AllianceBernstein National Municipal Income Fund, Inc.
Portfolio of Investments
July 31, 2023 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS – 151.7% | ||||||||
Long-Term Municipal Bonds – 151.7% | ||||||||
Alabama – 3.2% | ||||||||
Jefferson County Board of Education/AL | $ | 10,000 | $ | 10,374,709 | ||||
Sumter County Industrial Development Authority/AL (Enviva, Inc.) | 1,400 | 947,069 | ||||||
|
| |||||||
11,321,778 | ||||||||
|
| |||||||
Arizona – 3.2% | ||||||||
Arizona Industrial Development Authority (Equitable School Revolving Fund LLC Obligated Group) | 1,100 | 996,930 | ||||||
4.00%, 11/01/2050 | 2,855 | 2,508,022 | ||||||
Salt Verde Financial Corp. (Citigroup, Inc.) | 5,000 | 5,226,043 | ||||||
5.25%, 12/01/2023 | 2,665 | 2,670,803 | ||||||
|
| |||||||
11,401,798 | ||||||||
|
| |||||||
Arkansas – 0.6% | ||||||||
Pulaski County Public Facilities Board (Baptist Health Obligated Group) | 2,000 | 2,020,404 | ||||||
|
| |||||||
California – 7.9% | ||||||||
Alameda Corridor Transportation Authority | 10,000 | 5,064,179 | ||||||
California Pollution Control Financing Authority (Poseidon Resources Channelside LP) | 3,075 | 3,075,358 | ||||||
California Statewide Communities Development Authority (CHF-Irvine LLC) | 9,895 | 7,069,970 | ||||||
California Statewide Communities Development Authority (Enloe Medical Center Obligated Group) | 2,000 | 2,137,849 | ||||||
California Statewide Communities Development Authority (Loma Linda University Medical Center) | 800 | 804,057 | ||||||
5.25%, 12/01/2056(b) | 2,000 | 2,000,347 |
1
Principal Amount (000) | U.S. $ Value | |||||||
State of California | $ | 5,800 | $ | 5,821,823 | ||||
Series 2020 | 2,000 | 2,107,184 | ||||||
|
| |||||||
28,080,767 | ||||||||
|
| |||||||
Colorado – 2.1% | ||||||||
City & County of Denver CO. Airport System Revenue (Denver Intl Airport) | 6,680 | 6,714,201 | ||||||
Colorado Health Facilities Authority (CommonSpirit Health) | 705 | 727,092 | ||||||
|
| |||||||
7,441,293 | ||||||||
|
| |||||||
Connecticut – 2.4% | ||||||||
Connecticut State Health & Educational Facilities Authority (Sacred Heart University, Inc.) | 2,410 | 2,482,422 | ||||||
Connecticut State Health & Educational Facilities Authority (University of Hartford (The)) | 1,500 | 1,135,300 | ||||||
State of Connecticut | 4,800 | 4,802,663 | ||||||
|
| |||||||
8,420,385 | ||||||||
|
| |||||||
District of Columbia – 0.3% | ||||||||
Metropolitan Washington Airports Authority Aviation Revenue | 1,000 | 1,029,027 | ||||||
|
| |||||||
Florida – 9.0% | ||||||||
Alachua County Health Facilities Authority (Shands Teaching Hospital & Clinics Obligated Group) | 4,560 | 4,560,278 | ||||||
Brevard County Health Facilities Authority (Health First, Inc. Obligated Group) | 1,000 | 1,006,716 | ||||||
County of Miami-Dade FL | 6,355 | 6,118,526 | ||||||
Florida Development Finance Corp. (Cornerstone Charter Academy, Inc.) | 1,000 | 930,688 |
2
Principal Amount (000) | U.S. $ Value | |||||||
Florida Development Finance Corp. (Mater Academy Inc.) | $ | 3,250 | $ | 2,597,258 | ||||
Florida Development Finance Corp. (Mater Academy, Inc.) | 2,500 | 2,377,533 | ||||||
Florida Higher Educational Facilities Financial Authority (Ringling College of Art and Design, Inc.) | 1,000 | 1,001,974 | ||||||
Halifax Hospital Medical Center | 2,655 | 2,740,458 | ||||||
