AllianceBernstein National Municipal Income Fund, Inc.

 

 

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: 811-10573

ALLIANCEBERNSTEIN NATIONAL MUNICIPAL 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)

Joseph J. Mantineo

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: October 31, 2016

Date of reporting period: July 31, 2016

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein National Municipal Income Fund

Portfolio of Investments

July 31, 2016 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

MUNICIPAL OBLIGATIONS - 159.3%

        

Long-Term Municipal Bonds - 159.3%

        

Alabama - 1.4%

        

Alabama Public School & College Authority

        

Series 2009A

        

5.00%, 5/01/29 (Pre-refunded/ETM)

    $ 3,000         $ 3,354,360   

County of Jefferson AL
(County of Jefferson AL Sch Warrants)

        

Series 2004A

        

5.25%, 1/01/18-1/01/23

      3,100           3,131,568   
       

 

 

  
          6,485,928   
       

 

 

  

Arizona - 1.1%

        

Salt Verde Financial Corp.
(Citigroup, Inc.)

        

Series 2007

        

5.25%, 12/01/22-12/01/23

      4,150           4,981,796   
       

 

 

  

Arkansas - 0.5%

        

Pulaski County Public Facilities Board
(Baptist Health)

        

Series 2014

        

5.00%, 12/01/42

      2,000           2,360,560   
       

 

 

  

California - 23.9%

        

Anaheim Public Financing Authority
(City of Anaheim CA Lease)

        

Series 2014A

        

5.00%, 5/01/32-5/01/39

      5,500           6,629,500   

Bay Area Toll Authority

        

Series 2013S

        

5.00%, 4/01/32

      5,720           6,936,015   

California Econ Recovery

        

Series 2009A

        

5.25%, 7/01/21 (Pre-refunded/ETM)

      4,860           5,515,711   

California Pollution Control Financing Authority
(Poseidon Resources Channelside LP)

        

Series 2012

        

5.00%, 7/01/37-11/21/45 (a)

      7,000           7,918,410   

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)

        

Series 2009A

        

5.25%, 5/15/29

      5,700           6,395,058   

County of San Bernardino CA COP

        

Series 2009A

        

5.25%, 8/01/26

      1,455           1,628,727   

Los Angeles Community College District/CA

        

Series 2008F-1

        

5.00%, 8/01/28 (Pre-refunded/ETM)

      5,800           6,312,488   

Los Angeles County Metropolitan Transportation Authority
(Los Angeles County Metropolitan Transportation Authority Sales Tax)

        

Series 2013B

        

5.00%, 7/01/34

      1,770           2,136,496   

Los Angeles Department of Water & Power PWR

        

Series 2013A

        

5.00%, 7/01/30

      6,255           7,562,795   

     Principal
Amount
(000)		        U.S. $ Value  

Series 2013B

        

5.00%, 7/01/30

    $ 10,000         $ 12,223,300   

Los Angeles Department of Water & Power WTR

        

Series 2013B

        

5.00%, 7/01/32

      3,840           4,654,579   

San Bernardino County Transportation Authority

        

5.00%, 3/01/32-3/01/34 (b)

      11,340           13,753,694   

State of California

        

Series 2013

        

5.00%, 11/01/30

      5,800           7,161,550   

University of California

        

Series 2012G

        

5.00%, 5/15/31

      7,000           8,356,460   

Series 2013A

        

5.00%, 5/15/30-5/15/32

      9,855           12,115,597   
       

 

 

  
          109,300,380   
       

 

 

  

Colorado - 1.9%

        

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)

        

Series 2013B

        

5.25%, 11/15/31

      6,680           8,169,774   

Colorado Health Facilities Authority
(Evangelical Lutheran Good Samaritan Obligated Group)

        

Series 2006

        

5.25%, 6/01/19-6/01/23

      705           707,148   
       

 

 

  
          8,876,922   
       

 

 

  

Connecticut - 9.4%

        

State of Connecticut

        

Series 2013C

        

5.00%, 7/15/27

      7,165           8,693,008   

Series 2013E

        

5.00%, 8/15/29

      4,800           5,792,832   

Series 2015F

        

5.00%, 11/15/32

      5,000           6,089,850   

State of Connecticut Special Tax Revenue

        

Series 2011A

        

5.00%, 12/01/28

      5,000           5,926,550   

Series 2012

        

