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, 2017

Date of reporting period: July 31, 2017

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

AllianceBernstein National Municipal Income Fund

Portfolio of Investments

July 31, 2017 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

MUNICIPAL OBLIGATIONS - 158.6%

        

Long-Term Municipal Bonds - 158.6%

        

Alabama - 2.5%

        

Alabama Public School & College Authority

        

Series 2009A

        

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

    $        3,000      $      3,208,590  

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

        

Series 2004A

        

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

      3,100          3,104,557  

State of Alabama Docks Department

        

AGM Series 2017A

        

5.00%, 10/01/34

      2,000          2,293,280  

AGM Series 2017C

        

5.00%, 10/01/36

      2,000          2,315,740  
       

 

 

  
          10,922,167  
       

 

 

  

Arizona - 1.1%

        

Salt Verde Financial Corp.
(Citigroup, Inc.)

        

Series 2007

        

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

      4,150          4,837,352  
       

 

 

  

Arkansas - 0.5%

        

Pulaski County Public Facilities Board
(Baptist Health)

        

Series 2014

        

5.00%, 12/01/42

      2,000          2,211,400  
       

 

 

  

California - 24.4%

        

Anaheim Public Financing Authority
(City of Anaheim CA Lease)

        

Series 2014A

        

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

      5,500          6,402,535  

Bay Area Toll Authority

        

Series 2013S

        

5.00%, 4/01/32

      5,720          6,587,667  

California Econ Recovery

        

Series 2009A

        

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

      4,860          5,260,610  

California Pollution Control Financing Authority
(Poseidon Resources Channelside LP)

        

Series 2012

        

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

      7,000          7,491,690  

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

        

Series 2009A

        

5.25%, 5/15/29

      5,700          6,141,807  

County of San Bernardino CA COP

        

Series 2009A

        

5.25%, 8/01/26

      1,455          1,559,440  

Los Angeles Community College District/CA

        

Series 2008F-1

        

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

      5,800          6,037,278  

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

        

     Principal
Amount
(000)		        U.S. $ Value  

Series 2013B

        

5.00%, 7/01/34

    $        1,770        $      2,068,917  

Los Angeles Department of Water & Power

        

Series 2013A

        

5.00%, 7/01/30 (Pre-refunded/ETM)

      90          107,137  

Los Angeles Department of Water & Power PWR

        

Series 2013A

        

5.00%, 7/01/30

      6,165          7,208,919  

Series 2013B

        

5.00%, 7/01/30

      10,000          11,842,100  

Los Angeles Department of Water & Power WTR

        

Series 2013B

        

5.00%, 7/01/32

      3,840          4,518,989  

San Bernardino County Transportation Authority

        

Series 2015-2

        

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

      11,340          13,327,841  

State of California

        

Series 2013

        

5.00%, 11/01/30

      5,800          6,812,738  

University of California

        

Series 2012G

        

5.00%, 5/15/31

      7,000          8,088,080  

Series 2013A

        

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

      9,855          11,586,384  
       

 

 

  
          105,042,132  
       

 

 

  

Colorado - 2.0%

        

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

        

Series 2013B

        

5.25%, 11/15/31

      6,680          7,933,970  

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

        

Series 2006

        

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

      705          706,697  
       

 

 

  
          8,640,667  
       

 

 

  

Connecticut - 9.4%

        

State of Connecticut

        

Series 2013C

        

5.00%, 7/15/27

      7,165          8,136,789  

Series 2013E

        

5.00%, 8/15/29

      4,800          5,402,304  

Series 2015F

        

5.00%, 11/15/32

      5,000          5,603,750  

State of Connecticut Special Tax Revenue

        

Series 2011A

        

5.00%, 12/01/28

      5,000          5,649,800  

Series 2012

        

5.00%, 1/01/29

      13,855          15,605,025  
       

 

 

  
          40,397,668  
       

 

 

  

District of Columbia - 1.6%

 

District of Columbia

        

     Principal
Amount
(000)		        U.S. $ Value  

Series 2013A

        

5.00%, 6/01/29

    $        5,000        $      5,914,750  

Metropolitan Washington Airports Authority

        

Series 2016A

        

5.00%, 10/01/35

      1,000          1,159,990  
       

 

 

  
          7,074,740  
       

 

 

  

Florida - 9.6%

        

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

        

Series 2014A

        

5.00%, 12/01/44

      4,560          5,038,846  

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

        

Series 2014

        

5.00%, 4/01/33

      1,000          1,117,090  

City of Orlando FL

        

Series 2014A

        

