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, 2014

Date of reporting period: July 31, 2014

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein National Municipal Income Fund

Portfolio of Investments

July 31, 2014 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

MUNICIPAL OBLIGATIONS - 165.6%

        

Long-Term Municipal Bonds - 165.6%

        

Alabama - 2.0%

        

Alabama Public School & College Authority
Series 2009A
5.00%, 5/01/19 (Pre-refunded/ETM)

    $ 3,000         $ 3,532,680   

County of Jefferson AL
(County of Jefferson AL Sch Warrants)
Series 2004A
5.25%, 1/01/18-1/01/23

      3,100           3,148,980   

Montgomery BMC Special Care Facilities
Financing Authority
(Baptist Health/Montgomery AL)
Series 2004C
5.125%, 11/15/24

      1,500           1,505,325   
       

 

 

  
          8,186,985   
       

 

 

  

Alaska - 0.5%

        

Alaska International Airports System
NATL Series 2003B
5.00%, 10/01/26

      2,000           2,005,920   
       

 

 

  

Arizona - 1.2%

        

Salt Verde Financial Corp.
(Citibank, NA)
5.25%, 12/01/22-12/01/23

      4,150           4,789,478   
       

 

 

  

California - 26.5%

        

Bay Area Toll Authority
Series 2013S
5.00%, 4/01/32

      5,720           6,410,118   

California Econ Recovery
Series 2009A
5.25%, 7/01/21

      4,860           5,759,246   

California Pollution Control Financing Authority
(Poseidon Resources Channelside LP)
5.00%, 7/01/37-11/21/45 (a)

      7,370           7,594,424   

City of Chula Vista CA
(San Diego Gas & Electric Co.)
Series 1996A
5.30%, 7/01/21

      4,000           4,084,680   

City of Los Angeles Department of Airports
(Los Angeles Intl Airport)
Series 2009A
5.25%, 5/15/29

      5,700           6,593,418   

County of San Bernardino CA COP
Series 2009A
5.25%, 8/01/26

      1,455           1,556,195   

Grossmont-Cuyamaca CCD CA GO
AGC
5.00%, 8/01/22-8/01/23 (b)

      4,480           5,092,787   

La Quinta Financing Authority
AMBAC Series 2004A
5.25%, 9/01/24

      2,000           2,007,440   

Los Angeles Community College District/CA
Series 2008F-1
5.00%, 8/01/28

      5,800           6,571,110   

     Principal
Amount
(000)		        U.S. $ Value  

Los Angeles County Metropolitan Transportation Authority
Series 2013B
5.00%, 7/01/34

    $ 1,770         $ 2,021,039   

Los Angeles Department of Water & Power PWR

        

Series 2013A

        

5.00%, 7/01/30

      6,255           7,168,168   

Series 2013B

        

5.00%, 7/01/30

      10,000           11,561,100   

Los Angeles Department of Water & Power WTR
Series 2013B
5.00%, 7/01/32

      3,840           4,394,227   

San Bernardino County Transportation Authority
5.00%, 3/01/32-3/01/34 (b)

      11,340           12,973,666   

State of California
5.00%, 11/01/30-2/01/33

      6,065           6,924,965   

University of California

        

Series 2012G

        

5.00%, 5/15/31

      7,000           7,897,120   

Series 2013A

        

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

      9,855           11,318,681   
       

 

 

  
          109,928,384   
       

 

 

  

Colorado - 6.2%

        

Anthem West Metropolitan District
6.125%, 12/01/25

      1,000           863,630   

City & County of Denver CO Airport System Revenue
(Denver Intl Airport)
Series 2013B
5.25%, 11/15/31

      6,680           7,673,116   

Colorado Health Facilities Authority
(Evangelical Lutheran Good Samaritan Obligated Group)
5.25%, 6/01/19-6/01/23

      2,425           2,528,106   

Colorado Health Facilities Authority
(Parkview Medical Center, Inc. Obligated Group)
Series 04
5.00%, 9/01/25

