 $44,559,491 $44,201,202 $(358,289)
settling 10/26/06 500 379,605 372,426 (7,179)
British Pound,
settling 10/20/06 249 461,855 466,849 4,994
settling 10/26/06 50 95,192 94,359 (833)
settling 11/15/06 51 96,054 94,746 (1,308)
settling 11/16/06 504 957,000 943,951 (13,049)
settling 11/22/06 584 1,101,847 1,094,712 (7,135)
settling 11/24/06 48 90,622 89,719 (903)
settling 12/11/06 61 113,825 113,677 (148)
settling 12/22/06 62 118,931 117,100 (1,831)
Canadian Dollar,
settling 10/11/06 35,942 32,136,048 32,167,110 31,062
Euro,
settling 10/19/06 6,186 7,860,615 7,853,508 (7,107)
settling 11/22/06 129 164,363 164,444 81
Japanese Yen,
settling 10/31/06 2,014,058 17,376,049 17,134,235 (241,814)
Mexican Peso,
settling 10/10/06 4,766 430,000 433,291 3,291
settling 10/20/06 1,400 126,418 127,159 741
New Zealand Dollar
settling 10/19/06 7,200 4,750,632 4,694,349 (56,283)
Polish Zloty,
settling 10/10/06 475 158,595 151,858 (6,737)
South African Rand,
settling 10/03/06 3,261 459,544 418,568 (40,976)
settling 11/09/06 3,261 421,061 417,193 (3,868)
South Korean Won,
settling 10/23/06 610,102 638,583 645,181 6,598
Swedish Krona
settling 10/26/06 690 95,076 94,356 (720)
settling 11/15/06 680 94,965 93,053 (1,912)
settling 11/21/06 130,945 18,144,030 17,940,097 (203,933)
Turkish Lira
settling 12/20/06 57 37,811 36,725 (1,086)
Sale Contracts:
British Pound,
settling 10/16/06 20,414 38,655,870 38,230,162 425,708
settling 10/20/06 66 126,454 124,529 1,925
settling 10/26/06 256 474,685 479,890 (5,205)
settling 11/01/06 459 857,679 859,869 (2,190)
settling 11/15/06 50 94,965 93,672 1,293
settling 11/22/06 88 164,348 165,058 (710)
settling 12/11/06 31 56,818 57,113 (295)
settling 12/20/06 20 37,811 37,480 331
Canadian Dollar,
settling 10/11/06 525 474,100 469,505 4,595
Euro,
settling 10/19/06 3,724 4,750,564 4,728,014 22,550
settling 10/27/06 665 844,796 844,056 740
settling 11/22/06 855 1,101,847 1,087,338 14,509
Mexican Peso,
settling 10/10/06 369,098 34,025,132 33,553,992 471,140
settling 10/20/06 5,046 461,855 458,485 3,370
settling 11/30/06 804,957 72,690,554 72,984,215 (293,661)
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
Polish Zloty,
settling 11/15/06 290 96,055 92,758 3,297
settling 11/24/06 275 90,622 87,988 2,634
settling 12/11/06 355 113,799 113,772 27
South African Rand,
settling 10/03/06 3,261 422,441 418,568 3,873
South Korean Won,
settling 10/23/06 5,314,449 5,537,496 5,620,010 (82,514)
settling 11/14/06 18,408,728 19,273,127 19,477,490 (204,363)
settling 12/15/06 12,843,165 13,390,152 13,599,285 (209,133)
Swedish Krona
settling 10/26/06 690 95,192 94,355 837
CREDIT DEFAULT SWAP CONTRACTS (see Note C)
Notional Unrealized
Swap Counterparty & Amount Interest Termination Appreciation/
Referenced Obligation (000) Rate Date (Depreciation)
-------------------------------- -------- -------- ----------- --------------
Buy Contracts:
Citigroup Global Markets, Inc.
Republic of Hungary
4.50%, 2/06/13 10,250 0.50% 11/26/13 11,503
Citigroup Global Markets, Inc.
Republic of Hungary
4.50%, 1/29/14 10,000 0.30 10/20/15 212,167
J P Morgan Chase
Republic of Hungary
4.75%, 2/03/15 1,280 0.30 10/20/15 28,149
Sale Contracts:
Citibank N.A.
Republic of Brazil
12.25%, 3/06/30 1,910 3.09 8/20/10 141,731
Citigroup Global Markets, Inc.
