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: 08/31/2011

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

August 31, 2011


 

 

Annual Report

 

BlackRock Municipal Bond Investment Trust (BIE)

 

BlackRock Municipal Bond Trust (BBK)

 

BlackRock Municipal Income Investment Quality Trust (BAF)

 

BlackRock Municipal Income Quality Trust (BYM)

 

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

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

 

51

Report of Independent Registered Public Accounting Firm

 

59

Important Tax Information

 

59

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

60

Automatic Dividend Reinvestment Plans

 

64

Officers and Trustees

 

65

Additional Information

 

68


 

 

 

 

 

 

2

ANNUAL REPORT

AUGUST 31, 2011




 

 

Dear Shareholder

Market volatility has been extraordinary in recent months. Government debt and deficit issues in both the US and Europe have taken a toll on investor sentiment while weaker-than-expected US economic data raised concerns of another recession. Political instability and concerns that central banks have nearly exhausted their stimulus measures have further compounded investor uncertainty. Although markets remain volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.

The pages that follow reflect your fund’s reporting period ended August 31, 2011. Accordingly, the following discussion is intended to provide you with additional perspective on the performance of your investments during that period.

One year ago, the global economy appeared to solidly be in recovery mode and investors were optimistic given the anticipated second round of quantitative easing from the US Federal Reserve (the “Fed”). Stock markets rallied despite the ongoing sovereign debt crisis in Europe and inflationary pressures looming over emerging markets. Fixed income markets, however, saw yields move sharply upward (pushing prices down) especially on the long end of the historically steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond program would not be extended and municipal finance troubles abounded.

The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted over US debt and deficit issues. Equities generally performed well early in the year, however, as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.

However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging economies, many of which were overheating, and the European debt crisis continued to escalate. Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer to defaulting on its debt. This development rekindled fears about the broader debt crisis and its further contagion among peripheral European countries. Concurrently, it became evident that the pace of global economic growth had slowed as higher oil prices and supply chain disruptions finally showed up in economic data. By mid-summer, confidence in policymakers was tarnished as the prolonged US debt ceiling debate revealed the degree of polarization in Washington, DC. The downgrade of the US government’s credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme volatility persisted as Europe’s debt and banking crisis deepened and US economic data continued to weaken. Investors fled from riskier assets, pushing stock and high yield bond indices into negative territory for the six-month period ended August 31, while lower-risk investments including US Treasuries, municipal securities and investment grade corporate bonds posted gains. Twelve-month returns on all asset classes remained positive. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

 

Sincerely,

 

-s- Rob Kapito

 

Rob Kapito

President, BlackRock Advisors, LLC

 

[PHOTO OF ROB KAPITO]

 

“BlackRock remains focused on managing risk and finding opportunities in all market environments.”

 

Rob Kapito

President, BlackRock Advisors, LLC

 


Total Returns as of August 31, 2011


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities

 

(7.23

)%

 

18.50

%

 

(S&P 500 Index)

 

 

 

 

 

 

 

US small cap equities

 

(11.17

)

 

22.19

 

 

(Russell 2000 Index)

 

 

 

 

 

 

 

International equities

 

(11.12

)

 

10.01

 

 

(MSCI Europe, Australasia,

 

 

 

 

 

 

 

Far East Index)

 

 

 

 

 

 

 

Emerging market

 

(5.11

)

 

9.07

 

 

equities (MSCI Emerging

 

 

 

 

 

 

 

Markets Index)

 

 

 

 

 

 

 

3-month Treasury

 

0.08

 

 

0.15

 

 

bill (BofA Merrill Lynch

 

 

 

 

 

 

 

3-Month Treasury

 

 

 

 

 

 

 

Bill Index)

 

 

 

 

 

 

 

US Treasury securities

 

13.04

 

 

6.21

 

 

(BofA Merrill Lynch 10-

 

 

 

 

 

 

 

Year US Treasury Index)

 

 

 

 

 

 

 

US investment grade

 

5.49

 

 

4.62

 

 

bonds (Barclays

 

 

 

 

 

 

 

Capital US Aggregate

 

 

 

 

 

 

 

Bond Index)

 

 

 

 

 

 

 

Tax-exempt municipal

 

6.39

 

 

2.66

 

 

bonds (Barclays Capital

 

 

 

 

 

 

 

Municipal Bond Index)

 

 

 

 

 

 

 

US high yield bonds

 

(1.57

)

 

8.32

 

 

(Barclays Capital US

 

 

 

 

 

 

 

Corporate High Yield 2%

 

 

 

 

 

 

 

Issuer Capped Index)

 

 

 

 

 

 

 


 

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


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

Municipal Market Overview

 

     For the 12-Month Period Ended August 31, 2011

At the outset of the 12-month period, investor concerns were focused on the possibility of deflation and a double-dip recession in the US economy thus leading to a flatter municipal yield curve at that time as compared to August 31, 2011. Rates moved lower (and prices higher) across the curve through September 2010, reaching historic lows in August when the yield on 5-year issues touched 1.06%, the 10-year reached 2.18% and the 30-year closed at 3.67%. However, the market took a turn in October amid a “perfect storm” of events that ultimately resulted in the worst quarterly performance for municipals since the Fed tightening cycle of 1994. Treasury yields lost support due to concerns over the US deficit and municipal valuations suffered a quick and severe setback as it became evident that the Build America Bond (“BAB”) program would expire at the end of 2010. The program had opened the taxable market to municipal issuers, successfully alleviating supply pressure in the traditional tax-exempt marketplace and bringing down yields in that space.

(LINE GRAPH)

Towards the end of the fourth quarter 2010, news about municipal finance troubles mounted and damaged confidence among retail investors. From mid-November through year end, weekly outflows from municipal mutual funds averaged over $2.5 billion. Political uncertainty surrounding the midterm elections and tax policies along with the expiration of the BAB program exacerbated the situation. These conditions combined with seasonal illiquidity sapped willful market participation from the trading community. December brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the BAB program was retired. This supply-demand imbalance led to wider quality spreads and higher yields.

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in 2011. From mid-November, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June. Weak demand has been counterbalanced by lower supply in 2011. According to Thomson Reuters, year-to-date through August, new issuance was down 38% compared to the same period last year. Issuers have been reluctant to bring new deals to the market due to higher interest rates, fiscal policy changes and a reduced need for municipal borrowing. In this positive technical environment, the S&P/Investortools Main Municipal Bond Index gained 4.22% for the second quarter of 2011, its best second-quarter performance since 1992, and municipals outperformed most other fixed income asset classes for the quarter.

On August 5, S&P downgraded the US credit rating from AAA to AA+, leading to the downgrade of 11,000 municipal issues directly linked to the US government debt rating. Nevertheless, the municipal market posted solid gains for the month of August, aided primarily by an exuberant Treasury market, severe volatility in US equities and continued supply constraint in the primary municipal market. For the month of August, the curve flattened due to outperformance in the long-end driven by demand from both traditional and non-traditional buyers.

Overall, the municipal yield curve steepened during the period from August 31, 2010, to August 31, 2011. As measured by Thomson Municipal Market Data, yields on AAA quality-rated 30-year municipals rose 22 basis points (“bps”) to 3.89%, while yields for 5-year maturities rallied by 17 bps to .89%, and 10-year maturities increased by 7 bps to 2.25%. With the exception of the 2- to 5-year range, the yield spread between maturities increased over the past year, with the greatest increase seen in the 5- to 30-year range, where the spread widened by 39 bps, while overall the slope between 2- and 30-year maturities increased by 27 bps to 3.59%.

The fundamental picture for municipalities is improving as most states began their new fiscal year with a balanced budget. Austerity is the general theme across the country, while a small number of states continue to rely on the “kick the can” approach, using aggressive revenue projections and accounting gimmicks to close their shortfalls. As long as economic growth stays positive, tax receipts for states should continue to rise and lead to better credit fundamentals. BlackRock maintains a constructive view of the municipal market, recognizing that careful credit research and security selection remain imperative amid uncertainty in the economic environment.

