UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-08349

 

Name of Fund: BlackRock MuniHoldings Investment Quality Fund (MFL)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniHoldings Investment Quality Fund, 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 08/31/2011

 

Date of reporting period: 02/28/2011

 

Item 1 – Report to Stockholders

 


 

 

(BLCKROCK LOGO)

February 28, 2011


 

Semi-Annual Report (Unaudited)

 

BlackRock Municipal Income Quality Trust (BYM)

 

BlackRock Municipal Income Investment Quality Trust (BAF)

 

BlackRock Municipal Bond Trust (BBK)

 

BlackRock Municipal Bond Investment Trust (BIE)

 

BlackRock Municipal Income Trust II (BLE)

 

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

BlackRock MuniVest Fund, Inc. (MVF)


 

Not FDIC Insured • No Bank Guarantee • May Lose Value




 

 

 


 

 

 

Table of Contents

 

 

 

 

 


 

 

Page


 

 

 

Dear Shareholder

 

3

Semi-Annual Report:

 

 

Municipal Market Overview

 

4

Trust Summaries

 

5

The Benefits and Risks of Leveraging

 

12

Derivative Financial Instruments

 

12

Financial Statements:

 

 

Schedules of Investments

 

13

Statements of Assets and Liabilities

 

42

Statements of Operations

 

43

Statements of Changes in Net Assets

 

44

Statements of Cash Flows

 

46

Financial Highlights

 

47

Notes to Financial Statements

 

54

Officers and Trustees

 

61

Additional Information

 

62


 

 

 


2

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 


 

Dear Shareholder

Over the past 12 months, we have seen a sluggish, stimulus-driven economic recovery at long last gain real traction, accelerate, and transition into a consumption-driven expansion. For the most part, 2010 was plagued with widely fluctuating economic data, but as the year drew to a close, it became clear that cyclical stimulus had beaten out structural problems as economic data releases generally became more positive and financial markets showed signs of continuing improvement. Although the sovereign debt crises and emerging market inflation that troubled the global economy in 2010 remain a challenge, overall investor sentiment considerably improved. Near the end of the period, geopolitical tensions across the Middle East North Africa (“MENA”) region along with rising oil prices introduced new cause for concern about the future of the global economy. As of this writing, economic news remains fairly positive although we face additional uncertainties related to the aftermath of the devastating earthquake in Japan, with particular focus on the damage to nuclear power plants.

In the United States, strength from the corporate sector and increasing consumer spending have been key drivers of economic growth, while the housing and labor markets have been the heaviest burdens. While housing has yet to show any meaningful sign of improvement, labor statistics have delivered a mixed bag month after month, but became increasingly encouraging toward the end of the period when the unemployment rate fell to its lowest level since April 2009.

Global equity markets experienced uneven growth and high volatility over the course of 2010, but ended the year strong. Following a strong start to 2011, stocks lost their momentum on the back of geopolitical events in the MENA region and a sharp rise in oil prices. Overall, equities posted strong returns for the 12-month period. US stocks outpaced most international markets and small cap stocks outperformed large caps as investors moved into higher-risk assets.

Fixed income markets saw yields trend lower over most of 2010, until the fourth quarter brought an abrupt reversal in sentiment and risk tolerance that drove yields sharply upward (pushing bond prices down) through year end. Improving economic data continued to pressure fixed income yields in 2011; however, escalating geopolitical risks have acted as a counterweight, restoring relative stability to yield movements. Nevertheless, the yield curve remained steep and higher-risk sectors outperformed the fixed income market.

The tax-exempt municipal market enjoyed a powerful rally during the period of low interest rates in 2010; however, when the yield trend reversed, the market was dealt an additional blow as it became evident that the Build America Bond program would expire at year end. In addition, negative headlines regarding fiscal challenges faced by state and local governments damaged investor confidence and further heightened volatility in the municipal market. Tax-exempt mutual funds experienced heavy outflows, resulting in wider quality spreads and further downward pressure on municipal bond prices. These headwinds began to abate as the period came to a close and municipals finally posted gains in February, following a five-month run of negative performance.

Cash investments, as represented by the 3-month Treasury bill, returned only a fraction over 0% for the 12-month period as short-term interest rates remained low. Yields on money market securities remain near all-time lows.

 

 

 

 

 

 

 

 

Total returns as of February 28, 2011

 

6-month

 

12-month

 


US large cap equities (S&P 500 Index)

 

27.73

%

 

22.57

%

 









US small cap equities (Russell 2000 Index)

 

37.55

 

 

32.60

 

 









International equities (MSCI Europe, Australasia, Far East Index)

 

23.77

 

 

20.00

 

 









3-month Treasury bill (BofA Merrill Lynch 3-Month Treasury Bill Index)

 

0.07

 

 

0.14

 

 









US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)

 

(6.04

)

 

4.76

 

 









US investment grade bonds (Barclays Capital US Aggregate Bond Index)

 

(0.83

)

 

4.93

 

 









Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)

 

(3.51

)

 

1.72

 

 









US high yield bonds (Barclays Capital US Corporate High Yield 2% Issuer Capped Index)

 

10.05

 

 

17.34

 

 









Past performance is no guarantee of future results. Index performance shown for illustrative purposes only. You cannot invest directly in an index.

While no one can peer into a crystal ball and eliminate the uncertainties presented by the economic landscape and financial markets, BlackRock can offer investors the next best thing: partnership with the world’s largest asset management firm and a unique global perspective that allows us to identify trends early and capitalize on market opportunities. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine, where you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.

Sincerely,

-s- Rob Kopito

Rob Kopito
President, BlackRock Advisors, LLC

 

 

 

 


 

THIS PAGE NOT PART OF YOUR FUND REPORT

 

3




 


 

Municipal Market Overview

 


As of February 28, 2011


The municipal market began the six-month period with yields at historic lows as investor concerns were focused on the possibility of deflation and a double-dip in the US economy. However, as these fears soon abated, yields began drifting higher in October, and ultimately, a “perfect storm” of negative events resulted in the worst quarterly performance that the municipal market has seen since the Fed tightening cycle of 1994. Treasury yields lost their support as concerns about the US deficit raised questions over the willingness of foreign investors to continue to purchase Treasury securities, at least at the previous historically low yields. Municipal valuations also suffered a quick and severe setback as it became evident that the Build America Bond (“BAB”) program would expire at year-end. The program had opened the taxable market to municipal issuers, which had successfully alleviated supply pressure in the traditional tax-exempt marketplace, bringing down yields in that space.

(LINE GRAPH)

The financial media has been replete with interviews, articles and presentations publicizing the stress experienced in municipal finance, resulting in a loss of confidence among retail investors who buy individual bonds or mutual funds. From the middle of November through year-end, funds specializing in tax-exempt bonds witnessed weekly outflows averaging over $2.5 billion. Long-term and high-yield funds saw the greatest redemptions, followed by state-specific funds to a lesser but still significant degree. Demand usually is strong at the beginning of a new year against a backdrop of low new-issue supply, but the mutual fund outflows continued into February, putting additional upward pressure on municipal yields. Political uncertainty surrounding the midterm elections and the approach taken by the new Congress on issues such as income tax rates and alternative minimum tax (and the previously mentioned BAB non-extension) exacerbated the situation. All these conditions, combined with the seasonal illiquidity surrounding year-end holidays and dealers closing their fiscal books, sapped willing market participation from the trading community.

As demand for municipal securities from traditional retail investors was declining and trading desk liquidity was being curtailed, there was no comparable reduction in supply. As it became evident that the BAB program would be retired, issuers rushed deals to market both in the taxable municipal space and, to a lesser degree, in the traditional tax-exempt space. This imbalance in the supply/demand technicals provided the classic market action, leading to wider quality spreads and higher bond yields. The municipal curve steepened as the issuance was concentrated in longer (greater than 20-year) maturities. Curve steepening that began in October accelerated in November, spurred on by Treasury weakness, heavy supply and record outflows. As measured by Thomson Municipal Market Data, yields on AAA-rated municipals rose nearly 103 basis points (“bps”) for maturities 25 years and longer from August 31, 2010, to February 28, 2011. The spread between two-year and 30-year maturities widened from 332 bps to 398 bps over the period.

The fundamental picture for municipalities will be subject to scrutiny for months to come, as the challenges to state and local budgets are real and need to be addressed with significant cuts to expenses and tax revenue increases. The debates around austerity measures needed to succeed in balancing these budgets are not over whether action needs to be taken, but over degree, approach and political will to accomplish these needs. The attention shone upon municipal finance has the potential to improve this market for the future if these efforts result in greater means toward disclosure and accuracy (and timeliness) of reporting. Early tests to judge progress will come soon as California, Illinois and Puerto Rico need to take austerity measures and access financing in the municipal market to address relatively immediate fiscal imbalances. BlackRock favors a more constructive outlook for the municipal market as the typical, and this year particularly atypical, weakness passes.

 

 

 


4

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Trust Summary as of February 28, 2011

BlackRock Municipal Income Quality Trust


 


Trust Overview


Effective November 9, 2010, BlackRock Insured Municipal Income Trust changed its name to BlackRock Municipal Income Quality Trust.

BlackRock Municipal Income Quality Trust’s (BYM) (the “Trust”) investment objective is to provide current income exempt from federal income taxes, including the alternative minimum tax. The Trust seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its assets in municipal bonds exempt from federal income taxes, including the alternative minimum tax. The Trust also invests primarily in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 


Performance


Effective November 9, 2010, the Trust’s investment policy was changed by the removal of the insurance investment policy that required at least 80% of its assets to be invested in insured municipal securities. Accordingly, the Trust was moved from the Lipper Insured Municipal Debt Funds (Leveraged) category into the Lipper General Municipal Debt Funds (Leveraged) category. For the six months ended February 28, 2011, the Trust returned (9.53)% based on market price and (7.89)% based on net asset value (“NAV”). For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV, and the closed-end Lipper Insured Municipal Debt Funds (Leveraged) category posted an average return of (11.51)% based on market price and (6.90)% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s performance was negatively impacted by its long duration during a period of rising rates. The Trust’s holdings of longer maturity bonds also detracted from performance as the municipal yield curve bear-steepened (long rates increased more than short rates). Conversely, the Trust’s performance was positively impacted by its holdings of pre-refunded bonds and securities with higher coupons that are priced to shorter call dates. These types of securities performed well due to their shorter duration as municipal rates rose sharply. In addition, the Trust benefited from its holdings in the housing sector, which had strong performance over the period.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 


Trust Information



 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

BYM

 

Initial Offering Date

 

October 31, 2002

 

Yield on Closing Market Price as of February 28, 2011 ($13.34)1

 

6.93%

 

Tax Equivalent Yield2

 

10.66%

 

Current Monthly Distribution per Common Share3

 

$0.077

 

Current Annualized Distribution per Common Share3

 

$0.924

 

Leverage as of February 28, 20114

 

39%

 






 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents Auction Market Preferred Shares (“Preferred Shares”) and tender option bond trusts (“TOBs”) as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 













Market Price

 

$

13.34

 

$

15.26

 

 

(12.58

)%

$

15.42

 

$

11.71

 

Net Asset Value

 

$

13.03

 

$

14.64

 

 

(11.00

)%

$

14.69

 

$

12.20

 


















The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







Transportation

 

23

%

 

21

%

 

Utilities

 

21

 

 

24

 

 

County/City/Special District/School District

 

21

 

 

21

 

 

State

 

15

 

 

15

 

 

Health

 

7

 

 

7

 

 

Tobacco

 

6

 

 

6

 

 

Education

 

3

 

 

3

 

 

Corporate

 

2

 

 

2

 

 

Housing

 

2

 

 

1

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







AAA/Aaa

 

25

%

 

57

%

 

AA/Aa

 

54

 

 

24

 

 

A

 

12

 

 

12

 

 

BBB/Baa

 

9

 

 

5

 

 

Not Rated

 

 

 

2

6

 










 

 

 

 

5

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of August 31, 2010, the market value of these securities was $10,513,600 representing 2% of the Trust’s long-term investments.


 

 

 

 


 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

5




 

 


 

Trust Summary as of February 28, 2011

BlackRock Municipal Income Investment Quality Trust


 


Trust Overview


Effective November 9, 2010, BlackRock Insured Municipal Income Investment Trust changed its name to BlackRock Municipal Income Investment Quality Trust.

