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, 2015

Date of reporting period: January 31, 2015

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein National Municipal Income Fund

Portfolio of Investments

January 31, 2015 (unaudited)

 

      Principal
Amount
(000)		        U.S. $ Value  

MUNICIPAL OBLIGATIONS - 164.3%

        

Long-Term Municipal Bonds - 164.3%

        

Alabama - 1.5%

        

Alabama Public School & College Authority

        

Series 2009A

        

5.00%, 5/01/19 (Pre-refunded/ETM)

    $ 3,000         $ 3,513,450   

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

        

Series 2004A

        

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

      3,100           3,149,628   
       

 

 

  
          6,663,078   
       

 

 

  

Alaska - 0.5%

        

Alaska International Airports System

        

NATL Series 2003B

        

5.00%, 10/01/26

      2,000           2,007,240   
       

 

 

  

Arizona - 1.1%

        

Salt Verde Financial Corp.
(Citigroup, Inc.)

        

Series 2007

        

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

      4,150           5,016,752   
       

 

 

  

Arkansas - 0.5%

        

Pulaski County Public Facilities Board
(Baptist Health)

        

Series 2014

        

5.00%, 12/01/42

      2,000           2,308,660   
       

 

 

  

California - 27.0%

        

Anaheim Public Financing Authority
(City of Anaheim CA Lease)

        

Series 2014A

        

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

      5,500           6,455,320   

Bay Area Toll Authority

        

Series 2013S

        

5.00%, 4/01/32

      5,720           6,727,692   

California Econ Recovery

        

Series 2009A

        

5.25%, 7/01/21

      1,770           2,103,716   

California Pollution Control Financing Authority
(Poseidon Resources Channelside LP)

        

Series 2012

        

5.00%, 7/01/37-11/21/45(a)

      7,370           8,137,464   

City of Chula Vista CA
(San Diego Gas & Electric Co.)

        

Series 1996A

        

5.30%, 7/01/21

      4,000           4,085,320   

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

        

Series 2009A

        

5.25%, 5/15/29

      5,700           6,629,214   

County of San Bernardino CA COP

        

Series 2009A

        

5.25%, 8/01/26

      1,455           1,676,771   

Grossmont-Cuyamaca CCD CA GO

        

AGC

        

5.00%, 8/01/22-8/01/23(b)

      4,480           5,096,791   

      Principal
Amount
(000)		        U.S. $ Value  

Los Angeles Community College District/CA

        

Series 2008F-1

        

5.00%, 8/01/18 (Pre-refunded/ETM)

    $ 5,800         $ 6,663,098   

Los Angeles County Metropolitan Transportation Authority

        

Series 2013B

        

5.00%, 7/01/34

      1,770           2,112,530   

Los Angeles Department of Water & Power PWR

        

Series 2013A

        

5.00%, 7/01/30

      6,255           7,449,767   

Series 2013B

        

5.00%, 7/01/30

      10,000           12,019,400   

Los Angeles Department of Water & Power WTR

        

Series 2013B

        

5.00%, 7/01/32

      3,840           4,583,117   

San Bernardino County Transportation Authority

        

5.00%, 3/01/32-3/01/34(b)

      11,340           13,620,380   

State of California

        

Series 2003

        

5.00%, 2/01/32-2/01/33

      265           266,020   

Series 2009A

        

5.25%, 7/01/19 (Pre-refunded/ETM)

      3,090           3,682,940   

Series 2013

        

5.00%, 11/01/30

      5,800           6,992,712   

University of California

        

Series 2012G

        

5.00%, 5/15/31

      7,000           8,322,090   

Series 2013A

        

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

      9,855           11,816,735   
       

 

 

  
          118,441,077   
       

 

 

  

Colorado - 5.4%

        

Anthem West Metropolitan District

        

Series 2005

        

6.125%, 12/01/25

      1,000           977,130   

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

        

Series 2013B

        

5.25%, 11/15/31

      6,680           8,096,494   

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

        

Series 2006

        

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

      2,425           2,557,882   

Denver Urban Renewal Authority
(Stapleton Development Corp.)