5.00%, 1/01/29

      13,855           16,695,552   
       

 

 

  
          43,197,792   
       

 

 

  

District of Columbia - 1.6%

        

District of Columbia

        

Series 2013A

        

5.00%, 6/01/29

      5,000           6,080,900   

Metropolitan Washington Airports Authority

        

Series 2016A

        

5.00%, 10/01/32

      1,000           1,224,080   
       

 

 

  
          7,304,980   
       

 

 

  

 

     Principal
Amount
(000)		        U.S. $ Value  

Florida - 11.2%

        

Alachua County Health Facilities Authority
(Shands Teaching Hospital and Clinics Obligated Group)

        

Series 2014A

        

5.00%, 12/01/44

    $ 4,560         $ 5,275,829   

Brevard County Health Facilities Authority
(Health First, Inc. Obligated Group)

        

Series 2014

        

5.00%, 4/01/33

      1,000           1,188,630   

City of Orlando FL

        

Series 2014A

        

5.00%, 11/01/44

      7,720           9,130,598   

5.25%, 11/01/33

      5,620           6,988,020   

County of Miami-Dade FL Aviation Revenue

        

Series 2014A

        

5.00%, 10/01/33

      1,000           1,177,840   

Florida Higher Educational Facilities Financial Authority
(Nova Southeastern University, Inc.)

        

Series 2016

        

5.00%, 4/01/33

      2,075           2,517,722   

Florida Ports Financing Commission

        

Series 2011A

        

5.00%, 10/01/25-10/01/27

      4,205           4,986,346   

Halifax Hospital Medical Center
(Halifax Hospital Medical Center Obligated Group)

        

Series 2015

        

5.00%, 6/01/35

      2,655           3,122,572   

Miami Beach Health Facilities Authority
(Mount Sinai Medical Center of Florida, Inc.)

        

Series 2014

        

5.00%, 11/15/39

      9,250           10,597,540   

South Florida Water Management District COP

        

Series 2016

        

5.00%, 10/01/33

      5,000           6,182,900   
       

 

 

  
          51,167,997   
       

 

 

  

Georgia - 1.2%

        

City of Atlanta Department of Aviation
(Hartsfield Jackson Atlanta Intl Airport)

        

Series 2014B

        

5.00%, 1/01/31-1/01/32

      4,675           5,673,406   
       

 

 

  

Hawaii - 2.8%

        

State of Hawaii

        

Series 2015E

        

4.00%, 10/01/34-10/01/35

      3,500           4,018,705   

State of Hawaii Airports System Revenue

        

Series 2010A

        

5.00%, 7/01/34

      5,000           5,685,100   

Series 2015A

        

5.00%, 7/01/45

      2,500           2,937,500   
       

 

 

  
          12,641,305   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Illinois - 7.9%

        

Cook County High School District No 29 Proviso Township

        

AGM Series 2004

        

5.00%, 12/01/20

    $ 2,000         $ 2,027,220   

Illinois Finance Authority
(Illinois Institute of Technology)

        

Series 2006A

        

5.00%, 4/01/31

      1,250           1,251,663   

Illinois Finance Authority
(OSF Healthcare System Obligated Group)

        

Series 2015A

        

5.00%, 11/15/45

      4,500           5,292,135   

Illinois State Toll Highway Authority

        

Series 2015B

        

5.00%, 1/01/33-1/01/40

      8,800           10,720,550   

Series 2016A

        

5.00%, 12/01/32

      2,025           2,502,637   

State of Illinois

        

Series 2012

        

5.00%, 3/01/31

      1,000           1,074,330   

Series 2014

        

5.00%, 4/01/30-2/01/39

      12,070           13,116,939   
       

 

 

  
          35,985,474   
       

 

 

  

Indiana - 1.7%

        

Indiana Finance Authority
(I-69 Development Partners LLC)

        

Series 2014

        

5.25%, 9/01/34

      1,500           1,726,545   

Indiana Finance Authority
(WVB East End Partners LLC)

        

Series 2013A

        

5.00%, 7/01/44

      1,250           1,436,075   

Richmond Hospital Authority
(Reid Hospital & Health Care Services, Inc.)