BlackRock Municipal Income Investment Quality Trust’s (BAF) (the “Trust”) investment objective is to provide current income exempt from federal income tax, including the alternative minimum tax and Florida intangible property tax. The Trust seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its assets in municipal bonds exempt from federal income taxes, including the alternative minimum tax. The Trust also invests primarily in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008, allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 


Performance


Effective November 9, 2010, the Trust’s investment policy was changed by the removal of the insurance investment policy that required at least 80% of its assets to be invested in insured municipal securities. Accordingly, the Trust was moved from the Lipper Insured Municipal Debt Funds (Leveraged) category into the Lipper General Municipal Debt Funds (Leveraged) category. For the six months ended February 28, 2011, the Trust returned (13.50)% based on market price and (7.61)% based on NAV. For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV, and the closed-end Lipper Insured Municipal Debt Funds (Leveraged) category posted an average return of (11.51)% based on market price and (6.90)% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings of high-quality essential service bonds with premium coupons (6% or higher) benefited performance, as they held their value better than lower-coupon bonds in the rising interest rate environment. Conversely, exposure to longer-duration and longer-maturity bonds detracted from performance as the long end of the yield curve steepened during the period. Additionally, holdings in health care and transportation hindered performance as both sectors underperformed the broad municipal market.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 


Trust Information



 

 

 

 

Symbol on NYSE

 

BAF

 

Initial Offering Date

 

October 31, 2002

 

Yield on Closing Market Price as of February 28, 2011 ($13.10)1

 

6.82%

 

Tax Equivalent Yield2

 

10.49%

 

Current Monthly Distribution per Common Share3

 

$0.0745

 

Current Annualized Distribution per Common Share3

 

$0.8940

 

Leverage as of February 28, 20114

 

37%

 






 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents Preferred Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 













Market Price

 

$

13.10

 

$

15.64

 

 

(16.24

)%

$

15.92

 

$

11.92

 

Net Asset Value

 

$

13.49

 

$

15.08

 

 

(10.54

)%

$

15.08

 

$

12.76

 


















The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







County/City/Special District/School District

 

33

%

 

36

%

 

Utilities

 

26

 

 

27

 

 

Transportation

 

15

 

 

15

 

 

Health

 

12

 

 

10

 

 

State

 

11

 

 

11

 

 

Education

 

1

 

 

 

 

Housing

 

1

 

 

1

 

 

Tobacco

 

1

 

 

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







AAA/Aaa

 

8

%

 

59

%

 

AA/Aa

 

79

 

 

25

 

 

A

 

9

 

 

13

 

 

BBB/Baa

 

4

 

 

 

 

Not Rated

 

 

 

36

 

 










 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of August 31, 2010, the market value of these securities was $5,171,100 representing 3% of the Trust’s long-term investments.


 

 

 


6

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Trust Summary as of February 28, 2011

BlackRock Municipal Bond Trust


 


Trust Overview


BlackRock Municipal Bond Trust’s (BBK) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from regular federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 


Performance


For the six months ended February 28, 2011, the Trust returned (10.59)% based on market price and (8.61)% based on NAV. For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s exposure to the long end of the yield curve and holdings of low-coupon, long-duration bonds during a period of rising rates had a negative impact on performance. The Trust’s exposure to Puerto Rico credits and the health sector also detracted from performance, as did holdings of lower-quality credits, where spreads widened amid the backdrop of poor relative performance across the municipal market. Conversely, the Trust benefited from its holdings of tax-backed credits (state, county, city and school district) as well as its exposure to corporate-backed credits, which experienced some buy-side demand from non-traditional cross-over buyers.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 


Trust Information



 

 

 

 

Symbol on NYSE

 

BBK

 

Initial Offering Date

 

April 30, 2002

 

Yield on Closing Market Price as of February 28, 2011 ($13.61)1

 

7.58%

 

Tax Equivalent Yield2

 

11.66%

 

Current Monthly Distribution per Common Share3

 

$0.086

 

Current Annualized Distribution per Common Share3

 

$1.032

 

Leverage as of February 28, 20114

 

38%

 






 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

A change in the distribution rate was declared on March 1, 2011. The Monthly Distribution per Common Share was increased to $0.0885. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

 

 

4

Represents Preferred Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 













Market Price

 

$

13.61

 

$

15.79

 

 

(13.81

)%

$

16.00

 

$

12.20

 

Net Asset Value

 

$

13.47

 

$

15.29

 

 

(11.90

)%

$

15.30

 

$

12.70

 


















The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







Health

 

24

%

 

23

%

 

Housing

 

15

 

 

14

 

 

State

 

14

 

 

15

 

 

County/City/Special District/School District

 

11

 

 

13

 

 

Corporate

 

10

 

 

8

 

 

Education

 

10

 

 

10

 

 

Transportation

 

9

 

 

9

 

 

Utilities

 

5

 

 

5

 

 

Tobacco

 

2

 

 

3

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







AAA/Aaa

 

8

%

 

26

%

 

AA/Aa

 

40

 

 

20

 

 

A

 

19

 

 

22

 

 

BBB/Baa

 

19

 

 

20

 

 

BB/Ba

 

5

 

 

1

 

 

B

 

3

 

 

3

 

 

CCC/Caa

 

1

 

 

1

 

 

Not Rated6

 

5

 

 

7

 

 










 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2011 and August 31, 2010, the market value of these securities was $4,946,681 representing 2% and $6,207,616 representing 3%, respectively, of the Trust’s long-term investments.


 

 

 

 


 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

7




 

 


 

Trust Summary as of February 28, 2011

BlackRock Municipal Bond Investment Trust


 


Trust Overview


BlackRock Municipal Bond Investment Trust’s (BIE) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008, allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 


Performance


For the six months ended February 28, 2011, the Trust returned (13.80)% based on market price and (9.43)% based on NAV. For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Exposure to longer-duration and longer-maturity bonds detracted from the Trust’s performance as the long end of the yield curve steepened during the period. Additionally, holdings in health care and transportation hindered performance as both sectors underperformed the broad municipal market. Conversely, exposure to housing and corporate-backed bonds aided performance as both sectors outperformed the broad municipal market. The Trust’s holdings of high-quality essential service bonds with premium coupons (6% or higher) also benefited performance, as they held their value better than lower-coupon bonds in the rising interest rate environment.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 


Trust Information



 

 

 

 

Symbol on NYSE

 

BIE

 

Initial Offering Date

 

April 30, 2002

 

Yield on Closing Market Price as of February 28, 2011 ($13.00)1

 

7.27%

 

Tax Equivalent Yield2

 

11.18%

 

Current Monthly Distribution per Common Share3

 

$0.0788

 

Current Annualized Distribution per Common Share3

 

$0.9456

 

Leverage as of February 28, 20114

 

43%

 






 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

A change in the distribution rate was declared on March 1, 2011. The Monthly Distribution per Common Share was increased to $0.081. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

 

 

4

Represents Preferred Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 













Market Price

 

$

13.00

 

$

15.60

 

 

(16.67

)%

$

15.76

 

$

12.14

 

Net Asset Value

 

$

13.58

 

$

15.51

 

 

(12.44

)%

$

15.51

 

$

12.76

 


















The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







Health

 

23

%

 

22

%

 

Utilities

 

19

 

 

18

 

 

Transportation

 

18

 

 

18

 

 

County/City/Special District/School District

 

17

 

 

19

 

 

State

 

8

 

 

8

 

 

Education

 

8

 

 

8

 

 

Housing

 

5

 

 

5

 

 

Corporate

 

1

 

 

1

 

 

Tobacco

 

1

 

 

1

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







AAA/Aaa

 

10

%

 

14

%

 

AA/Aa

 

66

 

 

64

 

 

A

 

18

 

 

17

 

 

BBB/Baa

 

5

 

 

4

 

 

BB/Ba

 

1

 

 

 

 

Not Rated

 

 

 

1

 

 










 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.


 

 

 


8

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Trust Summary as of February 28, 2011

BlackRock Municipal Income Trust II


 


Trust Overview


BlackRock Municipal Income Trust II’s (BLE) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 


Performance


For the six months ended February 28, 2011, the Trust returned (11.27)% based on market price and (6.98)% based on NAV. For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. At the beginning of the period, the Trust’s longer duration stance was beneficial as rates declined and credit spreads tightened; however, the sharp reversal of these trends mid-period resulted in an overall negative impact on performance for the period. In addition, the Trust’s emphasis on lower-quality bonds hurt performance as credit spreads widened over the period. Contributing positively to performance was the Trust’s reduced exposure to the tobacco sector, which was the worst performing sector for the period. Additionally, a general reduction of capital appreciation bond (“CAB”) holdings proved beneficial in the rising rate environment as CABs are highly sensitive to interest rate fluctuations.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 


Trust Information



 

 

 

 

Symbol on NYSE Amex

 

BLE

 

Initial Offering Date

 

July 30, 2002

 

Yield on Closing Market Price as of February 28, 2011 ($13.02)1

 

7.70%

 

Tax Equivalent Yield2

 

11.85%

 

Current Monthly Distribution per Common Share3

 

$0.0835

 

Current Annualized Distribution per Common Share3

 

$1.0020

 

Leverage as of February 28, 20114

 

38%

 






 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents Preferred Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 













Market Price

 

$

13.02

 

$

15.22

 

 

(14.45

)%

$

15.35

 

$

11.87

 

Net Asset Value

 

$

13.12

 

$

14.63

 

 

(10.32

)%

$

14.63

 

$

12.41

 


















The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







Health

 

20

%

 

19

%

 

State

 

18

 

 

17

 

 

Utilities

 

12

 

 

13

 

 

Corporate

 

11

 

 

11

 

 

Transportation

 

11

 

 

11

 

 

County/City/Special District/School District

 

10

 

 

12

 

 

Education

 

8

 

 

7

 

 

Housing

 

6

 

 

6

 

 

Tobacco

 

4

 

 

4

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







AAA/Aaa

 

13

%

 

18

%

 

AA/Aa

 

28

 

 

21

 

 

A

 

29

 

 

30

 

 

BBB/Baa

 

15

 

 

17

 

 

BB/Ba

 

5

 

 

1

 

 

B

 

4

 

 

6

 

 

CCC/Caa

 

1

 

 

1

 

 

Not Rated6

 

5

 

 

6

 

 










 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2011 and August 31, 2010, the market value of these securities was $7,192,827 representing 1% and $13,839,185 representing 3%, respectively, of the Trust’s long-term investments.


 

 

 

 


 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

9




 

 


 

Trust Summary as of February 28, 2011

BlackRock MuniHoldings Investment Quality Fund


 


Trust Overview


Effective November 9, 2010, BlackRock MuniHoldings Insured Investment Fund changed its name to BlackRock MuniHoldings Investment Quality Fund.

BlackRock MuniHoldings Investment Quality Fund’s (MFL) (the “Trust”) investment objective is to provide shareholders with current income exempt from federal income tax and to provide shareholders with the opportunity to own shares the value of which is exempt from Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in long-term, investment grade municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in municipal obligations with remaining maturities of one year or more. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008, allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 


Performance


Effective November 9, 2010, the Trust’s investment policy was changed by the removal of the insurance investment policy that required at least 80% of its assets to be invested in insured municipal securities. Accordingly, the Trust was moved from the Lipper Insured Municipal Debt Funds (Leveraged) category into the Lipper General Municipal Debt Funds (Leveraged) category. For the six months ended February 28, 2011, the Trust returned (10.49)% based on market price and (8.76)% based on NAV. For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV, and the closed-end Lipper Insured Municipal Debt Funds (Leveraged) category posted an average return of (11.51)% based on market price and (6.90)% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Exposure to longer-duration and longer-maturity bonds detracted from the Trust’s performance as the long end of the yield curve steepened during the period. Additionally, holdings in health care and transportation hindered performance as both sectors underperformed the broad municipal market. Conversely, exposure to housing bonds aided performance as that sector outperformed the broad municipal market. The Trust’s holdings of high-quality essential service bonds with premium coupons (6% or higher) also benefited performance, as they held their value better than lower-coupon bonds in the rising interest rate environment.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 


Trust Information



 

 

 

 

Symbol on NYSE

 

MFL

 

Initial Offering Date

 

September 26, 1997

 

Yield on Closing Market Price as of February 28, 2011 ($12.68)1

 

7.10%

 

Tax Equivalent Yield2

 

10.92%

 

Current Monthly Distribution per Common Share3

 

$0.075

 

Current Annualized Distribution per Common Share3

 

$0.900

 

Leverage as of February 28, 20114

 

41%

 






 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

A change in the distribution rate was declared on March 1, 2011. The Monthly Distribution per Common Share was increased to $0.0765. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

 

 

4

Represents Preferred Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 













Market Price

 

$

12.68

 

$

14.65

 

 

(13.45

)%

$

14.87

 

$

11.68

 

Net Asset Value

 

$

12.96

 

$

14.69

 

 

(11.78

)%

$

14.69

 

$

12.23

 


















The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







Utilities

 

26

%

 

26

%

 

Transportation

 

24

 

 

27

 

 

County/City/Special District/School District

 

18

 

 

18

 

 

Health

 

12

 

 

11

 

 

State

 

11

 

 

12

 

 

Housing

 

5

 

 

4

 

 

Education

 

3

 

 

2

 

 

Tobacco

 

1

 

 

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 







AAA/Aaa

 

6

%

 

64

%

 

AA/Aa

 

82

 

 

24

 

 

A

 

8

 

 

11

 

 

BBB/Baa

 

3

 

 

 

 

Not Rated6

 

1

 

 

1

 

 










 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2011 and August 31, 2010, the market value of these securities was $3,022,118 representing 1% and $5,793,997 representing 1%, respectively, of the Trust’s long-term investments.


