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, 2003
Date of reporting period: September 30, 2004
ITEM 1. SCHEDULE OF INVESTMENTS.
PORTFOLIO OF INVESTMENTS
September 30, 2004 (unaudited) ACM Income Fund
====================================================================================================
Principal
Amount
(000) U.S. $ Value
----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND SPONSORED AGENCY
OBLIGATIONS-100.7%
U.S. Treasury Bonds- 42.1%
5.375%, 2/15/31(a) ......................... U.S.$ 2,214 $ 2,371,747
6.25%, 5/15/30(b) .......................... 84,000 99,697,500
11.25%, 2/15/15(a)(b) ...................... 160,000 254,581,280
12.00%, 8/15/13(a) ......................... 82,000 108,268,864
12.50%, 8/15/14(a) ......................... 70,300 98,763,275
13.25%, 5/15/14(a) ......................... 150,000 213,234,300
-----------------
776,916,966
-----------------
U.S. Treasury Notes-14.9%
2.375%, 8/15/06(b) ......................... 34,000 33,891,098
2.625%, 5/15/08(b) ......................... 40,000 39,414,080
2.75%, 6/30/06(b) .......................... 40,000 40,165,640
3.00%, 2/15/09(b) .......................... 35,000 34,648,635
3.25%,8/15/08(b) ........................... 50,000 50,236,350
3.875%, 2/15/13(a) ......................... 3,030 3,011,063
4.00%, 11/15/12(a) ......................... 4,664 4,686,592
4.25%, 11/15/13-8/15/13(a) ................. 4,814 4,885,306
4.375%, 8/15/12(a) ......................... 700 721,657
4.75%, 5/15/14(b) .......................... 58,900 61,826,623
4.875%, 2/15/12(a) ......................... 250 266,426
-----------------
273,753,470
-----------------
U.S. Treasury Strips-14.3%
Zero coupon, 5/15/17(a) .................... 260,000 143,758,420
Zero coupon, 11/15/21(a) ................... 285,350 119,272,876
-----------------
263,031,296
-----------------
Federal National Mortgage Association-17.3%
4.00%, 11/25/16(a) ......................... 27,531 27,440,922
4.23%, 4/01/33(c) .......................... 3,882 3,929,827
4.62%, 2/01/34(c) .......................... 10,243 10,421,610
5.00%, 4/25/13 IO(c) ....................... 12,736 971,146
5.00%, 12/25/26-10/25/33(c) ................ 41,803 41,849,603
5.50%, TBA ................................. 38,520 39,795,975
5.50%, TBA ................................. 18,955 19,203,784
6.00%, 5/25/30(c) .......................... 12,219 12,509,650
6.50%, 9/25/42-11/25/44(a) ................. 12,425 13,109,511
6.50%, TBA ................................. 78,215 82,027,981
7.00%, 11/01/18(a) ......................... 64,206 68,145,055
-----------------
319,405,064
-----------------
Federal Home Loan Mortgage Corporation-6.4%
4.50%, 9/15/13-10/15/26(a)(c) .............. 34,561 34,811,830
5.00%, 6/15/14-3/15/28(a) .................. 73,244 74,715,525
5.00%, 1/15/17-7/15/26 IO(c) ............... 33,954 3,474,642
6.50%, 3/15/28(a) .......................... 5,336 5,596,642
-----------------
118,598,639
-----------------
Resolution Funding Corp.-3.5%
Zero coupon, 10/15/20 ...................... 150,000 65,277,450
-----------------
Government National Mortgage Association-2.2%
5.00%, 4/16/18(a) .......................... 32,082 32,683,554
7.00%, 12/15/26(a) ......................... 6,949 7,448,881
-----------------
40,132,435
-----------------
Total U.S. Government and Sponsored Agency Obligations
(cost $1,741,273,052) ...................... 1,857,115,320
-----------------
SOVEREIGN DEBT OBLIGATIONS-30.2%
Argentina-0.8%
Republic of Argentina
1.98%, 8/03/12 FRN(c) ...................... U.S.$ 5,451 4,033,740