        

Series 2010B-1

        

5.00%, 12/01/25

      6,865           7,120,721   

Park Creek Metropolitan District

        

Series 2005

        

5.25%, 12/01/25

      3,000           3,090,030   

5.50%, 12/01/30

      890           914,351   

Todd Creek Village Metropolitan District No 1

        

Series 2004

        

6.125%, 12/01/19(c)

      1,180           590,000   

Todd Creek Village Metropolitan District No 1 COP

        

Series 2006

        

      Principal
Amount
(000)		        U.S. $ Value  

6.125%, 12/01/22(c) (d)

    $ 1,970         $ 492,500   
       

 

 

  
          23,839,108   
       

 

 

  

Connecticut - 8.4%

        

State of Connecticut

        

Series 2013C

        

5.00%, 7/15/27

      7,165           8,673,018   

Series 2013E

        

5.00%, 8/15/29

      4,800           5,769,792   

State of Connecticut Special Tax Revenue

        

Series 2011A

        

5.00%, 12/01/28

      5,000           5,959,400   

Series 2012

        

5.00%, 1/01/29

      13,855           16,501,443   
       

 

 

  
          36,903,653   
       

 

 

  

District of Columbia - 1.4%

        

District of Columbia

        

Series 2013A

        

5.00%, 6/01/29

      5,000           6,021,550   
       

 

 

  

Florida - 8.2%

        

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

        

Series 2014A

        

5.00%, 12/01/44

      2,040           2,351,100   

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

        

Series 2014

        

5.00%, 4/01/33

      1,000           1,148,720   

City of Orlando FL

        

Series 2014A

        

5.00%, 11/01/44

      7,720           9,032,554   

5.25%, 11/01/33

      5,620           6,795,198   

County of Miami-Dade FL Aviation Revenue

        

Series 2014A

        

5.00%, 10/01/33

      1,000           1,163,850   

Florida Ports Financing Commission

        

Series 2011A

        

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

      4,205           5,048,273   

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

        

Series 2014

        

5.00%, 11/15/39

      9,250           10,521,783   
       

 

 

  
          36,061,478   
       

 

 

  

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           5,589,243   
       

 

 

  

Hawaii - 1.3%

        

State of Hawaii Airports System Revenue

        

Series 2010A

        

5.00%, 7/01/34

      5,000           5,751,350   
       

 

 

  

      Principal
Amount
(000)		        U.S. $ Value  

Illinois - 9.8%

        

Chicago O’Hare International Airport

        

XLCA Series 2003B-1

        

5.25%, 1/01/34

    $ 4,860         $ 4,877,059   

Cook County High School District No 29 Proviso Township

        

AGM Series 2004

        

5.00%, 12/01/20

      2,000           2,159,460   

Illinois Finance Authority
(Illinois Institute of Technology)

        

Series 2006A

        

5.00%, 4/01/31

      1,250           1,257,462   

Illinois Finance Authority
(Rush University Medical Center Obligated Group)

        

Series 2015A

        

5.00%, 11/15/34-11/15/38(e)

      5,900           6,938,924   

Illinois State Toll Highway Authority

        

Series 2013A

        

5.00%, 1/01/32

      3,610           4,192,040   

State of Illinois

        

Series 2012

        

5.00%, 3/01/31

      1,000           1,091,300   

Series 2014

        

5.00%, 5/01/35

      5,565           6,085,550   

Univ of Illinois

        

AGM

        

5.25%, 10/01/26(b)

      10,800           11,925,900   

Village of Gilberts IL

        

Series 2005

        

6.00%, 3/01/15 (Pre-refunded/ETM)

      2,486           2,545,813   

Village of Manhattan IL
(Village of Manhattan IL SSA No 2004-1)