5.00%, 11/01/44 (Pre-refunded/ETM)

      7,720          9,419,172  

5.25%, 11/01/33 (Pre-refunded/ETM)

      5,620          6,946,601  

County of Miami-Dade FL Aviation Revenue

        

Series 2014A

        

5.00%, 10/01/33

      1,000          1,136,960  

Florida Ports Financing Commission

        

Series 2011A

        

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

      4,205          4,794,748  

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

        

Series 2015

        

5.00%, 6/01/35

      2,655          2,927,403  

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

        

Series 2014

        

5.00%, 11/15/39

      9,250          10,066,497  
       

 

 

  
          41,447,317  
       

 

 

  

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          5,410,446  
       

 

 

  

Hawaii - 2.8%

        

State of Hawaii

        

Series 2015E

        

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

      3,500          3,762,830  

State of Hawaii Airports System Revenue

        

Series 2010A

        

5.00%, 7/01/34

      5,000          5,510,150  

Series 2015A

        

5.00%, 7/01/45

      2,500          2,810,400  
       

 

 

  
          12,083,380  
       

 

 

  

Illinois - 9.7%

        

Chicago O'Hare International Airport

        

Series 2016B

        

     Principal
Amount
(000)		        U.S. $ Value  

5.00%, 1/01/41

    $        8,000        $      9,111,280  

Series 2016C

        

5.00%, 1/01/38

      2,350          2,695,168  

Illinois Finance Authority
(Illinois Institute of Technology)

        

Series 2006A

        

5.00%, 4/01/31

      1,250          1,251,862  

Illinois Finance Authority
(OSF Healthcare System Obligated Group)

        

Series 2015A

        

5.00%, 11/15/45

      4,500          4,900,455  

Illinois State Toll Highway Authority

        

Series 2015B

        

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

      8,800          10,008,204  

State of Illinois

        

Series 2012

        

5.00%, 3/01/31

      1,000          1,035,500  

Series 2014

        

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

      12,070          12,558,709  
       

 

 

  
            41,561,178  
       

 

 

  

Indiana - 1.0%

        

Indiana Finance Authority
(I-69 Development Partners LLC)

        

Series 2014

        

5.00%, 9/01/46 (c)

      250          255,973  

5.25%, 9/01/34-9/01/40 (c)

      2,700          2,832,270  

Indiana Finance Authority
(WVB East End Partners LLC)

        

Series 2013A

        

5.00%, 7/01/44

      1,250          1,345,837  
       

 

 

  
          4,434,080  
       

 

 

  

Kentucky - 2.3%

        

Kentucky Economic Development Finance Authority
(Next Generation Kentucky Information Highway)

        

Series 2015A

        

4.25%, 7/01/35

      1,000          1,027,850  

Kentucky Municipal Power Agency

        

NATL Series 2015A

        

5.00%, 9/01/30

      2,500          2,844,725  

Kentucky Turnpike Authority

        

Series 2013A

        

5.00%, 7/01/29

      5,000          5,829,200  
       

 

 

  
          9,701,775  
       

 

 

  

Louisiana - 1.8%

        

City of New Orleans LA

        

AGC Series 2007A

        

5.00%, 12/01/22 (Pre-refunded/ETM)

      5,875          5,954,548  

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

        

Series 2007

        

5.25%, 9/15/17

      1,200          1,204,224  

     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        $         570,529  
       

 

 

  
          7,729,301  
       

 

 

  

Maryland - 1.7%

        

Maryland Health & Higher Educational Facilities Authority
(Meritus Medical Center Obligated Group)

        

Series 2015

        

5.00%, 7/01/45

      6,725          7,329,308  
       

 

 

  

Massachusetts - 4.1%

        

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

        

Series 2011B

        

5.00%, 10/15/32

      13,000          14,845,090  

Series 2012B

        

5.00%, 8/15/30

      2,480          2,896,665  
       

 

 

  
             17,741,755  
       

 

 

  

Michigan - 8.7%

        

Detroit City School District

        

Series 2012A

        

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

      6,045          6,735,294  

Michigan Finance Authority
(Great Lakes Water Authority Water Supply System)

        

AGM Series 2014D-1

        

5.00%, 7/01/35

      1,250          1,411,625  

Michigan Finance Authority
(Henry Ford Health System Obligated Group)

        

Series 2016

        

4.00%, 11/15/36

      2,815          2,878,478  

Michigan Finance Authority
(Public Lighting Authority)

        

Series 2014B

        

5.00%, 7/01/34

      2,250          2,438,280  

Michigan Strategic Fund
(Detroit Renewable Energy Obligated Group)