6.00%,3/31/23 FRN(c) ....................... 6,006 3,153,150
7.00%,12/19/08(c) .......................... 15,157 4,547,100
11.375%,1/30/17(c) ......................... 1,875 571,875
11.750%,12/31/49(c) ........................ 3,675 1,102,500
12.250%,6/19/18(c) ......................... 2,711 772,776
-----------------
14,181,141
-----------------
Brazil-4.9%
Brazilian Real Structured Note
Zero coupon, 9/20/07(d) .................... BRL 120,551 24,687,098
Republic of Brazil
7.31%, 6/29/09(c) .......................... U.S.$ 4,891 5,350,754
8.25%,1/20/34(c) ........................... 300 267,450
10.125%,5/15/27(c) ......................... 1,650 1,749,000
10.50%,7/14/14(c) .......................... 2,125 2,367,250
11.00%, 8/17/40 ............................ 5,189 5,814,274
12.00%, 4/15/10(c) ......................... 15,225 18,117,750
12.750%,1/15/20(c) ......................... 975 1,235,813
Republic of Brazil
C-Bonds
8.00%, 4/15/14 ............................ 27,331 27,025,328
Republic of Brazil
DCB FRN
2.125%, 4/15/12(c) ......................... 3,737 3,464,085
-----------------
90,078,802
-----------------
Bulgaria-0.0%
Republic of Bulgaria
8.25%, 1/15/15(d) .......................... U.S.$ 528 $ 651,910
-----------------
Colombia-1.2%
Republic of Colombia
8.25%,12/22/14(c) .......................... 1,152 1,137,600
10.75%, 1/15/13(c) ......................... 1,514 1,735,801
11.75%, 2/25/20(c) ......................... 15,365 18,822,125
-----------------
21,695,526
-----------------
Ecuador-0.6%
Republic of Ecuador
8.00%, 8/15/30(d)(e) ....................... 13,669 11,140,235
-----------------
El Salvador-0.0%
Republic of El Salvador
7.625%,9/21/34(d) .......................... 527 540,175
-----------------
Germany-2.5%
Federal Republic of Germany
3.50%, 10/10/08(c) ......................... EUR 30,000 37,785,326
4.25%, 2/15/08(c) .......................... 5,989 7,740,428
-----------------
45,525,754
-----------------
Indonesia-0.1%
Republic of Indonesia
6.75%, 3/10/14(d) .......................... U.S.$ 965 942,081
-----------------
Jamaica-0.0%
Government of Jamaica
11.75%, 5/15/11(c) ......................... 50 58,250
12.75%, 9/01/07(c) ......................... 200 233,000
-----------------
291,250
-----------------
Mexico-3.4%
Mexican Bonos
8.00%, 12/19/13-12/07/23(c) ................ MXP 43,479 3,309,322
9.00%, 12/20/12(c) ......................... 117,939 9,756,441
9.50%, 3/08/07(c) .......................... 328,855 29,803,748
United Mexican States
6.375%,1/16/13(c) .......................... U.S.$ 426 448,578
8.00%,9/24/22(c) ........................... 3,726 4,201,065
8.125%, 12/30/19(c) ........................ 1,050 1,207,500
9.875%,2/01/10(c) .......................... 6,730 8,298,090
11.375%, 9/15/16(c) ........................ 4,256 6,256,320
-----------------
63,281,064
-----------------
Panama-0.2%
Republic of Panama
8.875%, 9/30/27(c) ......................... 1,350 1,413,450
9.375%, 4/01/29(c) ......................... 169 189,196
9.63%, 2/08/11(c) .......................... 815 936,435
10.75%, 5/15/20(c) ......................... 1,300 1,545,700
-----------------
4,084,781
-----------------
Peru-0.5%
Republic of Peru
8.375%, 5/03/16(c) ......................... 4,013 4,173,520
8.750%,11/21/33(c) ......................... 145 143,913
9.125%, 2/21/12(c) ......................... 3,432 3,818,100
9.875%, 2/06/15(c) ......................... 1,406 1,616,900
-----------------
9,752,433
-----------------
Philippines-0.5%
Republic of Philippines
8.25%, 1/15/14(c) .......................... 750 736,875
