N-Q 1 d128403dnq.htm ALLIANCE CALIFORNIA MUNICIPAL INCOME FUND, INC. Alliance California 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: 811-10575

ALLIANCE CALIFORNIA 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, 2016

Date of reporting period: January 31, 2016

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS.

 


Alliance California Municipal Income Fund

Portfolio of Investments

January 31, 2016 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS - 153.1%

  

Long-Term Municipal Bonds - 153.1%

  

California - 139.2%

  

Abag Finance Authority for Nonprofit Corps. (Bijou Woods Associates LP)

       

Series 2001A

       

5.30%, 12/01/31

   $ 2,735         $ 2,743,041   

Anaheim Public Financing Authority (City of Anaheim CA Lease)

       

Series 2014A

       

5.00%, 5/01/33-5/01/39

     4,750           5,528,790   

Bay Area Toll Authority

       

Series 2013S

       

5.00%, 4/01/33

     5,000           5,959,250   

Beaumont Financing Authority

       

AMBAC Series 2007C

       

5.00%, 9/01/26

     755           778,435   

Bellflower Redevelopment Agency (9920 Flora Vista LP)

       

Series 2002A

       

5.50%, 6/01/35

     2,775           2,775,167   

California Econ Recovery

       

Series 2009A

       

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

     535           614,752   

California Health Facilities Financing Authority (California-Nevada Methodist Homes)

       

Series 2015

       

5.00%, 7/01/45

     3,000           3,425,280   

California Municipal Finance Authority (Azusa Pacific University)

       

Series 2015B

       

5.00%, 4/01/35-4/01/41

     2,040           2,261,496   

California Pollution Control Financing Authority (Poseidon Resources Channelside LP)

       

Series 2012

       

5.00%, 7/01/37 (a)

     3,450           3,599,143   

California School Finance Authority (Alliance College-Ready Public Schools Facilities Corp.)

       

Series 2015A

       

5.00%, 7/01/30 (a)

     1,700           1,829,421   

California School Finance Authority (Aspire Public Schools)

       

Series 2015A

       

5.00%, 8/01/40-8/01/45 (a)

     2,000           2,188,960   

California School Finance Authority (Green DOT Public Schools Obligated Group)

       

Series 2015A

       

5.00%, 8/01/45 (a)

     1,500           1,588,335   

California State Public Works Board

       

Series 2011G

       

5.25%, 12/01/26 (Pre-refunded/ETM)

     6,000           7,409,400   

California Statewide Communities Development Authority (Bentley School)

       

Series 2010A

       

7.00%, 7/01/40

     2,625           3,017,621   


      Principal
Amount
(000)
       U.S. $ Value  

California Statewide Communities Development Authority (Buck Institute for Research on Aging)

       

AGM Series 2014

       

5.00%, 11/15/44

   $ 4,000         $ 4,511,400   

California Statewide Communities Development Authority (Collis P. and Howard Huntington Memorial Hospital Trust)

       

Series 2014B

       

5.00%, 7/01/44

     1,000           1,133,370   

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

       

Series 2009A

       

5.25%, 5/15/29

     1,700           1,933,359   

Series 2010A

       

5.00%, 5/15/27

     1,440           1,676,290   

City of San Francisco CA Public Utilities Commission Wastewater Revenue

       

Series 2013B

       

5.00%, 10/01/32

     4,735           5,606,903   

Fullerton Redevelopment Agency Successor Agency (Marshall B Ketchum University)

       

AGC Series 2004

       

5.00%, 4/01/21

     2,050           2,148,790   

Garden Grove Unified School District

       

Series 2013C

       

5.00%, 8/01/34

     3,650           4,224,181   

Imperial Irrigation District Electric System Revenue

       

Series 2016C

       

5.00%, 11/01/36

     1,000           1,208,590   

Jurupa Public Financing Authority

       

Series 2014A

       

5.00%, 9/01/30-9/01/32

     2,475           2,878,308   

Long Beach Bond Finance Authority (Aquarium of the Pacific)

       

Series 2012

       

5.00%, 11/01/27

     3,500           4,129,475   

Los Angeles Community College District/CA

       

Series 2008F-1

       

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

     4,200           4,638,102   

Los Angeles Community Redevelopment Agency (Los Angeles Community Redevelopment Agency Sales Tax)

       

AMBAC Series 2002A

       

5.375%, 12/01/26

     6,635           6,655,635   

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

       

Series 2009

       