        

Series 2015

        

5.00%, 1/01/39

      3,765           4,397,181   
       

 

 

  
          7,559,801   
       

 

 

  

Kentucky - 2.0%

        

Kentucky Municipal Power Agency

        

NATL Series 2015A

        

5.00%, 9/01/30

      2,500           3,000,225   

Kentucky Turnpike Authority

        

Series 2013A

        

5.00%, 7/01/29

      5,000           6,028,100   
       

 

 

  
          9,028,325   
       

 

 

  

Louisiana - 2.0%

        

City of New Orleans LA

        

AGC Series 2007A

        

5.00%, 12/01/22

      5,875           6,213,459   

Louisiana Agricultural Finance Authority
(Louisiana Agricultural Finance Authority State Lease)

        

Series 2007

        

5.25%, 9/15/17

      2,345           2,394,245   

     Principal
Amount
(000)		        U.S. $ Value  

Louisiana Local Government Environmental Facilities & Community Development Auth

        

Series 2009A

        

5.00%, 4/01/26 (Pre-refunded/ETM)

    $ 535         $ 596,445   
       

 

 

  
          9,204,149   
       

 

 

  

Maryland - 1.7%

        

Maryland Health & Higher Educational Facilities Authority
(Meritus Medical Center, Inc.)

        

Series 2015

        

5.00%, 7/01/45

      6,725           7,832,608   
       

 

 

  

Massachusetts - 4.0%

        

Massachusetts School Building Authority
(Massachusetts School Building Authority Sales Tax)

        

Series 2011B

        

5.00%, 10/15/32

      13,000           15,446,730   

Series 2012B

        

5.00%, 8/15/30

      2,480           3,010,794   
       

 

 

  
          18,457,524   
       

 

 

  

Michigan - 7.8%

        

Detroit City School District

        

Series 2012A

        

5.00%, 5/01/26-5/01/27

      6,045           7,057,467   

Michigan Finance Authority
(City of Detroit MI Water Supply System Revenue)

        

AGM Series 2014D-1

        

5.00%, 7/01/35

      1,250           1,465,187   

Michigan Finance Authority
(Public Lighting Authority)

        

Series 2014B

        

5.00%, 7/01/34

      2,250           2,597,310   

Michigan Strategic Fund
(Detroit Renewable Energy Obligated Group)

        

Series 2013

        

8.50%, 12/01/30 (a)

      3,795           3,983,574   

Plymouth Educational Center Charter School

        

Series 2005

        

5.125%, 11/01/23 (c)

      2,140           2,041,945   

Wayne State University

        

Series 2009A

        

5.00%, 11/15/29

      16,500           18,489,735   
       

 

 

  
          35,635,218   
       

 

 

  

Minnesota - 0.7%

        

City of Minneapolis MN
(Fairview Health Services Obligated Group)

        

Series 2015A

        

5.00%, 11/15/33

      2,700           3,221,478   
       

 

 

  

Missouri - 0.5%

        

City of Kansas City MO

        

Series 2008C

        

5.00%, 4/01/28 (Pre-refunded/ETM)

      2,000           2,146,260   
       

 

 

  

 

     Principal
Amount
(000)		        U.S. $ Value  

New Jersey - 8.1%

        

New Jersey Economic Development Authority
(New Jersey Economic Development Authority State Lease)

        

Series 2014U

        

5.00%, 6/15/30-6/15/34

    $ 7,500         $ 8,358,725   

New Jersey Economic Development Authority
(NYNJ Link Borrower LLC)

        

Series 2013

        

5.125%, 1/01/34

      1,000           1,171,390   

New Jersey Health Care Facilities Financing Authority
(Barnabas Health, Inc.)

        

Series 2014

        

5.00%, 7/01/44

      6,450           7,560,367   

New Jersey Turnpike Authority

        

Series 2012B

        

5.00%, 1/01/29

      6,500           7,775,755   

Series 2013A

        

5.00%, 1/01/31

      5,000           5,980,050   

Series 2016A

        

5.00%, 1/01/34

      5,000           6,160,250   
       

 

 

  
          37,006,537   
       

 

 

  

New York - 27.9%

        

City of New York NY

        

Series 2012B

        

5.00%, 8/01/30

      5,070           6,096,574   

Series 2012I

        

5.00%, 8/01/28

      8,780           10,591,314   

Metropolitan Transportation Authority

        

Series 2012D

        