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

 

 

 

 

 

 

4

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2011, the Trust returned (2.38)% based on market price and 1.29% based on net asset value (“NAV.”) For the same period, the closed-end Lipper General &Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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. Contributing positively to the Trust’s performance was its exposure to spread sectors, including housing and health bonds, which provided a relatively high degree of incremental income in the low interest rate environment. The Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a 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 New York Stock Exchange (“NYSE”)

BIE

Initial Offering Date

April 30, 2002

Yield on Closing Market Price as of August 31, 2011 ($14.22)1

6.84%

Tax Equivalent Yield2

10.52%

Current Monthly Distribution per Common Share3

$0.0810

Current Annualized Distribution per Common Share3

$0.9720

Leverage as of August 31, 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

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 (“AMPS”) 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 AMPS 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:

 

 

 

 

 

 

 

8/31/11

8/31/10

Change

High

Low

Market Price

$14.22

$15.60

(8.85)%

$15.76

$12.14

Net Asset Value

$14.67

$15.51

(5.42)%

$15.51

$12.76

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

 

 

 

 

 

Sector Allocations

 

 

 

 

 

8/31/11

8/31/10

Health

23

%

22

%

Transportation

21

18

Utilities

19

 

18

 

County/City/Special District/School District

17

 

19

 

Education

7

 

8

 

State

6

 

8

 

Housing

5

 

5

 

Tobacco

1

1

Corporate

1

 

1

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

8/31/11

8/31/10

AAA/Aaa

10

%

14

%

AA/Aa

62

64

A

21

 

17

 

BBB/Baa

6

4

BB/Ba

1

 

 

Not Rated

 

1

 


 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

5




 

 

 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2011, the Trust returned 1.38% based on market price and 2.02% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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 positive performance was derived mostly from its holdings in higher-yielding sectors including health, corporate/industrial development and housing bonds, which provided incremental income. The Trust also benefited from its exposure to lower-quality bonds, which, in addition to offering higher embedded yields, experienced some price appreciation due to spread compression during the period. The Trust was heavily invested in tax-backed credits and moderately invested in the education sector, both of which returned moderately positive performance. Over the period, the Trust maintained a slightly long duration bias and greater exposure to the long end of the yield curve. Although this positioning was favorable as the period drew to a close, it detracted from performance on the whole for the year. The Trust’s allocation to Puerto Rico credits, which underperformed all other states and territories for the period, had a negative impact on returns. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a 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

 

 

BBK

 

Initial Offering Date

 

April 30, 2002

 

Yield on Closing Market Price as of August 31, 2011 ($14.86)1

 

 

7.15%

 

Tax Equivalent Yield2

 

 

11.00%

 

Current Monthly Distribution per Common Share3

 

 

$0.0885

 

Current Annualized Distribution per Common Share3

 

 

$1.0620

 

Leverage as of August 31, 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 AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Change

 

High

 

Low

 

Market Price

 

$

14.86

 

$

15.79

 

 

(5.89

)%

$

16.00

 

$

12.20

 

Net Asset Value

 

$

14.48

 

$

15.29

 

 

(5.30

)%

$

15.30

 

$

12.70

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

 

8/31/10

 

Health

 

 

 

21

%

 

 

 

23

%

 

State

 

 

 

14

 

 

 

 

15

 

 

Housing

 

 

 

14

 

 

 

 

14

 

 

County/City/Special District/School District

 

 

 

12

 

 

 

 

13

 

 

Transportation

 

 

 

10

 

 

 

 

9

 

 

Education

 

 

 

10

 

 

 

 

10

 

 

Corporate

 

 

 

10

 

 

 

 

8

 

 

Utilities

 

 

 

7

 

 

 

 

5

 

 

Tobacco

 

 

 

2

 

 

 

 

3

 

 


 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

 

8/31/10

 

AAA/Aaa

 

 

 

11

%

 

 

 

26

%

 

AA/Aa

 

 

 

35

 

 

 

 

20

 

 

A

 

 

 

18

 

 

 

 

22

 

 

BBB/Baa

 

 

 

22

 

 

 

 

20

 

 

BB/Ba

 

 

 

1

 

 

 

 

1

 

 

B

 

 

 

6

 

 

 

 

3

 

 

CCC/Caa

 

 

 

1

 

 

 

 

1

 

 

Not Rated6

 

 

 

6

 

 

 

 

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 August 31, 2011 and August 31, 2010, the market value of these securities was $4,646,558, representing 2%, and $6,207,616, representing 3%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

6

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Trust Summary as of August 31, 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. During the period, Lipper combined these categories into one General & Insured Municipal Debt Funds (Leveraged) category. For the 12 months ended August 31, 2011, the Trust returned (5.01)% based on market price and 2.62% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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. Contributing positively to the Trust’s performance was its exposure to spread sectors, including housing and health bonds, which provided a relatively high degree of incremental income in the low interest rate environment. The Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a 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

 

 

BAF

 

Initial Offering Date

 

October 31, 2002

 

Yield on Closing Market Price as of August 31, 2011 ($13.92)1

 

 

6.42%

 

Tax Equivalent Yield2

 

 

9.88%

 

Current Monthly Distribution per Common Share3

 

 

$0.0745

 

Current Annualized Distribution per Common Share3

 

 

$0.8940

 

Leverage as of August 31, 20114

 

 

34%

 


 

 

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 AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Change

 

High

 

Low

 

Market Price

 

$

13.92

 

$

15.64

 

 

(11.00

)%

$

15.92

 

$

11.92

 

Net Asset Value

 

$

14.50

 

$

15.08

 

 

(3.85

)%

$

15.08

 

$

12.76

 

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

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

 

8/31/10

 

County/City/Special District/School District

 

 

 

34

%

 

 

 

36

%

 

Utilities

 

 

 

22

 

 

 

 

27

 

 

Transportation

 

 

 

16

 

 

 

 

15

 

 

Health

 

 

 

9

 

 

 

 

10

 

 

Education

 

 

 

9

 

 

 

 

 

 

State

 

 

 

8

 

 

 

 

11

 

 

Housing

 

 

 

1

 

 

 

 

1

 

 

Tobacco

 

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

 

8/31/10

 

AAA/Aaa

 

 

 

14

%

 

 

 

59

%

 

AA/Aa

 

 

 

70

 

 

 

 

25

 

 

A

 

 

 

12

 

 

 

 

13

 

 

BBB/Baa

 

 

 

4

 

 

 

 

 

 

Not Rated

 

 

 

 

 

 

 

3

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 August 31, 2010, the market value of these securities was $5,171,100, representing 3% of the Trust’s long-term investments.


 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

7




 

 

 

 

Trust Summary as of August 31, 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. During the period, Lipper combined these categories into one General & Insured Municipal Debt Funds (Leveraged) category. For the 12 months ended August 31, 2011, the Trust returned (2.79)% based on market price and 3.09% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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 exposure to bonds with shorter maturities and shorter durations (lower sensitivity to interest rate movements) contributed positively to performance as yields on the short and intermediate parts of the municipal curve increased to a smaller degree than on the long end (bond prices fall as yields rise). Holdings of premium coupon bonds, which tend to be less sensitive to changes in interest rates, also had a positive impact. Conversely, the Trust’s exposure to longer maturity bonds had a negative impact as the long end of the yield curve steepened during the period (i.e., long-term interest rates increased more than short and intermediate rates). Holdings of tobacco issues also detracted as the sector lagged the broader market. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a 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

BYM

Initial Offering Date

October 31, 2002

Yield on Closing Market Price as of August 31, 2011 ($13.85)1

6.67%

Tax Equivalent Yield2

10.26%

Current Monthly Distribution per Common Share3

$0.0770

Current Annualized Distribution per Common Share3

$0.9240

Leverage as of August 31, 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 AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Change

 

High

 

Low

 

Market Price

 

$

13.85

 

$

15.26

 

 

(9.24

)%

$

15.42

 

$

11.71

 

Net Asset Value

 

$

14.09

 

$

14.64

 

 

(3.76

)%

$

14.69

 

$

12.20

 

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

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Transportation

 

24

%

 

21

%

 

Utilities

 

21

 

 

24

 

 

County/City/Special District/School District

 

18

 

 

21

 

 

State

 

14

 

 

15

 

 

Health

 

8

 

 

7

 

 

Tobacco

 

6

 

 

6

 

 

Education

 

6

 

 

3

 

 

Corporate

 

2

 

 

2

 

 

Housing

 

1

 

 

1

 

 


 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

AAA/Aaa

 

21

%

 

57

%

 

AA/Aa

 

58

 

 

24

 

 

A

 

13

 

 

12

 

 

BBB/Baa

 

8

 

 

5

 

 

Not Rated

 

 

 

2

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 August 31, 2010, the market value of these securities was $10,513,600, representing 2% of the Trust’s long-term investments.


 

 

 

 

 

 

8

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2011, the Trust returned (0.07)% based on market price and 2.70% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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. Security selection contributed positively to performance, particularly among housing, tax-backed, tobacco, transportation and health credits. An emphasis on industrial development bonds had a positive impact as these issues outperformed the broader municipal market during most of the period. In addition, the Trust’s holdings generated a high distribution yield, which over the course of the year had a meaningful impact on returns. Detracting from performance was the Trust’s large exposure to lower-quality bonds when credits widened toward the end of 2010. Additionally, the Trust’s long portfolio duration and yield curve positioning had a negative impact as long rates increased and the yield curve steepened over the period. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a 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

BLE

Initial Offering Date

July 30, 2002

Yield on Closing Market Price as of August 31, 2011 ($14.13)1

7.09%

Tax Equivalent Yield2

10.91%

Current Monthly Distribution per Common Share3

$0.0835

Current Annualized Distribution per Common Share3

$1.0020

Leverage as of August 31, 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 AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Change

 

High

 

Low

 

Market Price

 

$

14.13

 

$

15.22

 

 

(7.16

)%

$

15.35

 

$

11.87

 

Net Asset Value

 

$

13.96

 

$

14.63

 

 

(4.58

)%

$

14.63

 

$

12.41

 

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

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Health

 

21

%

 

19

%

 

State

 

16

 

 

17

 

 

Transportation

 

13

 

 

11

 

 

Utilities

 

13

 

 

13

 

 

Corporate

 

10

 

 

11

 

 

County/City/Special District

 

10

 

 

12

 

 

Education

 

8

 

 

7

 

 

Housing

 

5

 

 

6

 

 

Tobacco

 

4

 

 

4

 

 


 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

AAA/Aaa

 

10

%

 

18

%

 

AA/Aa

 

32

 

 

21

 

 

A

 

26

 

 

30

 

 

BBB/Baa

 