Palm Beach County Health Facilities Authority (Baptist Health South Florida Obligated Group) | 8,000 | 6,064,771 | ||||||
Putnam County Development Authority/FL (Seminole Electric Cooperative, Inc.) | 4,500 | 4,676,943 | ||||||
|
| |||||||
32,075,145 | ||||||||
|
| |||||||
Georgia – 3.0% | ||||||||
Augusta Development Authority (AU Health System Obligated Group) | 4,170 | 4,077,508 | ||||||
City of Atlanta GA Department of Aviation | 1,275 | 1,283,476 | ||||||
Main Street Natural Gas, Inc. (Citadel LP) | 1,000 | 965,157 | ||||||
Municipal Electric Authority of Georgia | 100 | 102,510 | ||||||
5.00%, 01/01/2048 | 160 | 161,256 | ||||||
5.00%, 01/01/2056 | 635 | 641,570 | ||||||
5.00%, 01/01/2059 | 165 | 165,275 | ||||||
Series 2021 | 330 | 291,431 | ||||||
4.00%, 01/01/2051 | 2,375 | 2,139,216 | ||||||
5.00%, 01/01/2056 | 650 | 651,371 | ||||||
|
| |||||||
10,478,770 | ||||||||
|
| |||||||
Hawaii – 1.3% | ||||||||
County of Hawaii HI | 2,065 | 2,164,872 | ||||||
State of Hawaii Airports System Revenue | 2,500 | 2,513,381 | ||||||
|
| |||||||
4,678,253 | ||||||||
|
|
3
Principal Amount (000) | U.S. $ Value | |||||||
Illinois – 19.1% | ||||||||
Chicago O’Hare International Airport | $ | 8,000 | $ | 8,163,225 | ||||
Series 2016-C | 2,350 | 2,412,457 | ||||||
Series 2017-D | 6,500 | 6,612,017 | ||||||
Series 2022 | 6,000 | 5,965,949 | ||||||
Illinois Finance Authority (Bradley University) | 4,750 | 3,876,961 | ||||||
Illinois Finance Authority (OSF Healthcare System Obligated Group) | 4,500 | 4,529,397 | ||||||
Illinois Finance Authority (University of Illinois) | 3,565 | 3,058,079 | ||||||
Illinois State Toll Highway Authority | 3,000 | 3,086,087 | ||||||
Metropolitan Pier & Exposition Authority | 8,755 | 8,881,205 | ||||||
State of Illinois | 1,655 | 1,671,130 | ||||||
5.00%, 05/01/2030 | 1,300 | 1,314,223 | ||||||
5.00%, 05/01/2033 | 1,150 | 1,160,371 | ||||||
5.00%, 02/01/2039 | 2,400 | 2,406,774 | ||||||
Series 2017-D | 5,000 | 5,321,420 | ||||||
Series 2018-A | 1,000 | 1,062,418 | ||||||
Series 2019-B | 3,595 | 3,595,847 | ||||||
4.00%, 11/01/2037 | 3,865 | 3,821,354 | ||||||
Village of Elk Grove Village IL | 1,060 | 1,130,340 | ||||||
|
| |||||||
68,069,254 | ||||||||
|
| |||||||
Indiana – 0.8% | ||||||||
Indiana Finance Authority (University of Evansville) | 3,000 | 2,785,017 | ||||||
|
|
4
Principal Amount (000) | U.S. $ Value | |||||||
Iowa – 1.7% | ||||||||
Iowa Finance Authority (Iowa Fertilizer Co. LLC) | $ | 5,000 | $ | 5,047,941 | ||||
Iowa Tobacco Settlement Authority | 1,000 | 897,251 | ||||||
|
| |||||||
5,945,192 | ||||||||
|
| |||||||
Kansas – 1.4% | ||||||||
City of Lawrence KS (Lawrence Memorial Hospital/KS) | 5,000 | 5,096,181 | ||||||
|
| |||||||
Kentucky – 0.0% | ||||||||
Kentucky Economic Development Finance Authority (CommonSpirit Health) | 145 | 149,467 | ||||||
|
| |||||||
Louisiana – 0.8% | ||||||||
Parish of St. John the Baptist LA (Marathon Oil Corp.) | 235 | 230,638 | ||||||
2.20%, 06/01/2037 | 950 | 896,139 | ||||||
State of Louisiana | 1,695 | 1,728,182 | ||||||
|
| |||||||
2,854,959 | ||||||||
|
| |||||||
Maryland – 2.5% | ||||||||
Maryland Economic Development Corp. (Maryland Economic Development Corp. Morgan View & Thurgood Marshall Student Hsg) | 2,000 | 2,210,473 | ||||||
Maryland Health & Higher Educational Facilities Authority (Meritus Medical Center Obligated Group) | 6,725 | 6,797,786 | ||||||
|
| |||||||
9,008,259 | ||||||||
|
| |||||||