5.00%, 11/15/29

      4,000           4,841,760   

Series 2012F

        

5.00%, 11/15/27

      1,575           1,915,925   

Series 2013A

        

5.00%, 11/15/29

      1,830           2,210,109   

Series 2014B

        

5.25%, 11/15/34

      4,000           4,948,840   

Series 2014C

        

5.00%, 11/15/32

      1,000           1,227,930   

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)

        

Series 2016A

        

5.25%, 11/15/35 (b)

      14,260           18,242,675   

New York City Municipal Water Finance Authority

        

Series 2011HH

        

5.00%, 6/15/26

      5,000           5,960,800   

Series 2013D

        

5.00%, 6/15/34

      3,600           4,366,800   

New York City NY Transitional

        

5.00%, 8/01/34-8/01/37 (b)

      10,000           12,360,260   

New York City Transitional Finance Authority Future Tax Secured Revenue

        

Series 2007B

        

5.00%, 11/01/24 (Pre-refunded/ETM)

      3,040           3,140,107   

5.00%, 11/01/24

      2,485           2,568,546   

     Principal
Amount
(000)		        U.S. $ Value  

New York State Dormitory Authority

        

Series 2012D

        

5.00%, 2/15/29 (Pre-refunded/ETM)

    $ 1,135         $ 1,376,063   

New York State Dormitory Authority
(State of New York Pers Income Tax)

        

Series 2012B

        

5.00%, 3/15/32

      7,600           9,077,288   

Series 2012D

        

5.00%, 2/15/29

      6,865           8,224,956   

New York State Environmental Facilities Corp.
(New York NY Mun Wtr Fin Auth)

        

5.00%, 6/15/24-6/15/27 (b)

      7,000           7,566,055   

Port Authority of New York & New Jersey

        

Series 2013-178

        

5.00%, 12/01/32

      4,400           5,259,012   

Series 2014-186

        

5.00%, 10/15/44

      8,000           9,467,760   

Ulster County Industrial Development Agency
(Kingston Regional Senior Living Corp.)

        

Series 2007A

        

6.00%, 9/15/27

      1,775           1,813,500   

Utility Debt Securitization Authority

        

Series 2013T

        

5.00%, 12/15/30

      5,000           6,196,400   
       

 

 

  
          127,452,674   
       

 

 

  

North Carolina - 2.2%

        

County of Iredell NC COP

        

AGM Series 2008

        

5.25%, 6/01/22

      1,080           1,165,374   

North Carolina Medical Care Commission
(Vidant Health Obligated Group)

        

Series 2015

        

5.00%, 6/01/45

      4,445           5,316,353   

University of North Carolina at Greensboro

        

Series 2014

        

5.00%, 4/01/33

      3,145           3,797,116   
       

 

 

  
          10,278,843   
       

 

 

  

Ohio - 1.5%

        

Columbiana County Port Authority
(Apex Environmental LLC)

        

Series 2004

        

7.125%, 8/01/25 (d)

      1,840           36,800   

Series 2014

        

10.635%, 8/01/25 (d)

      248           4,954   

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)

        

Series 2006

        

3.625%, 12/01/33

      795           794,269   

Series 2008C

        

3.95%, 11/01/32

      5,800           5,860,146   
       

 

 

  
          6,696,169   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Oklahoma - 0.4%

        

Tulsa Airports Improvement Trust

        

BAM Series 2015A

        

5.00%, 6/01/45

    $ 1,700         $ 1,922,904   
       

 

 

  

Oregon - 1.3%

        

Oregon State Lottery

        

Series 2011A

        

5.25%, 4/01/25 (Pre-refunded/ETM)

      4,305           5,138,319   

5.25%, 4/01/25

      695           830,580   
       

 

 

  
          5,968,899   
       

 

 

  

Pennsylvania - 7.8%

        

Allegheny County Industrial Development Authority
(Residential Resources, Inc./PA)

        

Series 2006

        

5.00%, 9/01/21

      500           501,230   

Butler County Hospital Authority
(Butler Health System Obligated Group)

        

Series 2015

        

5.00%, 7/01/35-7/01/39

      3,510           4,110,515   

Montgomery County Industrial Development Authority/PA

        

Series 2010

        

5.25%, 8/01/33 (Pre-refunded/ETM)

      3,480           4,078,595   

Montour School District

        