Gazprom OAO
5.875-10.50%, 4/25/07-4/28/34 10,000 1.04 10/20/10 85,956
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 1,932 1.98 9/20/07 35,993
Citigroup Global Markets, Inc.
Republic of Colombia
8.375%, 2/15/27 3,750 1.13 1/20/07 18,343
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 3,360 4.95 3/20/09 319,583
Credit Suisse First Boston
Republic of Brazil
12.25%, 3/06/30 600 6.90 6/20/07 40,225
Credit Suisse First Boston
Republic of Venezuela
9.25%, 9/15/27 950 3.17 10/20/15 62,431
Deutsche Bank AG
Republic of Brazil
12.25%, 3/06/30 1,932 1.90 4/20/07 34,315
J P Morgan Chase
Gazprom OAO
5.875-10.50%, 4/25/07-4/28/34 1,380 1.04 10/20/10 11,863
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
REVERSE REPURCHASE AGREEMENTS (see Note C)
Interest
Broker Rate Maturity Amount
------------------- -------- -------- ------------
Barclays Securities 2.50% 12/29/06 $ 1,433,156
Barclays Securities 4.85 12/29/06 2,745,200
Barclays Securities 5.00 12/29/06 7,430,368
Deutsche Bank 5.08 10/03/06 23,537,268
Deutsche Bank 5.10 10/03/06 93,582,909
JP Morgan 5.00 10/03/06 297,455,746
Merrill Lynch Inc. 5.03 10/03/06 61,211,309
Merrill Lynch Inc. 5.11 10/03/06 18,794,459
Merrill Lynch Inc. 5.12 10/03/06 188,383,460
------------
$694,573,875
============
* Represents entire or partial securities out on loan.
(a) Positions, or portion thereof, with an aggregate market value of
$1,120,008,948 have been segregated to collateralize the loan payable
outstanding.
(b) Positions, or portion thereof, with an aggregate market value of
$674,067,826 have been segregated to collateralize reverse repurchase
agreements.
(c) Positions, or portion thereof, with an aggregate market value of
$1,007,450,437 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, 2006, the aggregate market value of these
securities amounted to $452,123,392 or 24.1% of net assets.
(e) Coupon changes periodically based upon a predetermined schedule. Stated
interest rate in effect at September 30, 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) Variable rate coupon, rate shown as of September 30, 2006.
(h) Non-income producing security.
(i) Positions, or portion thereof, with an aggregate market value of $5,976,408
has been segregated to collateralize margin requirements for the open
futures contracts.
Currency Abbreviations:
ARS - Argentine Peso
BRL - Brazilian Real
CAD - Canadian Dollar
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
NZD - New Zealand Dollar
PEN - Peruvian Nuevo Sol
PLN - Polish Zloty
RUB - Russian Ruble
TRY - New Turkish Lira
U.S. $ - United States Dollar
UYU - Uruguayan Peso
Glossary of Terms:
FHLMC - Federal Home Loan Mortgage Corporation
FRN - Floating Rate Note
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.
TIPS - Treasury Inflation Protected Security
PORTFOLIO OF INVESTMENTS
September 30, 2006 (unaudited) ACM Income Fund
--------------------------------------------------------------------------------
COUNTRY BREAKDOWN
Country Percent of Total Investments
------------------ ----------------------------
United States 73.80%
Brazil 6.12
Mexico 4.08
Russia 3.73
Turkey 3.24
South Korea 1.30
United Kingdom 1.16
Argentina 1.06
Philippines 0.83
Venezuela 0.63
Canada 0.62
Colombia 0.56
Peru 0.46
Indonesia 0.42
Bermuda 0.28
Uruguay 0.23
Netherlands 0.21
Luxembourg 0.19
Cayman Islands 0.16
Ecuador 0.14
Panama 0.11
Nigeria 0.10
Kazakhstan 0.08
Austria 0.05
Lebanon 0.05
El Salvador 0.04
New Zealand 0.04
Ukraine 0.04
Australia 0.03
Costa Rica 0.03
Dominican Republic 0.03
France 0.03
Ireland 0.03
Poland 0.03
Spain 0.02
Bulgaria 0.01
Germany 0.01
Greece 0.01
Jamaica 0.01
Japan 0.01
South Africa 0.01
Sweden 0.01
All data are as of September 30, 2006. The Fund's country breakdowns is
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 significant changes in the registrant's internal control over
financial reporting that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
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 20, 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: November 20, 2006
By: /s/ Joseph J. Mantineo
---------------------------------
Joseph J. Mantineo
Treasurer and Chief Financial Officer
Date: November 20, 2006