9.00%, 2/15/13(c) .......................... 625 643,750
9.875%, 1/15/19(c) ......................... 750 775,500
10.625%, 3/16/25(c) ........................ 6,085 6,510,950
-----------------
8,667,075
-----------------
Romania-0.3%
Romania Structured Note
Zero coupon, 12/20/04(d) ................... ROL 172,301,000 5,066,500
-----------------
Russia-7.0%
Russian Federation
5.00%, 3/31/30 FRN(d)(e) ................... U.S.$ 8,305 7,983,181
5.00%, 3/31/30(d)(e) ....................... 115,230 110,764,838
Russian Ministry of Finance
3.00%, 5/14/08-5/14/11(c) .................. 12,075 10,664,145
-----------------
129,412,164
-----------------
South Africa-0.0%
Republic of South Africa
7.375%, 4/25/12(c) ......................... 725 817,438
-----------------
Turkey-5.6%
Republic of Turkey
9.875%, 3/19/08(c) ......................... 300 336,750
11.00%, 1/14/13(c) ......................... 1,260 1,545,390
11.50%, 1/23/12(c) ......................... 500 622,500
11.75%, 6/15/10(c) ......................... 475 589,713
12.375%, 6/15/09(c) ........................ 1,975 2,458,875
Turkish Lira Structured Notes
Zero coupon, 8/25/05(d) .................... TRL 71,284,104,123 38,686,680
Zero coupon, 12/8/05(d) .................... 63,936,550,000 32,437,769
Zero coupon, 2/23/06(c)(d) ................. 54,705,297,816 27,095,228
-----------------
103,772,905
-----------------
Ukraine-0.8%
Government of Ukraine
6.875%, 3/04/11(d) ......................... U.S.$ 5,500 5,390,000
7.65%, 6/11/13(d) .......................... 6,922 6,922,000
11.00%, 3/15/07(d) ......................... 1,605 1,749,863
-----------------
14,061,863
-----------------
Uruguay-0.3%
Republic of Uruguay
3.00%, 1/15/33 PIK(f) ...................... 1,044 843,383
7.25%, 2/15/11(c) .......................... 500 470,000
7.50%, 3/15/15(c) .......................... 4,360 3,858,600
-----------------
5,171,983
-----------------
Venezuela-1.5%
Republic of Venezuela
2.632%,4/20/11(d) .......................... U.S.$ 3,100 $ 2,658,250
5.375%, 8/07/10(d) ......................... 3,800 3,425,700
9.25%, 9/15/27(c) .......................... 21,331 21,021,701
-----------------
27,105,651
-----------------
Total Sovereign Debt Obligations
(cost $487,141,546) ........................ 556,240,731
-----------------
CORPORATE DEBT OBLIGATIONS-13.9%
Australia-0.0%
WMC Finance USA
5.125%, 5/15/13(c) ......................... 500 503,642
-----------------
Canada-0.7%
Fairfax Financial Holdings Ltd.
7.375%, 4/15/18(c) ......................... 4,500 3,645,000
8.30%, 4/15/26(c) .......................... 5,000 4,125,000
Ispat Inland ULC
9.75%, 4/01/14(c) .......................... 5,000 5,512,500
Rogers Cable Inc.
5.50%, 3/15/14(c) .......................... 360 331,200
-----------------
13,613,700
-----------------
Germany-0.0%
Salomon Bros. AG
11.00%, 11/06/07(d) ........................ 10 11,225
-----------------
Japan-0.2%
Mizuho Finance
5.79%, 4/15/14(d) .......................... 200 206,346
8.375%, 12/29/49(c) ........................ 2,410 2,607,333
-----------------
2,813,679
-----------------
Kazakhstan-0.0%
Hurricane Finance BV
9.625%, 2/12/10(d) ......................... 200 216,000
Kazkommerts International BV
8.50%, 4/16/13(d) .......................... 125 126,875
-----------------
342,875
-----------------
Romania-0.3%
Mobifon Holdings BV
12.50%, 7/31/10(c) ......................... 5,205 6,089,850
-----------------
Russia-0.1%
Gazprom OAO
9.625%, 3/01/13(c) ......................... 160 178,000
9.625%, 3/01/13(d) ......................... 210 233,100
Mobile Telesystems Finance S.A.