AGM Series 2015B

        

5.00%, 4/01/34-4/01/35

      6,520           7,840,169   

Pennsylvania Economic Development Financing Authority
(PA Bridges Finco LP)

        

Series 2015

        

5.00%, 12/31/34-12/31/38

      9,270           10,891,813   

Pennsylvania Turnpike Commission

        

Series 2014A

        

5.00%, 12/01/31-12/01/33

      6,355           7,708,474   

Philadelphia Authority for Industrial Development
(LLPCS Foundation)

        

Series 2005A

        

5.25%, 7/01/24 (d) (e) (f)

      1,150           11,500   

Wilkes-Barre Finance Authority
(Wilkes University)

        

Series 2007

        

5.00%, 3/01/22

      400           409,756   
       

 

 

  
          35,552,052   
       

 

 

  

South Carolina - 1.3%

        

South Carolina Ports Authority

        

Series 2015

        

5.00%, 7/01/45

      5,000           5,832,050   
       

 

 

  

Tennessee - 2.0%

        

Chattanooga-Hamilton County Hospital Authority
(Erlanger Medical Center)

        

Series 2014

        

5.00%, 10/01/44

      7,500           8,654,700   

Sullivan County Health Educational & Housing Facilities Board
(Wellmont Health System)

        

Series 2006C

        

5.25%, 9/01/26

      725           728,241   
       

 

 

  
          9,382,941   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Texas - 20.8%

        

Alvin Independent School District/TX

        

Series 2009B

        

5.00%, 2/15/28

    $ 960         $ 1,054,800   

Arlington Higher Education Finance Corp.
(Lifeschool of Dallas)

        

Series 2014A

        

5.00%, 8/15/39

      4,805           5,732,173   

Arlington Higher Education Finance Corp.
(Uplift Education)

        

Series 2016A

        

5.00%, 12/01/36

      1,740           2,043,647   

Austin Community College District Public Facility Corp.

        

Series 2015

        

5.00%, 8/01/33

      5,000           6,019,150   

Bexar County Health Facilities Development Corp.
(Army Retirement Residence Obligated Group)

        

Series 2007

        

5.00%, 7/01/27

      405           415,461   

Central Texas Regional Mobility Authority

        

Series 2016

        

5.00%, 1/01/34

      3,350           4,004,925   

City of Austin TX Water & Wastewater System Revenue

        

Series 2013A

        

5.00%, 11/15/28-11/15/29

      8,075           9,776,886   

City of Houston TX Combined Utility System Revenue

        

Series 2011D

        

5.00%, 11/15/26

      6,000           7,160,340   

Dallas Independent School District

        

Series 2008

        

6.00%, 2/15/28 (Pre-refunded/ETM)

      2,500           2,705,325   

Dripping Springs Independent School District/TX

        

Series 2008

        

5.125%, 2/15/28 (Pre-refunded/ETM)

      5,715           5,856,503   

Fort Bend Independent School District

        

Series 2009

        

5.00%, 2/15/27

      7,560           8,566,917   

Love Field Airport Modernization Corp.

        

Series 2015

        

5.00%, 11/01/31

      1,000           1,199,690   

North Texas Tollway Authority

        

Series 2015B

        

5.00%, 1/01/40

      5,000           5,855,600   

Texas Private Activity Bond Surface Transportation Corp.
(NTE Mobility Partners LLC)

        

Series 2009

        

6.875%, 12/31/39

      1,720           2,040,814   

     Principal
Amount
(000)		        U.S. $ Value  

Texas Private Activity Bond Surface Transportation Corp.
(NTE Mobility Partners Segments 3 LLC)

        

Series 2013

        

6.75%, 6/30/43

    $ 3,000         $ 3,751,590   

Texas Trnsp Comm

        

5.00%, 4/01/23 (b)

      20,600           21,220,678   

University of Texas System (The)

        

Series 2009A

        

5.25%, 8/15/22 (Pre-refunded/ETM)

      6,825           7,474,194   
       

 

 

  
          94,878,693   
       

 

 

  

Washington - 2.5%

        

FYI Properties
(FYI Properties WA State Lease)

        

Series 2009

        

5.00%, 6/01/27

      3,885           4,325,248   

5.125%, 6/01/28

      5,200           5,802,680   

Port of Seattle WA

        