5.00%, 7/01/25

     6,700           7,596,527   

Series 2013B

       

5.00%, 7/01/33

     1,675           1,971,525   

Los Angeles County Sanitation Districts Financing Authority

       

Series 2015A

       

5.00%, 10/01/33

     1,400           1,674,806   


      Principal
Amount
(000)
       U.S. $ Value  

Los Angeles Department of Water & Power WTR

       

Series 2013B

       

5.00%, 7/01/32

   $ 6,185         $ 7,344,626   

Norco Community Redevelopment Agency Successor Agency (Norco Redevelopment Agency Project No. 1)

       

Series 2010

       

5.875%, 3/01/32

     420           477,590   

6.00%, 3/01/36

     325           370,630   

Peralta Community College District

       

Series 2014A

       

4.00%, 8/01/31

     4,100           4,482,612   

Port of Los Angeles

       

Series 2009C

       

5.00%, 8/01/26

     5,550           6,292,090   

Richmond Community Redevelopment Agency

       

Series 2010A

       

5.75%, 9/01/24-9/01/25

     530           616,118   

6.00%, 9/01/30

     370           432,308   

Riverside County Infrastructure Financing Authority (Riverside County Infrastructure Financing Authority Lease)

       

Series 2015A

       

4.00%, 11/01/37

     1,225           1,302,212   

Riverside County Transportation Commission (Riverside County Transportation Commission Sales Tax)

       

Series 2013A

       

5.25%, 6/01/32

     2,000           2,453,180   

Sacramento City Unified School District/CA

       

Series 2011

       

5.50%, 7/01/29

     4,000           4,798,600   

San Bernardino County Transportation Authority

       

Series 2014A

       

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

     6,040           7,164,589   

San Diego County Water Authority Financing Corp.

       

Series 2013

       

5.00%, 5/01/31

     4,300           5,148,992   

San Diego Public Facilities Financing Authority (San Diego Public Facilities Financing Authority Lease)

       

Series 2010A

       

5.10%, 9/01/29

     2,360           2,736,750   

San Diego Unified School District/CA

       

Series 2013C

       

5.00%, 7/01/32

     5,125           6,112,895   

San Francisco Bay Area Rapid Transit District (San Francisco Bay Area Rapid Transit District Sales Tax)

       

Series 2012A

       

5.00%, 7/01/36

     3,730           4,358,542   

San Francisco Municipal Transportation Agency

       

Series 2013

       

5.00%, 3/01/28-3/01/31

     6,070           7,272,967   

San Joaquin Hills Transportation Corridor Agency

       

Series 2014A

       

5.00%, 1/15/44

     3,900           4,264,572   


      Principal
Amount
(000)
       U.S. $ Value  

San Mateo Joint Powers Financing Authority (San Mateo Joint Powers Financing Authority Lease)

       

Series 2014

       

5.00%, 6/15/31

   $ 1,250         $ 1,489,775   

San Mateo Union High School District

       

Series 2013A

       

5.00%, 9/01/33

     4,180           4,875,259   

Southern California Public Power Authority (Los Angeles Department of Water & Power PWR)

       

Series 2010

       

5.00%, 7/01/27

     2,525           2,874,940   

State of California

       

Series 2013

       

5.00%, 11/01/31

     2,000           2,409,320   

Turlock Irrigation District

       

Series 2011

       

5.50%, 1/01/41

     1,200           1,386,384   

University of California

       

Series 2012G

       

5.00%, 5/15/31

     8,000           9,514,240   

Walnut Energy Center Authority

       

Series 2014

       

5.00%, 1/01/33

     2,500           2,948,550   
       

 

 

 
          186,834,093   
       

 

 

 

Florida - 2.3%

  

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

       

Series 2014

       

5.00%, 11/15/39

     2,750           3,028,850   
       

 

 

 

Guam - 1.6%

  

Guam Power Authority

       

Series 2012A

       

5.00%, 10/01/34

     2,000           2,192,300   
       

 

 

 

Indiana - 0.8%

  

Richmond Hospital Authority (Reid Hospital & Health Care Services, Inc.)