9.75%, 1/30/08(d) .......................... 1,185 1,259,063
Tyumen Oil Co.
11.00%, 11/06/07(c) ........................ 80 89,904
-----------------
1,760,067
-----------------
United Kingdom-0.1%
British Telecommunications PLC
7.125%, 2/15/11(c)(e) ...................... EUR 1,500 2,158,073
-----------------
United States -12.6%
Amerada Hess Corp.
7.125%, 3/15/33(c) ......................... U.S.$ 500 536,847
American Cellular Corp.
10.00%, 8/01/11(c) ......................... 5,000 4,050,000
Amkor Technologies Inc.
7.75%, 5/15/13(c) .......................... 10,000 8,200,000
Associated Materials Inc.
11.25%, 3/01/14(d)(e) ...................... 12,545 9,126,488
ATA Holdings Corp.
12.125%, 6/15/10(c)(e) ..................... 2,255 800,525
13.00%, 2/01/09(c)(e) ...................... 7,212 2,560,260
Berkley W R Corp
6.15%, 8/15/19(c) .......................... 100 101,274
Berry Plastics Corp.
10.75%, 7/15/12(c) ......................... 6,820 7,706,600
Calpine Corp.
8.50%, 7/15/10(d) .......................... 6,700 5,125,500
Capital One Financial Corp.
6.25%, 11/15/13(c) ......................... 1,005 1,079,137
CBA Capital Trust I
5.805%, 12/31/49(d) ........................ 274 283,604
Charter Communications Holdings
10.75%, 10/01/09(c) ........................ 4,655 3,817,100
11.75%, 5/15/11(c)(g) ...................... 10,000 6,200,000
Clear Channel Communications, Inc.
5.75%, 1/15/13(c) .......................... 220 225,966
Columbia/HCA HealthCare Corp.
6.25%, 2/15/13(c) .......................... 175 180,378
7.58%, 9/15/25(c) .......................... 630 657,046
7.69%, 6/15/25(c) .......................... 355 376,284
Comerica Bank
8.375%, 7/15/24 ............................ 2,000 2,421,052
Continental Airlines, Inc.
6.703%, 12/15/22(c) ........................ 1,944 1,811,440
6.748%, 3/15/17(c) ......................... 62 47,657
7.033%, 6/15/11(c) ......................... 489 377,827
7.875%, 7/02/18(c) ......................... 175 164,725
Cox Communications Inc.
4.625%, 6/01/13(c) ......................... 100 92,213
Delhaize America, Inc.
8.125%, 4/15/11(c) ......................... U.S.$ 110 125,623
Dex Media, Inc.
9.00%, 11/15/13(c)(g) ...................... 7,000 5,127,500
Dominion Resources Capital Trust III
8.40%, 1/15/31(c) .......................... 500 612,180
Dow Jones CDX NA HY 3
7.750%, 12/29/09(d) ........................ 10,000 10,125,000
DPL Inc.
6.875%, 9/01/11(c) ......................... 500 530,000
Duke Capital Corp.
5.50%, 3/01/14(c) .......................... 500 506,903
6.25%, 2/15/13(c) .......................... 1,500 1,613,980
Dura Operating Corp.
9.00%, 5/01/09(c) .......................... 3,000 2,670,000
Farmers Exchange Capital
7.05%, 7/15/28(d) .......................... 200 203,237
First American Capital Trust I
8.50%, 4/15/12(c) .......................... 100 113,500
First Energy Corp.
7.375%, 11/15/31(c) ........................ 1,600 1,796,943
Ford Motor Co.
