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
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August 31, 2011 |
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Annual Report |
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BlackRock Municipal Bond Investment Trust (BIE) |
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BlackRock Municipal Bond Trust (BBK) |
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BlackRock Municipal Income Investment Quality Trust (BAF) |
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BlackRock Municipal Income Quality Trust (BYM) |
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BlackRock Municipal Income Trust II (BLE) |
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BlackRock MuniHoldings Investment Quality Fund (MFL) |
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BlackRock MuniVest Fund, Inc. (MVF) |
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Not FDIC Insured § No Bank Guarantee § May Lose Value |
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Table of Contents |
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Page |
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3 |
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Annual Report: |
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4 |
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5 |
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12 |
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12 |
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Financial Statements: |
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13 |
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42 |
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43 |
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44 |
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46 |
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47 |
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51 |
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59 |
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59 |
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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |
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60 |
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64 |
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65 |
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68 |
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2 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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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 funds 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 governments credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme volatility persisted as Europes 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.
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Sincerely, |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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BlackRock remains focused on managing risk and finding opportunities in all market environments. |
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Rob Kapito |
President, BlackRock Advisors, LLC |
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6-month |
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12-month |
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US large cap equities |
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(7.23 |
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18.50 |
% |
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(S&P 500 Index) |
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US small cap equities |
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(11.17 |
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22.19 |
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(Russell 2000 Index) |
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International equities |
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(11.12 |
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10.01 |
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(MSCI Europe, Australasia, |
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Far East Index) |
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Emerging market |
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(5.11 |
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9.07 |
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equities (MSCI Emerging |
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Markets Index) |
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3-month Treasury |
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0.08 |
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0.15 |
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bill (BofA Merrill Lynch |
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3-Month Treasury |
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Bill Index) |
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US Treasury securities |
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13.04 |
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6.21 |
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(BofA Merrill Lynch 10- |
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Year US Treasury Index) |
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US investment grade |
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5.49 |
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4.62 |
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bonds (Barclays |
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Capital US Aggregate |
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Bond Index) |
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Tax-exempt municipal |
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6.39 |
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2.66 |
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bonds (Barclays Capital |
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Municipal Bond Index) |
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US high yield bonds |
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(1.57 |
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8.32 |
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(Barclays Capital US |
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Corporate High Yield 2% |
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Issuer Capped Index) |
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Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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THIS PAGE NOT PART OF YOUR FUND REPORT |
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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.
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.
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4 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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BlackRock Municipal Bond Investment Trust |
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Trust Overview |
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BlackRock Municipal Bond Investment Trusts (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. |
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No assurance can be given that the Trusts investment objective will be achieved. |
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Performance |
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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 Trusts 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 Trusts 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 Trusts 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. |
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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. |
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Trust Information |
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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% |
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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. |
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2 |
Tax equivalent yield assumes the maximum federal tax rate of 35%. |
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3 |
The distribution rate is not constant and is subject to change. |
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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 Trusts market price and NAV per share:
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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 Trusts long-term investments:
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Sector Allocations |
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8/31/11 |
8/31/10 |
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Health |
23 |
% |
22 |
% |
Transportation |
21 |
18 |
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Utilities |
19 |
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18 |
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County/City/Special District/School District |
17 |
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19 |
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Education |
7 |
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8 |
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State |
6 |
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8 |
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Housing |
5 |
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5 |
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Tobacco |
1 |
1 |
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Corporate |
1 |
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1 |
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Credit Quality Allocations5 |
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8/31/11 |
8/31/10 |
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AAA/Aaa |
10 |
% |
14 |
% |
AA/Aa |
62 |
64 |
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A |
21 |
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17 |
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BBB/Baa |
6 |
4 |
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BB/Ba |
1 |
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Not Rated |
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1 |
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5 |
Using the higher of Standard & Poors (S&Ps) or Moodys Investors Service (Moodys) ratings. |
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ANNUAL REPORT |
AUGUST 31, 2011 |
5 |
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Trust Summary as of August 31, 2011 |
BlackRock Municipal Bond Trust |
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Trust Overview |
BlackRock Municipal Bond Trusts (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 Trusts investment objective will be achieved.
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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 Trusts 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 Trusts 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 Trusts 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.