16

 

 

17

 

 

BB/Ba

 

5

 

 

1

 

 

B

 

4

 

 

6

 

 

CCC/Caa

 

 

 

1

 

 

Not Rated6

 

7

 

 

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 August 31, 2011 and August 31, 2010, the market value of these securities was $11,677,703, representing 2%, and $13,839,185, representing 3%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

9




 

 

 

 

Trust Summary as of August 31, 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. During the period, Lipper combined these categories into one General & Insured Municipal Debt Funds (Leveraged) category. For the 12 months ended August 31, 2011, the Trust returned 1.12% based on market price and 2.01% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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. Contributing positively to the Trust’s performance was its exposure to spread sectors, including housing and health bonds, which provided a relatively high degree of incremental income in the low interest rate environment. The Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a 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

MFL

Initial Offering Date

September 26, 1997

Yield on Closing Market Price as of August 31, 2011 ($13.84)1

6.63%

Tax Equivalent Yield2

10.20%

Current Monthly Distribution per Common Share3

$0.0765

Current Annualized Distribution per Common Share3

$0.9180

Leverage as of August 31, 20114

40%


 

 

 

 

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 Variable Rate Demand Preferred Shares (“VRDP Shares”) and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Change

 

High

 

Low

 

Market Price

 

$

13.84

 

$

14.65

 

 

(5.53

)%

$

14.87

 

$

11.68

 

Net Asset Value

 

$

14.00

 

$

14.69

 

 

(4.70

)%

$

14.69

 

$

12.23

 

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

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Utilities

 

25

%

 

26

%

 

Transportation

 

25

 

 

27

 

 

County/City/Special District/School District

 

18

 

 

18

 

 

Health

 

11

 

 

11

 

 

State

 

10

 

 

12

 

 

Education

 

6

 

 

2

 

 

Housing

 

4

 

 

4

 

 

Tobacco

 

1

 

 

 

 


 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

AAA/Aaa

 

12

%

 

64

%

 

AA/Aa

 

72

 

 

24

 

 

A

 

12

 

 

11

 

 

BBB/Baa

 

2

 

 

 

 

Not Rated6

 

2

 

 

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 August 31, 2011 and August 31, 2010, the market value of these securities was $3,979,631, representing less than 1%, and $5,793,997, representing 1%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

10

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Trust Summary as of August 31, 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 12 months ended August 31, 2011, the Trust returned 1.11% based on market price and 2.90% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (0.90)% based on market price and 2.36% 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 benefited from its higher coupon bond holdings, which performed well in the rising interest rate environment. In addition, the Trust sought investments with valuations that remain attractive relative to their level of credit risk. However, the Trust’s overall long duration stance (greater sensitivity to interest rates) detracted from performance as the municipal market saw long-term interest rates rise and the yield curve steepen over the 12-month period due to municipal credit concerns and the expiration of the BAB program. During the period, the Trust increased its cash position for the purpose of improving portfolio diversification. The elevated cash balance did not have a material 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 August 31, 2011 ($9.73)1

7.28%

Tax Equivalent Yield2

11.20%

Current Monthly Distribution per Common Share3

$0.0590

Current Annualized Distribution per Common Share3

$0.7080

Leverage as of August 31, 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

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 AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Change

 

High

 

Low

 

Market Price

 

$

9.73

 

$

10.38

 

 

(6.26

)%

$

10.45

 

$

8.53

 

Net Asset Value

 

$

9.55

 

$

10.01

 

 

(4.60

)%

$

10.03

 

$

8.45

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

Health

 

23

%

 

22

%

 

Transportation

 

17

 

 

13

 

 

Corporate

 

13

 

 

17

 

 

Utilities

 

12

 

 

12

 

 

County/City/Special District/School District

 

9

 

 

10

 

 

Education

 

9

 

 

7

 

 

State

 

8

 

 

8

 

 

Housing

 

7

 

 

7

 

 

Tobacco

 

2

 

 

4

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

8/31/11

 

8/31/10

 

AAA/Aaa

 

12

%

 

23

%

 

AA/Aa

 

46

 

 

35

 

 

A

 

22

 

 

23

 

 

BBB/Baa

 

15

 

 

15

 

 

BB/Ba

 

1

 

 

 

 

B

 

1

 

 

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 August 31, 2011 and August 31, 2010, the market value of these securities was $22,724,541 and $21,938,423, each representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

AUGUST 31, 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 AMPS or VRDP Shares (collectively, “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 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 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 will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates 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 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 trust may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income 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, the Trusts’ 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, each Trust’s 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 the Preferred Shares issued by the Trusts. 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 of 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 August 31, 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

 

BIE

 

41

%

 

BBK

 

37

%

 

BAF

 

34

%

 

BYM

 

38

%

 

BLE

 

37

%

 

MFL

 

40

%

 

MVF

 

41

%

 


 

 

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial 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. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial 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 dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell.The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 

 

 

 

12

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

 

 

Schedule of Investments August 31, 2011

BlackRock Municipal Bond Investment Trust (BIE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alaska — 0.2%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp., RB, Asset-Backed
Series A, 5.00%, 6/01/46

 

$

180

 

$

111,834

 

California — 14.0%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB, San Francisco
Bay Area, Series F-1, 5.63%, 4/01/44

 

 

720

 

 

776,563

 

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

 

 

700

 

 

750,365

 

California Health Facilities Financing Authority,
Refunding RB, Catholic Healthcare West,
Series A, 6.00%, 7/01/39

 

 

120

 

 

126,814

 

Cucamonga Valley Water District, RB,
Refunding Series A (AGM), 5.00%, 9/01/26

 

 

785

 

 

847,164

 

Grossmont Union High School District, GO,
Election of 2008, Series B, 4.75%, 8/01/45

 

 

950

 

 

929,584

 

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

 

 

1,660

 

 

1,753,425

 

San Diego Regional Building Authority California, RB,
County Operations Center & Annex,
Series A, 5.38%, 2/01/36

 

 

850

 

 

899,725

 

State of California, GO, Various Purpose, 6.00%, 3/01/33

 

 

685

 

 

772,899

 

 

 

 

 

 

 

6,856,539

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, Refunding RB,
Catholic Healthcare, Series A, 5.50%, 7/01/34

 

 

580

 

 

603,902

 

Delaware — 1.3%

 

 

 

 

 

 

 

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

 

 

655

 

 

649,354

 

District of Columbia — 1.4%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.25%, 10/01/29

 

 

640

 

 

697,965

 

Florida — 0.2%

 

 

 

 

 

 

 

County of St. John’s Florida, RB, CAB (AMBAC),
5.40%, 6/01/32 (a)

 

 

240

 

 

79,022

 

Georgia — 2.4%

 

 

 

 

 

 

 

Municipal Electric Authority of Georgia, Refunding RB,
Project One, Sub-Series D, 6.00%, 1/01/23

 

 

1,000

 

 

1,150,060

 


 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois — 12.0%

 

 

 

 

 

 

 

City of Chicago Illinois, Refunding RB, General,
Third Lien, Series C, 6.50%, 1/01/41

 

$

1,590

 

$

1,790,022

 

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

 

 

900

 

 

951,750

 

Illinois Finance Authority, RB, Navistar International,
Recovery Zone, 6.50%, 10/15/40

 

 

270

 

 

270,526

 

Illinois Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Carle Foundation, Series A 6.00%, 8/15/41

 

 

750

 

 

763,470

 

Northwestern Memorial Hospital 6.00%, 8/15/39

 

 

1,000

 

 

1,077,870

 

OSF Healthcare System 6.00%, 5/15/39

 

 

520

 

 

526,074

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

365

 

 

384,100

 

6.00%, 6/01/28

 

 

105

 

 

107,321

 

 

 

 

 

 

 

5,871,133

 

Indiana — 3.1%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding RB, 5.25%,
10/01/38

 

 

220

 

 

228,419

 

Indiana Municipal Power Agency, RB, Series B, 6.00%,
1/01/39

 

 

1,190

 

 

1,285,700

 

 

 

 

 

 

 

1,514,119

 

Iowa — 0.2%

 

 

 

 

 

 

 

Iowa Tobacco Settlement Authority, RB, Asset-Backed,
Series C, 5.63%, 6/01/46

 

 

140

 

 

98,710

 

Kansas — 2.0%

 

 

 

 

 

 

 

Kansas Development Finance Authority, Refunding RB,
Adventist Health, 5.50%, 11/15/29

 

 

900

 

 

976,536

 

Kentucky — 3.9%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority,
Refunding RB, Owensboro Medical Health System,
Series A, 6.38%, 6/01/40

 

 

350

 

 

354,753

 

Louisville & Jefferson County Metropolitan Government,
Refunding RB, Jewish Hospital & St. Mary’s HealthCare,
6.13%, 2/01/37

 

 

675

 

 

681,541

 

Louisville & Jefferson County Metropolitan Government
Parking Authority, RB, Series A, 5.75%, 12/01/34

 

 

800

 

 

879,208

 

 

 

 

 

 

 

1,915,502

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

380

 

 

387,839

 

Maine — 1.5%

 

 

 

 

 

 

 

Maine Health & Higher Educational Facilities Authority,
RB, Maine General Medical Center, 7.50%, 7/01/32

 

 

675

 

 

727,461

 


 

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

American Capital Access 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

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDB

Industrial Development Board

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

Q-SBLF

Qualified School Bond Loan Fund

Radian

Radian Group, Inc.