Massachusetts – 0.2% | ||||||||
Massachusetts Development Finance Agency (Lasell University) | 1,000 | 780,024 | ||||||
|
| |||||||
Michigan – 8.4% | ||||||||
Detroit City School District | 8,795 | 9,766,292 | ||||||
Detroit Downtown Development Authority (Detroit Downtown Development Authority Catalyst Development Area) | 3,020 | 3,030,224 | ||||||
5.00%, 07/01/2048 | 10,000 | 10,031,191 |
5
Principal Amount (000) | U.S. $ Value | |||||||
Michigan Finance Authority (Great Lakes Water Authority Water Supply System Revenue) | $ | 1,250 | $ | 1,263,612 | ||||
Michigan Finance Authority (Public Lighting Authority) | 2,250 | 2,264,602 | ||||||
Plymouth Educational Center Charter School | 2,140 | 1,305,400 | ||||||
Troy School District/MI | 2,000 | 2,234,983 | ||||||
|
| |||||||
29,896,304 | ||||||||
|
| |||||||
Minnesota – 2.8% | ||||||||
City of Ramsey MN (Pact Charter School) | 1,000 | 1,001,935 | ||||||
City of Rochester MN (Mayo Clinic) | 3,000 | 2,917,090 | ||||||
Duluth Economic Development Authority (Essentia Health Obligated Group) | 6,000 | 6,014,251 | ||||||
|
| |||||||
9,933,276 | ||||||||
|
| |||||||
Nebraska – 1.5% | ||||||||
Central Plains Energy Project (Goldman Sachs Group, Inc. (The)) | 5,000 | 5,200,861 | ||||||
|
| |||||||
Nevada – 2.4% | ||||||||
Las Vegas Valley Water District | 8,645 | 8,346,012 | ||||||
|
| |||||||
New Hampshire – 1.4% | ||||||||
National Finance Authority | 3,000 | 2,794,572 | ||||||
New Hampshire Health and Education Facilities Authority Act (Dartmouth-Hitchcock Obligated Group) | 2,000 | 2,099,948 | ||||||
|
| |||||||
4,894,520 | ||||||||
|
|
6
Principal Amount (000) | U.S. $ Value | |||||||
New Jersey – 13.2% | ||||||||
City of Newark NJ | $ | 2,200 | $ | 2,337,770 | ||||
Essex County Improvement Authority (Friends of TEAM Academy Charter School Obligated Group) | 1,000 | 817,217 | ||||||
New Jersey Economic Development Authority | 2,500 | 2,538,530 | ||||||
Series 2016-B | 5,000 | 5,406,764 | ||||||
New Jersey Economic Development Authority (NYNJ Link Borrower LLC) | 1,000 | 1,004,723 | ||||||
New Jersey Health Care Facilities Financing Authority (New Jersey Transportation Trust Fund Authority State Lease) | 2,500 | 2,632,263 | ||||||
New Jersey Health Care Facilities Financing Authority (RWJ Barnabas Health Obligated Group) | 6,450 | 6,503,640 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) | 4,750 | 4,984,014 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) | 3,370 | 3,651,231 | ||||||
Series 2019-B | 800 | 802,847 | ||||||
South Jersey Transportation Authority | 1,000 | 1,014,252 | ||||||
Tobacco Settlement Financing Corp/NJ | 8,990 | 9,326,644 | ||||||
Township of West Orange/NJ | 6,000 | 6,022,855 | ||||||
|
| |||||||
47,042,750 | ||||||||
|
| |||||||
New York – 8.3% | ||||||||
Broome County Local Development Corp. (United Health Services Hospitals Obligated Group) | 3,000 | 2,326,447 | ||||||
City of New York NY | 3,150 | 3,334,132 |
7
Principal Amount (000) | U.S. $ Value | |||||||
Metropolitan Transportation Authority | $ | 4,000 | $ | 4,030,948 | ||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 6,000 | 6,198,874 | ||||||
5.00%, 08/01/2037 | 4,000 | 4,102,948 | ||||||
New York State Thruway Authority (State of New York Pers Income Tax) | 4,000 | 3,911,758 | ||||||
Port Authority of New York & New Jersey | 4,400 | 4,414,580 | ||||||