      2,560           2,564,890   

Denver Urban Renewal Authority
(Stapleton Development Corp.)
Series 2010B-1
5.00%, 12/01/25

      6,865           7,118,524   

Park Creek Metropolitan District

        

Series 05

        

5.25%, 12/01/25

      3,000           3,097,050   

5.50%, 12/01/30

      890           915,071   

Todd Creek Village Metropolitan District No 1
6.125%, 12/01/19 (c)

      1,180           590,000   

Todd Creek Village Metropolitan District No 1 COP
6.125%, 12/01/22 (c)(d)

      1,970           492,500   
       

 

 

  
          25,842,887   
       

 

 

  

Connecticut - 8.6%

        

State of Connecticut

        

Series 2013C

        

5.00%, 7/15/27

      7,165           8,379,754   

     Principal
Amount
(000)		        U.S. $ Value  

Series 2013E

        

5.00%, 8/15/29

    $ 4,800         $ 5,550,144   

State of Connecticut Special Tax Revenue

        

5.00%, 1/01/29

      13,855           15,944,334   

Series 2011A

        

5.00%, 12/01/28

      5,000           5,748,500   
       

 

 

  
          35,622,732   
       

 

 

  

District of Columbia - 1.4%

        

District of Columbia
Series 2013A
5.00%, 6/01/29

      5,000           5,753,150   
       

 

 

  

Florida - 6.2%

        

City of Orlando FL
Series 2014A
5.25%, 11/01/33

      5,620           6,475,532   

Florida HomeLoan Corp.
(Trust Lake Park Ltd.)
AGM Series 2002-D1
5.40%, 3/01/42

      8,780           8,783,600   

Florida Ports Financing Commission
Series 2011A
5.00%, 10/01/25-10/01/27

      4,205           4,871,455   

Miami Beach Health Facilities Authority
(Mount Sinai Medical Center of Florida, Inc.)
6.75%, 11/15/24

      4,000           4,064,000   

UCF Athletics Association, Inc. COP
NATL Series 2004A
5.125%, 10/01/14 (Pre-refunded/ETM)

      1,325           1,335,242   
       

 

 

  
          25,529,829   
       

 

 

  

Georgia - 1.3%

        

City of Atlanta Department of Aviation
(Hartsfield Jackson Atlanta Intl Airport)
Series 2014B
5.00%, 1/01/31-1/01/32

      4,675           5,289,146   
       

 

 

  

Hawaii - 1.3%

        

State of Hawaii Airports System Revenue
Series 2010A
5.00%, 7/01/34

      5,000           5,295,550   
       

 

 

  

Illinois - 10.0%

        

Chicago O’Hare International Airport
XLCA Series 2003B-1
5.25%, 1/01/34

      4,860           4,874,337   

Cook County High School District No 29 Proviso Township
AGM Series 04
5.00%, 12/01/20

      2,000           2,074,860   

Illinois Finance Authority
(Illinois Institute of Technology)
Series 2006A
5.00%, 4/01/31

      1,250           1,237,388   

Illinois State Toll Highway Authority
Series 2013A
5.00%, 1/01/31-1/01/32

      10,145           11,304,994   

     Principal
Amount
(000)		        U.S. $ Value  

State of Illinois
5.00%, 5/01/35

    $ 5,565         $ 5,693,885   

Univ of Illinois
AGM
5.25%, 10/01/26 (b)

      10,800           12,128,832   

Village of Gilberts IL
Series 03
6.00%, 3/01/15 (Pre-refunded/ETM)

      2,511           2,644,409   

Village of Manhattan IL
(Village of Manhattan IL SSA No 2004-1)
Series 05
5.875%, 3/01/28

      1,651           1,656,960   
       

 

 

  
          41,615,665   
       

 

 

  

Kentucky - 1.4%

        

Kentucky Turnpike Authority
(Kentucky Turnpike Authority State Lease)
Series 2013A
5.00%, 7/01/29

      5,000           5,780,550   
       

 

 

  

Louisiana - 4.3%

        

City of New Orleans LA

        

NATL

        