        

Series 2013

        

8.50%, 12/01/30 (a)

      3,650          4,045,186  

Plymouth Educational Center Charter School

        

Series 2005

        

5.125%, 11/01/23 (d)

      2,140          1,940,295  

Wayne State University

        

Series 2009A

        

5.00%, 11/15/29 (Pre-refunded/ETM)

      7,840          8,534,938  

5.00%, 11/15/29

      8,660          9,307,248  
       

 

 

  
          37,291,344  
       

 

 

  

Minnesota - 0.7%

        

City of Minneapolis MN
(Fairview Health Services Obligated Group)

        

Series 2015A

        

     Principal
Amount
(000)		        U.S. $ Value  

5.00%, 11/15/33

    $        2,700        $      3,095,469  
       

 

 

  

Missouri - 0.5%

        

City of Kansas City MO

        

Series 2008C

        

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

      2,000          2,054,180  
       

 

 

  

New Jersey - 9.4%

        

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

        

Series 2014P

        

5.00%, 6/15/31

      2,500          2,592,425  

Series 2016B

        

5.50%, 6/15/30

      5,000          5,490,700  

New Jersey Economic Development Authority
(NYNJ Link Borrower LLC)

        

Series 2013

        

5.125%, 1/01/34

      1,000          1,106,480  

New Jersey Health Care Facilities Financing Authority
(RWJ Barnabas Health Obligated Group)

        

Series 2014

        

5.00%, 7/01/44

      6,450          7,089,001  

New Jersey Transportation Trust Fund Authority
(New Jersey Transportation Fed Hwy Grant)

        

Series 2016

        

5.00%, 6/15/29

      4,750          5,123,493  

New Jersey Turnpike Authority

        

Series 2012B

        

5.00%, 1/01/29

      6,500          7,459,335  

Series 2013A

        

5.00%, 1/01/31

      5,000          5,700,750  

Series 2016A

        

5.00%, 1/01/34

      5,000          5,802,900  
       

 

 

  
          40,365,084  
       

 

 

  

New York - 26.5%

        

City of New York NY

        

Series 2012B

        

5.00%, 8/01/30

      5,070          5,862,593  

Series 2012I

        

5.00%, 8/01/28

      8,780          10,193,668  

Hudson Yards Infrastructure Corp.

        

Series 2017A

        

5.00%, 2/15/34

      4,000          4,746,520  

Metropolitan Transportation Authority

        

Series 2012D

        

5.00%, 11/15/29

      4,000          4,668,600  

Series 2012F

        

5.00%, 11/15/27

      1,575          1,846,971  

Series 2013A

        

5.00%, 11/15/29

      1,830          2,134,896  

Series 2014B

        

5.25%, 11/15/34

      4,000          4,709,560  

Series 2014C

        

5.00%, 11/15/32

      1,000          1,166,940  

     Principal
Amount
(000)		        U.S. $ Value  

Metropolitan Transportation Authority
(Metropolitan Transportation Authority Ded Tax)

        

Series 2016A

        

5.25%, 11/15/35 (b)

    $      14,260        $    17,292,959  

New York City Municipal Water Finance Authority

        

Series 2011HH

        

5.00%, 6/15/26

      5,000          5,701,450  

Series 2013D

        

5.00%, 6/15/34

      3,600          4,216,716  

New York City NY Transitional

        

Series 2007B

        

5.00%, 8/01/34-8/01/37 (b)

      10,000          11,722,420  

New York State Dormitory Authority

        

Series 2012D

        

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

      1,135          1,314,410  

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

        

Series 2012B

        

5.00%, 3/15/32

      7,600          8,708,916  

Series 2012D

        

5.00%, 2/15/29

      6,865          7,907,656  

Port Authority of New York & New Jersey

        

Series 2013-178

        

5.00%, 12/01/32

      4,400          5,098,544  

Series 2014-186

        

5.00%, 10/15/44

      8,000          9,045,440  

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

        

Series 2007A

        

6.00%, 9/15/27

      1,775          1,777,503  

Utility Debt Securitization Authority

        

Series 2013T

        

5.00%, 12/15/30

      5,000          5,964,950  
       

 

 

  
          114,080,712  
       

 

 

  

North Carolina - 2.3%

        

County of Iredell NC COP

        

AGM Series 2008

        

5.25%, 6/01/22 (Pre-refunded/ETM)

      1,080          1,118,642  

North Carolina Medical Care Commission
(Vidant Health Obligated Group)

        

Series 2015

        