Ulster County Capital Resource Corp. (Woodland Pond at New Paltz) | 490 | 390,936 | ||||||
5.25%, 09/15/2042 | 205 | 159,049 | ||||||
5.25%, 09/15/2047 | 355 | 263,048 | ||||||
5.25%, 09/15/2053 | 760 | 541,605 | ||||||
|
| |||||||
29,674,325 | ||||||||
|
| |||||||
North Carolina – 3.9% | ||||||||
Greater Asheville Regional Airport Authority | 4,000 | 4,234,235 | ||||||
North Carolina Medical Care Commission (Vidant Health Obligated Group) | 4,445 | 4,425,971 | ||||||
North Carolina Turnpike Authority | 5,000 | 5,227,645 | ||||||
|
| |||||||
13,887,851 | ||||||||
|
| |||||||
Ohio – 3.7% | ||||||||
Buckeye Tobacco Settlement Financing Authority | 6,700 | 5,132,425 | ||||||
4.00%, 06/01/2048 | 2,000 | 1,840,603 | ||||||
City of Chillicothe OH (Adena Health System Obligated Group) | 1,800 | 1,821,904 | ||||||
County of Cuyahoga OH (MetroHealth System (The)) | 1,500 | 1,502,902 | ||||||
5.00%, 02/15/2052 | 2,240 | 2,190,837 | ||||||
Ohio Higher Educational Facility Commission (Kenyon College) | 730 | 706,907 | ||||||
|
| |||||||
13,195,578 | ||||||||
|
|
8
Principal Amount (000) | U.S. $ Value | |||||||
Oklahoma – 2.5% | ||||||||
Oklahoma City Airport Trust | $ | 2,000 | $ | 2,053,980 | ||||
5.00%, 07/01/2047 | 5,000 | 5,107,906 | ||||||
Tulsa Airports Improvement Trust | 1,700 | 1,717,350 | ||||||
|
| |||||||
8,879,236 | ||||||||
|
| |||||||
Oregon – 0.3% | ||||||||
Multnomah County School District No. 40 | 5,000 | 1,205,643 | ||||||
|
| |||||||
Pennsylvania – 12.3% | ||||||||
Allegheny County Hospital Development Authority (Allegheny Health Network Obligated Group) | 5,000 | 5,042,142 | ||||||
Berks County Municipal Authority (The) (Tower Health Obligated Group) | 1,000 | 684,979 | ||||||
Bucks County Industrial Development Authority (Grand View Hospital/Sellersville PA Obligated Group) | 2,250 | 1,580,258 | ||||||
Chester County Industrial Development Authority (Collegium Charter School) | 1,000 | 1,007,624 | ||||||
Montgomery County Higher Education and Health Authority (Thomas Jefferson University Obligated Group) | 6,000 | 6,188,923 | ||||||
5.00%, 09/01/2048 | 7,250 | 7,413,488 | ||||||
Pennsylvania Economic Development Financing Authority (Commonwealth of Pennsylvania Department of Transportation) | 7,500 | 8,358,906 | ||||||
Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP) | 1,270 | 1,297,585 | ||||||
5.00%, 12/31/2038 | 1,940 | 1,961,090 | ||||||
5.00%, 06/30/2042 | 6,060 | 6,089,190 | ||||||
Pennsylvania Turnpike Commission | 3,200 | 3,179,976 | ||||||
Scranton School District/PA | 1,025 | 1,032,413 | ||||||
|
| |||||||
43,836,574 | ||||||||
|
|
9
Principal Amount (000) | U.S. $ Value | |||||||
Puerto Rico – 0.2% | ||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | $ | 615 | $ | 578,921 | ||||
|
| |||||||
South Carolina – 5.1% | ||||||||
South Carolina Jobs-Economic Development Authority (Prisma Health Obligated Group) | 5,900 | 5,959,674 | ||||||
South Carolina Ports Authority | 5,000 | 5,122,331 | ||||||
South Carolina Public Service Authority | 5,000 | 5,083,641 | ||||||
Series 2022 | 1,132 | 840,687 | ||||||
3.00%, 12/01/2049 | 1,566 | 1,131,300 | ||||||
|
| |||||||
18,137,633 | ||||||||
|
| |||||||
South Dakota – 0.2% | ||||||||
County of Lincoln SD (Augustana College Association (The)) | 1,000 | 768,378 | ||||||
|
| |||||||
Tennessee – 0.1% | ||||||||
Chattanooga Health Educational & Housing Facility Board (CommonSpirit Health) | 145 | 142,536 | ||||||