5.00%, 3/01/18

      2,285           2,340,343   

5.25%, 12/01/20

      1,000           1,055,810   

NATL Series 05

        

5.00%, 12/01/29

      2,700           2,808,000   

RADIAN Series 2007A

        

5.00%, 12/01/22

      5,875           6,424,724   

Louisiana Agricultural Finance Authority
5.25%, 9/15/17

      4,270           4,460,228   

Louisiana Local Government Environmental
Facilities & Community Development Auth
(Parish of Jefferson LA)
Series 2009A
5.00%, 4/01/26

      535           574,649   
       

 

 

  
          17,663,754   
       

 

 

  

Massachusetts - 6.7%

        

Massachusetts Development Finance Agency
(Franklin W Olin College of Engineering, Inc.)
Series 2013E
5.00%, 11/01/38

      5,000           5,504,450   

Massachusetts School Building Authority

        

Series 2011B

        

5.00%, 10/15/32

      13,000           14,688,700   

Series 2012B

        

5.00%, 8/15/28-8/15/30

      6,345           7,382,733   
       

 

 

  
          27,575,883   
       

 

 

  

Michigan - 9.2%

        

City of Detroit MI Sewage Disposal System Revenue
NATL
5.25%, 7/01/22

      5,000           5,007,750   

Detroit City School District
Series 2012A
5.00%, 5/01/26-5/01/27

      6,045           6,606,738   

     Principal
Amount
(000)		        U.S. $ Value  

Michigan Finance Authority
(Public Lighting Authority)
5.00%, 7/01/34

    $ 2,250         $ 2,346,345   

Michigan Strategic Fund
(Detroit Renewable Energy Obligated Group)
8.50%, 12/01/30 (a)

      4,000           4,032,400   

Plymouth Educational Center Charter School
5.125%, 11/01/23

      2,140           2,024,418   

Wayne State University
Series 2009A
5.00%, 11/15/29

      16,500           17,972,790   
       

 

 

  
          37,990,441   
       

 

 

  

Mississippi - 1.0%

        

City of Gulfport MS
(Memorial Hospital at Gulfport/MS)
Series 2001A
5.75%, 7/01/31

      4,000           4,008,720   
       

 

 

  

Missouri - 0.5%

        

City of Kansas City MO
(City of Kansas City MO Lease)
Series 2008C
5.00%, 4/01/28

      2,000           2,221,640   
       

 

 

  

New Hampshire - 0.2%

        

New Hampshire Health and Education Facilities Authority Act
(Covenant Health Systems Obligated Group)
Series 04
5.375%, 7/01/24

      820           821,189   
       

 

 

  

New Jersey - 3.2%

        

New Jersey Economic Development Authority
Series 2005O
5.25%, 3/01/15 (Pre-refunded/ETM)

      500           514,580   

New Jersey State Turnpike Authority

        

Series 2012B

        

5.00%, 1/01/29

      6,500           7,356,115   

Series 2013A

        

5.00%, 1/01/31

      5,000           5,568,700   
       

 

 

  
          13,439,395   
       

 

 

  

New York - 28.0%

        

City of New York NY

        

Series 2004G

        

5.00%, 12/01/23

      845           857,497   

Series 2006J

        

5.00%, 6/01/16 (Pre-refunded/ETM)

      1,155           1,253,129   

5.00%, 6/01/22

      5           5,387   

Series 2010E

        

5.00%, 8/01/28

      1,690           1,891,701   

Series 2012B

        

5.00%, 8/01/30

      5,070           5,758,557   

Series 2012I

        

5.00%, 8/01/28

      8,780           10,072,855   

Metropolitan Transportation Authority

        

Series 2012D

        

     Principal
Amount
(000)		        U.S. $ Value  

5.00%, 11/15/29

    $ 4,000         $ 4,488,840   

Series 2012F

        

5.00%, 11/15/27

      1,575           1,794,397   

Series 2013A

        

5.00%, 11/15/29

      1,830           2,065,320   

Series 2013C

        

5.00%, 11/15/32

      1,000           1,111,670   

Series 2014B

        