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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. |
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Trust Information |
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Symbol on NYSE |
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BBK |
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Initial Offering Date |
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April 30, 2002 |
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Yield on Closing Market Price as of August 31, 2011 ($14.86)1 |
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7.15% |
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Tax Equivalent Yield2 |
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11.00% |
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Current Monthly Distribution per Common Share3 |
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$0.0885 |
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Current Annualized Distribution per Common Share3 |
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$1.0620 |
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Leverage as of August 31, 20114 |
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37% |
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1 |
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
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2 |
Tax equivalent yield assumes the maximum federal tax rate of 35%. |
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3 |
The distribution rate is not constant and is subject to change. |
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4 |
Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12. |
The table below summarizes the changes in the Trusts market price and NAV per share:
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8/31/11 |
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8/31/10 |
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Change |
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High |
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Low |
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Market Price |
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$ |
14.86 |
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$ |
15.79 |
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(5.89 |
)% |
$ |
16.00 |
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$ |
12.20 |
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Net Asset Value |
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$ |
14.48 |
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$ |
15.29 |
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(5.30 |
)% |
$ |
15.30 |
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$ |
12.70 |
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The following charts show the sector and credit quality allocations of the Trusts long-term investments:
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Sector Allocations |
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8/31/11 |
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8/31/10 |
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Health |
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21 |
% |
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23 |
% |
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State |
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14 |
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15 |
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Housing |
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14 |
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14 |
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County/City/Special District/School District |
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12 |
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13 |
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Transportation |
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10 |
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9 |
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Education |
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10 |
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10 |
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Corporate |
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10 |
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8 |
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Utilities |
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7 |
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5 |
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Tobacco |
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2 |
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3 |
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Credit Quality Allocations5 |
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8/31/11 |
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8/31/10 |
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AAA/Aaa |
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11 |
% |
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26 |
% |
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AA/Aa |
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35 |
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20 |
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A |
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18 |
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22 |
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BBB/Baa |
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22 |
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20 |
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BB/Ba |
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1 |
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1 |
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B |
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6 |
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3 |
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CCC/Caa |
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1 |
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1 |
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Not Rated6 |
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6 |
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7 |
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5 |
Using the higher of S&Ps or Moodys ratings. |
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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 Trusts long-term investments. |
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6 |
ANNUAL REPORT |
AUGUST 31, 2011 |
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Trust Summary as of August 31, 2011 |
BlackRock Municipal Income Investment Quality Trust |
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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 Trusts
(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 Trusts investment objective will be achieved.
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Performance |
Effective November 9, 2010, the Trusts 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 Trusts 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 Trusts 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 Trusts 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.
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|
|
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 Trusts 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 Trusts 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&Ps or Moodys 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 Trusts 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 Trusts (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 Trusts investment objective will be achieved.
|
Performance |
Effective November 9, 2010, the Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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&Ps or Moodys 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 Trusts 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 IIs (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 Trusts 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 Trusts 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 Trusts holdings generated a high distribution yield, which over the course of the year had a meaningful impact on returns. Detracting from performance was the Trusts large exposure to lower-quality bonds when credits widened toward the end of 2010. Additionally, the Trusts 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 Trusts 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 Trusts 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&Ps or Moodys 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 Trusts 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 Funds (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 Trusts investment objective will be achieved.
|
Performance |
Effective November 9, 2010, the Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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&Ps or Moodys 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts 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&Ps or Moodys 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 Trusts long-term investments. |
|
|
|
|
|
|
|
|
|
ANNUAL REPORT |
AUGUST 31, 2011 |
11 |
|
|
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 Trusts shareholders will benefit from the incremental net income.