Series 2015A

        

5.00%, 4/01/40

      1,000           1,197,360   
       

 

 

  
          11,325,288   
       

 

 

  

Wisconsin - 0.2%

        

State of Wisconsin

        

Series 2003-3

        

5.00%, 11/01/26

      725           727,472   
       

 

 

  

Total Local Governments - Municipal Bonds
(cost $658,486,058)

           728,086,425   
       

 

 

  

SHORT-TERM INVESTMENTS - 0.1%

        

Investment Companies - 0.1%

        

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.24% (g) (h)
(cost $484,589)

      484,589           484,589   
       

 

 

  

Total Investments - 159.4%
(cost $658,970,647) (i)

           728,571,014   

Other assets less liabilities - (39.2)%

           (179,262,287 ) 

Preferred Shares at liquidation value - (20.2)%

           (92,125,000 ) 
       

 

 

  

Net Assets Applicable to Common Shareholders - 100.0% (j)

         $ 457,183,727   
       

 

 

  

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2016, the aggregate market value of these securities amounted to $11,901,984 or 2.6% of net assets.
(b) Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund (see Note I).
(c) Restricted and illiquid security.

Restricted & Illiquid Securities

    Acquisition
Date		      Cost      Market
Value		      Percentage of
Net Assets		  

Plymouth Educational Center Charter School Series 2005

            

5.125%, 11/01/23

      11/30/05       $ 2,125,253       $ 2,041,945         0.45 % 

 

(d) Illiquid security.
(e) Non-income producing security.
(f) Defaulted.
(g) To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.
(h) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(i) As of July 31, 2016, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $70,310,983 and gross unrealized depreciation of investments was $(710,616), resulting in net unrealized appreciation of $69,600,367.
(j) Portfolio percentages are calculated based on net assets applicable to common shareholders.

As of July 31, 2016, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 3.2% and 0.0%, respectively.

Glossary:

 

AGC    -    Assured Guaranty Corporation
AGM    -    Assured Guaranty Municipal
BAM    -    Build American Mutual
COP    -    Certificate of Participation
ETM    -    Escrowed to Maturity
NATL    -    National Interstate Corporation
OSF    -    Order of St. Francis

AllianceBernstein National Municipal Income Fund

July 31, 2016 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

  •  

Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2016:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Long-Term Municipal Bonds

      – 0  –    $ 708,503,013      $ 19,583,412      $ 728,086,425   

Short-Term Investments

      484,589        – 0  –      – 0  –      484,589   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      484,589        708,503,013        19,583,412        728,571,014   

Other Financial Instruments(a)

      – 0  –      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total(b)

   $     484,589      $     708,503,013      $     19,583,412      $     728,571,014   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) 

Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.

(b) 

There were no transfers between Level 1 and Level 2 during the reporting period.

The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Long-Term
Municipal
Bonds		     Total  

Balance as of 10/31/15

    $ 25,616,290      $ 25,616,290   

Accrued discounts/(premiums)

      (54,527 )      (54,527 ) 

Realized gain (loss)

      (2,532,718 )      (2,532,718 ) 

Change in unrealized appreciation/depreciation

      2,775,885        2,775,885   

Purchases

      – 0  –      – 0  – 

Sales

      (10,324,542 )      (10,324,542 ) 

Transfers in to Level 3

      4,103,024        4,103,024   

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 7/31/16

    $ 19,583,412      $ 19,583,412 (a) 
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 7/31/16

    $ 68,881      $ 68,881   
  

 

 

    

 

 

  

 

(a) 

There were de minimis transfers under 1% of net assets during the reporting period.

As of July 31, 2016, all Level 3 securities were priced by third party vendors.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) Fund managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A Summary of the Fund’s transactions in shares of the AB Fixed Income Shares, Inc. – Government Money Market Portfolio for the nine months ended July 31, 2016 is as follows:

 

Market Value

10/31/15

(000)

   

Purchases at Cost

(000)

   

Sales Proceeds

(000)

   

Market Value

7/31/16

(000)

   

Dividend

Income

(000)

$0

    $41,244    $40,759    $485    $5

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

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): AllianceBernstein National Municipal Income Fund, Inc.

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   September 23, 2016

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/    Robert M. Keith
  Robert M. Keith
  President
Date:   September 23, 2016
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   September 23, 2016