 

 

 


10

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Trust Summary as of February 28, 2011

BlackRock MuniVest Fund, Inc.


 


Trust Overview


BlackRock MuniVest Fund, Inc.’s (MVF) (the “Trust”) investment objective is to provide shareholders with as high a level of current income exempt from federal income taxes as is consistent with its investment policies and prudent investment management. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, primarily in long term municipal obligations rated investment grade at the time of investment and invests primarily in long term municipal obligations with maturities of more than ten years at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved


 


Performance


For the six months ended February 28, 2011, the Trust returned (9.59)% based on market price and (7.91)% based on NAV. For the same period, the closed-end Lipper General Municipal Debt Funds (Leveraged) category posted an average return of (10.86)% based on market price and (7.86)% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. At the beginning of the period, the Trust benefited from tightening credit quality spreads driven by generous investor cash flows into tax-exempt mutual funds. Spreads were pushed even tighter by heightened demand from taxable investors for corporate-backed municipal debt due to its attractive valuation relative to the corporate sector. In this environment of strong demand, we were able to sell lower-quality securities that had outperformed and had previously been very limited in their liquidity. Toward the end of the period, the Trust’s position in cash and cash equivalents proved beneficial when the municipal market saw net cash flows into mutual funds turn dramatically negative. However, as municipal rates rose on credit concerns and the Build America Bonds program neared its expiration, while long-term investment rates (i.e., rates on US Treasuries and other fixed income securities) were generally increasing, the Trust’s longer duration stance had an overall negative impact on performance.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 






Trust Information

 

 

 

 







 

 

 

 

 

Symbol on NYSE Amex

 

MVF

 

Initial Offering Date

 

September 29, 1988

 

Yield on Closing Market Price as of February 28, 2011 ($9.04)1

 

 

7.83%

 

Tax Equivalent Yield2

 

 

12.05%

 

Current Monthly Distribution per Common Share3

 

 

$0.059

 

Current Annualized Distribution per Common Share3

 

 

$0.708

 

Leverage as of February 28, 20114

 

 

43%

 







 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents Preferred Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to Preferred Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

 

2/28/11

 

8/31/10

 

Change

 

High

 

Low

 

















 

Market Price

 

$

9.04

 

$

10.38

 

 

(12.91)

%

$

10.45

 

$

8.53

 

Net Asset Value

 

$

8.88

 

$

10.01

 

 

(11.29)

%

$

10.03

 

$

8.45

 

















 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 


Sector Allocations



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 






Health

 

24

%

 

22

%

 

Corporate

 

16

 

 

17

 

 

Transportation

 

15

 

 

13

 

 

Utilities

 

11

 

 

12

 

 

County/City/Special District/School District

 

10

 

 

10

 

 

State

 

8

 

 

8

 

 

Education

 

7

 

 

7

 

 

Housing

 

7

 

 

7

 

 

Tobacco

 

2

 

 

4

 

 










 


Credit Quality Allocations5



 

 

 

 

 

 

 

 

 

 

2/28/11

 

8/31/10

 









AAA/Aaa

 

18

%

 

23

%

 

AA/Aa

 

41

 

 

35

 

 

A

 

23

 

 

23

 

 

BBB/Baa

 

15

 

 

15

 

 

B

 

 

 

1

 

 

Not Rated6

 

3

 

 

3

 

 










 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2011 and August 31, 2010, the market value of these securities was $12,857,530 representing 1% and $21,938,423 representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 


 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

11




 


 

The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

To leverage, the Trusts issue preferred shares (“Preferred Shares”), which pay dividends at prevailing short-term interest rates, and invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s holders of Common Shares (“Common Shareholders”) will benefit from the incremental net income.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it issues Preferred Shares for an additional $50 million, creating a total value of $150 million available for investment in long-term municipal bonds. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays dividends on the $50 million of Preferred Shares based on the lower short-term interest rates.At the same time, the securities purchased by the Trust with assets received from the Preferred Shares issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of Preferred Shares (“Preferred Shareholders”) are significantly lower than the income earned on the Trust’s long-term investments, and therefore the Common Shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup on the Common Shares will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates of 6%, the yield curve has a negative slope. In this case, the Trust pays interest expense on the higher short-term interest rate whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ Preferred Shares and/or debt securities does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAV positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares discussed above.

The Trusts may also leverage their assets through the use of TOBs, as described in Note 1 of the Notes to Financial Statements. TOB investments generally will provide the Trusts with economic benefits in periods of declining short-term interest rates, but expose the Trusts to risks during periods of rising short-term interest rates similar to those associated with Preferred Shares issued by the Trusts, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased returns to the Trusts and Common Shareholders, but as described above, it also creates risks as short or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Trust’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, the Trusts’ net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by ratings agencies that rate Preferred Shares issued by the Trust. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by the Common Shareholders and may reduce income to the Common Shares.

Under the Investment Company Act of 1940, the Trusts are permitted to issue Preferred Shares in an amount up to 50% of their total managed assets at the time of issuance. Under normal circumstances, each Trust anticipates that the total economic leverage from Preferred Shares and/or TOBs will not exceed 50% of its total managed assets at the time such leverage is incurred. As of February 28, 2011, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

 

 






 

 

 

Percent of Leverage

 






BYM

 

 

39%

 

BAF

 

 

37%

 

BBK

 

 

38%

 

BIE

 

 

43%

 

BLE

 

 

38%

 

MFL

 

 

41%

 

MVF

 

 

43%

 







 


 

Derivative Financial Instruments

The Trusts may invest in various derivative instruments, including financial futures contracts, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Such derivative instruments involve risks, including the imperfect correlation between the value of a derivative instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative instrument. Each Trust’s ability to use a derivative instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower distributions paid to shareholders or may cause the Trusts to hold an investment that they might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 


12

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments February 28, 2011 (Unaudited)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

Municipal Bonds

 

(000)

 

Value

 









Alabama — 3.9%

 

 

 

 

 

 

 

Alabama State Docks Department, Refunding RB,
6.00%, 10/01/40

 

$

3,800

 

$

3,742,848

 

Birmingham Airport Authority, RB (AGM), 5.50%,
7/01/40

 

 

5,800

 

 

5,651,230

 

Birmingham Special Care Facilities Financing Authority,
RB, Children’s Hospital (AGC), 6.00%, 6/01/39

 

 

1,495

 

 

1,556,609

 

County of Jefferson Alabama, RB, Series A, 4.75%,
1/01/25

 

 

2,800

 

 

2,301,124

 

 

 

 

 

 




 

 

 

 

 

 

13,251,811

 









Arizona — 0.6%

 

 

 

 

 

 

 

State of Arizona, COP, Department of Administration,
Series A (AGM):

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

1,500

 

 

1,504,080

 

5.25%, 10/01/28

 

 

650

 

 

658,034

 

 

 

 

 

 




 

 

 

 

 

 

2,162,114

 









California — 30.1%

 

 

 

 

 

 

 

California Health Facilities Financing Authority,
Refunding RB, St. Joseph Health System, Series A,
5.75%, 7/01/39

 

 

625

 

 

625,356

 

California Infrastructure & Economic Development
Bank, RB, Bay Area Toll Bridges, First Lien, Series A
(AMBAC), 5.00%, 1/01/28 (a)

 

 

10,100

 

 

11,328,564

 

Coast Community College District California, GO,
Refunding, CAB, Election of 2002, Series C (AGM):

 

 

 

 

 

 

 

5.58%, 8/01/13 (b)

 

 

7,450

 

 

6,009,319

 

5.40%, 8/01/36 (c)

 

 

4,200

 

 

743,022

 

Fresno Unified School District California, GO, Election of
2001, Series E (AGM), 5.00%, 8/01/30

 

 

1,100

 

 

1,047,420

 

Golden State Tobacco Securitization Corp. California,
RB, Series 2003-A-1 (a):

 

 

 

 

 

 

 

6.63%, 6/01/13

 

 

6,500

 

 

7,320,560

 

6.75%, 6/01/13

 

 

14,500

 

 

16,370,790

 

Los Angeles Municipal Improvement Corp., RB, Series B1
(NPFGC), 4.75%, 8/01/37

 

 

4,000

 

 

3,406,840

 

Metropolitan Water District of Southern California, RB,
Series B-1 (NPFGC), 5.00%, 10/01/33

 

 

17,500

 

 

17,600,450

 

Monterey Peninsula Community College District, GO,
CAB, Series C (AGM) (c):

 

 

 

 

 

 

 

5.15%, 8/01/31

 

 

13,575

 

 

3,358,862

 

5.16%, 8/01/32

 

 

14,150

 

 

3,230,728

 

Orange County Sanitation District, COP, Series B (AGM),
5.00%, 2/01/31

 

 

2,500

 

 

2,526,700

 

Sacramento Unified School District California, GO,
Election of 2002 (NPFGC), 5.00%, 7/01/30

 

 

2,700

 

 

2,666,871

 


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Municipal Bonds

 

(000)

 

Value

 









California (concluded)

 

 

 

 

 

 

 

San Diego Unified School District California, GO, CAB,
Election of 2008, Series C, 6.86%, 7/01/38 (c)

 

$

2,000

 

$

329,980

 

San Francisco City & County Public Utilities Commission,
Refunding RB, Series A (AGM), 5.00%, 11/01/31

 

 

15,000

 

 

15,007,800

 

San Joaquin Hills Transportation Corridor Agency
California, Refunding RB, CAB, Series A (NPFGC),
5.50%, 1/15/31 (c)

 

 

53,000

 

 

9,086,850

 

San Jose Unified School District Santa Clara County
California, GO, Election of 2002, Series B (NPFGC),
5.00%, 8/01/29

 

 

2,350

 

 

2,359,165

 

 

 

 

 

 




 

 

 

 

 

 

103,019,277

 









Colorado — 0.3%

 

 

 

 

 

 

 

Regional Transportation District, COP, Series A,
5.38%, 6/01/31

 

 

960

 

 

965,126

 









District of Columbia — 2.6%

 

 

 

 

 

 

 

District of Columbia Tobacco Settlement Financing
Corp., Refunding RB, Asset-Backed, 6.75%, 5/15/40

 

 

9,500

 

 

8,925,250

 









Florida — 14.6%

 

 

 

 

 

 

 

Broward County School Board Florida, COP, Series A
(AGM), 5.25%, 7/01/33

 

 

2,000

 

 

1,896,600

 

City of Tallahassee Florida, RB (NPFGC), 5.00%,
10/01/32

 

 

3,000

 

 

2,918,760

 

County of Broward Florida, RB, Series A, 5.25%,
10/01/34

 

 

5,950

 

 

5,986,712

 

County of Duval Florida, COP, Master Lease Program
(AGM), 5.00%, 7/01/33

 

 

2,800

 

 

2,631,272

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

CAB, Sub-Series A (NPFGC), 5.25%, 10/01/38 (c)

 

 

25,520

 

 

3,538,858

 

Jackson Health System (AGC), 5.75%, 6/01/39

 

 

2,300

 

 

2,321,735

 

Water & Sewer System (AGM), 5.00%, 10/01/39

 

 

10,100

 

 

9,584,799

 

County of Miami-Dade Florida, Refunding RB (AGM),
5.00%, 7/01/35

 

 

1,300

 

 

1,231,620

 

Florida Housing Finance Corp., RB, Homeowner
Mortgage, Series 3 (Ginnie Mae), 5.45%, 7/01/33

 

 

4,020

 

 

4,039,055

 

Florida State Department of Environmental Protection,
RB, Series B (NPFGC), 5.00%, 7/01/27

 

 

7,500

 

 

7,582,200

 

Miami-Dade County School Board, COP, Refunding,
Series B (AGC), 5.25%, 5/01/31

 

 

2,385

 

 

2,401,814

 

Orange County School Board, COP, Series A (AGC),
5.50%, 8/01/34

 

 

5,590

 

 

5,604,702

 

Sarasota County Public Hospital District, RB, Sarasota
Memorial Hospital Project, Series A, 5.63%, 7/01/39

 

 

300

 

 

297,663

 

 

 

 

 

 




 

 

 

 

 

 

50,035,790

 










 


Portfolio Abbreviations


To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

ACA

ACA Financial Guaranty Corp.