To illustrate these concepts, assume a Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trusts 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 |
|
|
BIE |
|
41 |
% |
|
BBK |
|
37 |
% |
|
BAF |
|
34 |
% |
|
BYM |
|
38 |
% |
|
BLE |
|
37 |
% |
|
MFL |
|
40 |
% |
|
MVF |
|
41 |
% |
|
|
|
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 advisors 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 |
|
|
|
|
|
|
BlackRock Municipal Bond Investment Trust (BIE) |
|
|
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Alaska 0.2% |
|
|
|
|
|
|
|
Northern Tobacco Securitization Corp., RB, Asset-Backed |
|
$ |
180 |
|
$ |
111,834 |
|
California 14.0% |
|
|
|
|
|
|
|
Bay Area Toll Authority, Refunding RB, San Francisco |
|
|
720 |
|
|
776,563 |
|
California Educational Facilities Authority, RB, |
|
|
700 |
|
|
750,365 |
|
California Health Facilities Financing Authority, |
|
|
120 |
|
|
126,814 |
|
Cucamonga Valley Water District, RB, |
|
|
785 |
|
|
847,164 |
|
Grossmont Union High School District, GO, |
|
|
950 |
|
|
929,584 |
|
Los Angeles Department of Water & Power, RB, |
|
|
1,660 |
|
|
1,753,425 |
|
San Diego Regional Building Authority California, RB, |
|
|
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, |
|
|
580 |
|
|
603,902 |
|
Delaware 1.3% |
|
|
|
|
|
|
|
County of Sussex Delaware, RB, NRG Energy, Inc., |
|
|
655 |
|
|
649,354 |
|
District of Columbia 1.4% |
|
|
|
|
|
|
|
District of Columbia Water & Sewer Authority, RB, |
|
|
640 |
|
|
697,965 |
|
Florida 0.2% |
|
|
|
|
|
|
|
County of St. Johns Florida, RB, CAB (AMBAC), |
|
|
240 |
|
|
79,022 |
|
Georgia 2.4% |
|
|
|
|
|
|
|
Municipal Electric Authority of Georgia, Refunding RB, |
|
|
1,000 |
|
|
1,150,060 |
|
|
|
|
|
|
|
||
Municipal Bonds |
|
Par |
|
Value |
|
||
Illinois 12.0% |
|
|
|
|
|
|
|
City of Chicago Illinois, Refunding RB, General, |
|
$ |
1,590 |
|
$ |
1,790,022 |
|
County of Cook Illinois, GO, Refunding, Series A, |
|
|
900 |
|
|
951,750 |
|
Illinois Finance Authority, RB, Navistar International, |
|
|
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%, |
|
|
220 |
|
|
228,419 |
|
Indiana Municipal Power Agency, RB, Series B, 6.00%, |
|
|
1,190 |
|
|
1,285,700 |
|
|
|
|
|
|
|
1,514,119 |
|
Iowa 0.2% |
|
|
|
|
|
|
|
Iowa Tobacco Settlement Authority, RB, Asset-Backed, |
|
|
140 |
|
|
98,710 |
|
Kansas 2.0% |
|
|
|
|
|
|
|
Kansas Development Finance Authority, Refunding RB, |
|
|
900 |
|
|
976,536 |
|
Kentucky 3.9% |
|
|
|
|
|
|
|
Kentucky Economic Development Finance Authority, |
|
|
350 |
|
|
354,753 |
|
Louisville & Jefferson County Metropolitan Government, |
|
|
675 |
|
|
681,541 |
|
Louisville & Jefferson County Metropolitan Government |
|
|
800 |
|
|
879,208 |
|
|
|
|
|
|
|
1,915,502 |
|
Louisiana 0.8% |
|
|
|
|
|
|
|
Louisiana Local Government Environmental Facilities & |
|
|
380 |
|
|
387,839 |
|
Maine 1.5% |
|
|
|
|
|
|
|
Maine Health & Higher Educational Facilities Authority, |
|
|
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 |
|
Value |
|
||
Maryland 1.1% |
|
|
|
|
|
|
|
Maryland EDC, Refunding RB, CNX Marine Terminals, |
|
$ |
525 |
|
$ |
515,996 |
|
Massachusetts 3.4% |
|
|
|
|
|
|
|
Massachusetts Development Finance Agency, |
|
|
375 |
|
|
407,482 |
|