6.375%, 2/01/29(c) ......................... 473 415,728
7.45%, 7/16/31(c) .......................... 1,277 1,252,137
Freeport-McMoran Copper & Gold, Inc.
10.125%, 2/01/10(c) ........................ 500 565,625
General Motors Corp.
8.375%, 7/15/33(c) ......................... 1,217 1,292,177
Hilcorp Energy I LP
10.50%, 9/01/10(d) ......................... 4,250 4,706,875
HSBC Bank USA
4.625%, 4/01/14(c) ......................... 1,000 980,435
Huntsman ICI Chemicals LLC
10.125%, 7/01/09(c) ........................ 7,500 7,875,000
Huntsman LLC
11.50%, 7/15/12(d) ......................... 5,000 5,518,750
Insight Communications Inc.
1.00%, 2/15/11(c)(e) ....................... 7,000 6,545,000
International Lease Finance Corp.
3.50%, 4/01/09(c) .......................... 496 485,491
Ipalco Enterprises Inc.
8.375%,11/14/08(c) ......................... 100 111,500
J.P. Morgan Chase & Co.
6.625%, 3/15/12 ............................ 1,400 1,571,409
5.125%, 9/15/14(c) ......................... 250 251,340
Kyivstar
10.375%,8/17/09(d) ......................... 200 213,000
Liberty Mutual Group Inc.
5.750%,3/15/14(d) .......................... 170 168,894
Merrill Lynch & Co.
6.00%, 2/17/09(c) .......................... 100 108,268
Milacron Escrow Corp.
11.50%, 5/15/11(d) ......................... 5,000 5,300,000
NCL Corp. LTD
10.625%, 7/15/14(d) ........................ 4,845 5,075,138
Nextel Partners, Inc.
12.50%, 11/15/09(c) ........................ 8,084 9,337,020
Panamsat Holding Corp.
10.375%,11/01/14(d)(g) ..................... 2,755 1,638,123
Paxson Communications Corp.
12.25%, 1/15/09(c)(g) ...................... 10,000 8,575,000
Pemex Project
9.125%, 10/13/10(c) ........................ 500 595,000
Pliant Corp.
13.00%, 6/01/10(c) ......................... 7,625 6,557,500
PSEG Power LLC
5.00%, 4/01/14(c) .......................... 1,000 975,011
Qwest Services Corp.
10.375%,9/01/14(d) ......................... 10,000 10,475,000
Rail America
1.00%,9/29/11(c) ........................... 3,000 3,000,000
Rainbow National Services LLC
14.00%, 12/15/14(d) ........................ 14,907 18,037,470
Rite Aid Corp.
11.25%, 7/01/08(c) ......................... 5,220 5,676,750
Rural Cellular Corp.
9.75%, 1/15/10(c) .......................... 13,000 11,310,000
SBC Communications Inc.
5.875%,8/15/12(c) .......................... 120 131,491
Six Flags, Inc.
9.75%, 4/15/13(c) .......................... 11,005 10,399,725
Sprint Capital Corp.
8.75%, 3/15/32(c) .......................... 6,800 8,630,499
Time Warner Entertainment Co. LP
8.38%, 3/15/23(c) .......................... 145 173,418
Triton PCS Inc.
9.375%,2/01/11(c) .......................... 5,000 3,587,500
TXU Gas Capital I
2.95%, 7/01/28(c) .......................... 230 225,550
Valor Communications
1.00%, 7/01/09(c) .......................... 2,000 2,022,500
Venetian Resort
1.00%, 7/25/11(c) .......................... 340 345,597
Verizon Global Funding Corp.
7.375%, 9/01/12(c) ......................... 741 865,306
7.75%, 6/15/32 1,215 1,458,713
Vitro Envases
10.75%, 7/23/11(d) ......................... U.S.$ 700 686,000
Williams Cos Inc. Series A
7.50%, 1/15/31(c) .......................... 4,025 4,045,125
Woolworth Corp.