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

ARB

Airport Revenue Bonds

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

CIFG

CDC IXIS Financial Guaranty

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

FHA

Federal Housing Administration

GARB

General Airport Revenue Bonds

GO

General Obligation Bonds

HDA

Housing Development Authority

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDB

Industrial Development Board

IDRB

Industrial Development Revenue Bonds

ISD

Independent School District

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

PSF-GTD

Permanent School Fund Guaranteed

RB

Revenue Bonds

SBPA

Stand-by Bond Purchase Agreement

S/F

Single-Family

VRDN

Variable Rate Demand Notes


 

 

 

 

See Notes to Financial Statements.

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

13




 

 


Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

Municipal Bonds

 

(000)

 

Value

 









Georgia — 2.6%

 

 

 

 

 

 

 

City of Atlanta Georgia, Refunding RB, General, Series C,
6.00%, 1/01/30

 

$

7,500

 

$

8,155,875

 

Gwinnett County Hospital Authority, Refunding RB,
Gwinnett Hospital System, Series D (AGM), 5.50%,
7/01/41

 

 

900

 

 

853,002

 

 

 

 

 

 




 

 

 

 

 

 

9,008,877

 









Hawaii — 1.4%

 

 

 

 

 

 

 

Hawaii State Harbor, RB, Series A, 5.50%, 7/01/35

 

 

5,000

 

 

4,843,250

 









Illinois — 5.3%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Refunding,
Chicago School Reform Board, Series A (NPFGC),
5.50%, 12/01/26

 

 

2,500

 

 

2,550,050

 

Chicago Park District, GO, Harbor Facilities, Series C,
5.25%, 1/01/40

 

 

600

 

 

584,304

 

City of Chicago Illinois, RB, Series A (AGC), 5.00%,
1/01/38

 

 

7,310

 

 

6,838,651

 

County of Cook Illinois, GO, Refunding, Series A,
5.25%, 11/15/33

 

 

1,475

 

 

1,449,911

 

Illinois Municipal Electric Agency, RB, Series A (NPFGC),
5.25%, 2/01/27

 

 

4,800

 

 

4,853,328

 

Railsplitter Tobacco Settlement Authority, RB, 6.00%,
6/01/28

 

 

710

 

 

693,535

 

State of Illinois, RB, Build Illinois, Series B, 5.25%,
6/15/34

 

 

1,400

 

 

1,350,664

 

 

 

 

 

 




 

 

 

 

 

 

18,320,443

 









Indiana — 2.1%

 

 

 

 

 

 

 

Indiana Municipal Power Agency, RB:

 

 

 

 

 

 

 

Series A (NPFGC), 5.00%, 1/01/37

 

 

2,050

 

 

1,901,355

 

Series B, 5.75%, 1/01/34

 

 

450

 

 

453,591

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Waterworks Project, Series A:

 

 

 

 

 

 

 

(AGC), 5.50%, 1/01/38

 

 

2,000

 

 

2,051,020

 

(NPFGC), 5.50%, 7/01/20

 

 

2,630

 

 

2,912,146

 

 

 

 

 

 




 

 

 

 

 

 

7,318,112

 









Iowa — 1.5%

 

 

 

 

 

 

 

Iowa Finance Authority, RB, Series A (AGC), 5.63%,
8/15/37

 

 

5,000

 

 

5,011,550

 









Kentucky — 0.5%

 

 

 

 

 

 

 

Kentucky State Property & Buildings Commission,
Refunding RB, Project No. 93 (AGC), 5.25%, 2/01/29

 

 

1,500

 

 

1,537,050

 









Louisiana — 2.2%

 

 

 

 

 

 

 

State of Louisiana, RB, Series A (AGM), 5.00%, 5/01/31

 

 

7,500

 

 

7,557,225

 









Michigan — 2.8%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Senior Lien, Series A (NPFGC), 5.00%, 7/01/30

 

 

1,000

 

 

903,330

 

Senior Lien, Series A (NPFGC), 5.00%, 7/01/34

 

 

2,480

 

 

2,263,223

 

System, Second Lien, Series A (BHAC), 5.50%,
7/01/36

 

 

2,900

 

 

2,856,906

 

System, Second Lien, Series B (NPFGC), 5.00%,
7/01/36

 

 

100

 

 

87,876

 

City of Detroit Michigan, Refunding RB, Second Lien,
Series E (BHAC), 5.75%, 7/01/31

 

 

3,000

 

 

3,048,180

 

Kalamazoo Hospital Finance Authority, RB, Bronson
Methodist Hospital (AGM), 5.25%, 5/15/36

 

 

465

 

 

427,265

 

 

 

 

 

 




 

 

 

 

 

 

9,586,780

 









Nebraska — 1.3%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

2,450

 

 

2,507,232

 

6.05%, 9/01/41

 

 

1,860

 

 

1,882,766

 

 

 

 

 

 




 

 

 

 

 

 

4,389,998

 










 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

Municipal Bonds

 

(000)

 

Value

 









Nevada — 1.6%

 

 

 

 

 

 

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

Las Vegas-McCarran International Airport, Series A
(AGC), 5.25%, 7/01/39

 

$

4,100

 

$

3,841,823

 

System, Subordinate Lien, Series C (AGM),
5.00%, 7/01/26

 

 

1,650

 

 

1,625,580

 

 

 

 

 

 




 

 

 

 

 

 

5,467,403

 









New York — 2.4%

 

 

 

 

 

 

 

New York City Transitional Finance Authority, RB, Fiscal
2009, Series S-4, 5.50%, 1/15/33

 

 

1,950

 

 

2,002,533

 

New York State Dormitory Authority, ERB, Series B,
5.75%, 3/15/36

 

 

1,300

 

 

1,383,382

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 140th Series, 5.00%, 12/01/34

 

 

5,000

 

 

4,965,250

 

 

 

 

 

 




 

 

 

 

 

 

8,351,165

 









North Carolina — 0.7%

 

 

 

 

 

 

 

North Carolina Medical Care Commission, RB, Novant
Health Obligation, Series A, 4.75%, 11/01/43

 

 

2,875

 

 

2,438,345

 









Ohio — 0.5%

 

 

 

 

 

 

 

County of Lucas Ohio, Refunding RB, Promedica
Healthcare, Series A, 6.50%, 11/15/37

 

 

610

 

 

645,649

 

Ohio Higher Educational Facility Commission,
Refunding RB, Summa Health System, 2010 Project
(AGC), 5.25%, 11/15/40

 

 

1,125

 

 

1,042,661

 

 

 

 

 

 




 

 

 

 

 

 

1,688,310

 









Puerto Rico — 1.6%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.38%, 8/01/39

 

 

5,300

 

 

5,486,295

 









Rhode Island — 0.8%

 

 

 

 

 

 

 

Rhode Island Health & Educational Building Corp.,
Refunding RB, Public Schools Financing Program,
Series E (AGC), 6.00%, 5/15/29

 

 

2,625

 

 

2,799,825

 









South Carolina — 1.4%

 

 

 

 

 

 

 

South Carolina State Ports Authority, RB, 5.25%,
7/01/40

 

 

5,000

 

 

4,854,000

 









Tennessee — 4.1%

 

 

 

 

 

 

 

Knox County Health Educational & Housing Facilities
Board Tennessee, Refunding RB, CAB, Series A (AGM) (c):

 

 

 

 

 

 

 

5.88%, 1/01/23

 

 

9,260

 

 

4,757,418

 

5.90%, 1/01/24

 

 

8,500

 

 

4,101,930

 

5.91%, 1/01/25

 

 

6,850

 

 

3,108,119

 

5.93%, 1/01/26

 

 

5,000

 

 

2,125,000

 

 

 

 

 

 




 

 

 

 

 

 

14,092,467

 









Texas — 27.8%

 

 

 

 

 

 

 

City of Houston Texas, RB, Senior Lien, Series A,
5.50%, 7/01/34

 

 

4,165

 

 

4,199,694

 

City of San Antonio Texas, Refunding RB (NPFGC):

 

 

 

 

 

 

 

5.13%, 5/15/29

 

 

9,250

 

 

9,296,805

 

5.13%, 5/15/34

 

 

10,000

 

 

10,030,000

 

Comal ISD, GO, School Building (PSF-GTD), 5.00%,
2/01/36

 

 

2,500

 

 

2,525,975

 

Coppell ISD Texas, GO, Refunding, CAB (PSF-GTD),
5.64%, 8/15/30 (c)

 

 

10,030

 

 

3,792,243

 

County of Harris Texas, GO (NPFGC) (c):

 

 

 

 

 

 

 

5.57%, 8/15/25

 

 

7,485

 

 

3,936,811

 

5.60%, 8/15/28

 

 

10,915

 

 

4,742,895

 

County of Harris Texas, Refunding RB, Senior Lien,
Toll Road (AGM), 5.00%, 8/15/30

 

 

5,510

 

 

5,515,290

 

Harris County-Houston Sports Authority, Refunding RB
(NPFGC) (c):

 

 

 

 

 

 

 

CAB, Junior Lien, Series H, 5.93%, 11/15/38

 

 

5,785

 

 

593,830

 

CAB, Junior Lien, Series H, 5.94%, 11/15/39

 

 

6,160

 

 

582,490

 

Third Lien, Series A-3, 5.97%, 11/15/38

 

 

26,890

 

 

2,687,924

 

Third Lien, Series A-3, 5.98%, 11/15/39

 

 

27,675

 

 

2,559,937

 


 

 

 

See Notes to Financial Statements.

 




14

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 







Texas (concluded)

 

 

 

 

 

 

 

Lewisville ISD Texas, GO, Refunding, CAB, School
Building (NPFGC), 4.67%, 8/15/24 (c)

 

$

3,815

 

$

1,947,214

 

Mansfield ISD Texas, GO, School Building (PSF-GTD),
5.00%, 2/15/33

 

 

2,980

 

 

3,050,864

 

North Texas Tollway Authority, Refunding RB, First Tier:

 

 

 

 

 

 

 

Series A, 6.00%, 1/01/28

 

 

625

 

 

655,994

 

System, (NPFGC), 5.75%, 1/01/40

 

 

23,050

 

 

22,019,204

 

Texas State Turnpike Authority, RB, First Tier, Series A
(AMBAC), 5.00%, 8/15/42

 

 

20,000

 

 

17,085,400

 

 

 

 

 

 




 

 

 

 

 

 

95,222,570

 









Washington — 5.2%

 

 

 

 

 

 

 

Chelan County Public Utility District No. 1, RB, Chelan
Hydro System, Series C (AMBAC), 5.13%, 7/01/33

 

 

3,655

 

 

3,657,339

 

County of King Washington, Refunding RB (AGM),
5.00%, 1/01/36

 

 

2,200

 

 

2,184,380

 

Port of Seattle Washington, RB, Series A (NPFGC),
5.00%, 4/01/31

 

 

4,500

 

 

4,460,400

 

Washington Health Care Facilities Authority, RB:

 

 

 

 

 

 

 

MultiCare Health Care, Series C (AGC), 5.50%,
8/15/43

 

 

6,400

 

 

6,120,512

 

Providence Health & Services, Series A, 5.00%,
10/01/39

 

 

1,000

 

 

885,110

 

Providence Health & Services, Series A, 5.25%,
10/01/39

 

 

675

 

 

620,798

 

 

 

 

 

 



 

 

 

 

 

 

 

17,928,539

 









Wisconsin — 0.4%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority, RB,

 

 

 

 

 

 

 

Ascension Health Senior Credit Group, 5.00%,

 

 

 

 

 

 

 

11/15/33

 

 

1,500

 

 

1,381,380

 









Total Municipal Bonds — 118.3%

 

 

 

 

 

405,642,952

 










 

 

 

 

 

 

 

 









 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

 

 

 

 

 

 









Arizona — 0.4%

 

 

 

 

 

 

 

Phoenix Civic Improvement Corp., RB, Junior Lien,
Series A, 5.00%, 7/01/34

 

 

1,300

 

 

1,311,388

 









California — 10.9%

 

 

 

 

 

 

 

California State University, RB, Systemwide, Series A
(AGM), 5.00%, 11/01/33

 

 

3,379

 

 

3,202,755

 

California State University, Refunding RB, Systemwide,
Series A (AGM), 5.00%, 11/01/32

 

 

8,000

 

 

7,682,320

 

Foothill-De Anza Community College District, GO,
Election of 1999, Series C (NPFGC), 5.00%, 8/01/36