5.00%, 6/01/45

      4,445          4,962,354  

University of North Carolina at Greensboro

        

Series 2014

        

5.00%, 4/01/33

      3,145          3,587,281  
       

 

 

  
          9,668,277  
       

 

 

  

Ohio - 0.5%

        

City of Chillicothe OH
(Adena Health System Obligated Group)

        

Series 2017

        

5.00%, 12/01/37

      1,800          2,038,914  

Columbiana County Port Authority
(Apex Environmental LLC)

        

Series 2004

        

7.125%, 8/01/25 (c)(e)

      1,840          42,320  

     Principal
Amount
(000)		        U.S. $ Value  

Series 2014

        

10.635%, 8/01/25 (c)(e)

    $           248        $             5,697  
       

 

 

  
          2,086,931  
       

 

 

  

Oklahoma - 0.4%

        

Tulsa Airports Improvement Trust

        

BAM Series 2015A

        

5.00%, 6/01/45

      1,700          1,862,248  
       

 

 

  

Oregon - 1.3%

        

Oregon State Lottery

        

Series 2011A

        

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

      4,305          4,935,941  

5.25%, 4/01/25

      695          793,099  
       

 

 

  
          5,729,040  
       

 

 

  

Pennsylvania - 10.3%

        

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

        

Series 2006

        

5.00%, 9/01/21

      500          501,055  

Butler County Hospital Authority
(Butler Health System Obligated Group)

        

Series 2015

        

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

      3,510          3,821,320  

City of Philadelphia PA

        

AGM Series 2017A

        

5.00%, 8/01/34 (f)

      5,000          5,737,000  

Montgomery County Industrial Development Authority/PA

        

Series 2010

        

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

      3,480          3,904,247  

Montour School District

        

AGM Series 2015B

        

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

      6,520          7,460,364  

Pennsylvania Economic Development Financing Authority
(PA Bridges Finco LP)

        

Series 2015

        

5.00%, 12/31/34-6/30/42

      9,270          10,267,534  

Pennsylvania Turnpike Commission

        

Series 2014A

        

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

      6,355          7,265,317  

Philadelphia Authority for Industrial Development
(LLPCS Foundation)

        

Series 2005A

        

5.25%, 7/01/24 (c)(e)(g)

      1,150          11,500  

School District of Philadelphia (The)

        

Series 2016F

        

5.00%, 9/01/35

      5,000          5,529,650  
       

 

 

  
          44,497,987  
       

 

 

  

South Carolina - 1.3%

        

South Carolina Ports Authority

        

Series 2015

        

     Principal
Amount
(000)		        U.S. $ Value  

5.00%, 7/01/45

    $        5,000        $      5,580,100  
       

 

 

  

Tennessee - 1.9%

        

Chattanooga-Hamilton County Hospital Authority
(Erlanger Medical Center)

        

Series 2014

        

5.00%, 10/01/44

      7,500          8,112,975  
       

 

 

  

Texas - 15.1%

        

Alvin Independent School District/TX

        

Series 2009B

        

5.00%, 2/15/28 (Pre-refunded/ETM)

      960          1,019,798  

Arlington Higher Education Finance Corp.
(Lifeschool of Dallas)

        

Series 2014A

        

5.00%, 8/15/39

      4,805          5,465,736  

Arlington Higher Education Finance Corp.
(Uplift Education)

        

Series 2016A

        

5.00%, 12/01/36

      1,740          1,907,823  

Austin Community College District Public Facility Corp.

        

Series 2015

        

5.00%, 8/01/33

      5,000          5,794,650  

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

        

Series 2007

        

5.00%, 7/01/27

      305          305,342  

Central Texas Regional Mobility Authority

        

Series 2016

        

5.00%, 1/01/40

      3,500          3,964,030  

City of Austin TX Water & Wastewater System Revenue

        

Series 2013A

        

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

      8,075          9,418,379  

City of Houston TX Combined Utility System Revenue

        

Series 2011D

        

5.00%, 11/15/26 (Pre-refunded/ETM)

      6,000          6,949,020  

Dallas Independent School District

        

Series 2008

        

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

      2,500          2,567,400  

Fort Bend Independent School District

        

Series 2009

        

5.00%, 2/15/27

      7,560          8,144,842  

Love Field Airport Modernization Corp.