        

Series 2005

        

5.875%, 3/01/28

      1,651           1,677,433   
       

 

 

  
          42,750,941   
       

 

 

  

Kentucky - 1.4%

        

Kentucky Turnpike Authority
(Kentucky Turnpike Authority State Lease)

        

Series 2013A

        

5.00%, 7/01/29

      5,000           6,060,700   
       

 

 

  

Louisiana - 3.8%

        

City of New Orleans LA

        

NATL Series 2005

        

5.00%, 3/01/18-12/01/29

      4,985           5,078,463   

5.25%, 12/01/20

      1,000           1,036,250   

RADIAN Series 2007A

        

5.00%, 12/01/22

      5,875           6,424,430   

Louisiana Agricultural Finance Authority

        

Series 2007

        

5.25%, 9/15/17

      3,430           3,624,584   

Louisiana Local Government Environmental Facilities & Community Development Auth
(Parish of Jefferson LA)

        

Series 2009A

        

      Principal
Amount
(000)		        U.S. $ Value  

5.00%, 4/01/26

    $ 535         $ 615,806   
       

 

 

  
          16,779,533   
       

 

 

  

Massachusetts - 6.6%

        

Massachusetts Development Finance Agency
(Franklin W Olin College of Engineering, Inc.)

        

Series 2013E

        

5.00%, 11/01/38

      5,000           5,809,600   

Massachusetts School Building Authority

        

Series 2011B

        

5.00%, 10/15/32

      13,000           15,531,750   

Series 2012B

        

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

      6,345           7,660,197   
       

 

 

  
          29,001,547   
       

 

 

  

Michigan - 9.3%

        

Detroit City School District

        

Series 2012A

        

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

      6,045           6,837,327   

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

        

AGM Series 2014D1

        

5.00%, 7/01/35

      1,250           1,402,363   

Michigan Finance Authority
(MidMichigan Obligated Group)

        

Series 2014

        

5.00%, 6/01/39

      4,525           5,192,754   

Michigan Finance Authority
(Public Lighting Authority)

        

Series 2014B

        

5.00%, 7/01/34

      2,250           2,522,317   

Michigan Strategic Fund
(Detroit Renewable Energy Obligated Group)

        

Series 2013

        

8.50%, 12/01/30(a)

      4,000           3,864,720   

Plymouth Educational Center Charter School

        

Series 2005

        

5.125%, 11/01/23

      2,140           1,679,151   

Wayne State University

        

Series 2009A

        

5.00%, 11/15/29

      16,500           19,038,690   
       

 

 

  
          40,537,322   
       

 

 

  

Mississippi - 0.9%

        

City of Gulfport MS
(Memorial Hospital at Gulfport/MS)

        

Series 2001A

        

5.75%, 7/01/31

      4,000           4,011,600   
       

 

 

  

Missouri - 0.5%

        

City of Kansas City MO
(City of Kansas City MO Lease)

        

Series 2008C

        

5.00%, 4/01/28

      2,000           2,226,900   
       

 

 

  

New Jersey - 7.1%

        

New Jersey Economic Development Authority

        

Series 2005O

        

      Principal
Amount
(000)		        U.S. $ Value  

5.25%, 3/01/15 (Pre-refunded/ETM)

    $ 500         $ 501,925   

Series 2014U

        

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

      7,500           8,419,275   

New Jersey Economic Development Authority
(NYNJ Link Borrower LLC)

        

Series 2013

        

5.125%, 1/01/34

      1,000           1,124,230   

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

        

Series 2014

        

5.00%, 7/01/44

      6,450           7,375,317   

New Jersey State Turnpike Authority

        

Series 2012B

        

5.00%, 1/01/29

      6,500           7,613,580   

Series 2013A

        

5.00%, 1/01/31

      5,000           5,822,100   
       

 

 

  
          30,856,427   
       

 

 

  

New York - 26.6%

        