RB

Revenue Bonds

SAN

State Aid Notes

S/F

Single-Family

VRDN

Variable Rate Demand Notes


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

13




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Investment Trust (BIE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Maryland — 1.1%

 

 

 

 

 

 

 

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

 

$

525

 

$

515,996

 

Massachusetts — 3.4%

 

 

 

 

 

 

 

Massachusetts Development Finance Agency,
Refunding RB, Trustees of Deerfield Academy, 5.00%,
10/01/40

 

 

375

 

 

407,482

 

Massachusetts Health & Educational Facilities Authority,
Refunding RB, Partners Healthcare System,
Series B, 5.25%, 7/01/29

 

 

1,000

 

 

1,000,570

 

Massachusetts State College Building Authority, RB,
Series A, 5.50%, 5/01/39

 

 

250

 

 

269,233

 

 

 

 

 

 

 

1,677,285

 

Michigan — 4.3%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority, Refunding RB,
Bronson Methodist Hospital, 5.50%, 5/15/36

 

 

445

 

 

441,987

 

Lansing Board of Water & Light, RB, Series A, 5.50%,
7/01/41

 

 

485

 

 

525,973

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I, 6.00%, 10/15/38

 

 

500

 

 

534,560

 

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

 

 

530

 

 

615,076

 

 

 

 

 

 

 

2,117,596

 

Multi-State — 6.8%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%, 11/15/52 (b)(c)

 

 

3,000

 

 

3,301,020

 

Nevada — 8.2%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited Tax,
Performing Arts Center, 6.00%, 4/01/34

 

 

1,000

 

 

1,102,850

 

County of Clark Nevada, RB:
Motor Vehicle Fuel Tax 5.00%, 7/01/28

 

 

1,130

 

 

1,189,755

 

Series B 5.75%, 7/01/42

 

 

1,630

 

 

1,727,164

 

 

 

 

 

 

 

4,019,769

 

New Jersey — 4.5%

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB, School Facilities
Construction, Series AA, 5.50%, 12/15/29

 

 

750

 

 

807,952

 

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

 

 

620

 

 

644,726

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation Systems, Transportation System,
Series A, 5.88%, 12/15/38

 

 

695

 

 

758,732

 

 

 

 

 

 

 

2,211,410

 

New York — 5.4%

 

 

 

 

 

 

 

City of Troy New York, Refunding RB, Rensselaer
Polytechnic, Series A, 5.13%, 9/01/40

 

 

350

 

 

348,170

 

New York City Transitional Finance Authority, RB,
Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

1,000

 

 

1,058,130

 

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

 

 

325

 

 

335,273

 

Triborough Bridge & Tunnel Authority, RB, General,
Series A-2, 5.38%, 11/15/38

 

 

840

 

 

903,470

 

 

 

 

 

 

 

2,645,043

 

North Carolina — 2.6%

 

 

 

 

 

 

 

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

 

 

1,450

 

 

1,261,239

 

Ohio — 0.3%

 

 

 

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, RB,
Senior Series A-2, 6.50%, 6/01/47

 

 

160

 

 

123,251

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania — 7.4%

 

 

 

 

 

 

 

Pennsylvania Economic Development Financing Authority,
RB, American Water Co. Project, 6.20%, 4/01/39

 

$

300

 

$

325,824

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

Sub-Series A 5.63%, 12/01/31

 

 

1,070

 

 

1,147,618

 

Sub-Series A 6.00%, 12/01/41

 

 

1,500

 

 

1,582,530

 

Sub-Series C (AGC), 6.25%, 6/01/38

 

 

500

 

 

562,800

 

 

 

 

 

 

 

3,618,772

 

Texas — 11.2%

 

 

 

 

 

 

 

Central Texas Regional Mobility Authority, RB,
Senior Lien, 6.00%, 1/01/41

 

 

890

 

 

849,719

 

Conroe ISD Texas, GO, School Building, Series A,
5.75%, 2/15/35

 

 

470

 

 

538,211

 

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

 

 

250

 

 

280,495

 

Lower Colorado River Authority, RB, 5.75%, 5/15/28

 

 

450

 

 

481,320

 

North Texas Tollway Authority, RB, Special Projects System,
Series A, 5.50%, 9/01/41

 

 

900

 

 

968,085

 

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

 

 

250

 

 

264,360

 

Tarrant County Cultural Education Facilities Finance
Corp., RB, Scott & White Healthcare, 6.00%, 8/15/45

 

 

1,020

 

 

1,070,357

 

Texas Private Activity Bond Surface Transportation Corp.,
RB, Senior Lien, NTE Mobility Partners LLC,
North Tarrant Express Managed Lanes Project,
6.88%, 12/31/39

 

 

1,000

 

 

1,030,650

 

 

 

 

 

 

 

5,483,197

 

Virginia — 1.7%

 

 

 

 

 

 

 

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

 

 

750

 

 

853,283

 

Total Municipal Bonds — 101.1%

 

 

 

 

 

49,467,837

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

 

 

 

 

 

 

California — 20.0%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB,
University of Southern California, Series A,
5.25%, 10/01/39

 

 

1,005

 

 

1,076,667

 

Grossmont Union High School District, GO,
Election of 2008, Series B, 5.00%, 8/01/40

 

 

1,300

 

 

1,324,297

 

Los Angeles Community College District California, GO,
Election of 2008:

 

 

 

 

 

 

 

Series A 6.00%, 8/01/33

 

 

2,079

 

 

2,357,267

 

Series C 5.25%, 8/01/39

 

 

1,410

 

 

1,514,777

 

Los Angeles Unified School District California, GO,
Series I, 5.00%, 1/01/34

 

 

200

 

 

205,200

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B, 5.50%, 8/01/39

 

 

2,234

 

 

2,393,894

 

University of California, RB, Series O, 5.75%, 5/15/34

 

 

810

 

 

895,795

 

 

 

 

 

 

 

9,767,897

 

District of Columbia — 3.7%

 

 

 

 

 

 

 

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

 

 

735

 

 

832,189

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.50%, 10/01/39

 

 

899

 

 

978,413

 

 

 

 

 

 

 

1,810,602

 

Florida — 7.2%

 

 

 

 

 

 

 

Jacksonville Economic Development Commission, RB,
Mayo Clinic Jacksonville, Series B, 5.50%, 11/15/36

 

 

3,510

 

 

3,539,414

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

14

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Investment Trust (BIE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

Illinois — 7.8%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, University of Chicago,
Series B, 6.25%, 7/01/38

 

$

1,500

 

$

1,721,190

 

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

 

 

2,000

 

 

2,086,273

 

 

 

 

 

 

 

3,807,463

 

Nevada — 3.4%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,680,585

 

New Hampshire — 1.3%

 

 

 

 

 

 

 

New Hampshire Health & Education Facilities Authority,
Refunding RB, Dartmouth College, 5.25%, 6/01/39

 

 

585

 

 

635,018

 

New Jersey — 2.1%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGM), 5.00%,
12/15/32

 

 

1,000

 

 

1,025,950

 

New York — 6.1%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

750

 

 

835,131

 

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

 

 

990

 

 

1,082,657

 

New York State Dormitory Authority, ERB, Series B,
5.25%, 3/15/38

 

 

1,000

 

 

1,073,240

 

 

 

 

 

 

 

2,991,028

 

Ohio — 1.7%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB, Catholic Healthcare,
Series A, 5.25%, 6/01/38

 

 

840

 

 

840,512

 

South Carolina — 2.2%

 

 

 

 

 

 

 

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

 

 

1,005

 

 

1,088,646

 

Texas — 5.4%

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding RB, Series A,
5.25%, 2/01/31

 

 

1,050

 

 

1,148,041

 

Harris County Cultural Education Facilities Finance Corp.,
RB, Hospital, Texas Children’s Hospital Project,
5.50%, 10/01/39

 

 

1,450

 

 

1,507,435

 

 

 

 

 

 

 

2,655,476

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

460

 

 

481,989

 

Wisconsin — 1.9%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority,
Refunding RB, Froedtert & Community Health, Inc.,
5.25%, 4/01/39

 

 

890

 

 

901,978

 

Total Municipal Bonds Transferred to Tender
Option Bond Trusts — 63.8%

 

 

 

 

 

31,226,558

 

Total Long-Term Investments
(Cost — $76,806,231) — 164.9%

 

 

 

 

 

80,694,395

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

FFI Institutional Tax-Exempt Fund, 0.01% (e)(f)

 

 

2,198,525

 

$

2,198,525

 

Total Short-Term Securities
(Cost — $2,198,525) — 4.5%

 

 

 

 

 

2,198,525

 

Total Investments (Cost — $79,004,756*) — 169.4%

 

 

 

 

 

82,892,920

 

Other Assets Less Liabilities — 0.4%

 

 

 

 

 

183,871

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (33.3)%

 

 

 

 

 

(16,284,547

)

AMPS, at Redemption Value — (36.5)%

 

 

 

 

 

(17,851,044

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

48,941,200

 

 

 

 

 

 

 

 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

62,879,677

 

Gross unrealized appreciation

 

$

4,115,394

 

Gross unrealized depreciation

 

 

(377,983

)

Net unrealized appreciation

 

$

3,737,411

 


 

 

(a)

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

 

 

(b)

Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

 

(c)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(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)

Investments in companies considered to be an affiliate of the Trust during the year, 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
August 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

1,698,254

 

 

500,271

 

 

2,198,525

 

$

1,362

 


 

 

(f)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of August 31,2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

 

 

10-Year U.S.