Massachusetts Health & Educational Facilities Authority, |
|
|
1,000 |
|
|
1,000,570 |
|
Massachusetts State College Building Authority, RB, |
|
|
250 |
|
|
269,233 |
|
|
|
|
|
|
|
1,677,285 |
|
Michigan 4.3% |
|
|
|
|
|
|
|
Kalamazoo Hospital Finance Authority, Refunding RB, |
|
|
445 |
|
|
441,987 |
|
Lansing Board of Water & Light, RB, Series A, 5.50%, |
|
|
485 |
|
|
525,973 |
|
Michigan State Building Authority, Refunding RB, |
|
|
500 |
|
|
534,560 |
|
Royal Oak Hospital Finance Authority Michigan, |
|
|
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, |
|
|
1,000 |
|
|
1,102,850 |
|
County of Clark Nevada, RB: |
|
|
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 |
|
|
750 |
|
|
807,952 |
|
New Jersey State Housing & Mortgage Finance Agency, |
|
|
620 |
|
|
644,726 |
|
New Jersey Transportation Trust Fund Authority, RB, |
|
|
695 |
|
|
758,732 |
|
|
|
|
|
|
|
2,211,410 |
|
New York 5.4% |
|
|
|
|
|
|
|
City of Troy New York, Refunding RB, Rensselaer |
|
|
350 |
|
|
348,170 |
|
New York City Transitional Finance Authority, RB, |
|
|
1,000 |
|
|
1,058,130 |
|
New York Liberty Development Corp., Refunding RB, |
|
|
325 |
|
|
335,273 |
|
Triborough Bridge & Tunnel Authority, RB, General, |
|
|
840 |
|
|
903,470 |
|
|
|
|
|
|
|
2,645,043 |
|
North Carolina 2.6% |
|
|
|
|
|
|
|
North Carolina Medical Care Commission, RB, |
|
|
1,450 |
|
|
1,261,239 |
|
Ohio 0.3% |
|
|
|
|
|
|
|
Buckeye Tobacco Settlement Financing Authority, RB, |
|
|
160 |
|
|
123,251 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Pennsylvania 7.4% |
|
|
|
|
|
|
|
Pennsylvania Economic Development Financing Authority, |
|
$ |
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, |
|
|
890 |
|
|
849,719 |
|
Conroe ISD Texas, GO, School Building, Series A, |
|
|
470 |
|
|
538,211 |
|
Harris County Health Facilities Development Corp., |
|
|
250 |
|
|
280,495 |
|
Lower Colorado River Authority, RB, 5.75%, 5/15/28 |
|
|
450 |
|
|
481,320 |
|
North Texas Tollway Authority, RB, Special Projects System, |
|
|
900 |
|
|
968,085 |
|
North Texas Tollway Authority, RB, System, First Tier, |
|
|
250 |
|
|
264,360 |
|
Tarrant County Cultural Education Facilities Finance |
|
|
1,020 |
|
|
1,070,357 |
|
Texas Private Activity Bond Surface Transportation Corp., |
|
|
1,000 |
|
|
1,030,650 |
|
|
|
|
|
|
|
5,483,197 |
|
Virginia 1.7% |
|
|
|
|
|
|
|
Virginia Public School Authority, RB, School Financing, |
|
|
750 |
|
|
853,283 |
|
Total Municipal Bonds 101.1% |
|
|
|
|
|
49,467,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal
Bonds Transferred to |
|
|
|
|
|
|
|
California 20.0% |
|
|
|
|
|
|
|
California Educational Facilities Authority, RB, |
|
|
1,005 |
|
|
1,076,667 |
|
Grossmont Union High School District, GO, |
|
|
1,300 |
|
|
1,324,297 |
|
Los Angeles Community College District California, GO, |
|
|
|
|
|
|
|
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, |
|
|
200 |
|
|
205,200 |
|
San Diego Public Facilities Financing Authority, |
|
|
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, |
|
|
899 |
|
|
978,413 |
|
|
|
|
|
|
|
1,810,602 |
|
Florida 7.2% |
|
|
|
|
|
|
|
Jacksonville Economic Development Commission, RB, |
|
|
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 |
|
Par |
|
Value |