 

 

7,500

 

 

7,320,450

 

Los Angeles Community College District California, GO,
Election of 2001, Series A (AGM), 5.00%, 8/01/32

 

 

5,000

 

 

4,890,450

 

San Diego Community College District California, GO,
Election of 2002, 5.25%, 8/01/33

 

 

449

 

 

452,607

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/33

 

 

4,870

 

 

4,736,075

 

University of California, RB, Series C (NPFGC), 4.75%,
5/15/37

 

 

10,000

 

 

8,964,400

 

 

 

 

 

 



 

 

 

 

 

 

 

37,249,057

 









District of Columbia — 0.3%

 

 

 

 

 

 

 

District of Columbia, RB, Series A, 5.50%, 12/01/30

 

 

1,080

 

 

1,162,242

 










 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par 
(000)

 

Value

 







Florida — 4.0%

 

 

 

 

 

 

 

City of Tallahassee Florida, RB (NPFGC), 5.00%,
10/01/37

 

$

5,000

 

$

4,787,150

 

Florida State Board of Education, GO, Series D,
5.00%, 6/01/37

 

 

2,999

 

 

2,994,075

 

 

 

 

 

 

 

 

 

Orange County School Board, COP, Series A (NPFGC),
5.00%, 8/01/30

 

 

6,000

 

 

5,911,800

 

 

 

 

 

 




 

 

 

 

 

 

13,693,025

 









Hawaii — 2.9%

 

 

 

 

 

 

 

Honolulu City & County Board of Water Supply, RB,

 

 

 

 

 

 

 

Series A (NPFGC), 5.00%, 7/01/33

 

 

10,000

 

 

10,042,100

 









Illinois — 8.2%

 

 

 

 

 

 

 

Illinois State Toll Highway Authority, RB, Series B,
5.50%, 1/01/33

 

 

4,499

 

 

4,514,114

 

Metropolitan Pier & Exposition Authority, RB, McCormick
Place Expansion Project, Series A (NPFGC),
5.00%, 12/15/28

 

 

24,010

 

 

23,564,375

 

 

 

 

 

 




 

 

 

 

 

 

28,078,489

 









Massachusetts — 3.8%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, Series A
(AGM), 5.00%, 8/15/30

 

 

12,987

 

 

13,158,069

 









Nevada — 1.9%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited Tax, Performing
Arts Center, 6.00%, 4/01/39

 

 

4,197

 

 

4,391,419

 

Clark County Water Reclamation District, GO, Series B,
5.75%, 7/01/34

 

 

2,024

 

 

2,157,979

 

 

 

 

 

 




 

 

 

 

 

 

6,549,398

 









New York — 4.8%

 

 

 

 

 

 

 

Erie County Industrial Development Agency, RB, City
School District of Buffalo Project, Series A (AGM),
5.75%, 5/01/28

 

 

4,494

 

 

4,801,911

 

Metropolitan Transportation Authority, RB, Series A
(NPFGC), 5.00%, 11/15/31

 

 

7,002

 

 

6,992,433

 

Triborough Bridge & Tunnel Authority, RB, General,
Series A-2, 5.25%, 11/15/34

 

 

4,500

 

 

4,559,445

 

 

 

 

 

 




 

 

 

 

 

 

16,353,789

 









Ohio — 0.2%

 

 

 

 

 

 

 

State of Ohio, RB, Cleveland Clinic Health, Series B,
5.50%, 1/01/34

 

 

620

 

 

620,732

 









South Carolina — 0.2%

 

 

 

 

 

 

 

South Carolina State Public Service Authority, RB,
Santee Cooper, Series A, 5.50%, 1/01/38

 

 

600

 

 

621,978

 









Texas — 2.8%

 

 

 

 

 

 

 

Northside ISD Texas, GO, School Building (PSF-GTD),
5.13%, 6/15/29

 

 

9,500

 

 

9,755,913

 









Utah — 1.5%

 

 

 

 

 

 

 

Utah Transit Authority, RB, Series A (AGM), 5.00%,
6/15/36

 

 

5,000

 

 

5,014,800

 









Virginia — 0.1%

 

 

 

 

 

 

 

Fairfax County IDA Virginia, Refunding RB, Health Care,
Inova Health System, Series A, 5.50%, 5/15/35

 

 

400

 

 

403,364

 









Washington — 1.0%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit Authority, RB,
Series A (AGM), 5.00%, 11/01/32

 

 

3,494

 

 

3,529,596

 









Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 43.0%

 

 

 

 

 

147,543,940

 









Total Long-Term Investments
(Cost — $576,752,468) — 161.3%

 

 

 

 

 

553,186,892

 










 

 

 

 

See Notes to Financial Statements.

 

 


 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

15




 

 


 

Schedule of Investments (concluded)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Par 
(000)

 

Value

 







New York — 0.5%

 

 

 

 

 

 

 

City of New York New York, GO, VRDN, Sub-Series A-6
(AGM Insurance, Dexia Credit Local SBPA), 0.23%,
3/01/11 (e)

 

$

1,700

 

$

1,700,000

 










 

 

 

 

 

 

 

 

 

 

Shares

 

 

 


Money Market Fund — 0.7%

 

 

 

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.13% (f)(g)

 

 

2,376,259

 

 

2,376,259

 









Total Short-Term Securities

 

 

 

 

 

 

 

(Cost — $4,076,259) — 1.2%

 

 

 

 

 

4,076,259

 









Total Investments (Cost — $580,828,727*) — 162.5%

 

 

 

 

 

557,263,151

 

Other Assets Less Liabilities — 1.1%

 

 

 

 

 

3,821,897

 

Liability for Trust Certificates, Including
Interest Expense and Fees Payable — (23.6)%

 

 

 

 

 

(80,966,277

)

Preferred Shares, at Redemption Value — (40.0)%

 

 

 

 

 

(137,256,220

)

 

 

 

 

 




Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

342,862,551

 

 

 

 

 

 













 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

Aggregate cost

 

$

500,494,695

 

 

 




Gross unrealized appreciation

 

$

10,332,280

 

Gross unrealized depreciation

 

 

(34,478,336

)

 

 




Net unrealized depreciation

 

$

(24,146,056

)

 

 





 

 

(a)

US government securities, held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

 

(b)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

 

 

(c)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(e)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(f)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Shares Held at
August 31,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 











FFI Institutional
Tax-Exempt Fund

 

 

9,416,737

 

 

(7,040,478

)

 

2,376,259

 

$

6,948

 
















 

 

(g)

Represents the current yield as of report date.

 

Financial futures contracts sold as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 













195

 

 

10-Year U.S. Treasury Note

 

 

Chicago
Board of Trade

 

 

June
2011

 

$

23,110,176

 

$

(103,964

)



















 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 28, 2011 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in
Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

553,186,892

 

 

 

$

553,186,892

 

Short-Term
Securities

 

$

2,376,259

 

 

1,700,000

 

 

 

 

4,076,259

 

 

 













Total

 

$

2,376,259

 

$

554,886,892

 

 

 

$

557,263,151

 

 

 














 

 

1

See above Schedule of Investments for values in each state or political subdivision.


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Derivative Financial Instruments2

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(103,964

)

 

 

 

 

$

(103,964

)

 

 














 

 

2

Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/depreciation on the instrument.


 

 

 

See Notes to Financial Statements.

 

 




16

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments February 28, 2011 (Unaudited)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 







Alabama — 2.2%

 

 

 

 

 

 

 

Birmingham Airport Authority, RB (AGM), 5.00%,
7/01/25

 

$

520

 

$

522,662

 

Birmingham Special Care Facilities Financing Authority,
RB, Children’s Hospital (AGC):

 

 

 

 

 

 

 

6.13%, 6/01/34

 

 

1,000

 

 

1,059,990

 

6.00%, 6/01/39

 

 

1,000

 

 

1,041,210

 

 

 

 

 

 




 

 

 

 

 

 

2,623,862

 









Arizona — 0.4%

 

 

 

 

 

 

 

State of Arizona, COP, Department of Administration,
Series A (AGM), 5.25%, 10/01/28

 

 

465

 

 

470,747

 









California — 12.3%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/38

 

 

2,155

 

 

2,179,093

 

California Health Facilities Financing Authority,
Refunding RB, Sutter Health, Series B, 6.00%,
8/15/42

 

 

1,120

 

 

1,109,024

 

County of Sacramento California, RB, Senior Series A
(AGC), 5.50%, 7/01/41

 

 

1,400

 

 

1,373,554

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

Election of 2001, Series A (NPFGC), 5.00%,
8/01/32

 

 

1,000

 

 

975,560

 

Election of 2008, Series C, 5.25%, 8/01/39

 

 

1,000

 

 

985,430

 

Los Angeles Department of Water & Power, RB, Power
System, Sub-Series A-1, 5.25%, 7/01/38

 

 

1,175

 

 

1,163,132

 

Los Angeles Municipal Improvement Corp., Refunding
RB, Real Property, Series B (AGC), 5.50%, 4/01/39

 

 

3,810

 

 

3,693,300

 

Oxnard Union High School District, GO, Refunding,
Election of 2004, Series A (AGM), 5.00%, 8/01/40

 

 

1,000

 

 

890,240

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B (AGC), 5.38%, 8/01/34

 

 

1,125

 

 

1,145,160

 

San Jacinto Unified School District, GO, Election of
2006 (AGM), 5.25%, 8/01/32

 

 

1,000

 

 

968,710

 

 

 

 

 

 




 

 

 

 

 

 

14,483,203

 









Colorado — 1.6%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Hospital,
NCMC Inc. Project, Series B (AGM), 6.00%, 5/15/26

 

 

1,425

 

 

1,531,818

 

Regional Transportation District, COP, Series A, 5.00%,
6/01/25

 

 

300

 

 

300,417

 

 

 

 

 

 




 

 

 

 

 

 

1,832,235

 









Florida — 12.6%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB (NPFGC), 5.00%,
10/01/31

 

 

5,000

 

 

4,968,000

 

City of Miami Florida, RB (NPFGC), 5.25%, 1/01/28

 

 

1,660

 

 

1,664,615

 

Village Center Community Development District, RB,
Series A (NPFGC), 5.00%, 11/01/32

 

 

10,000

 

 

8,178,100

 

 

 

 

 

 




 

 

 

 

 

 

14,810,715

 









Georgia — 4.2%

 

 

 

 

 

 

 

Augusta-Richmond County Georgia, RB (AGM), 5.25%,
10/01/39

 

 

1,000

 

 

1,000,600

 

City of Atlanta Georgia, Refunding RB, General, Series C,
6.00%, 1/01/30

 

 

2,500

 

 

2,718,625

 

Gwinnett County Hospital Authority, Refunding RB,
Gwinnett Hospital System, Series D (AGM), 5.50%,
7/01/41

 

 

1,350

 

 

1,279,503

 

 

 

 

 

 




 

 

 

 

 

 

4,998,728

 










 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 







Illinois — 11.5%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Refunding,

 

 

 

 

 

 

 

Chicago School Reform Board, Series A (NPFGC),
5.50%, 12/01/26

 

$

745

 

$

759,915

 

Chicago Transit Authority, RB, Federal Transit

 

 

 

 

 

 

 

Administration Section 5309, Series A (AGC),
6.00%, 6/01/26

 

 

1,300

 

 

1,405,196

 

City of Chicago Illinois, GO, Refunding, Projects,
Series A (AGM):

 

 

 

 

 

 

 

5.00%, 1/01/29

 

 

1,425

 

 

1,353,878

 

5.00%, 1/01/30

 

 

570

 

 

538,057

 

City of Chicago Illinois, RB, General, Third Lien,
Series C (AGM):

 

 

 

 

 

 

 

5.25%, 1/01/30

 

 

1,000

 

 

1,001,330

 

5.25%, 1/01/35

 

 

820

 

 

798,196

 

City of Chicago Illinois, Refunding RB, Second Lien
(NPFGC), 5.50%, 1/01/30

 

 

1,000

 

 

1,023,080

 

Illinois Municipal Electric Agency, RB, Series A (NPFGC):

 

 

 

 

 

 

 

5.25%, 2/01/28

 

 

1,560

 

 

1,572,558

 

5.25%, 2/01/35

 

 

1,250

 

 

1,216,750

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

915

 

 

874,072

 

6.00%, 6/01/28

 

 

260

 

 

253,971

 

State of Illinois, RB:

 

 

 

 

 

 

 

(AGM), 5.00%, 6/15/27

 

 

1,000

 

 

996,620

 

Build Illinois, Series B, 5.25%, 6/15/28

 

 

1,750

 

 

1,762,723

 

 

 

 

 

 




 

 

 

 

 

 

13,556,346

 