 

Chicago

 

December

 

 

 

 

 

14

 

Treasury Note

 

Board of Trade

 

2011

 

$     1,811,442

 

$       5,005

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

15




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Investment Trust (BIE)


 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized 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 thecircumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)


 

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments 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 August 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

80,694,395

 

 

 

$

80,694,395

 

Short-Term Securities

 

$

2,198,525

 

 

 

 

 

 

2,198,525

 

Total

 

$

2,198,525

 

$

80,694,395

 

 

 

$

82,892,920

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

5,005

 

 

 

 

 

$

5,005

 


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

16

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

 

Schedule of Investments August 31, 2011

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 4.3%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.00%, 6/01/34

 

$

1,150

 

$

1,253,868

 

6.00%, 6/01/39

 

 

450

 

 

487,170

 

Birmingham Water Works Board, RB, 4.75%, 1/01/36

 

 

2,100

 

 

2,107,728

 

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

 

 

2,750

 

 

2,640,220

 

 

 

 

 

 

 

6,488,986

 

Arizona — 6.3%

 

 

 

 

 

 

 

Arizona Sports & Tourism Authority, RB, Multipurpose
Stadium Facilities, Series A (NPFGC), 5.00%, 7/01/31

 

 

2,000

 

 

1,845,960

 

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

 

 

200

 

 

223,866

 

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

 

 

200

 

 

216,400

 

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

 

 

900

 

 

910,602

 

Salt Verde Financial Corp., RB, Senior:

 

 

 

 

 

 

 

5.00%, 12/01/32

 

 

1,500

 

 

1,321,035

 

5.00%, 12/01/37

 

 

2,065

 

 

1,781,393

 

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

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

245

 

 

238,035

 

7.00%, 5/01/20

 

 

300

 

 

295,911

 

7.25%, 5/01/27

 

 

600

 

 

540,390

 

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

 

 

750

 

 

771,052

 

University Medical Center Corp. Arizona, RB:

 

 

 

 

 

 

 

6.00%, 7/01/39

 

 

900

 

 

899,910

 

6.50%, 7/01/39

 

 

500

 

 

516,335

 

 

 

 

 

 

 

9,560,889

 

California — 17.4%

 

 

 

 

 

 

 

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

 

 

4,500

 

 

40,320

 

California Educational Facilities Authority, RB,
Santa Clara University, 5.00%, 2/01/40

 

 

1,000

 

 

1,026,210

 

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

 

 

1,900

 

 

2,051,525

 

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

 

 

2,285

 

 

2,124,616

 

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

 

 

1,000

 

 

661,410

 

City of San Jose California, RB, San Jose Airport,
Series A1, AMT, 5.75%, 3/01/34

 

 

2,000

 

 

2,050,000

 

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

 

 

 

 

 

 

 

5.63%, 8/01/31

 

 

250

 

 

272,193

 

5.75%, 8/01/33

 

 

500

 

 

547,140

 

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

 

 

1,650

 

 

907,632

 

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

 

 

8,000

 

 

1,329,440

 

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

 

 

 

 

 

 

 

6.09%, 8/01/30 (a)

 

 

1,500

 

 

443,205

 

6.40%, 8/01/39 (b)

 

 

2,000

 

 

855,060

 

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

 

 

2,800

 

 

1,803,200

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

5.75%, 4/01/31

 

 

2,000

 

 

2,171,080

 

6.00%, 3/01/33

 

 

2,050

 

 

2,313,056

 

6.50%, 4/01/33

 

 

1,950

 

 

2,249,559

 

5.50%, 3/01/40

 

 

2,350

 

 

2,443,765

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

State of California, GO, Refunding:

 

 

 

 

 

 

 

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

 

$

500

 

$

489,545

 

Veterans AMT, 5.05%, 12/01/36

 

 

1,000

 

 

962,650

 

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

 

 

1,585

 

 

1,545,961

 

 

 

 

 

 

 

26,287,567

 

Colorado — 2.6%

 

 

 

 

 

 

 

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

 

 

1,070

 

 

1,170,912

 

Park Creek Metropolitan District, RB, Refunding,
Limited Property Tax (AGM), 6.00%, 12/01/38

 

 

1,000

 

 

1,065,620

 

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

 

 

 

 

 

 

 

4.75%, 12/01/35

 

 

1,000

 

 

942,250

 

5.00%, 12/01/40

 

 

800

 

 

732,328

 

 

 

 

 

 

 

3,911,110

 

Connecticut — 0.7%

 

 

 

 

 

 

 

Connecticut State Health & Educational Facility
Authority, RB:

 

 

 

 

 

 

 

Sacred Heart University, Series G, 5.38%, 7/01/31

 

 

400

 

 

405,920

 

Western Connecticut Health, Series M, 5.38%,
7/01/41

 

 

700

 

 

714,686

 

 

 

 

 

 

 

1,120,606

 

Delaware — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,189,656

 

District of Columbia — 5.9%

 

 

 

 

 

 

 

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

 

 

595

 

 

474,447

 

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

 

 

6,000

 

 

6,050,340

 

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

 

 

2,500

 

 

2,352,400

 

 

 

 

 

 

 

8,877,187

 

Florida — 7.4%

 

 

 

 

 

 

 

County of Lee Florida, Refunding RB, Lee Airport,
Series A, AMT (AGM), 5.00%, 10/01/28

 

 

2,000

 

 

1,970,560

 

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

 

 

1,180

 

 

1,195,045

 

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

 

 

7,255

 

 

7,263,198

 

Stevens Plantation Community Development District,
Special Assessment Bonds, Series A, 7.10%, 5/01/35

 

 

925

 

 

738,076

 

 

 

 

 

 

 

11,166,879

 

Idaho — 1.3%

 

 

 

 

 

 

 

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

 

 

1,750

 

 

1,925,017

 

Illinois — 7.4%

 

 

 

 

 

 

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

425

 

 

84,987

 

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

 

 

1,285

 

 

1,287,506

 

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

 

 

1,000

 

 

1,038,070

 

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

 

 

650

 

 

689,754

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

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

 

 

210

 

 

166,939

 

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

 

 

1,040

 

 

1,052,147

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

17




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

6.25%, 6/01/24

 

$

1,000

 

$

1,045,730

 

6.00%, 6/01/28

 

 

1,150

 

 

1,175,415

 

Village of Bolingbrook Illinois, GO, Refunding,
Series B (NPFGC), 6.24%, 1/01/36 (a)

 

 

23,065

 

 

4,694,881

 

 

 

 

 

 

 

11,235,429

 

Indiana — 3.2%

 

 

 

 

 

 

 

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)

 

 

1,815

 

 

1,820,391

 

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

 

 

1,000

 

 

999,990

 

Indiana Finance Authority, Refunding RB, First Lien,
CWA Authority, Series A, 5.25%, 10/01/38

 

 

2,000

 

 

2,076,540

 

 

 

 

 

 

 

4,896,921

 

Iowa — 1.6%

 

 

 

 

 

 

 

Iowa Higher Education Loan Authority, RB, Private
College Facility, Buena Vista University Project,
5.00%, 4/01/31

 

 

875

 

 

895,711

 

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

 

 

 

 

 

 

 

5.75%, 9/01/30

 

 

500

 

 

507,010

 

6.00%, 9/01/39

 

 

1,000

 

 

984,410

 

 

 

 

 

 

 

2,387,131

 

Kansas — 2.9%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

4,419,800

 

Kentucky — 0.3%

 

 

 

 

 

 

 

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

 

 

500

 

 

523,925

 

Louisiana — 2.3%

 

 

 

 

 

 

 

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

 

 

1,050

 

 

1,071,661

 

Louisiana Public Facilities Authority, RB, Belle Chasse
Educational Foundation Project, 6.50%, 5/01/31

 

 

400

 

 

412,396

 

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

 

 

2,000

 

 

2,042,840

 

 

 

 

 

 

 

3,526,897

 

Maryland — 2.1%

 

 

 

 

 

 

 

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

 

 

500

 

 

491,425

 

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

 

 

2,900

 

 

2,641,001

 

 

 

 

 

 

 

3,132,426

 

Michigan — 2.4%

 

 

 

 

 

 

 

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

 

 

1,250

 

 

1,355,037

 

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

 

 

1,950

 

 

2,263,014

 

 

 

 

 

 

 

3,618,051

 

Minnesota — 3.9%

 

 

 

 

 

 

 

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

 

 

5,350

 

 

5,891,206

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Mississippi — 3.3%

 

 

 

 

 

 

 

Mississippi Development Bank, RB, Hinds Community
College District, CAB (AGM), 5.00%, 4/01/36

 

$

845

 

$

870,925

 

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

 

 

1,750

 

 

1,866,725

 

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

 

 

2,100

 

 

2,248,512

 

 

 

 

 

 

 

4,986,162

 

Montana — 1.5%

 

 

 

 

 

 

 

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

 

 

2,350

 

 

2,328,168

 

Multi-State — 7.6%

 

 

 

 

 

 

 

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

 

 

10,500

 

 