5.25%, 11/15/34

      4,000           4,553,880   

Series 2014C

        

5.00%, 11/15/32

      1,000           1,122,990   

New York City Transitional Finance Authority

        

Future Tax Secured Revenue

        

5.00%, 5/01/17 (Pre-refunded/ETM)

      370           415,340   

5.00%, 11/01/24

      7,025           7,782,225   

New York City Water & Sewer System

        

5.00%, 6/15/26

      5,000           5,786,900   

Series 2013D

        

5.00%, 6/15/34

      3,600           4,019,832   

New York St Dormitory Auth
(New York St Pers Income Tax)
5.00%, 3/15/26 (b)

      7,000           7,889,560   

New York St Envrn Fac Corp.
(New York NY Mun Wtr Fin Auth)
5.00%, 6/15/24-6/15/27 (b)

      7,000           7,965,125   

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

        

Series 2012B

        

5.00%, 3/15/32

      7,600           8,539,208   

Series 2012D

        

5.00%, 2/15/29

      8,000           9,128,800   

New York State Environmental Facilities Corp.
(New York City Municipal Water Finance Authority)
5.00%, 6/15/27

      5,000           5,807,400   

Port Authority of New York & New Jersey
Series 20131
5.00%, 12/01/32

      4,400           4,861,912   

Triborough Bridge & Tunnel Authority
Series 2011A
5.00%, 1/01/26

      10,000           11,577,800   

Ulster County Industrial Development Agency
(Kingston Regional Senior Living Corp.)
Series 2007A
6.00%, 9/15/27

      1,775           1,545,670   

Utility Debt Securitization Authority
Series 2013T
5.00%, 12/15/30

      5,000           5,824,000   
       

 

 

  
          116,119,995   
       

 

 

  

North Carolina - 3.5%

        

City of Charlotte NC Airport Revenue
(Charlotte Douglas Intl Airport) NATL
Series 2004A
5.25%, 7/01/24

      2,895           2,904,380   

County of Iredell NC COP
AGM
5.25%, 6/01/22

      1,080           1,218,715   

     Principal
Amount
(000)		        U.S. $ Value  

University of North Carolina at Greensboro
5.00%, 4/01/31-4/01/33

    $ 9,210         $ 10,325,570   
       

 

 

  
          14,448,665   
       

 

 

  

Ohio - 0.7%

        

Central Ohio Solid Waste Authority
5.00%, 6/01/22 (Pre-refunded/ETM)

      355           433,188   

Columbiana County Port Authority
(Apex Environmental LLC)
Series 2004A
7.125%, 8/01/25 (c)

      1,840           1,419,358   

Summit County Development Finance Authority
5.00%, 12/01/25

      1,000           1,120,470   
       

 

 

  
          2,973,016   
       

 

 

  

Oregon - 2.6%

        

City of Forest Grove OR
(Pacific University)
RADIAN Series 2005A
5.00%, 5/01/28

      4,760           4,876,525   

Oregon State Lottery
Series 2011A
5.25%, 4/01/25

      5,000           5,949,450   
       

 

 

  
          10,825,975   
       

 

 

  

Pennsylvania - 4.1%

        

Allegheny County Industrial Development
Authority
(Residential Resources, Inc./PA)
5.00%, 9/01/21

      500           507,160   

Delaware River Port Authority
5.00%, 1/01/26

      1,700           1,851,929   

Montgomery County Industrial Development
Authority/PA
(New Regional Medical Center, Inc.)
5.25%, 8/01/33

      3,480           3,853,996   

Pennsylvania Higher Educational Facilities
Authority
(University of Pennsylvania)
5.00%, 9/01/28

      1,500           1,715,475   

Pennsylvania Turnpike Commission
Series 2014A
5.00%, 12/01/31-12/01/33

      6,355           7,127,580   

Philadelphia Authority for Industrial Development
(LLPCS Foundation)
Series 2005A
5.25%, 7/01/24 (c)

      1,150           915,480   

Wilkes-Barre Finance Authority
(Wilkes University)
5.00%, 3/01/22

      990           1,038,144   
       

 