Indiana — 4.2%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding RB, Trinity Health,
Series B, 4.50%, 12/01/37

 

 

3,000

 

 

2,451,960

 

Indianapolis Local Public Improvement Bond Bank,

 

 

 

 

 

 

 

Refunding RB, Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

2,415

 

 

2,476,607

 

 

 

 

 

 




 

 

 

 

 

 

4,928,567

 









Iowa — 0.9%

 

 

 

 

 

 

 

Iowa Finance Authority, Refunding RB, Iowa Health
System (AGC), 5.25%, 2/15/29

 

 

1,125

 

 

1,110,814

 









Louisiana — 4.7%

 

 

 

 

 

 

 

East Baton Rouge Sewerage Commission, RB, Series A,
5.25%, 2/01/39

 

 

2,250

 

 

2,257,132

 

Louisiana State Citizens Property Insurance Corp., RB,
Series C-3 (AGC), 6.13%, 6/01/25

 

 

2,510

 

 

2,748,425

 

New Orleans Aviation Board Louisiana, Refunding GARB,
Restructuring (AGC):

 

 

 

 

 

 

 

Series A-1, 6.00%, 1/01/23

 

 

375

 

 

414,143

 

Series A-2, 6.00%, 1/01/23

 

 

150

 

 

165,657

 

 

 

 

 

 




 

 

 

 

 

 

5,585,357

 









Maine — 0.9%

 

 

 

 

 

 

 

City of Portland Maine, RB, General (AGM), 5.25%,
1/01/35

 

 

1,095

 

 

1,091,967

 









Michigan — 16.6%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Second Lien, Series B (AGM), 6.25%, 7/01/36

 

 

1,700

 

 

1,804,074

 

Second Lien, Series B (AGM), 7.00%, 7/01/36

 

 

200

 

 

223,666

 

Second Lien, Series B (NPFGC), 5.50%, 7/01/29

 

 

1,790

 

 

1,731,020

 

Senior Lien, Series B (AGM), 7.50%, 7/01/33

 

 

1,500

 

 

1,772,175

 

Senior Lien, Series B (BHAC), 5.50%, 7/01/35

 

 

4,750

 

 

4,724,398

 

System, Second Lien, Series A (BHAC), 5.50%,
7/01/36

 

 

2,330

 

 

2,295,376

 

City of Detroit Michigan, Refunding RB, Second Lien:

 

 

 

 

 

 

 

Series C-1 (AGM), 7.00%, 7/01/27

 

 

1,800

 

 

2,069,424

 

Series E (BHAC), 5.75%, 7/01/31

 

 

2,300

 

 

2,336,938

 

Michigan State Building Authority, RB, Facilities Program,
Series H (AGM), 5.00%, 10/15/26

 

 

365

 

 

365,485

 


 

 

 

 

See Notes to Financial Statements.


 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

17



 

 


 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 







Michigan (concluded)

 

 

 

 

 

 

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I (AGC):

 

 

 

 

 

 

 

5.25%, 10/15/24

 

$

565

 

$

584,374

 

5.25%, 10/15/25

 

 

300

 

 

306,495

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

1,205

 

 

1,344,611

 

 

 

 

 

 




 

 

 

 

 

 

19,558,036

 









Minnesota — 5.1%

 

 

 

 

 

 

 

City of Minneapolis Minnesota, Refunding RB, Fairview
Health Services, Series B (AGC), 6.50%, 11/15/38

 

 

5,680

 

 

5,999,670

 









Nevada — 1.8%

 

 

 

 

 

 

 

County of Clark Nevada, RB, Las Vegas-McCarran
International Airport, Series A (AGC), 5.25%, 7/01/39

 

 

2,295

 

 

2,150,484

 









New Jersey — 5.1%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction,
Series Z (AGC), 6.00%, 12/15/34

 

 

1,000

 

 

1,052,550

 

New Jersey Health Care Facilities Financing Authority,
RB, Virtua Health (AGC), 5.50%, 7/01/38

 

 

1,300

 

 

1,320,748

 

New Jersey State Housing & Mortgage Finance Agency,
RB, S/F Housing, Series CC, 5.25%, 10/01/29

 

 

1,575

 

 

1,573,063

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGC), 5.50%,
12/15/38

 

 

2,000

 

 

2,050,780

 

 

 

 

 

 




 

 

 

 

 

 

5,997,141

 









New York — 4.3%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Series EE, 5.38%,
6/15/43

 

 

1,545

 

 

1,566,614

 

New York City Transitional Finance Authority, RB,
Fiscal 2009:

 

 

 

 

 

 

 

Series S-3, 5.25%, 1/15/39

 

 

900

 

 

906,291

 

Series S-4 (AGC), 5.50%, 1/15/29

 

 

2,465

 

 

2,573,682

 

 

 

 

 

 




 

 

 

 

 

 

5,046,587

 









Ohio — 0.5%

 

 

 

 

 

 

 

Ohio Higher Educational Facility Commission, Refunding
RB, Summa Health System, 2010 Project (AGC),
5.25%, 11/15/40

 

 

625

 

 

579,256

 









Pennsylvania — 0.8%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, Refunding RB,
Sub-Series B-1 (AGM), 5.00%, 12/01/37

 

 

1,000

 

 

932,940

 









Puerto Rico — 2.2%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series CC (AGM), 5.50%, 7/01/30

 

 

1,170

 

 

1,167,145

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.38%, 8/01/39

 

 

1,350

 

 

1,397,453

 

 

 

 

 

 




 

 

 

 

 

 

2,564,598

 









Texas — 21.4%

 

 

 

 

 

 

 

Austin Community College District, RB, Educational
Facilities Project, Round Rock Campus, 5.25%,
8/01/33

 

 

2,000

 

 

2,012,120

 

City of Austin Texas, Refunding RB, Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/15/28

 

 

705

 

 

717,436

 

5.00%, 11/15/29

 

 

895

 

 

904,541

 

City of Houston Texas, Refunding RB, Combined,
First Lien, Series A (AGC):

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

2,600

 

 

2,822,378

 

6.00%, 11/15/36

 

 

2,215

 

 

2,399,753

 

5.38%, 11/15/38

 

 

1,000

 

 

1,020,200

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 







Texas (concluded)

 

 

 

 

 

 

 

Dallas Area Rapid Transit, Refunding RB, Senior Lien,
5.25%, 12/01/38

 

$

1,500

 

$

1,511,280

 

Frisco ISD Texas, GO, School Building (AGC):

 

 

 

 

 

 

 

5.38%, 8/15/39

 

 

1,415

 

 

1,440,470

 

5.50%, 8/15/41

 

 

3,365

 

 

3,465,849

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare System,
Series B, 7.13%, 12/01/31

 

 

500

 

 

542,810

 

Lubbock Cooper ISD Texas, GO, School Building (AGC),
5.75%, 2/15/42

 

 

500

 

 

512,495

 

North Texas Tollway Authority, RB, System, First Tier,
Series K-1 (AGC), 5.75%, 1/01/38

 

 

1,500

 

 

1,510,215

 

North Texas Tollway Authority, Refunding RB, System,
First Tier:

 

 

 

 

 

 

 

(AGM), 6.00%, 1/01/43

 

 

1,000

 

 

1,029,860

 

Series A (AGC), 5.75%, 1/01/40

 

 

1,500

 

 

1,507,440

 

Series A (NPFGC), 5.13%, 1/01/28

 

 

2,895

 

 

2,864,226

 

Tarrant County Cultural Education Facilities Finance
Corp., Refunding RB, Christus Health, Series A (AGC),
6.50%, 7/01/37

 

 

1,000

 

 

1,031,440

 

 

 

 

 

 




 

 

 

 

 

 

25,292,513

 









Utah — 1.3%

 

 

 

 

 

 

 

City of Riverton Utah, RB, IHC Health Services Inc.,
5.00%, 8/15/41

 

 

1,625

 

 

1,521,439

 









Virginia — 0.9%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School Financing,
6.50%, 12/01/35

 

 

1,000

 

 

1,094,710

 









Total Municipal Bonds — 115.5%

 

 

 

 

 

136,229,915

 










 

 

 

 

 

 

 

 


 

Municipal Bonds Transferred to

 

 

 

 

 

 

 

Tender Option Bond Trusts (a)

 

 

 

 

 

 

 









Alabama — 1.3%

 

 

 

 

 

 

 

Mobile Board of Water & Sewer Commissioners, RB
(NPFGC), 5.00%, 1/01/31

 

 

1,500

 

 

1,498,020

 









California — 2.1%

 

 

 

 

 

 

 

San Diego Community College District California, GO,
Election of 2002 (AGM), 5.00%, 5/01/30

 

 

2,500

 

 

2,481,550

 









District of Columbia — 0.7%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 6.00%, 10/01/35

 

 

760

 

 

825,081

 









Florida — 26.5%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB, Better Jacksonville
(NPFGC), 5.00%, 10/01/27

 

 

3,930

 

 

3,956,370

 

County of Pinellas Florida, RB (AGM), 5.00%, 10/01/32

 

 

9,500

 

 

9,076,328

 

Florida State Board of Education, GO, Public Education,
Series A (AGM), 5.00%, 6/01/27

 

 

9,000

 

 

9,108,450

 

Palm Beach County School District, COP, Refunding,
Series D (AGM), 5.00%, 8/01/28

 

 

9,190

 

 

9,147,359

 

 

 

 

 

 




 

 

 

 

 

 

31,288,507

 









Illinois — 5.0%

 

 

 

 

 

 

 

Chicago Transit Authority, Refunding RB, Federal
Transit Administration Section 5309 (AGM),
5.00%, 6/01/28

 

 

2,999

 

 

2,832,783

 

Illinois State Toll Highway Authority, RB, Series B,
5.50%, 1/01/33

 

 

2,999

 

 

3,009,410

 

 

 

 

 

 




 

 

 

 

 

 

5,842,193

 










 

 

 

See Notes to Financial Statements.


18

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (a)

 

Par 
(000)

 

Value

 









Kentucky — 0.8%

 

 

 

 

 

 

 

Kentucky State Property & Building Commission,
Refunding RB, Project No. 93 (AGC), 5.25%, 2/01/27

 

$

898

 

$

931,964

 









Nevada — 1.8%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Limited
Tax, 6.00%, 7/01/38

 

 

2,000

 

 

2,144,320

 









Total Municipal Bonds Transferred to

 

 

 

 

 

 

 

Tender Option Bond Trusts — 38.2%

 

 

 

 

 

45,011,635

 









Total Long-Term Investments

 

 

 

 

 

 

 

(Cost — $183,499,520) — 153.7%

 

 

 

 

 

181,241,550

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 









FFI Institutional Tax-Exempt Fund, 0.13% (b)(c)

 

 

5,323,892

 

 

5,323,892

 









Total Short-Term Securities
(Cost — $5,323,892) — 4.5%

 

 

 

 

 

5,323,892

 









Total Investments (Cost — $188,823,412*) — 158.2%

 

 

 

 

 

186,565,442

 

Liabilities in Excess of Other Assets — (0.4)%

 

 

 

 

 

(480,374

)

Liability for Trust Certificates, Including
Interest Expense and Fees Payable — (22.0)%

 

 

 

 

 

(25,887,547

)

Preferred Shares, at Redemption Value — (35.8)%

 

 

 

 

 

(42,278,454

)

 

 

 

 

 




Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

117,919,067

 

 

 

 

 

 













 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

163,232,643

 

 

 




Gross unrealized appreciation

 

$

2,730,254

 

Gross unrealized depreciation

 

 

(5,263,721

)

 

 




Net unrealized depreciation

 

$

(2,533,467

)

 

 





 

 

(a)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(b)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Affiliate

 

Shares Held at
August 31,
2010

 

Net
Activity

 

Shares Held at
February 28,
2011

 

Income

 











FFI Institutional
Tax-Exempt Fund

 

 

1,211,264

 

 

4,112,628

 

 

5,323,892

 

$

2,595

 
















 

 

(c)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of February 28, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 













      47

 

10-Year U.S.

 

Chicago

 

 

June 2011

 

$

5,570,145

 

$

(25,058

)

 

 

Treasury Note

 

Board of Trade

 

 

 

 

 

 

 

 

 

 

















 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 28, 2011 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

181,241,550

 

 

 

$

181,241,550

 

Short-Term
Securities

 

$

5,323,892

 

 

 

 

 

 

5,323,892

 

 

 













Total

 

$

5,323,892

 

$

181,241,550

 

 

 

$

186,565,442

 

 

 














 

 

1

See above Schedule of Investments for values in each state or political subdivision.


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Derivative Financial Instruments2

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(25,058

)

 

 

 

 

$

(25,058

)

 

 














 

 

2

Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/depreciation on the instrument.