11,553,570

 

Nebraska — 1.7%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

1,200

 

 

1,308,372

 

6.05%, 9/01/41

 

 

1,110

 

 

1,198,900

 

 

 

 

 

 

 

2,507,272

 

Nevada — 1.1%

 

 

 

 

 

 

 

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

 

 

1,305

 

 

1,146,260

 

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

 

 

575

 

 

582,406

 

 

 

 

 

 

 

1,728,666

 

New Jersey — 13.7%

 

 

 

 

 

 

 

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

 

 

915

 

 

82,350

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.50%, 6/15/24

 

 

3,710

 

 

3,603,597

 

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

 

 

1,500

 

 

1,371,510

 

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

 

 

3,000

 

 

3,000,450

 

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

 

 

1,500

 

 

1,480,560

 

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

 

 

7,500

 

 

7,727,400

 

New Jersey Educational Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,025,520

 

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

 

 

630

 

 

752,384

 

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

 

 

800

 

 

926,552

 

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

 

 

700

 

 

767,949

 

 

 

 

 

 

 

20,738,272

 

New Mexico — 0.3%

 

 

 

 

 

 

 

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

 

 

500

 

 

482,720

 

New York — 7.1%

 

 

 

 

 

 

 

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

 

 

455

 

 

113,773

 

City of New York, New York, GO, Series A-1,
5.00%, 8/01/35

 

 

200

 

 

211,862

 

Hudson Yards Infrastructure Corp., RB, Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

1,000

 

 

953,300

 

(FGIC), 5.00%, 2/15/47

 

 

680

 

 

648,244

 

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

 

 

3,000

 

 

3,009,300

 


 

 

 

See Notes to Financial Statements.

 

 

18

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

New York City Industrial Development Agency, RB:

 

 

 

 

 

 

 

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

 

$

3,165

 

$

3,160,221

 

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

 

 

700

 

 

744,751

 

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

 

 

800

 

 

825,288

 

New York State Dormitory Authority, RB, Rochester
Institute of Technology, Series A, 6.00%, 7/01/33

 

 

1,000

 

 

1,098,420

 

 

 

 

 

 

 

10,765,159

 

North Carolina — 7.9%

 

 

 

 

 

 

 

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

 

 

225

 

 

239,044

 

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

 

 

2,245,916

 

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

 

 

2,475

 

 

2,421,466

 

North Carolina Medical Care Commission, RB, Series A:

 

 

 

 

 

 

 

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

 

 

4,720

 

 

4,105,550

 

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

 

 

1,000

 

 

1,032,740

 

North Carolina Medical Care Commission, Refunding RB:

 

 

 

 

 

 

 

Caromont Health (AGC), 4.63%, 2/15/35

 

 

1,000

 

 

982,130

 

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

 

 

800

 

 

876,400

 

 

 

 

 

 

 

11,903,246

 

Ohio — 0.3%

 

 

 

 

 

 

 

County of Hancock Ohio, Refunding RB, Blanchard Valley
Regional Health Center, 5.75%, 12/01/26

 

 

395

 

 

406,542

 

Oklahoma — 1.2%

 

 

 

 

 

 

 

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

 

 

1,725

 

 

1,765,503

 

Oregon — 1.8%

 

 

 

 

 

 

 

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

 

 

510

 

 

512,351

 

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

 

 

750

 

 

806,138

 

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

 

 

 

 

 

 

 

5.00%, 10/01/34

 

 

850

 

 

862,359

 

5.25%, 10/01/40

 

 

500

 

 

510,110

 

 

 

 

 

 

 

2,690,958

 

Pennsylvania — 3.1%

 

 

 

 

 

 

 

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

 

 

2,600

 

 

2,665,728

 

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

 

 

2,000

 

 

1,996,540

 

 

 

 

 

 

 

4,662,268

 

Puerto Rico — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,034,620

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.74%, 8/01/41 (a)

 

 

5,000

 

 

766,050

 

 

 

 

 

 

 

1,800,670

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Rhode Island — 1.4%

 

 

 

 

 

 

 

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

 

$

1,000

 

$

1,136,490

 

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

 

 

900

 

 

970,461

 

 

 

 

 

 

 

2,106,951

 

Tennessee — 0.2%

 

 

 

 

 

 

 

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

 

 

275

 

 

289,930

 

Texas — 15.0%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

7.13%, 12/01/31

 

 

500

 

 

560,990

 

7.25%, 12/01/35

 

 

1,750

 

 

1,951,898

 

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)

 

 

2,400

 

 

2,422,008

 

Harris County-Houston Sports Authority, Refunding RB,
CAB, Senior Lien, Series G (NPFGC), 6.18%,
11/15/41 (a)

 

 

11,690

 

 

1,340,492

 

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

 

 

1,750

 

 

1,638,525

 

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

 

 

15

 

 

16,172

 

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

 

 

1,500

 

 

1,608,915

 

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

 

 

2,000

 

 

2,076,360

 

Texas State Turnpike Authority, RB (AMBAC):

 

 

 

 

 

 

 

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

 

 

50,000

 

 

10,456,500

 

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

 

 

750

 

 

719,235

 

 

 

 

 

 

 

22,791,095

 

Vermont — 1.1%

 

 

 

 

 

 

 

Vermont Educational & Health Buildings Financing
Agency, RB, Hospital, Fletcher Allen Health, Series A,
4.75%, 12/01/36

 

 

2,000

 

 

1,742,320

 

Virginia — 0.5%

 

 

 

 

 

 

 

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

 

 

860

 

 

800,084

 

Washington — 1.0%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,504,608

 

Wyoming — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,291,332

 

Total Municipal Bonds — 144.6%

 

 

 

 

 

219,005,179

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

19




 

 

 

 

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

 

Colorado — 2.5%

 

 

 

 

 

 

 

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

 

$

3,750

 

$

3,783,600

 

Massachusetts — 1.0%

 

 

 

 

 

 

 

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

 

 

1,450

 

 

1,501,649

 

New York — 4.1%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

450

 

 

501,079

 

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

 

 

405

 

 

442,905

 

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

 

 

3,000

 

 

3,122,940

 

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

 

 

2,199

 

 

2,279,035

 

 

 

 

 

 

 

6,345,959

 

Ohio — 2.2%

 

 

 

 

 

 

 

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

 

 

1,260

 

 

1,267,125

 

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

 

 

2,000

 

 

2,062,840

 

 

 

 

 

 

 

3,329,965

 

Total Municipal Bonds Transferred to Tender
Option Bond Trusts — 9.8%

 

 

 

 

 

14,961,173

 

Total Long-Term Investments
(Cost — $232,083,034) — 154.4%

 

 

 

 

 

233,966,352

 


 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (j)(k)

 

 

2,247,948

 

 

2,247,948

 

Total Short-Term Securities
(Cost — $2,247,948) — 1.5%

 

 

 

 

 

2,247,948

 

Total Investments (Cost — $234,330,982*) — 155.9%

 

 

 

 

 

236,214,300

 

Other Assets Less Liabilities — 1.7%

 

 

 

 

 

2,563,206

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (4.9)%

 

 

 

 

 

(7,403,992

)

AMPS, at Redemption Value — (52.7)%

 

 

 

 

 

(79,902,319

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

151,471,195

 


 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

226,098,791

 

Gross unrealized appreciation

 

$

10,055,163

 

Gross unrealized depreciation

 

 

(7,338,802

)

Net unrealized appreciation

 

$

2,716,361

 


 

 

(a)

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

 

(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 is as of report date.

 

(c)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

(d)

Non-income producing security.

 

(e)

Variable rate security. Rate shown is as of report date.

 

(f)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(g)

Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

(h)

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.

 

(i)

Securities represent bonds transferred to a TOB trust 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.

 

(j)

Investments in companies considered to be an affiliate of the Trust during the year, 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
August 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

4,831,353

 

 

(2,583,405

)

 

2,247,948

 

$

2,522

 


 

 

(k)

Represents the current yield as of report date.


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs are categorized 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)

 

 

 

 

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following table summarizes the inputs used as of August 31, 2011 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

233,966,352

 

 

 

$

233,966,352

 

Short-Term
Securities

 

$

2,247,948

 

 

 

 

 

 

2,247,948

 

Total

 

$

2,247,948

 

$

233,966,352

 

 

 

$

236,214,300

 


 

 

 

 

1

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

20

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Schedule of Investments August 31, 2011

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 1.7%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.13%, 6/01/34

 

$

1,000

 

$

1,101,810

 

6.00%, 6/01/39

 

 

1,000

 

 

1,082,600

 

 

 

 

 

 

 

2,184,410

 

Arizona — 0.4%

 

 

 

 

 

 

 

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

 

 

465

 

 

488,073

 

California — 14.3%

 

 

 

 

 

 

 

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

 

 

2,155

 

 

2,310,052

 

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

 

 

1,120

 

 

1,206,733

 

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

 

 

1,400

 

 

1,448,174

 

Cucamonga Valley Water District, Refunding RB, Series A
(AGM), 5.00%, 9/01/26

 

 

2,000

 

 

2,158,380

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,038,310

 

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

 

 

1,000

 

 

1,074,310

 

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

 

 

1,175

 

 

1,241,129

 

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

 

 

3,210

 

 

3,289,769

 

Redondo Beach Unified School District, GO, Election of
2008, Series E, 5.50%, 8/01/34

