Regulatory Filings • Sep 29, 2014
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Download Source FileN-Q 1 d767417dnq.htm ALLIANCEBERNSTEIN NATIONAL MUNICIPAL INCOME FUND, INC. 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)
Registrants 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 OHare 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 Childrens 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 |
| 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 Funds 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 Funds 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 1quoted prices in active markets for identical investments
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3significant unobservable inputs (including the Funds 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 Funds investments by the above fair value hierarchy levels as of July 31, 2014:
| Investments in Securities: | Level 1 | Level 2 | ||||||
|---|---|---|---|---|---|---|---|---|
| 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 |
^ 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.
| Balance as of 10/31/13 | Long-Term Municipal Bonds — $ 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 Committees 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 Advisers 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 Advisers 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 Advisers prices).
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants 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 registrants 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 registrants 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 |
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