8.50%,1/15/22(c) ........................... 300 319,500
WPP Finance
5.875%, 6/15/14(d) ......................... 180 184,462
Zurich Capital Trust
8.376%, 6/01/37(d) ......................... 261 297,860
-----------------
231,353,676
-----------------
Total Corporate Debt Obligations
(cost $254,293,474) ........................ 258,646,787
-----------------
Bank Loans-4.4%
Advanced Medical Optics
3.96% ,6/26/09(c) .......................... 1,230 1,245,375
Alderwoods Group Inc.
4.930%,9/17/09(c) .......................... 2,239 2,269,270
Allied Waste
3.64%, 1/15/10 FRN(c) ...................... 1,000 1,012,857
American Safety Razor Co.
4.695%, 4/28/11(c) ......................... 2,993 3,022,425
Belden & Blake Inc
6.00%, 6/30/11(c) .......................... 1,000 1,010,000
Celanese AG
5.73%, 11/01/11(c) ......................... 1,500 1,525,625
Cognis
6.311%, 11/10/13(c) ........................ 1,000 1,015,000
Coinstar Inc.
3.84%, 7/01/11(c) .......................... 1,000 1,015,000
Consolidated Communictions
3.955%, 09/18/11(c) ........................ 1,000 1,010,000
Freedom Communications Inc.
3.77%, 4/04/12(c) .......................... 3,000 3,042,657
Hagemeyer NV
1.00%, 1/15/08(c) .......................... EUR 2,744 3,270,805
Holmes Group Inc.
4.977%, 4/14/11(c) ......................... U.S.$ 1,000 995,000
Huntsman ICI Chemicals LLC
5.062%, 12/31/10(c) ........................ 2,000 2,025,000
Key Automotive
4.86%, 6/01/10(c) .......................... 2,000 2,015,000
Kranson Industries
4.350%, 7/31/11(c) ......................... 1,000 1,005,000
Maax Corp.
4.45%, 6/01/11(c) .......................... 2,000 2,007,500
Medcath Inc.
4.581%, 6/30/11(c) ......................... 1,000 1,011,250
MGM Studios
4.14%, 4/30/11(c) .......................... 4,000 4,009,000
Midwest Generation
4.77%, 4/05/11(c) .......................... 998 1,011,216
Mueller Group
4.350%, 3/24/11(c) ......................... 2,780 2,793,716
Nextel Partners, Inc.
4.31%, 5/18/11(c) .......................... 4,000 4,050,000
Owens Illinois General Inc
4.66%, 4/01/08(c) .......................... 3,000 3,036,249
Panamsat Corp.
4.35%, 7/01/11(c) .......................... 3,000 2,985,000
Prestige Brands
5.19%, 4/15/11(c) .......................... 3,491 3,505,798
Rainbow National Services LLC
4.50%, 3/3/12(c) ........................... 3,000 3,036,000
Refco Group Ltd.
4.461%, 8/31/11(c) ......................... 1,000 998,333
Resolution Specialty
4.437%, 8/01/10(c) ......................... 2,000 2,013,750
Riddell Bell Holdings
1.00%, 9/22/11(c) .......................... 1,000 1,014,583
Riverside
6.02%, 6/22/11(c) .......................... 1,671 1,679,558
Rockwood Specialties
3.98%, 7/30/12(c) .......................... 1,000 1,005,625
Rocky Mountain Energy Center
6.025, 6/22/11(c) .......................... 1,328 1,335,442
Sealy Mattress
4.243%, 3/31/12(c) ......................... 2,299 2,322,098
Simmons Company
4.359%, 12/19/11(c) ........................ 2,500 2,519,533
United Industries Corp.
3.97%, 3/31/11(c) .......................... 995 1,006,193
6.175%, 10/31/11(c) ........................ 1,000 1,015,000
Venetian Resort
6.25%, 7/25/11(c) .......................... 2,159 2,188,778
Verifone Inc.