City of New York NY

        

Series 2006J

        

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

      1,155           1,226,402   

5.00%, 6/01/22

      5           5,306   

Series 2010E

        

5.00%, 8/01/28

      1,690           1,974,461   

Series 2012B

        

5.00%, 8/01/30

      5,070           6,010,941   

Series 2012I

        

5.00%, 8/01/28

      8,780           10,523,093   

Metropolitan Transportation Authority

        

Series 2012D

        

5.00%, 11/15/29

      4,000           4,752,720   

Series 2012F

        

5.00%, 11/15/27

      1,575           1,891,229   

Series 2013A

        

5.00%, 11/15/29

      1,830           2,171,716   

Series 2013C

        

5.00%, 11/15/32

      1,000           1,174,470   

Series 2014B

        

5.25%, 11/15/34

      4,000           4,824,920   

Series 2014C

        

5.00%, 11/15/32

      1,000           1,197,450   

New York City Transitional Finance Authority Future Tax Secured Revenue

        

Series 2007B

        

5.00%, 11/01/24

      7,025           7,684,085   

New York City Water & Sewer System

        

Series 2011HH

        

5.00%, 6/15/26

      5,000           5,997,800   

Series 2013D

        

5.00%, 6/15/34

      3,600           4,254,516   

New York St Dormitory Auth
(New York St Pers Income Tax)

        

5.00%, 3/15/26(b)

      7,000           7,849,380   

New York St Envrn Fac Corp.
(New York NY Mun Wtr Fin Auth)

        

5.00%, 6/15/24-6/15/27(b)

      7,000           7,935,060   

      Principal
Amount
(000)		        U.S. $ Value  

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

        

Series 2012B

        

5.00%, 3/15/32

    $ 7,600         $ 8,972,104   

Series 2012D

        

5.00%, 2/15/29

      8,000           9,514,720   

New York State Environmental Facilities Corp.
(New York City Municipal Water Finance Authority)

        

Series 2011

        

5.00%, 6/15/27

      5,000           5,981,150   

Port Authority of New York & New Jersey

        

Series 2013178

        

5.00%, 12/01/32

      4,400           5,137,088   

Series 2014186

        

5.00%, 10/15/44

      8,000           9,264,320   

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

        

Series 2007A

        

6.00%, 9/15/27

      1,775           1,785,064   

Utility Debt Securitization Authority

        

Series 2013T

        

5.00%, 12/15/30

      5,000           6,148,850   
       

 

 

  
          116,276,845   
       

 

 

  

North Carolina - 2.8%

        

County of Iredell NC COP

        

AGM Series 2008

        

5.25%, 6/01/22

      1,080           1,228,586   

University of North Carolina at Greensboro

        

Series 2014

        

5.00%, 4/01/31-4/01/33

      9,210           11,040,036   
       

 

 

  
          12,268,622   
       

 

 

  

Ohio - 2.2%

        

Columbiana County Port Authority
(Apex Environmental LLC)

        

Series 2004

        

10.635%, 8/01/25

      117           92,289   

Series 2004A

        

7.125%, 8/01/25(c)

      1,840           1,480,188   

Ohio Air Quality Development Authority
(FirstEnergy Nuclear Generation LLC)

        

Series 2006

        

3.625%, 12/01/33

      795           838,908   

Series 2008C

        

3.95%, 11/01/32

      5,800           6,207,624   

Summit County Development Finance Authority

        

Series 2012

        

5.00%, 12/01/25

      1,000           1,181,320   
       

 

 

  
          9,800,329   
       

 

 

  

Oregon - 2.5%

        

City of Forest Grove OR
(Pacific University)

        

RADIAN Series 2005A

        

5.00%, 5/01/28

      4,760           4,805,506   

      Principal
Amount
(000)		        U.S. $ Value  

Oregon State Lottery

        

Series 2011A

        

5.25%, 4/01/25

    $ 5,000         $ 6,092,350   
       

 

 

  
          10,897,856   
       

 

 

  

Pennsylvania - 3.2%

        

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

        

Series 2006

        

5.00%, 9/01/21

      500           509,005   

Montgomery County Industrial Development Authority/PA
(New Regional Medical Center, Inc.)