|
||
Illinois 7.8% |
|
|
|
|
|
|
|
Illinois Finance Authority, RB, University of Chicago, |
|
$ |
1,500 |
|
$ |
1,721,190 |
|
Illinois State Toll Highway Authority, RB, Series B, |
|
|
2,000 |
|
|
2,086,273 |
|
|
|
|
|
|
|
3,807,463 |
|
Nevada 3.4% |
|
|
|
|
|
|
|
Clark County Water Reclamation District, GO, |
|
|
1,500 |
|
|
1,680,585 |
|
New Hampshire 1.3% |
|
|
|
|
|
|
|
New Hampshire Health & Education Facilities Authority, |
|
|
585 |
|
|
635,018 |
|
New Jersey 2.1% |
|
|
|
|
|
|
|
New Jersey Transportation Trust Fund Authority, RB, |
|
|
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, |
|
|
1,000 |
|
|
1,073,240 |
|
|
|
|
|
|
|
2,991,028 |
|
Ohio 1.7% |
|
|
|
|
|
|
|
County of Allen Ohio, Refunding RB, Catholic Healthcare, |
|
|
840 |
|
|
840,512 |
|
South Carolina 2.2% |
|
|
|
|
|
|
|
South Carolina State Public Service Authority, RB, |
|
|
1,005 |
|
|
1,088,646 |
|
Texas 5.4% |
|
|
|
|
|
|
|
City of San Antonio Texas, Refunding RB, Series A, |
|
|
1,050 |
|
|
1,148,041 |
|
Harris County Cultural Education Facilities Finance Corp., |
|
|
1,450 |
|
|
1,507,435 |
|
|
|
|
|
|
|
2,655,476 |
|
Virginia 1.0% |
|
|
|
|
|
|
|
Fairfax County IDA Virginia, Refunding RB, Health Care, |
|
|
460 |
|
|
481,989 |
|
Wisconsin 1.9% |
|
|
|
|
|
|
|
Wisconsin Health & Educational Facilities Authority, |
|
|
890 |
|
|
901,978 |
|
Total
Municipal Bonds Transferred to Tender |
|
|
|
|
|
31,226,558 |
|
Total
Long-Term Investments |
|
|
|
|
|
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 |
|
|
|
|
|
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 |
|
|
|
|
|
(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 |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
FFI Institutional |
|
|
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 |
|
Unrealized |
|
|
|
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 Trusts 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 Trusts perceived risk of investing in those securities. For information about the Trusts 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 Trusts 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
Value |
|
||
Alabama 4.3% |
|
|
|
|
|
|
|
Birmingham Special Care Facilities Financing Authority, |
|
|
|
|
|
|
|
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, |
|
|
2,750 |
|
|
2,640,220 |
|
|
|
|
|
|
|
6,488,986 |
|
Arizona 6.3% |
|
|
|
|
|
|
|
Arizona Sports & Tourism Authority, RB, Multipurpose |
|
|
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, |
|
|
200 |
|
|
216,400 |
|
Pima County IDA, Refunding IDRB, Tucson Electric Power, |
|
|
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, |
|
|
|
|
|
|
|
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, |
|
|
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, |
|
|
4,500 |
|
|
40,320 |
|
California Educational Facilities Authority, RB, |
|
|
1,000 |
|
|
1,026,210 |
|
California Health Facilities Financing Authority, |
|
|
1,900 |
|
|
2,051,525 |
|
California HFA, RB, Home Mortgage, Series G, AMT, |
|
|
2,285 |
|
|
2,124,616 |
|
Carlsbad Unified School District, GO, Election of 2006, |
|
|
1,000 |
|
|
661,410 |
|
City of San Jose California, RB, San Jose Airport, |
|
|
2,000 |
|
|
2,050,000 |
|
Dinuba Unified School District, GO, |