4.18%, 6/09/11(c) .......................... 1,000 1,010,000
VWR International
4.34%, 4/05/11(c) .......................... 3,204 3,251,055
Warner Music Group
4.23%, 3/22/11(c) .......................... 3,480 3,524,749
Western Wireless Term B1
4.66%, 5/30/11(c) .......................... 3,500 3,546,249
-----------------
Total Bank Loans
(cost $80,700,386) ......................... 81,355,689
-----------------
Contracts (j),
Shares or
Principal
Amount (000) U.S. $ Value
-------------- -----------------
NON-CONVERTIBLE PREFERRED STOCK-0.1%
Banco Santander
6.41%(d) ................................... 4,000 99,000
Duquesne Light Co.
6.50%(c) ................................... 14,950 773,663
EIX Trust II, Series B
8.60%(c) ................................... 9,150 232,136
Zurich Funding Trust
1.71%(d) ................................... 500 486,250
-----------------
Total Non-Convertible Preferred Stocks
(cost $1,566,038) .......................... 1,591,049
-----------------
CALL OPTIONS PURCHASED(h)-0.0%
Brazil-0.0%
Republic of Brazil
11.00%, 8/17/40
Expiring October'04@112.5 .................. 2,950 44,250
Expiring October'04@113.0 .................. 2,950 38,350
Expiring October'04@111.5 .................. 1,750 33,250
-----------------
Total Call Options Purchased
(cost $149,155) ............................ 115,850
-----------------
WARRANTS(h)-0.0%
Central Bank of Nigeria
expiring 11/15/20 .......................... 4,500 0
Republic of Venezuela
expiring 4/15/20 ........................... 1,785 0
-----------------
Total Warrants
(cost $0) .................................. 0
-----------------
SHORT-TERM INVESTMENTS-4.5%
Repurchase Agreement-4.0%
Deutsche Bank Repo
1.70%, 09/30/04, due
10/01/04 in the amount of
$74,103,499 (collateralized by
$72,770,000 FNMA, 1.70% due
6/15/06; value - $74,100,000)
(cost $74,100,000) ......................... U.S.$ 74,100 74,100,000
-----------------
U.S. Treasury Obligation-0.5%
U.S. Treasury Bill Zero Coupon, 11/12/04
(amortized cost $8,985,195)(i) ............. 9,000 8,985,195
-----------------
Total Short-Term Investments
(cost $83,085,195) ......................... 83,085,195
-----------------
Total Investments Before Security
Lending Collateral-153.9%
(cost $2,648,208,846) ...................... 2,838,150,621
-----------------
Investment of Cash Collateral for
Securities Loaned-5.1%
Short-Term Investment
UBS Private Money Market Fund LLC
1.64%
(cost $94,789,780) ......................... 94,789,780
-----------------
Total Investments-159.0%
(cost $2,742,998,626) ...................... 2,932,940,401
Other assets less liabilities-(59.0%) ................. (1,089,555,713)
-----------------
NET ASSETS-100% ....................................... $ 1,843,384,688
=================
FORWARD EXCHANGE CURRENCY CONTRACTS
U.S. $ Value on
Contract Origination U.S. $ Current Unrealized
Amount (000) Date Value (Depreciation)
===========================================================================================================================
Sale Contracts
Euro,
settling 10/26/04 ............ 41,936 $ 51,568,681 $ 52,064,061 $ (495,380)
Mexican Peso,
settling 10/13/04 ............ 480,184 41,526,894 42,079,255 (552,361)
FINANCIAL FUTURES CONTRACTS SOLD
Unrealized
Number of Expiration Original Value at Appreciation/
Type Contracts Month Value September 30, 2004 (Depreciation)
=================================================================================================================================
U.S. Treasury Note December
10 Year Futures 605 2004 $ 67,976,410 $ 68,138,125 $ (161,715)
U.S. Treasury Note December
5 Year Futures 6,778 2004 743,321,288 750,663,500 (7,342,212)
U.S. Treasury Note December
2 Year Futures 1,526 2004 322,566,399 322,343,658 222,741
10 Year Swap December
Futures 975 2004 107,586,629 107,981,250 (394,621)
-----------
$(7,675,807)
-----------
CREDIT DEFAULT SWAP CONTRACTS
Notional Interest Unrealized
Swap Counterparty & Amount Rate Termination Appreciation
Referenced Obligation (000) (%) Date (Depreciation)
==========================================================================================================================
Buy Contracts:
Citigroup Global Markets, Inc.