 

 

 

 

See Notes to Financial Statements.

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

19




 

 


 

 

Schedule of Investments February 28, 2011 (Unaudited)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 









Alabama — 3.4%

 

 

 

 

 

 

 

Birmingham Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC):

 

 

 

 

 

 

 

6.00%, 6/01/34

 

$

1,150

 

$

1,205,522

 

6.00%, 6/01/39

 

 

450

 

 

468,544

 

Hoover City Board of Education, GO, Refunding, 4.25%, 2/15/40

 

 

3,750

 

 

3,131,550

 

 

 

 

 

 




 

 

 

 

 

 

4,805,616

 









Arizona — 4.8%

 

 

 

 

 

 

 

Arizona State University, RB, Series D, 5.50%, 7/01/26

 

 

200

 

 

211,662

 

Mohave County Unified School District No. 20 Kingman, GO, School Improvement Project of 2006, Series C (AGC), 5.00%, 7/01/26

 

 

200

 

 

205,338

 

Pima County IDA, Refunding IDRB, Tucson Electric Power, 5.75%, 9/01/29

 

 

900

 

 

872,802

 

Salt Verde Financial Corp., RB, Senior:

 

 

 

 

 

 

 

5.00%, 12/01/32

 

 

1,500

 

 

1,297,680

 

5.00%, 12/01/37

 

 

2,065

 

 

1,733,712

 

San Luis Facility Development Corp., RB, Senior Lien, Regional Detention Center Project:

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

300

 

 

289,518

 

7.00%, 5/01/20

 

 

300

 

 

286,317

 

7.25%, 5/01/27

 

 

600

 

 

561,066

 

State of Arizona, COP, Department of Administration, Series A (AGM), 5.00%, 10/01/29

 

 

750

 

 

748,163

 

University Medical Center Corp. Arizona, RB, 6.50%, 7/01/39

 

 

500

 

 

509,600

 

 

 

 

 

 




 

 

 

 

 

 

6,715,858

 









California — 15.3%

 

 

 

 

 

 

 

California County Tobacco Securitization Agency, RB, CAB, Stanislaus, Sub-Series C, 6.30%, 6/01/55 (a)

 

 

4,500

 

 

25,875

 

California HFA, RB, Home Mortgage, Series G, AMT, 5.05%, 2/01/29

 

 

2,285

 

 

2,129,186

 

California Health Facilities Financing Authority, Refunding RB, Sutter Health, Series B, 5.88%, 8/15/31

 

 

1,900

 

 

1,908,835

 

Carlsbad Unified School District, GO, Election of 2006, Series B, 6.09%, 5/01/34 (b)

 

 

1,000

 

 

568,640

 

Dinuba Unified School District, GO, Election of 2006 (AGM):

 

 

 

 

 

 

 

5.63%, 8/01/31

 

 

250

 

 

258,715

 

5.75%, 8/01/33

 

 

500

 

 

517,855

 

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 7.46%, 8/01/34 (b)

 

 

1,650

 

 

803,847

 

Norwalk-La Mirada Unified School District California, GO, Refunding, CAB, Election of 2002, Series E (AGC), 6.47%, 8/01/38 (a)

 

 

8,000

 

 

1,212,320

 

Palomar Community College District, GO, CAB, Election of 2006, Series B:

 

 

 

 

 

 

 

6.09%, 8/01/30 (a)

 

 

1,500

 

 

397,860

 

7.57%, 8/01/39 (b)

 

 

2,000

 

 

708,220

 

San Diego Community College District California, GO, CAB, Election of 2002, 6.24%, 8/01/19 (b)

 

 

2,800

 

 

1,592,080

 

State of California, GO, Refunding:

 

 

 

 

 

 

 

(CIFG), 4.50%, 8/01/28

 

 

500

 

 

452,200

 

Veterans, AMT, 5.05%, 12/01/36

 

 

1,000

 

 

865,550

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

5.75%, 4/01/31

 

 

2,000

 

 

2,063,800

 

6.00%, 3/01/33

 

 

2,050

 

 

2,151,721

 

6.50%, 4/01/33

 

 

1,950

 

 

2,115,594

 

5.50%, 3/01/40

 

 

2,350

 

 

2,326,453

 

Val Verde Unified School District California, Special Tax Bonds, Refunding, Junior Lien, 6.25%, 10/01/28

 

 

1,585

 

 

1,459,674

 

 

 

 

 

 




 

 

 

 

 

 

21,558,425

 










 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 







Colorado — 1.9%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Catholic Health Initiatives, Series D, 6.25%, 10/01/33

 

$

1,070

 

$

1,120,547

 

Sand Creek Metropolitan District, GO, Refunding, Limited Tax, Series B:

 

 

 

 

 

 

 

4.75%, 12/01/35

 

 

1,000

 

 

879,510

 

5.00%, 12/01/40

 

 

800

 

 

720,136

 

 

 

 

 

 




 

 

 

 

 

 

2,720,193

 









Delaware — 0.8%

 

 

 

 

 

 

 

County of Sussex Delaware, RB, NRG Energy, Inc., Indian River Project, 6.00%, 10/01/40

 

 

1,200

 

 

1,168,356

 









District of Columbia — 6.3%

 

 

 

 

 

 

 

District of Columbia, Refunding RB, Friendship Public Charter School Inc. (ACA), 5.25%, 6/01/33

 

 

595

 

 

452,140

 

District of Columbia, Tax Allocation Bonds, Gallery Place Project (AGM), 5.40%, 7/01/31

 

 

6,000

 

 

6,019,560

 

District of Columbia Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, 6.75%, 5/15/40

 

 

2,500

 

 

2,348,750

 

 

 

 

 

 




 

 

 

 

 

 

8,820,450

 









Florida — 6.4%

 

 

 

 

 

 

 

Miami Beach Health Facilities Authority, RB, Mount Sinai Medical Center of Florida, 6.75%, 11/15/21

 

 

1,180

 

 

1,196,024

 

Palm Beach County Housing Finance Authority, HRB, Indian Trace Apartments, Series A, AMT (AGM), 5.63%, 1/01/44

 

 

7,255

 

 

7,121,145

 

Stevens Plantation Community Development District, Special Assessment Bonds, Series A, 7.10%,

 

 

 

 

 

 

 

5/01/35

 

 

940

 

 

721,817

 

 

 

 

 

 




 

 

 

 

 

 

9,038,986

 









Idaho — 1.7%

 

 

 

 

 

 

 

Idaho Health Facilities Authority, RB, St. Luke’s Regional Medical Center (AGM), 5.00%, 7/01/35

 

 

500

 

 

474,350

 

Idaho Health Facilities Authority, Refunding RB, Trinity Health Group, Series B, 6.25%, 12/01/33

 

 

1,750

 

 

1,845,358

 

 

 

 

 

 




 

 

 

 

 

 

2,319,708

 









Illinois — 10.6%

 

 

 

 

 

 

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

MJH Education Assistance IV LLC, Sub-Series B, 5.38%, 6/01/35 (c)(d)

 

 

425

 

 

114,104

 

Navistar International, Recovery Zone, 6.50%, 10/15/40

 

 

1,285

 

 

1,298,608

 

Roosevelt University Project, 6.50%, 4/01/44

 

 

1,000

 

 

1,001,880

 

Rush University Medical Center, Series C, 6.63%, 11/01/39

 

 

650

 

 

665,346

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Friendship Village Schaumburg, 5.63%, 2/15/37

 

 

210

 

 

160,220

 

Lake Forest Hospital, 5.75%, 7/01/29

 

 

4,000

 

 

4,040,240

 

OSF Healthcare System, 6.00%, 5/15/39

 

 

1,050

 

 

976,017

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

6.25%, 6/01/24

 

 

1,000

 

 

1,002,050

 

6.00%, 6/01/28

 

 

1,150

 

 

1,123,331

 

Village of Bolingbrook Illinois, GO, Refunding, Series B (NPFGC), 6.22%, 1/01/36 (a)

 

 

23,065

 

 

4,465,615

 

 

 

 

 

 




 

 

 

 

 

 

14,847,411

 









Indiana — 2.0%

 

 

 

 

 

 

 

County of Monroe Indiana, Multifamily Housing Revenue Bond Pass-Through Certificates, RB, Series 1, Canterbury House Apartments, Mandatory Put Bonds, AMT, 5.90%, 12/01/34 (e)

 

 

1,835

 

 

1,845,753

 

Indiana Finance Authority, Refunding RB, Improvement, U.S. Steel Corp., 6.00%, 12/01/26

 

 

1,000

 

 

988,460

 

 

 

 

 

 




 

 

 

 

 

 

2,834,213

 










 

 

 

See Notes to Financial Statements.


20

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 







Iowa — 1.1%

 

 

 

 

 

 

 

Iowa Higher Education Loan Authority, Refunding RB, Private College Facility:

 

 

 

 

 

 

 

5.75%, 9/01/30

 

$

500

 

$

501,810

 

6.00%, 9/01/39

 

 

1,000

 

 

1,005,750

 

 

 

 

 

 




 

 

 

 

 

 

1,507,560

 









Kansas — 3.5%

 

 

 

 

 

 

 

Kansas Development Finance Authority, RB, University of Kansas Tenant, Series O, 4.75%, 6/15/41

 

 

700

 

 

632,457

 

Wichita Airport Authority, RB, Special, Cessna Citation Service Center, Series A, AMT, 6.25%, 6/15/32

 

 

5,000

 

 

4,308,450

 

 

 

 

 

 




 

 

 

 

 

 

4,940,907

 









Kentucky — 0.4%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority, RB, Louisville Arena, Sub-Series A-1 (AGC), 6.00%, 12/01/38

 

 

500

 

 

509,655

 









Louisiana — 2.2%

 

 

 

 

 

 

 

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, Westlake Chemical Corp., Series A-1, 6.50%, 11/01/35

 

 

1,050

 

 

1,068,722

 

Louisiana Public Facilities Authority, Refunding RB, Entergy Gulf States Louisiana, LLC Project, Series A, 5.00%, 9/01/28

 

 

2,000

 

 

1,967,920

 

 

 

 

 

 




 

 

 

 

 

 

3,036,642

 









Maryland — 2.1%

 

 

 

 

 

 

 

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc., 5.75%, 9/01/25

 

 

500

 

 

467,915

 

Maryland Health & Higher Educational Facilities Authority, Refunding RB, Doctor’s Community Hospital, 5.63%, 7/01/30

 

 

2,900

 

 

2,477,876

 

 

 

 

 

 




 

 

 

 

 

 

2,945,791

 









Michigan — 3.8%

 

 

 

 

 

 

 

Michigan State Building Authority, Refunding RB, Facilities Program, Series I, 6.25%, 10/15/38

 

 

1,250

 

 

1,315,637

 

Michigan State Hospital Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Henry Ford Health System, Series A, 5.25%, 11/15/46

 

 

1,065

 

 

888,306

 

Hospital, Henry Ford Health, 5.75%, 11/15/39

 

 

1,000

 

 

928,540

 

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, 8.25%, 9/01/39

 

 

1,950

 

 

2,175,927

 

 

 

 

 

 




 

 

 

 

 

 

5,308,410

 









Minnesota — 4.0%

 

 

 

 

 

 

 

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC), 6.50%, 11/15/38

 

 

5,350

 

 

5,651,098

 









Mississippi — 3.1%

 

 

 

 

 

 

 

Mississippi Development Bank Special Obligation, RB, Jackson County Limited Tax Note (AGC), 5.50%, 7/01/32

 

 

1,750

 

 

1,780,292

 

University of Southern Mississippi, RB, Campus Facilities Improvements Project, 5.38%, 9/01/36

 

 

2,500

 

 

2,522,925

 

 

 

 

 

 




 

 

 

 

 

 

4,303,217

 









Montana — 1.8%

 

 

 

 

 

 

 

Montana Facility Finance Authority, Refunding RB, Sisters of Leavenworth, Series A, 4.75%, 1/01/40

 

 

2,750

 

 

2,489,988

 









Multi-State — 8.1%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%, 11/15/52 (f)(g)

 

 

10,500

 

 

11,416,230

 










 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 







Nebraska — 2.0%

 

 

 

 

 

 

 

Douglas County Hospital Authority No. 2, RB, Health Facilities, Immanuel Obligation Group, 5.50%, 1/01/30

 

$

425

 

$

415,705

 

Nebraska Investment Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

1,200

 

 

1,228,032

 

6.05%, 9/01/41

 

 

1,165

 

 

1,179,260

 

 

 

 

 

 




 

 

 

 

 

 

2,822,997

 









Nevada — 1.2%

 

 

 

 

 

 

 