 

 

1,000

 

 

1,080,080

 

San Bernardino Community College District, GO, Election
of 2002, Series A, 6.25%, 8/01/33

 

 

925

 

 

1,047,248

 

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

 

 

1,125

 

 

1,205,381

 

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

 

 

1,000

 

 

1,036,960

 

 

 

 

 

 

 

18,136,526

 

Colorado — 1.5%

 

 

 

 

 

 

 

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

 

 

1,425

 

 

1,600,845

 

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

 

 

300

 

 

317,853

 

 

 

 

 

 

 

1,918,698

 

Florida — 11.7%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB, Series A, 5.25%,
10/01/31

 

 

4,525

 

 

4,850,574

 

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

 

 

1,100

 

 

1,151,744

 

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

 

 

10,000

 

 

8,820,300

 

 

 

 

 

 

 

14,822,618

 

Georgia — 2.3%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,850,550

 

Illinois — 14.7%

 

 

 

 

 

 

 

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

 

 

745

 

 

789,849

 

Chicago Transit Authority, RB, Federal Transit Administration
Section 5309, Series A (AGC), 6.00%, 6/01/26

 

 

1,300

 

 

1,471,743

 

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

 

 

 

 

 

 

 

5.25%, 1/01/30

 

 

1,000

 

 

1,055,130

 

5.25%, 1/01/35

 

 

435

 

 

451,613

 

City of Chicago Illinois, RB, Third Lien, O’Hare International
Airport, Series A, 5.75%, 1/01/39

 

 

825

 

 

880,786

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

City of Chicago Illinois, Refunding RB:

 

 

 

 

 

 

 

General, Third Lien, Series C, 6.50%, 1/01/41

 

$

3,740

 

$

4,210,492

 

Second Lien (NPFGC), 5.50%, 1/01/30

 

 

1,000

 

 

1,085,460

 

Illinois Finance Authority, Refunding RB, Carle Foundation,
Series A, 6.00%, 8/15/41

 

 

1,885

 

 

1,918,855

 

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

 

 

 

 

 

 

 

5.25%, 2/01/28

 

 

1,560

 

 

1,637,797

 

5.25%, 2/01/35

 

 

1,000

 

 

1,026,470

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

915

 

 

962,882

 

6.00%, 6/01/28

 

 

260

 

 

265,746

 

State of Illinois, RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,036,200

 

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

 

 

1,750

 

 

1,867,285

 

 

 

 

 

 

 

18,660,308

 

Indiana — 2.5%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding RB, First Lien, CWA
Authority, Series A, 5.25%, 10/01/38

 

 

550

 

 

571,049

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

2,415

 

 

2,572,023

 

 

 

 

 

 

 

3,143,072

 

Iowa — 0.3%

 

 

 

 

 

 

 

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

 

 

410

 

 

430,611

 

Louisiana — 4.1%

 

 

 

 

 

 

 

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

 

 

1,750

 

 

1,843,205

 

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

 

 

2,510

 

 

2,787,807

 

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

 

 

 

 

 

 

 

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

 

 

375

 

 

433,057

 

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

 

 

150

 

 

173,223

 

 

 

 

 

 

 

5,237,292

 

Michigan — 16.1%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,883,804

 

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

 

 

200

 

 

233,404

 

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

 

 

1,790

 

 

1,853,957

 

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

 

 

1,500

 

 

1,773,525

 

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

 

 

4,750

 

 

4,924,610

 

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

 

 

2,330

 

 

2,421,149

 

City of Detroit Michigan, Refunding RB, Second Lien:

 

 

 

 

 

 

 

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

 

 

1,800

 

 

2,108,430

 

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

 

 

2,300

 

 

2,454,813

 

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

 

 

365

 

 

391,130

 

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

 

 

 

 

 

 

 

5.25%, 10/15/24

 

 

565

 

 

625,557

 

5.25%, 10/15/25

 

 

300

 

 

329,571

 

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

 

 

1,205

 

 

1,398,427

 

 

 

 

 

 

 

20,398,377

 

Minnesota — 4.9%

 

 

 

 

 

 

 

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

 

 

5,680

 

 

6,254,589

 

Nevada — 1.7%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Series A,
5.25%, 7/01/34

 

 

2,000

 

 

2,122,380

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

21




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 4.0%

 

 

 

 

 

 

 

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

 

$

1,300

 

$

1,356,160

 

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

 

 

1,575

 

 

1,637,811

 

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

 

 

2,000

 

 

2,119,140

 

 

 

 

 

 

 

5,113,111

 

New York — 2.9%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

 

900

 

 

952,317

 

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

 

 

2,465

 

 

2,702,232

 

 

 

 

 

 

 

3,654,549

 

Ohio — 0.1%

 

 

 

 

 

 

 

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

 

 

75

 

 

75,415

 

Puerto Rico — 2.1%

 

 

 

 

 

 

 

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

 

 

1,170

 

 

1,237,813

 

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

 

 

1,350

 

 

1,459,985

 

 

 

 

 

 

 

2,697,798

 

Texas — 20.4%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,107,420

 

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

 

 

 

 

 

 

 

5.00%, 11/15/28

 

 

705

 

 

761,626

 

5.00%, 11/15/29

 

 

895

 

 

958,321

 

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

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

2,600

 

 

2,952,794

 

6.00%, 11/15/36

 

 

2,215

 

 

2,513,981

 

5.38%, 11/15/38

 

 

1,000

 

 

1,078,650

 

Clifton Higher Education Finance Corp., Refunding RB,
Baylor University, 5.25%, 3/01/32

 

 

1,270

 

 

1,370,482

 

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

 

 

2,380

 

 

2,533,105

 

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

 

 

 

 

 

 

 

5.38%, 8/15/39

 

 

1,415

 

 

1,524,450

 

5.50%, 8/15/41

 

 

3,365

 

 

3,658,193

 

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

 

 

500

 

 

560,990

 

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

 

 

500

 

 

535,605

 

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

 

 

1,500

 

 

1,586,160

 

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

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,087,780

 

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

 

 

1,500

 

 

1,576,080

 

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

 

 

1,000

 

 

1,073,930

 

 

 

 

 

 

 

25,879,567

 

Utah — 0.8%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,005,190

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Virginia — 0.9%

 

 

 

 

 

 

 

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

 

$

1,000

 

$

1,137,710

 

Washington — 1.6%

 

 

 

 

 

 

 

City of Seattle Washington, Refunding RB, Series A,
5.25%, 2/01/36

 

 

1,025

 

 

1,114,605

 

State of Washington, GO, Various Purpose, Series B,
5.25%, 2/01/36

 

 

795

 

 

871,002

 

 

 

 

 

 

 

1,985,607

 

Total Municipal Bonds — 109.0%

 

 

 

 

 

138,196,451

 


 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (a)

 

 

 

 

 

 

 

Alabama — 1.2%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,542,810

 

California — 11.0%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,580,900

 

San Marcos Unified School District, GO, Election of 2010,
Series A, 5.25%, 8/01/31

 

 

10,680

 

 

11,349,850

 

 

 

 

 

 

 

13,930,750

 

District of Columbia — 0.7%

 

 

 

 

 

 

 

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

 

 

760

 

 

899,181

 

Florida — 10.8%

 

 

 

 

 

 

 

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

 

 

3,930

 

 

4,012,412

 

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

 

 

9,500

 

 

9,636,277

 

 

 

 

 

 

 

13,648,689

 

Illinois — 4.9%

 

 

 

 

 

 

 

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

 

 

2,999

 

 

3,071,313

 

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

 

 

2,999

 

 

3,129,409

 

 

 

 

 

 

 

6,200,722

 

Kentucky — 0.8%

 

 

 

 

 

 

 

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

 

 

898

 

 

972,914

 

Nevada — 1.8%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,240,780

 

New Jersey — 0.8%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,093,560

 

Texas — 1.9%

 

 

 

 

 

 

 

North Texas Tollway Authority, RB, Special Projects,
System, Series A, 5.50%, 9/01/41

 

 

2,310

 

 

2,484,752

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 33.9%

 

 

 

 

 

43,014,158

 

Total Long-Term Investments
(Cost — $174,150,461) — 142.9%

 

 

 

 

 

181,210,609

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

22

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

FFI Institutional Tax-Exempt Fund, 0.01% (b)(c)

 

 

9,230,241

 

$

9,230,241

 

Total Short-Term Securities
(Cost — $9,230,241) — 7.3%

 

 

 

 

 

9,230,241

 

Total Investments (Cost — $183,380,702*) — 150.2%

 

 

 

 

 

190,440,850

 

Other Assets Less Liabilities — 0.7%

 

 

 

 

 

898,545

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (17.6)%

 

 

 

 

 

(22,281,092

)

AMPS, at Redemption Value — (33.3)%

 

 

 

 

 

(42,275,707

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

126,782,596

 


 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

161,272,002

 

Gross unrealized appreciation

 

$

8,296,059

 

Gross unrealized depreciation

 

 

(1,393,477

)

Net unrealized appreciation

 

$

6,902,582

 


 

 

(a)

Securities represent bonds transferred to a TOB trust 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 year, 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
August 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

1,211,264

 

 

8,018,977

 

 

9,230,241

 

$

3,616

 


 

 

(c)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of August 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

32

 

10-Year U.S.