|
|
|
|
|
|
|
5.63%, 8/01/31 |
|
|
250 |
|
|
272,193 |
|
5.75%, 8/01/33 |
|
|
500 |
|
|
547,140 |
|
Hartnell Community College District California, GO, |
|
|
1,650 |
|
|
907,632 |
|
Norwalk-La Mirada Unified School District California, |
|
|
8,000 |
|
|
1,329,440 |
|
Palomar Community College District, GO, CAB, |
|
|
|
|
|
|
|
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, |
|
|
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 |
|
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, |
|
|
1,585 |
|
|
1,545,961 |
|
|
|
|
|
|
|
26,287,567 |
|
Colorado 2.6% |
|
|
|
|
|
|
|
Colorado Health Facilities Authority, RB, Catholic |
|
|
1,070 |
|
|
1,170,912 |
|
Park Creek Metropolitan District, RB, Refunding, |
|
|
1,000 |
|
|
1,065,620 |
|
Sand Creek Metropolitan District, GO, Refunding, |
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
Sacred Heart University, Series G, 5.38%, 7/01/31 |
|
|
400 |
|
|
405,920 |
|
Western Connecticut Health, Series M, 5.38%, |
|
|
700 |
|
|
714,686 |
|
|
|
|
|
|
|
1,120,606 |
|
Delaware 0.8% |
|
|
|
|
|
|
|
County of Sussex Delaware, RB, NRG Energy, Inc., |
|
|
1,200 |
|
|
1,189,656 |
|
District of Columbia 5.9% |
|
|
|
|
|
|
|
District of Columbia, Refunding RB, Friendship Public |
|
|
595 |
|
|
474,447 |
|
District of Columbia, Tax Allocation Bonds, Gallery Place |
|
|
6,000 |
|
|
6,050,340 |
|
District of Columbia Tobacco Settlement Financing Corp., |
|
|
2,500 |
|
|
2,352,400 |
|
|
|
|
|
|
|
8,877,187 |
|
Florida 7.4% |
|
|
|
|
|
|
|
County of Lee Florida, Refunding RB, Lee Airport, |
|
|
2,000 |
|
|
1,970,560 |
|
Miami Beach Health Facilities Authority, RB, Mount |
|
|
1,180 |
|
|
1,195,045 |
|
Palm Beach County Housing Finance Authority, HRB, |
|
|
7,255 |
|
|
7,263,198 |
|
Stevens Plantation Community Development District, |
|
|
925 |
|
|
738,076 |
|
|
|
|
|
|
|
11,166,879 |
|
Idaho 1.3% |
|
|
|
|
|
|
|
Idaho Health Facilities Authority, Refunding RB, |
|
|
1,750 |
|
|
1,925,017 |
|
Illinois 7.4% |
|
|
|
|
|
|
|
Illinois Finance Authority, RB: |
|
|
|
|
|
|
|
MJH Education Assistance IV LLC, Sub-Series B, |
|
|
425 |
|
|
84,987 |
|
Navistar International, Recovery Zone, 6.50%, |
|
|
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%, |
|
|
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 |
|
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, |
|
|
23,065 |
|
|
4,694,881 |
|
|
|
|
|
|
|
11,235,429 |
|
Indiana 3.2% |
|
|
|
|
|
|
|
County of Monroe Indiana, Multifamily Housing Revenue |
|
|
1,815 |
|
|
1,820,391 |
|
Indiana Finance Authority, Refunding RB, Improvement, |
|
|
1,000 |
|
|
999,990 |
|
Indiana Finance Authority, Refunding RB, First Lien, |
|
|
2,000 |
|
|
2,076,540 |
|
|
|
|
|
|
|
4,896,921 |
|
Iowa 1.6% |
|
|
|
|
|
|
|
Iowa Higher Education Loan Authority, RB, Private |
|
|
875 |
|
|
895,711 |
|
Iowa Higher Education Loan Authority, Refunding RB, |
|
|
|
|
|
|
|
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 |
|
|
5,000 |
|
|
4,419,800 |
|
Kentucky 0.3% |
|
|
|
|
|
|
|
Kentucky Economic Development Finance Authority, |
|
|
500 |
|
|
523,925 |
|
Louisiana 2.3% |
|
|
|
|
|
|
|
Louisiana Local Government Environmental Facilities & |
|
|
1,050 |
|
|
1,071,661 |
|