        

Series 2010

        

5.25%, 8/01/33

      3,480           4,107,096   

Pennsylvania Turnpike Commission

        

Series 2014A

        

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

      6,355           7,556,475   

Philadelphia Authority for Industrial Development
(LLPCS Foundation)

        

Series 2005A

        

5.25%, 7/01/24(c) (d)

      1,150           805,000   

Wilkes-Barre Finance Authority
(Wilkes University)

        

Series 2007

        

5.00%, 3/01/22

      990           1,039,114   
       

 

 

  
          14,016,690   
       

 

 

  

South Carolina - 2.2%

        

Charleston Educational Excellence Finance Corp.

        

Series 2005

        

5.25%, 12/01/15 (Pre-refunded/ETM)

      2,000           2,084,240   

Dorchester County School District No 2
(Dorchester County School District No 2 Lease)

        

AGC Series 2006

        

5.00%, 12/01/29

      1,600           1,725,440   

Newberry Investing IN Children’s Education

        

AGC Series 2005

        

5.00%, 12/01/15 (Pre-refunded/ETM)

      5,450           5,665,984   
       

 

 

  
          9,475,664   
       

 

 

  

Tennessee - 2.5%

        

Chattanooga-Hamilton County Hospital Authority
(Erlanger Medical Center)

        

Series 2014

        

5.00%, 10/01/44

      7,500           8,434,500   

Sullivan County Health Educational & Housing Facilities Board

        

Series 2006C

        

5.00%, 9/01/16 (Pre-refunded/ETM)

      1,760           1,885,541   

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

        

Series 2006C

        

     Principal
Amount
(000)		        U.S. $ Value  

5.25%, 9/01/26

    $ 725         $ 769,732   
       

 

 

  
          11,089,773   
       

 

 

  

Texas - 20.9%

        

Alvin Independent School District/TX

        

Series 2009B

        

5.00%, 2/15/28

      960           1,088,515   

Arlington Higher Education Finance Corp.
(Lifeschool of Dallas)

        

Series 2014A

        

5.00%, 8/15/39

      4,805           5,639,917   

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

        

Series 2007

        

5.00%, 7/01/27

      455           485,599   

City of Austin TX Water & Wastewater System Revenue

        

Series 2013A

        

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

      8,075           9,729,092   

City of Frisco TX

        

NATL Series 2006

        

5.00%, 2/15/16 (Pre-refunded/ETM)

      3,220           3,379,390   

City of Houston TX Combined Utility System Revenue

        

Series 2011D

        

5.00%, 11/15/25-11/15/26

      8,500           10,361,290   

City of Lewisville TX
(City of Lewisville TX Spl Assmt Dist No 2)

        

ACA Series 2005

        

6.00%, 10/01/25

      1,100           1,122,902   

Dallas Independent School District

        

Series 2008

        

6.00%, 2/15/18 (Pre-refunded/ETM)

      2,500           2,901,550   

Dripping Springs Independent School District/TX

        

Series 2008

        

5.125%, 2/15/17 (Pre-refunded/ETM)

      5,715           6,259,297   

Fort Bend Independent School District

        

Series 2009

        

5.00%, 2/15/27

      7,560           8,866,822   

State of Texas

        

Series 2005A

        

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

      5,515           5,558,127   

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

        

Series 2009

        

6.875%, 12/31/39

      1,720           2,046,250   

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

        

Series 2013

        

6.75%, 6/30/43

      3,000           3,696,780   

Texas Trnsp Comm

        

5.00%, 4/01/23(b)

      20,600           22,521,980   

University of Texas System (The)

        