 

Chicago

 

December

 

$4,140,439

 

$11,439

 

 

Treasury Note

 

Board of Trade

 

2011

 

 

 

 


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized 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 derivative financial instruments)

 

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments 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 August 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

181,210,609

 

 

 

$

181,210,609

 

Short-Term Securities

 

$

9,230,241

 

 

 

 

 

 

9,230,241

 

Total

 

$

9,230,241

 

$

181,210,609

 

 

 

$

190,440,850

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

11,439

 

 

 

 

 

$

11,439

 


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

ANNUAL REPORT

AUGUST 31, 2011

23




 

 

 

 

 

Schedule of Investments August 31, 2011

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.8%

 

 

 

 

 

 

 

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

 

$

3,800

 

$

3,984,034

 

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

 

 

5,800

 

 

6,046,674

 

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

 

 

1,495

 

 

1,618,487

 

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

 

 

2,800

 

 

2,310,112

 

 

 

 

 

 

 

13,959,307

 

Arizona — 1.0%

 

 

 

 

 

 

 

Salt River Project Agricultural Improvement & Power
District, RB, Series A, 5.00%, 1/01/38

 

 

1,500

 

 

1,563,495

 

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

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

1,500

 

 

1,566,840

 

5.25%, 10/01/28

 

 

650

 

682,253

 

 

 

 

 

 

 

3,812,588

 

California — 28.2%

 

 

 

 

 

 

 

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

 

 

625

 

 

641,981

 

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

 

 

10,100

 

 

12,662,976

 

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

 

 

 

 

 

 

 

5.58%, 8/01/13 (b)

 

 

7,450

 

 

6,806,841

 

5.40%, 8/01/36 (c)

 

 

4,200

 

 

842,982

 

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

 

 

1,100

 

 

1,121,065

 

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

 

 

 

 

 

 

 

6.63%, 6/01/13

 

 

6,500

 

 

7,194,330

 

6.75%, 6/01/13

 

 

14,500

 

 

16,080,355

 

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

 

 

3,500

 

 

3,184,440

 

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

 

 

17,500

 

 

17,817,800

 

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

 

 

 

 

 

 

 

5.15%, 8/01/31

 

 

13,575

 

 

3,963,357

 

5.16%, 8/01/32

 

 

14,150

 

 

3,775,645

 

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

 

 

2,500

 

 

2,614,400

 

San Diego Unified School District California, GO, CAB,
Election of 2008, Series C, 6.84%, 7/01/38 (c)

 

 

2,000

 

 

364,120

 

San Francisco City & County Public Utilities Commission,
Refunding RB, Series A (AGM)

 

 

 

 

 

 

 

5.00%, 11/01/11 (a)

 

 

3,460

 

 

3,487,680

 

5.00%, 11/01/31

 

 

11,540

 

 

11,555,348

 

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

 

 

53,000

 

 

10,012,230

 

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

 

 

2,350

 

 

2,431,757

 

 

 

 

 

 

 

104,557,307

 

Colorado — 0.3%

 

 

 

 

 

 

 

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

 

 

960

 

 

1,013,731

 

District of Columbia — 2.4%

 

 

 

 

 

 

 

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

 

 

9,500

 

 

8,939,120

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida — 15.3%

 

 

 

 

 

 

 

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

 

$

2,000

 

$

2,051,760

 

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

 

 

6,750

 

 

7,222,770

 

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

 

 

3,800

 

 

3,861,218

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

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

 

 

25,520

 

 

3,887,461

 

Miami International Airport, Series A, 5.50%,
10/01/41

 

 

5,000

 

 

5,132,750

 

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

 

 

10,100

 

 

10,336,542

 

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

 

 

1,300

 

 

1,327,820

 

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

 

 

3,800

 

 

3,928,022

 

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

 

 

7,500

 

 

7,916,625

 

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

 

 

1,135

 

 

1,188,141

 

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

 

 

6,090

 

 

6,400,529

 

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

 

 

300

 

 

305,775

 

South Florida Water Management District, COP (AMBAC),
5.00%, 10/01/36

 

 

1,000

 

 

1,010,230

 

Tohopekaliga Water Authority, Refunding RB, Series A,
5.25%, 10/01/36

 

 

2,000

 

 

2,122,100

 

 

 

 

 

 

 

56,691,743

 

Georgia — 2.5%

 

 

 

 

 

 

 

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

 

 

7,500

 

 

8,551,650

 

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

 

 

900

 

 

921,195

 

 

 

 

 

 

 

9,472,845

 

Hawaii — 1.4%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,212,650

 

Illinois — 3.9%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,650,500

 

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

 

 

600

 

 

627,894

 

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

 

 

7,310

 

 

7,404,518

 

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

 

 

1,475

 

 

1,559,813

 

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

 

 

1,350

 

 

1,424,007

 

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

 

 

710

 

 

725,691

 

 

 

 

 

 

 

14,392,423

 

Indiana — 2.1%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding RB, First Lien,
CWA Authority, Series A, 5.25%, 10/01/38

 

 

1,100

 

 

1,142,097

 

Indiana Municipal Power Agency, RB, Series B, 5.75%,
1/01/34

 

 

450

 

 

461,596

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

5,750

 

 

6,123,865

 

 

 

 

 

 

 

7,727,558

 


 

 

 

See Notes to Financial Statements.

 

 

 

24

ANNUAL REPORT

AUGUST 31, 2011




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Iowa — 1.4%

 

 

 

 

 

 

 

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

 

$

5,000

 

$

5,236,350

 

Kentucky — 0.4%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,599,420

 

Louisiana — 2.1%

 

 

 

 

 

 

 

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

 

 

7,500

 

 

7,809,525

 

Michigan — 3.3%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

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

 

 

2,900

 

 

3,013,448

 

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

 

 

100

 

 

95,743

 

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

 

 

3,000

 

 

3,201,930

 

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

 

 

465

 

 

473,747

 

Lansing Board of Water & Light, RB, Series A, 5.50%,
7/01/41

 

 

1,100

 

 

1,192,928

 

Michigan State Building Authority, RB, Refunding
Facilities Program:

 

 

 

 

 

 

 

Series I-A, 5.38%, 10/15/36

 

 

2,000

 

 

2,081,460

 

Series I-A, 5.38%, 10/15/41

 

 

800

 

 

829,992

 

Series II-A, 5.38%, 10/15/36

 

 

1,500

 

 

1,561,095

 

 

 

 

 

 

 

12,450,343

 

Nebraska — 1.2%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

2,450

 

 

2,671,260

 

6.05%, 9/01/41

 

 

1,770

 

 

1,911,759

 

 

 

 

 

 

 

4,583,019

 

Nevada — 1.1%

 

 

 

 

 

 

 

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

 

 

4,100

 

 

4,208,199

 

New Jersey — 0.9%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A, 5.50%, 6/15/41

 

 

3,000

 

 

3,186,360

 

New York — 1.0%

 

 

 

 

 

 

 

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

 

 

1,950

 

 

2,095,119

 

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

 

 

1,300

 

 

1,455,753

 

 

 

 

 

 

 

3,550,872

 

North Carolina — 0.9%

 

 

 

 

 

 

 

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

 

 

3,875

 

 

3,370,552

 

Ohio — 0.5%

 

 

 

 

 

 

 

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

 

 

610

 

 

683,426

 

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

 

 

1,125

 

 

1,131,232

 

 

 

 

 

 

 

1,814,658

 

Pennsylvania — 0.2%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, RB, Subordinate,
Special Motor, License Fund, Series A, 6.00%,
12/01/36

 

 

625

 

 

712,506

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 1.8%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A:

 

 

 

 

 

 

 

6.38%, 8/01/39

 

$

5,300

 

$

5,731,791

 

5.50%, 8/01/42

 

 

950

 

 

962,074

 

 

 

 

 

 

 

6,693,865

 

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

 

 

2,909,419

 

South Carolina — 1.5%

 

 

 

 

 

 

 

South Carolina Jobs-EDA, Refunding RB, Palmetto
Health, Series A (AGM), 6.50%, 8/01/39

 

 

260

 

 

282,766

 

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

 

 

5,000

 

 

5,200,250

 

 

 

 

 

 

 

5,483,016

 

Tennessee — 3.3%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.88%, 1/01/23

 

 

9,110

 

 

4,791,587

 

5.90%, 1/01/24

 

 

8,500

 

 

4,201,210

 

5.91%, 1/01/25

 

 

6,850

 

 

3,186,209

 

 

 

 

 

 

 

12,179,006

 

Texas — 26.9%

 

 

 

 

 

 

 

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

 

 

4,165

 

 

4,412,443

 

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

 

 

 

 

 

 

 

5.13%, 5/15/29

 

 

9,250

 

 

9,830,068

 

5.13%, 5/15/34

 

 

10,000

 

 

10,617,500

 

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

 

 

2,500

 

 

2,595,075

 

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

 

 

10,030

 

 

4,477,793

 

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

 

 

 

 

 

 

 

5.57%, 8/15/25

 

 

7,485

 

 

4,400,956

 

5.60%, 8/15/28

 

 

10,915

 

 

5,439,490

 

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

 

 

5,510

 

 

5,668,082

 

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

 

 

 

 

 

 

 

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

 

 

5,785

 

 

736,778

 

CAB, Junior Lien, Series H, 5.95%, 11/15/39

 

 

6,160

 

 

727,311