4.00%, 08/01/2038 | 275 | 267,873 | ||||||
|
| |||||||
410,409 | ||||||||
|
| |||||||
Texas – 8.3% | ||||||||
Arlington Higher Education Finance Corp. | 2,805 | 2,848,512 | ||||||
Arlington Higher Education Finance Corp. (Uplift Education) | 3,000 | 2,923,228 | ||||||
Baytown Municipal Development District (Baytown Municipal Development District Baytown Convention Center Hotel Revenue Hotel Occupancy Tax) | 2,910 | 2,345,488 | ||||||
City of El Paso TX | 10,540 | 10,260,768 | ||||||
Decatur Hospital Authority | 2,000 | 1,588,892 |
10
Principal Amount (000) | U.S. $ Value | |||||||
Hidalgo County Regional Mobility Authority | $ | 2,000 | $ | 659,766 | ||||
Zero Coupon, 12/01/2044 | 2,420 | 754,368 | ||||||
Zero Coupon, 12/01/2045 | 3,360 | 989,535 | ||||||
New Hope Cultural Education Facilities Finance Corp. (CHF-Collegiate Housing Denton LLC) | 500 | 510,386 | ||||||
5.00%, 07/01/2048 | 1,100 | 1,108,979 | ||||||
State of Texas | 1,220 | 1,242,036 | ||||||
Texas Private Activity Bond Surface Transportation Corp. (NTE Mobility Partners Segments 3 LLC) | 3,000 | 3,006,277 | ||||||
Texas Water Development Board (State Water Implementation Revenue Fund for Texas) | 1,000 | 1,082,675 | ||||||
|
| |||||||
29,320,910 | ||||||||
|
| |||||||
Utah – 2.0% | ||||||||
City of Salt Lake City UT Airport Revenue | 2,500 | 2,551,400 | ||||||
BAM Series 2018-A | 4,500 | 4,635,491 | ||||||
|
| |||||||
7,186,891 | ||||||||
|
| |||||||
Virginia – 3.9% | ||||||||
Virginia Small Business Financing Authority (95 Express Lanes LLC) | 5,000 | 4,462,829 | ||||||
Virginia Small Business Financing Authority (Elizabeth River Crossings OpCo LLC) | 11,945 | 9,256,762 | ||||||
|
| |||||||
13,719,591 | ||||||||
|
| |||||||
Washington – 0.6% | ||||||||
County of King WA | 1,250 | 1,279,711 | ||||||
King County Rural Library District | 825 | 827,043 | ||||||
|
| |||||||
2,106,754 | ||||||||
|
|
11
Principal Amount (000) | U.S. $ Value | |||||||
West Virginia – 1.1% | ||||||||
West Virginia Hospital Finance Authority (West Virginia United Health System Obligated Group) | $ | 3,875 | $ | 3,978,784 | ||||
|
| |||||||
Wisconsin – 10.0% | ||||||||
Wisconsin Center District | 3,100 | 1,753,179 | ||||||
Zero Coupon, 12/15/2038 | 3,155 | 1,600,406 | ||||||
Zero Coupon, 12/15/2040 | 3,300 | 1,506,912 | ||||||
Wisconsin Public Finance Authority | 90 | 98,900 | ||||||
Wisconsin Public Finance Authority (CFC-SA LLC) | 10,000 | 9,765,555 | ||||||
Wisconsin Public Finance Authority (CHF - Wilmington LLC) | 10,000 | 10,275,337 | ||||||
Wisconsin Public Finance Authority (Moses H Cone Memorial Hospital Obligated Group) | 5,000 | 5,201,964 | ||||||
Wisconsin Public Finance Authority (Queens University of Charlotte) | 2,000 | 2,000,647 | ||||||
Wisconsin Public Finance Authority (Roseman University of Health Sciences) | 3,260 | 2,500,543 | ||||||
Wisconsin Public Finance Authority (Southeastern Regional Medical Center Obligated Group) | 1,055 | 953,784 | ||||||
|
| |||||||
35,657,227 | ||||||||
|
| |||||||
Total Municipal Obligations | 539,494,401 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.6% | ||||||||
Agency CMBS – 0.5% | ||||||||
California Housing Finance Agency | 1,107 | 1,084,654 | ||||||
Washington State Housing Finance Commission | 968 | 894,579 | ||||||
|
| |||||||
1,979,233 | ||||||||
|
|
12
Principal Amount (000) | U.S. $ Value | |||||||