Louisiana Public Facilities Authority, RB, Belle Chasse |
|
|
400 |
|
|
412,396 |
|
Louisiana Public Facilities Authority, Refunding RB, |
|
|
2,000 |
|
|
2,042,840 |
|
|
|
|
|
|
|
3,526,897 |
|
Maryland 2.1% |
|
|
|
|
|
|
|
Maryland EDC, Refunding RB, CNX Marine Terminals, |
|
|
500 |
|
|
491,425 |
|
Maryland Health & Higher Educational Facilities |
|
|
2,900 |
|
|
2,641,001 |
|
|
|
|
|
|
|
3,132,426 |
|
Michigan 2.4% |
|
|
|
|
|
|
|
Michigan State Building Authority, Refunding RB, |
|
|
1,250 |
|
|
1,355,037 |
|
Royal Oak Hospital Finance Authority Michigan, |
|
|
1,950 |
|
|
2,263,014 |
|
|
|
|
|
|
|
3,618,051 |
|
Minnesota 3.9% |
|
|
|
|
|
|
|
City of Minneapolis Minnesota, Refunding RB, |
|
|
5,350 |
|
|
5,891,206 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Mississippi 3.3% |
|
|
|
|
|
|
|
Mississippi Development Bank, RB, Hinds Community |
|
$ |
845 |
|
$ |
870,925 |
|
Mississippi Development Bank Special Obligation, RB, |
|
|
1,750 |
|
|
1,866,725 |
|
University of Southern Mississippi, RB, Campus |
|
|
2,100 |
|
|
2,248,512 |
|
|
|
|
|
|
|
4,986,162 |
|
Montana 1.5% |
|
|
|
|
|
|
|
Montana Facility Finance Authority, Refunding RB, |
|
|
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, |
|
|
|
|
|
|
|
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, |
|
|
1,305 |
|
|
1,146,260 |
|
County of Clark Nevada, Refunding RB, Alexander |
|
|
575 |
|
|
582,406 |
|
|
|
|
|
|
|
1,728,666 |
|
New Jersey 13.7% |
|
|
|
|
|
|
|
Middlesex County Improvement Authority, RB, |
|
|
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%, |
|
|
3,000 |
|
|
3,000,450 |
|
New Jersey EDA, Refunding RB, First Mortgage, |
|
|
1,500 |
|
|
1,480,560 |
|
New Jersey EDA, Special Assessment Bonds, Refunding, |
|
|
7,500 |
|
|
7,727,400 |
|
New Jersey Educational Facilities Authority, Refunding RB: |
|
|
|
|
|
|
|
College Of New Jersey, Series D (AGM), 5.00%, |
|
|
1,000 |
|
|
1,025,520 |
|
University of Medicine & Dentistry, Series B, |
|
|
630 |
|
|
752,384 |
|
University of Medicine & Dentistry, Series B, |
|
|
800 |
|
|
926,552 |
|
New Jersey State Housing & Mortgage Finance Agency, |
|
|
700 |
|
|
767,949 |
|
|
|
|
|
|
|
20,738,272 |
|
New Mexico 0.3% |
|
|
|
|
|
|
|
Village of Los Ranchos de Albuquerque New Mexico, |
|
|
500 |
|
|
482,720 |
|
New York 7.1% |
|
|
|
|
|
|
|
Albany Industrial Development Agency, RB, New |
|
|
455 |
|
|
113,773 |
|
City of New York, New York, GO, Series A-1, |
|
|
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, |
|
|
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 |
|
Value |
|
||
New York (concluded) |
|
|
|
|
|
|
|
New York City Industrial Development Agency, RB: |
|
|
|
|
|
|
|
American Airlines Inc., JFK International Airport, |
|
$ |
3,165 |
|
$ |
3,160,221 |
|
Queens Baseball Stadium, PILOT (AGC), 6.50%, |
|
|
700 |
|
|
744,751 |
|
New York Liberty Development Corp., Refunding RB, |
|
|
800 |
|
|
825,288 |
|
New York State Dormitory Authority, RB, Rochester |
|
|
1,000 |
|
|
1,098,420 |
|
|
|
|
|
|
|
10,765,159 |
|
North Carolina 7.9% |
|
|
|
|
|
|
|
City of Charlotte North Carolina, Refunding RB, Series A, |
|
|
225 |
|
|
239,044 |
|
Gaston County Industrial Facilities & Pollution Control |
|
|
2,945 |
|
|
2,245,916 |
|
North Carolina Capital Facilities Finance Agency, RB, |