Series 2009A

        

     Principal
Amount
(000)		        U.S. $ Value  

5.25%, 8/15/22

    $ 6,825         $ 7,864,720   
       

 

 

  
          91,522,231   
       

 

 

  

Washington - 3.9%

        

Energy Northwest
(Bonneville Power Administration)

        

Series 2011A

        

5.00%, 7/01/23

      5,250           6,354,338   

FYI Properties
(FYI Properties WA State Lease)

        

Series 2009

        

5.00%, 6/01/27

      3,885           4,484,028   

5.125%, 6/01/28

      5,200           6,019,520   
       

 

 

  
          16,857,886   
       

 

 

  

Wisconsin - 1.5%

        

State of Wisconsin

        

Series 20033

        

5.00%, 11/01/26

      1,465           1,468,487   

Wisconsin Health & Educational Facilities Authority
(ProHealth Care Obligated Group)

        

Series 2015

        

5.00%, 8/15/39

      1,000           1,157,520   

Wisconsin Housing & Economic Development Authority

        

NATL Series 2002A

        

5.60%, 5/01/33

      3,975           3,990,741   
       

 

 

  
          6,616,748   
       

 

 

  

Total Long-Term Municipal Bonds
(cost $659,239,920)

           719,650,803   
       

 

 

  
     Shares           

SHORT-TERM INVESTMENTS - 0.7%

        

Investment Companies - 0.7%

        

AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.09%(f) (g)
(cost $2,796,404)

      2,796,404           2,796,404   
  

 

 

       

 

 

  

Total Investments – 165.0%
(cost $662,036,324)(h)

           722,447,207   

Other assets less liabilities – (9.7)%

           (42,294,344 ) 

Preferred Shares at liquidation value – (55.3)%

           (242,225,000 ) 
       

 

 

  

Net Assets Applicable to Common Shareholders – 100.0%(i)

         $ 437,927,863   
       

 

 

  

 

(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 January 31, 2015, the aggregate market value of these securities amounted to $12,002,184 or 2.7% 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) When-Issued or delayed delivery security.
(f) 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 AllianceBernstein at (800) 227-4618.
(g) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(h) As of January 31, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $63,660,814 and gross unrealized depreciation of investments was $(3,249,931), resulting in net unrealized appreciation of $60,410,883.
(i) Portfolio percentages are calculated based on net assets applicable to common shareholders.

As of January 31, 2015, 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 8.6% and 14.6%, respectively.

Glossary:

 

ACA    -    ACA Financial Guaranty Corporation
AGC    -    Assured Guaranty Corporation
AGM    -    Assured Guaranty Municipal
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

January 31, 2015 (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 January 31, 2015:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

    $ – 0  –    $ 702,991,362      $ 16,659,441      $ 719,650,803   

Short-Term Investments

      2,796,404        – 0  –      – 0  –      2,796,404   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      2,796,404        702,991,362        16,659,441        722,447,207   

Other Financial Instruments*

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

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $     2,796,404      $     702,991,362      $     16,659,441      $     722,447,207   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* 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 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 10/31/14

    $  15,557,676      $ 15,557,676   

Accrued discounts/(premiums)

      (2,742 )      (2,742 ) 

Realized gain (loss)

      (4 )      (4 ) 

Change in unrealized appreciation/depreciation

      (109,816 )      (109,816 ) 

Purchases

      – 0  –      – 0  – 

Sales

      (25,000 )      (25,000 ) 

Transfers in to Level 3

      1,239,327        1,239,327   

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 1/31/15

    $     16,659,441      $     16,659,441 + 
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 1/31/15

    $ (109,816 )    $ (109,816 ) 
  

 

 

    

 

 

  

 

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

As of January 31, 2015 all level 3 securities were priced by third party vendors.

The Adviser established 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) 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 last fiscal quarter 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:   March 20, 2015

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:   March 20, 2015
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   March 20, 2015