        

Series 2015

        

5.00%, 11/01/31

      1,000          1,155,350  

North Texas Tollway Authority

        

Series 2015B

        

5.00%, 1/01/40

      5,000          5,620,800  

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

        

Series 2009

        

6.875%, 12/31/39

      1,720          1,922,857  

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

        

     Principal
Amount
(000)		        U.S. $ Value  

Series 2013

        

6.75%, 6/30/43

    $ 3,000        $ 3,423,750  

University of Texas System (The)

        

Series 2009A

        

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

      6,825          7,132,534  
       

 

 

  
          64,792,311  
       

 

 

  

Utah - 1.2%

        

Salt Lake City Corp. Airport Revenue

        

Series 2017A

        

5.00%, 7/01/47

      4,500          5,150,295  
       

 

 

  

Washington - 2.5%

        

FYI Properties
(FYI Properties WA State Lease)

        

Series 2009

        

5.00%, 6/01/27

      3,885          4,150,307  

5.125%, 6/01/28

      5,200          5,564,884  

Port of Seattle WA

        

Series 2015A

        

5.00%, 4/01/40

      1,000          1,144,610  
       

 

 

  
          10,859,801  
       

 

 

  

Wisconsin - 0.2%

        

State of Wisconsin

        

Series 2003-3

        

5.00%, 11/01/26

      725          727,465  
       

 

 

  

Total Municipal Obligations
(cost $638,177,975)

           682,518,885  
       

 

 

  

SHORT-TERM INVESTMENTS - 1.5%

        

Investment Companies - 1.5%

        

AB Fixed Income Shares, Inc. - Government
Money Market Portfolio - Class AB, 0.86% (h)(i)
(cost $6,340,059)

      6,340,059          6,340,059  
       

 

 

  

Total Investments - 160.1%
(cost $644,518,034) (j)

           688,858,944  

Other assets less liabilities - (38.7)%

           (166,488,165 ) 

Preferred Shares at liquidation value - (21.4)%

           (92,125,000 ) 
       

 

 

  

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

         $ 430,245,779  
       

 

 

  

INTEREST RATE SWAPS

 

                   Rate Type        

Swap Counterparty

    Notional
Amount
(000)		      Termination
Date		      Payments
made by
the
Fund		     Payments
received
by the
Fund		     Unrealized
Appreciation/
(Depreciation)		  

Goldman Sachs Bank USA

    $ 84,000        9/01/17        0.638 %      SIFMA *    $ 38,153  

* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.

 

(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, 2017, the aggregate market value of these securities amounted to $11,536,876 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) 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      $ 2,126,974      $ 1,940,295        0.45 % 

 

(e) Non-income producing security.
(f) When-Issued or delayed delivery security.
(g) Defaulted.
(h) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.
(i) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(j) As of July 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $45,493,926 and gross unrealized depreciation of investments was $(1,153,016), resulting in net unrealized appreciation of $44,340,910.
(k) Portfolio percentages are calculated based on net assets applicable to common shareholders.

As of July 31, 2017, 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 4.5% and 1.0%, 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, 2017 (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, 2017:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Long-Term Municipal Bonds

    $ – 0  –    $ 657,840,006     $ 24,678,879     $ 682,518,885  

Short-Term Investments

      6,340,059       – 0  –      – 0  –      6,340,059  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      6,340,059       657,840,006       24,678,879       688,858,944  

Other Financial Instruments (a):

         

Assets:

 

Interest Rate Swaps

      – 0  –      38,153       – 0  –      38,153  

Liabilities

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

 

 

    

 

 

    

 

 

    

 

 

  

Total (b)

    $     6,340,059     $     657,878,159     $     24,678,879     $     688,897,097  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(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 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 10/31/16

    $     28,275,588     $     28,275,588  

Accrued discounts/(premiums)

      (68,323 )      (68,323 ) 

Realized gain (loss)

      27,928       27,928  

     Long-Term
Municipal Bonds		     Total  

Change in unrealized appreciation/depreciation

      (346,629 )      (346,629 ) 

Purchases

      – 0  –      – 0  – 

Sales

      (3,209,685 )      (3,209,685 ) 

Transfers in to Level 3

      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  – 
  

 

 

    

 

 

  

Balance as of 7/31/17

    $     24,678,879     $     24,678,879  
  

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from investments held as of 7/31/17

    $ (289,173 )    $ (289,173 ) 
  

 

 

    

 

 

  

As of July 31, 2017, 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 any 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 comparison 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).

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, 2017 is as follows:

 

Market Value
10/31/16
(000)

   

Purchases
at Cost
(000)

   

Sales
Proceeds
(000)

   

Market Value
7/31/17
(000)

   

Dividend
Income
(000)

$5,721

    $42,382    $41,763    $6,340    $12

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, 2017

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, 2017
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   September 22, 2017