 

  
          17,009,764   
       

 

 

  

Rhode Island - 1.4%

        

Rhode Island Health & Educational Building Corp.
(Times2, Inc.)
Series 04

        

     Principal
Amount
(000)		        U.S. $ Value  

5.00%, 12/15/24

    $ 5,845         $ 5,916,543   
       

 

 

  

South Carolina - 3.5%

        

Charleston Educational Excellence Finance Corp.
5.25%, 12/01/15 (Pre-refunded/ETM)

      2,000           2,133,020   

Dorchester County School District No 2
(Dorchester County School District No 2 Lease)
AGC
5.00%, 12/01/29

      1,600           1,736,496   

Newberry Investing IN Children’s Education
(County of Newberry SC Lease)
AGC Series 05
5.00%, 12/01/27

      5,450           5,702,335   

South Carolina State Public Service Authority
Series 2012A
5.00%, 12/01/27

      4,265           4,860,949   
       

 

 

  
          14,432,800   
       

 

 

  

Tennessee - 0.6%

        

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

        

Series 2006C

        

5.00%, 9/01/22

      1,760           1,875,509   

5.25%, 9/01/26

      725           770,450   
       

 

 

  
          2,645,959   
       

 

 

  

Texas - 22.7%

        

Alvin Independent School District/TX
Series 2009B
5.00%, 2/15/28

      960           1,047,936   

Arlington Higher Education Finance Corp.
(Lifeschool of Dallas)
Series 2014A
5.00%, 8/15/39

      1,500           1,678,125   

Bexar County Health Facilities Development Corp.
(Army Retirement Residence Obligated Group)
5.00%, 7/01/27

      455           467,472   

City of Austin TX Water & Wastewater System
Revenue
Series 2013A
5.00%, 11/15/28-11/15/29

      8,075           9,232,770   

City of Frisco TX
NATL
5.00%, 2/15/16 (Pre-refunded/ETM)

      3,220           3,452,065   

City of Houston TX Utility System Revenue
Series 2011D
5.00%, 11/15/25-11/15/26

      8,500           9,861,055   

City of Lewisville TX
(City of Lewisville TX Spl Assmt Dist No 2)
ACA Series 05
6.00%, 10/01/25

      1,100           1,131,449   

Dallas Independent School District
6.00%, 2/15/18 (Pre-refunded/ETM)

      2,500           2,957,050   

Dripping Springs Independent School District/TX
5.125%, 2/15/28

      5,715           6,219,520   

Fort Bend Independent School District
Series 2009

        

     Principal
Amount
(000)		        U.S. $ Value  

5.00%, 2/15/27

    $ 7,560         $ 8,769,146   

Metropolitan Transit Authority of Harris County
Series 2011A
5.00%, 11/01/26

      4,000           4,572,840   

State of Texas
5.00%, 4/01/15 (Pre-refunded/ETM)

      8,000           8,256,677   

Texas Private Activity Bond Surface
Transportation Corp.
(NTE Mobility Partners LLC)
6.875%, 12/31/39

      1,720           2,016,511   

Texas Private Activity Bond Surface
Transportation Corp.
(NTE Mobility Partners Segments 3 LLC)
6.75%, 6/30/43

      3,000           3,562,080   

Texas Trnsp Comm
5.00%, 4/01/23 (b)

      20,600           22,834,070   

University of Texas System (The)
Series 2009A
5.25%, 8/15/22

      6,825           7,905,739   
       

 

 

  
          93,964,505   
       

 

 

  

Virginia - 1.5%

        

Virginia Commonwealth Transportation Board
5.00%, 5/15/28

      5,340           6,143,670   
       

 

 

  

Washington - 4.0%

        

Energy Northwest
(Bonneville Power Administration)
Series 2011A
5.00%, 7/01/23

      5,250           6,175,837   

FYI Properties
(FYI Properties WA State Lease)

        

5.125%, 6/01/28

      5,200           5,838,924   

Series 2009

        

5.00%, 6/01/27

      3,885           4,349,763   
       

 