       

Series 2015

       

5.00%, 1/01/39

     1,000           1,130,290   
       

 

 

 

Minnesota - 0.9%

  

City of Minneapolis MN (Fairview Health Services Obligated Group)

       

Series 2015A

       

5.00%, 11/15/33

     1,100           1,277,177   
       

 

 

 

Missouri - 0.8%

  

Joplin Industrial Development Authority (Freeman Health System)

       

Series 2015

       

5.00%, 2/15/35

     1,000           1,083,110   
       

 

 

 

Nevada - 1.5%

  

Henderson Local Improvement Districts

       

AGM Series 2007A

       

5.00%, 3/01/18

     1,850           1,966,143   
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

New York - 4.2%

  

Metropolitan Transportation Authority

       

Series 2014C

       

5.00%, 11/15/32

   $ 4,745         $ 5,638,009   
       

 

 

 

Ohio - 0.1%

  

Columbiana County Port Authority (Apex Environmental LLC)

       

Series 2004

       

7.125%, 8/01/25 (c)

     500           95,000   

Series 2014

       

10.635%, 8/01/25 (c)

     67           12,789   
       

 

 

 
       107,789   
       

 

 

 

Pennsylvania - 0.8%

  

Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP)

       

Series 2015

       

5.00%, 12/31/38

     1,000           1,108,690   
       

 

 

 

Vermont - 0.9%

  

Vermont Educational & Health Buildings Financing Agency (University of Vermont Health Network Obligated Group)

       

Series 2016A

       

5.00%, 12/01/34 (d)

     1,000           1,172,569   
       

 

 

 

Total Long-Term Municipal Bonds
(cost $188,218,670)

          205,539,020   
       

 

 

 
     Shares           

SHORT-TERM INVESTMENTS - 1.4%

  

Investment Companies - 1.4%

  

AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.36% (e)(f)
(cost $1,857,259)

     1,857,259           1,857,259   
       

 

 

 

Total Investments - 154.5%
(cost $190,075,929) (g)

   

       207,396,279   

Other assets less liabilities - (32.2)%

          (43,291,976

Auction Preferred Shares at liquidation value - (22.3)%

          (29,875,000
       

 

 

 

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

        $ 134,229,303   
       

 

 

 


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)
 

Merrill Lynch Capital Services, Inc.

   $ 2,300         10/21/16         SIFMA     4.129   $ 69,055   

 

* 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 liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2016, the aggregate market value of these securities amounted to $9,205,860 or 5.6% of net assets.
(b) Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund.
(c) Illiquid security.
(d) When-Issued or delayed delivery security.
(e) 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 AB at (800) 227-4618.
(f) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(g) As of January 31, 2016, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $17,339,887 and gross unrealized depreciation of investments was $(19,537), resulting in net unrealized appreciation of $17,320,350.
(h) Portfolio percentages are calculated based on net assets applicable to common shareholders.

As of January 31, 2016, 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 7.8% and 0.0%, respectively.

Glossary:

 

AGC    -    Assured Guaranty Corporation
AGM    -    Assured Guaranty Municipal
AMBAC    -    Ambac Assurance Corporation
ETM    -    Escrowed to Maturity


Alliance California Municipal Income Fund

January 31, 2016 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 Portfolio. Unobservable inputs reflect the Portfolio’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, 2016:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Long-Term Municipal Bonds

   $ – 0  –    $ 201,635,175      $ 3,903,845      $ 205,539,020   

Short-Term Investments

     1,857,259        – 0  –      – 0  –      1,857,259   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     1,857,259        201,635,175        3,903,845        207,396,279   

Other Financial Instruments* :

        

Assets:

        

Interest Rate Swaps

     – 0  –      69,055        – 0  –      69,055   

Liabilities

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

 

 

   

 

 

   

 

 

   

 

 

 

Total^

   $     1,857,259      $     201,704,230      $     3,903,845      $     207,465,334   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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

The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

      Long-Term Municipal
Bonds
    Total  

Balance as of 10/31/15

   $ 3,876,970      $ 3,876,970   

Accrued discounts/(premiums)

     (1,609     (1,609

Realized gain (loss)

     (397,407     (397,407

Change in unrealized appreciation/depreciation

     595,795        595,795   

Purchases

     – 0  –      – 0  – 


      Long-Term Municipal
Bonds
    Total  

Sales

     (169,904     (169,904

Transfers in to Level 3

     – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  – 
  

 

 

   

 

 

 

Balance as of 1/31/16

   $ 3,903,845      $ 3,903,845   
  

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 1/31/16

   $ 249,735      $ 249,735   
  

 

 

   

 

 

 

As of January 31, 2016, 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 Portfolio. 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): Alliance California Municipal Income Fund, Inc.

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:  

March 23, 2016

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 23, 2016

By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:  

March 23, 2016