Non-Agency Fixed Rate CMBS – 2.1% |
| |||||||
California Housing Finance Agency | $ | 965 | $ | 903,963 | ||||
New Hampshire Business Finance Authority | 2,959 | 2,923,309 | ||||||
Series 2020-1, Class A | 763 | 747,595 | ||||||
Series 2022-2, Class A | 2,970 | 2,836,286 | ||||||
|
| |||||||
7,411,153 | ||||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| 9,390,386 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS – 9.6% |
| |||||||
Investment Companies – 9.6% |
| |||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(e) (f) (g) | 34,043,592 | 34,043,592 | ||||||
|
| |||||||
Total Investments – 163.9% |
| 582,928,379 | ||||||
Other assets less liabilities – (63.9)% |
| (227,310,742 | ) | |||||
|
| |||||||
Net Assets – 100.0% |
| $ | 355,617,637 | |||||
|
|
(a) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2023. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At July 31, 2023, the aggregate market value of these securities amounted to $11,382,674 or 3.2% of net assets. |
(c) | Restricted and illiquid security. |
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||
Plymouth Educational Center Charter School | 11/30/2005 | $ | 2,139,398 | $ | 1,305,400 | 0.37% |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2023. |
(e) | Affiliated investments. |
(f) | The rate shown represents the 7-day yield as of period end. |
(g) | 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. |
(h) | As of July 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $4,135,143 and gross unrealized depreciation of investments was $(28,402,255), resulting in net unrealized depreciation of $(24,267,112). |
13
As of July 31, 2023, 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 13.8% and 0.3%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
CMBS – Commercial Mortgage-Backed Securities
ETM – Escrowed to Maturity
OSF – Order of St. Francis
SD – School District
14
AllianceBernstein National Municipal Income Fund, Inc.
July 31, 2023 (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.
Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
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The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2023:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 539,494,401 | $ | — | $ | 539,494,401 | ||||||||
Commercial Mortgage-Backed Securities | — | 9,390,386 | — | 9,390,386 | ||||||||||||
Short-Term Investments | 34,043,592 | — | — | 34,043,592 | ||||||||||||
Liabilities: |
| |||||||||||||||
Variable Rate MuniFund Term Preferred Shares(a) | — | (232,094,846 | ) | — | (232,094,846 | ) | ||||||||||
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|
|
|
|
|
| |||||||||
Total Investments in Securities | 34,043,592 | 316,789,941 | — | 350,833,533 | ||||||||||||
Other Financial Instruments(b) | — | — | — | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 34,043,592 | $ | 316,789,941 | $ | — | $ | 350,833,533 | ||||||||
|
|
|
|
|
|
|
|
(a) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
A summary of the Fund’s transactions in AB mutual funds for the nine months ended July 31, 2023 is as follows:
Fund | Market Value 10/31/2022 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 07/31/2023 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 1,218 | $ | 126,245 | $ | 93,419 | $ | 34,044 | $ | 330 |
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