 

  
          16,364,524   
       

 

 

  

Wisconsin - 1.3%

        

State of Wisconsin
Series 20033
5.00%, 11/01/26

      1,465           1,467,783   

Wisconsin Housing & Economic Development
Authority
NATL Series 2002A
5.60%, 5/01/33

      3,975           3,977,425   
       

 

 

  
          5,445,208   
       

 

 

  

Total Long-Term Municipal Bonds
(cost $647,066,474)

           685,651,922   
       

 

 

  

     Shares      U.S. $ Value  

SHORT-TERM INVESTMENTS - 1.5%

      

Investment Companies - 1.5%

      

AllianceBerstein Fixed-Income Shares, Inc. -
Government STIF Portfolio, 0.08% (e)
(cost $6,269,287)

      6,269,287       $ 6,269,287   
     

 

 

  

Total Investments - 167.1%

      

(cost $653,335,761) (f)

         691,921,209   

Other assets less liabilities - (8.6)%

         (35,559,658 ) 

Preferred Shares at liquidation value - (58.5)%

         (242,225,000 ) 
     

 

 

  

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

       $ 414,136,551   
     

 

 

  

 

(a) 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 July 31, 2014, the aggregate market value of these securities amounted to $11,626,824 or 2.8% of net assets.
(b) Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund.
(c) Illiquid security.
(d) Security is in default and is non-income producing.
(e) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(f) As of July 31, 2014, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $42,313,548 and gross unrealized depreciation of investments was $(3,728,100), resulting in net unrealized appreciation of $38,585,448.
(g) Portfolio percentages are calculated based on net assets applicable to common shareholders.

As of July 31, 2014, the Fund held 19.5% of net assets in insured bonds (of this amount 5.9% represents the Fund’s holding in pre-refunded or escrowed to maturity bonds).

Glossary:

 

ACA

    -    ACA Financial Guaranty Corporation

AGC

    -    Assured Guaranty Corporation

AGM

    -    Assured Guaranty Municipal

AMBAC

    -    Ambac Assurance Corporation

BMC

    -    Baptist Medical Center

CCD

    -    Community College District

COP

    -    Certificate of Participation

GO

    -    General Obligation

NATL

    -    National Interstate Corporation

RADIAN

    -    Radian Asset Assurance Inc.

SSA

    -    Special Services Area

XLCA

    -    XL Capital Assurance Inc.

AllianceBernstein National Municipal Income Fund

July 31, 2014 (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 rates, coupon 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.

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, 2014:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Long-Term Municipal Bonds

    $ – 0  –    $ 669,511,538      $ 16,140,384      $ 685,651,922   

Short-Term Investments

      6,269,287        – 0  –      – 0  –      6,269,287   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      6,269,287        669,511,538        16,140,384        691,921,209   

Other Financial Instruments*

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

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $ 6,269,287      $ 669,511,538      $ 16,140,384      $ 691,921,209   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument.
^ There were no transfers between any levels 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 10/31/13

    $ 23,128,578      $ 23,128,578   

Accrued discounts/(premiums)

      (15,126 )      (15,126 ) 

Realized gain (loss)

      (4,258,303 )      (4,258,303 ) 

Change in unrealized appreciation/depreciation

      2,136,401        2,136,401   

Purchases

      374,917        374,917   

Sales

      (5,226,082 )      (5,226,082 ) 

Transfers in to Level 3

      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 7/31/14

    $ 16,140,385      $ 16,140,385   
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 7/31/14

    $ 854,854      $ 854,854   
  

 

 

    

 

 

  

The following presents information about significant unobservable inputs related to the Fund with material categories of Level 3 investments at July 31, 2014:

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
7/31/14		     

Valuation Technique

    Unobservable Input    Range/
Weighted Average		  

Long-Term Municipal Bonds

    $ 16,140,384      

Third Party Vendor

    Lack of External Credit Rating    $ 25.00 – $122.03/   
            $ 92.97   

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing 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) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

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 22, 2014

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 22, 2014
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   September 22, 2014