Republic of Hungary
4.50%, 2/06/13 10,250 0.50% 11/26/13 $(181,741)
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 3,360 5.60 3/20/14 (79,001)
JP Morgan Chase
Republic of Ecuador
7.00%, 8/15/30 650 3.70 4/30/05 (16,647)
Sale Contracts:
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 3,000 6.35 8/20/05 175,042
Citigroup Global Markets, Inc.
Republic of Brazil
12.25%, 3/06/30 6,275 4.40 5/20/06 408,642
Citigroup Global Markets, Inc.
Republic of Philippines
10.625%, 3/16/25 3,360 4.95 3/20/09 86,842
Citigroup Global Markets, Inc.
Republic of Venezuela
9.25%, 9/15/27 4,000 6.00 5/20/06 384,667
Citigroup Global Markets, Inc.
United Mexican States
8.30%, 8/15/31 500 2.40 5/20/14 37,750
Citigroup Global Markets, Inc.
United Mexican States
8.30%, 8/15/31 1,450 2.05 5/20/09 77,492
Credit Suisse First Bostion
Republic of Brazil
12.25%, 3/06/30 600 6.90 6/20/07 74,100
Morgan Stanley Capital
Services Inc.
Republic of Brazil
12.25%, 3/06/30 4,800 3.80 8/20/06 175,307
REVERSE REPURCHASE AGREEMENTS
Interest
Broker Rate Maturity Amount
================================================================================
Citigroup 0.75 % 12/30/05 $ 17,419,703
Citigroup 1.53 10/06/04 49,463,027
Citigroup 1.65 10/06/04 98,569,341
Citigroup 1.65 10/06/04 98,766,197
Citigroup 1.65 10/06/04 39,675,134
Lehman Brothers 1.55 10/06/04 61,338,727
Merrill Lynch 1.40 10/01/04 12,147,369
Merrill Lynch 1.50 10/06/04 34,080,010
Merrill Lynch 1.60 10/06/04 39,042,156
State Street 1.53 10/06/04 33,365,404
------------
$483,867,068
============
(a) Positions, or portion thereof, with an aggregate market value of
$1,112,663,132 have been segregated to collateralize the loan outstanding.
(b) Positions, or portion thereof, with an aggregate market value of
$460,121,305 have been segregated to collateralize reverse repurchase
agreements.
(c) Positions, or portion thereof, with an aggregate market value of
$577,624,407 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 may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At September 30,
2004, the aggregate market value of these securities amounted to
$359,944,765 or 19.53% of net assets.
(e) Coupon increases periodically based upon a predetermined schedule. Stated
interest rate in effect at September 30, 2004.
(f) PIK (Paid in Kind) preferred quarterly stock payable.
(g) 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.
(h) Non-income producing security.
(i) Position, or a portion thereof, with an aggregate market value of
$8,985,195 has been segregated as collateral for the futures transactions
outstanding at September 30, 2004.
(j) One contract relates to principal amount of $1.00
Currency Abbreviations:
BRL - Brazilian Real
EUR - Euro
MXP - Mexican Peso
ROL - Romania Leu
TRL - Turkish Lira
U.S.$ - United States Dollar
Glossary of Terms:
DCB - Debt Conversion Bond
FNMA - Federal National Mortgage Association
FRN - Floating Rate Note
IO - Interest Only Securities
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.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial officer
have concluded that the registrant's disclosure controls and procedures (as
defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended)
are effective at the reasonable assurance level based on their evaluation of
these controls and procedures as of a date within 90 days of the filing date of
this document.
(b) There were no significant changes in the registrant's internal controls 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 29, 2004
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 29, 2004
By: /s/ Mark D. Gersten
Mark D. Gersten
Treasurer and Chief Financial Officer
Date: November 29, 2004