City of Las Vegas Nevada, Special Assessment Bonds, Summerlin Area, 5.65%, 6/01/23

 

 

1,315

 

 

1,095,145

 

County of Clark Nevada, Refunding RB, Alexander Dawson School Nevada Project, 5.00%, 5/15/29

 

 

575

 

 

538,994

 

 

 

 

 

 




 

 

 

 

 

 

1,634,139

 









New Jersey — 14.3%

 

 

 

 

 

 

 

Middlesex County Improvement Authority, RB, Subordinate, Heldrich Center Hotel, Series B, 6.25%, 1/01/37 (c)(d)

 

 

915

 

 

91,500

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.50%, 6/15/24

 

 

3,710

 

 

3,419,878

 

Cigarette Tax (Radian), 5.50%, 6/15/31

 

 

1,500

 

 

1,288,350

 

Continental Airlines Inc. Project, AMT, 7.20%, 11/15/30 (e)

 

 

3,000

 

 

3,004,680

 

New Jersey EDA, Refunding RB, First Mortgage, Winchester, Series A, 5.80%, 11/01/31

 

 

1,500

 

 

1,423,770

 

New Jersey EDA, Special Assessment Bonds, Refunding, Kapkowski Road Landfill Project, 6.50%, 4/01/28

 

 

7,500

 

 

7,488,675

 

New Jersey Educational Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

College of New Jersey, Series D (AGM), 5.00%, 7/01/35

 

 

1,000

 

 

987,450

 

University of Medicine & Dentistry, Series B, 7.13%, 12/01/23

 

 

630

 

 

708,492

 

University of Medicine & Dentistry, Series B, 7.50%, 12/01/32

 

 

800

 

 

878,944

 

New Jersey State Housing & Mortgage Finance Agency, RB, Series AA, 6.50%, 10/01/38

 

 

810

 

 

872,167

 

 

 

 

 

 




 

 

 

 

 

 

20,163,906

 









New Mexico — 1.5%

 

 

 

 

 

 

 

Village of Los Ranchos de Albuquerque New Mexico, Refunding RB, Albuquerque Academy Project, 4.50%, 9/01/40

 

 

2,500

 

 

2,108,325

 









New York — 7.9%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New Covenant Charter School Project, Series A, 7.00%, 5/01/35 (c)(d)

 

 

455

 

 

136,486

 

Hudson Yards Infrastructure Corp., RB, Series A, 5.00%, 2/15/47

 

 

500

 

 

419,205

 

New York City Housing Development Corp., RB, Series A, AMT, 5.50%, 11/01/34

 

 

3,000

 

 

2,968,410

 

New York City Industrial Development Agency, RB:

 

 

 

 

 

 

 

American Airlines Inc., JFK International Airport, AMT, 7.75%, 8/01/31 (e)

 

 

3,165

 

 

3,228,933

 

Queens Baseball Stadium, PILOT (AGC), 6.50%, 1/01/46

 

 

700

 

 

727,776

 

New York Liberty Development Corp., Refunding RB, Second Priority, Bank of America Tower at One Bryant Park Project, 6.38%, 7/15/49

 

 

800

 

 

795,944

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

The New School (AGM), 5.50%, 7/01/43

 

 

1,550

 

 

1,555,487

 

Rochester Institute of Technology, Series A, 6.00%, 7/01/33

 

 

1,000

 

 

1,056,970

 

University of Rochester, Series A, 5.13%, 7/01/39

 

 

250

 

 

245,400

 

 

 

 

 

 




 

 

 

 

 

 

11,134,611

 










 

 

 

 

See Notes to Financial Statements.

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011

21




 

 



 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 







North Carolina — 8.2%

 

 

 

 

 

 

 

City of Charlotte North Carolina, Refunding RB, Series A,
5.50%, 7/01/34

 

$

225

 

$

228,265

 

Gaston County Industrial Facilities & Pollution Control
Financing Authority North Carolina, RB, Exempt
Facilities, National Gypsum Co. Project, AMT, 5.75%,
8/01/35

 

 

2,945

 

 

2,218,498

 

North Carolina Capital Facilities Finance Agency, RB,
Duke Energy Carolinas, Series B, 4.38%, 10/01/31

 

 

2,475

 

 

2,283,410

 

North Carolina Medical Care Commission, RB, Series A:

 

 

 

 

 

 

 

Novant Health Obligation, 4.75%, 11/01/43

 

 

4,000

 

 

3,392,480

 

WakeMed, (AGC), 5.88%, 10/01/38

 

 

1,000

 

 

1,015,910

 

North Carolina Medical Care Commission, Refunding RB,
Caromont Health (AGC):

 

 

 

 

 

 

 

4.50%, 2/15/30

 

 

750

 

 

673,620

 

4.63%, 2/15/35

 

 

1,000

 

 

876,760

 

University Health System, Series D, 6.25%, 12/01/33

 

 

800

 

 

835,856

 

 

 

 

 

 




 

 

 

 

 

 

11,524,799

 









Oklahoma — 1.3%

 

 

 

 

 

 

 

Tulsa Airports Improvement Trust, RB, Series A,
Mandatory Put Bonds, AMT, 7.75%, 6/01/35 (e)

 

 

1,725

 

 

1,763,416

 









Oregon — 2.1%

 

 

 

 

 

 

 

City of Portland Oregon, Multifamily Housing Revenue
Bond Pass-Through Certificates, RB, Series 6, Pacific
Tower Apartments, AMT, 6.05%, 11/01/34

 

 

515

 

 

515,438

 

Oregon Health & Science University, RB, Series A,
5.75%, 7/01/39

 

 

1,250

 

 

1,273,925

 

Oregon State Facilities Authority, Refunding RB, Limited
College Project, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/34

 

 

850

 

 

769,207

 

5.25%, 10/01/40

 

 

500

 

 

461,955

 

 

 

 

 

 




 

 

 

 

 

 

3,020,525

 









Pennsylvania — 3.0%

 

 

 

 

 

 

 

Delaware River Port Authority, RB, Series D (AGC),
5.00%, 1/01/40

 

 

2,600

 

 

2,515,032

 

Pennsylvania Economic Development Financing
Authority, RB, Aqua Pennsylvania Inc. Project, Series B,
4.50%, 12/01/42

 

 

2,000

 

 

1,758,080

 

 

 

 

 

 




 

 

 

 

 

 

4,273,112

 









Puerto Rico — 1.9%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 5.75%, 8/01/37

 

 

2,000

 

 

1,975,800

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.75%, 8/01/41 (a)

 

 

5,000

 

 

666,350

 

 

 

 

 

 




 

 

 

 

 

 

2,642,150

 









Rhode Island — 2.4%

 

 

 

 

 

 

 

Rhode Island Health & Educational Building Corp., RB,
Hospital Financing, LifeSpan Obligation, Series A
(AGC), 7.00%, 5/15/39

 

 

1,000

 

 

1,099,760

 

Rhode Island Housing & Mortgage Finance Corp., RB,
Homeownership Opportunity, Series 54, AMT, 4.85%,
10/01/41

 

 

1,500

 

 

1,322,205

 

State of Rhode Island, COP, Series C, School for the
Deaf (AGC), 5.38%, 4/01/28

 

 

900

 

 

925,209

 

 

 

 

 

 




 

 

 

 

 

 

3,347,174

 









South Carolina — 0.9%

 

 

 

 

 

 

 

County of Florence South Carolina, RB, McLeod
Regional Medical Center, Series A, 5.00%, 11/01/37

 

 

1,350

 

 

1,210,923

 









Tennessee — 0.2%

 

 

 

 

 

 

 

Memphis-Shelby County Sports Authority Inc.,
Refunding RB, Memphis Arena Project, Series A,
5.38%, 11/01/28

 

 

275

 

 

276,777

 










 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 









Texas — 14.9%

 

 

 

 

 

 

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare
System, Series B:

 

 

 

 

 

 

 

7.13%, 12/01/31

 

$

500

 

$

542,810

 

7.25%, 12/01/35

 

 

1,750

 

 

1,895,162

 

Harris County Housing Finance Corp., Multifamily
Housing Revenue Bond Pass-Through Certificates,
RB, Series 9, Copperwood Ranch Apartments,
Mandatory Put Bonds, AMT, 5.95%, 11/01/35 (e)

 

 

2,420

 

 

2,441,901

 

Harris County-Houston Sports Authority, Refunding RB,
CAB, Senior Lien, Series G (NPFGC), 6.17%,
11/15/41 (a)

 

 

11,690

 

 

1,071,155

 

Love Field Airport Modernization Corp., RB, Southwest
Airlines Co. Project, 5.25%, 11/01/40

 

 

2,500

 

 

2,222,450

 

Lower Colorado River Authority, Refunding RB (NPFGC),
5.00%, 5/15/13 (h)

 

 

15

 

 

16,376

 

Matagorda County Navigation District No. 1 Texas,
Refunding RB, Central Power & Light Co. Project,
Series A, 6.30%, 11/01/29

 

 

1,500

 

 

1,545,810

 

Texas Private Activity Bond Surface Transportation Corp.,
RB, Senior Lien, LBJ Infrastructure Group LLC, LBJ
Freeway Managed Lanes Project, 7.00%, 6/30/40

 

 

2,000

 

 

2,028,440

 

Texas State Turnpike Authority, RB (AMBAC):

 

 

 

 

 

 

 

CAB, 6.08%, 8/15/35 (a)

 

 

50,000

 

 

8,592,500

 

First Tier, Series A, 5.00%, 8/15/42

 

 

750

 

 

640,703

 

 

 

 

 

 




 

 

 

 

 

 

20,997,307

 









Virginia — 0.5%

 

 

 

 

 

 

 

Henrico County EDA, RB, Bon Secours Health,
Series B-1 (AGC), 4.50%, 11/01/42

 

 

860

 

 

715,967

 









Washington — 1.0%

 

 

 

 

 

 

 

Washington Health Care Facilities Authority, RB,
MultiCare Health System, Series B (AGC),
6.00%, 8/15/39

 

 

1,400

 

 

1,431,052

 









Wisconsin — 1.8%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority, RB,
Aurora Health Care, 6.40%, 4/15/33

 

 

1,350

 

 

1,362,946

 

Wisconsin Housing & EDA, Refunding RB, Series A, AMT,
4.75%, 9/01/33

 

 

1,340

 

 

1,217,578

 

 

 

 

 

 




 

 

 

 

 

 

2,580,524

 









Wyoming — 0.9%

 

 

 

 

 

 

 

County of Sweetwater Wyoming, Refunding RB, Idaho
Power Co. Project, 5.25%, 7/15/26

 

 

1,200

 

 

1,237,248

 









Total Municipal Bonds — 149.3%

 

 

 

 

 

209,823,666

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)

 

 

 

 

 

 

 









Colorado — 2.5%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Catholic Health,
Series C-7 (AGM), 5.00%, 9/01/36

 

 

3,750

 

 

3,504,225

 









Massachusetts — 1.0%

 

 

 

 

 

 

 

Massachusetts Water Resources Authority, Refunding RB,
General, Series A, 5.00%, 8/01/41

 

 

1,450

 

 

1,450,623

 









New York — 4.3%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

450

 

 

474,776

 

Series FF-2, 5.50%, 6/15/40

 

 

405

 

 

416,807

 

New York City Municipal Water Finance Authority,
Refunding RB, Series A, 4.75%, 6/15/30

 

 

3,000

 

 

2,973,600

 

New York State Dormitory Authority, RB, New York
University, Series A, 5.00%, 7/01/38

 

 

2,199

 

 

2,147,937

 

 

 

 

 

 




 

 

 

 

 

 

6,013,120

 










 

 

 

See Notes to Financial Statements.




22

SEMI-ANNUAL REPORT

FEBRUARY 28, 2011




 

 


 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)

 

Par
(000)

 

Value

 







Ohio — 2.2%

 

 

 

 

 

 

 

County of Montgomery Ohio, RB, Catholic Health,
Series C-1 (AGM), 5.00%, 10/01/41

 

$

1,260

 

$

1,153,291

 

Ohio Higher Educational Facility Commission,
Refunding RB, Hospital, Cleveland Clinic Health,
Series A, 5.25%, 1/01/33

 

 

2,000

 

 

1,934,260

 

 

 

 

 

 




 

 

 

 

 

 

3,087,551

 









Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 10.0%

 

 

 

 

 

14,055,519

 









Total Long-Term Investments
(Cost — $233,041,707) — 159.3%

 

 

 

 

 

223,879,185

 









 

 

 

 

 

 

 

 

 


 

Short-Term Securities

 

Shares

 

 

 

 








FFI Institutional Tax-Exempt Fund, 0.13% (j)(k)

 

 

1,592,687