|
|
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%, |
|
|
800 |
|
|
876,400 |
|
|
|
|
|
|
|
11,903,246 |
|
Ohio 0.3% |
|
|
|
|
|
|
|
County of Hancock Ohio, Refunding RB, Blanchard Valley |
|
|
395 |
|
|
406,542 |
|
Oklahoma 1.2% |
|
|
|
|
|
|
|
Tulsa Airports Improvement Trust, RB, Series A, |
|
|
1,725 |
|
|
1,765,503 |
|
Oregon 1.8% |
|
|
|
|
|
|
|
City of Portland Oregon, Multifamily Housing Revenue |
|
|
510 |
|
|
512,351 |
|
Oregon Health & Science University, RB, Series A, |
|
|
750 |
|
|
806,138 |
|
Oregon State Facilities Authority, Refunding RB, Limited |
|
|
|
|
|
|
|
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), |
|
|
2,600 |
|
|
2,665,728 |
|
Pennsylvania Economic Development Financing Authority, |
|
|
2,000 |
|
|
1,996,540 |
|
|
|
|
|
|
|
4,662,268 |
|
Puerto Rico 1.2% |
|
|
|
|
|
|
|
Puerto Rico Sales Tax Financing Corp., RB, |
|
|
1,000 |
|
|
1,034,620 |
|
Puerto Rico Sales Tax Financing Corp., Refunding RB, |
|
|
5,000 |
|
|
766,050 |
|
|
|
|
|
|
|
1,800,670 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Rhode Island 1.4% |
|
|
|
|
|
|
|
Rhode Island Health & Educational Building Corp., RB, |
|
$ |
1,000 |
|
$ |
1,136,490 |
|
State of Rhode Island, COP, Series C, School for the |
|
|
900 |
|
|
970,461 |
|
|
|
|
|
|
|
2,106,951 |
|
Tennessee 0.2% |
|
|
|
|
|
|
|
Memphis-Shelby County Sports Authority Inc., |
|
|
275 |
|
|
289,930 |
|
Texas 15.0% |
|
|
|
|
|
|
|
Harris County Health Facilities Development Corp., |
|
|
|
|
|
|
|
7.13%, 12/01/31 |
|
|
500 |
|
|
560,990 |
|
7.25%, 12/01/35 |
|
|
1,750 |
|
|
1,951,898 |
|
Harris County Housing Finance Corp., Multifamily |
|
|
2,400 |
|
|
2,422,008 |
|
Harris County-Houston Sports Authority, Refunding RB, |
|
|
11,690 |
|
|
1,340,492 |
|
Love Field Airport Modernization Corp., RB, Southwest |
|
|
1,750 |
|
|
1,638,525 |
|
Lower Colorado River Authority, Refunding RB (NPFGC), |
|
|
15 |
|
|
16,172 |
|
Matagorda County Navigation District No. 1 Texas, |
|
|
1,500 |
|
|
1,608,915 |
|
Texas Private Activity Bond Surface Transportation Corp., |
|
|
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 |
|
|
2,000 |
|
|
1,742,320 |
|
Virginia 0.5% |
|
|
|
|
|
|
|
Henrico County EDA, RB, Bon Secours Health, |
|
|
860 |
|
|
800,084 |
|
Washington 1.0% |
|
|
|
|
|
|
|
Washington Health Care Facilities Authority, RB, |
|
|
1,400 |
|
|
1,504,608 |
|
Wyoming 0.8% |
|
|
|
|
|
|
|
County of Sweetwater Wyoming, Refunding RB, |
|
|
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 |
|
Par |
|
Value |
|
||
Colorado 2.5% |
|
|
|
|
|
|
|
Colorado Health Facilities Authority, RB, Catholic Health, |
|
$ |
3,750 |
|
$ |
3,783,600 |
|
Massachusetts 1.0% |
|
|
|
|
|
|
|
Massachusetts Water Resources Authority, Refunding RB, |
|
|
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, |
|
|
3,000 |
|
|
3,122,940 |
|
New York State Dormitory Authority, RB, New York |
|
|
2,199 |
|
|
2,279,035 |
|
|
|
|
|
|
|
6,345,959 |
|
Ohio 2.2% |
|
|
|
|
|
|
|
County of Montgomery Ohio, RB, Catholic Health, |
|
|
1,260 |
|
|
1,267,125 |
|
Ohio Higher Educational Facility Commission, |
|
|
2,000 |
|
|
2,062,840 |
|
|
|
|
|
|
|
3,329,965 |
|
Total
Municipal Bonds Transferred to Tender |
|
|
|
|
|
14,961,173 |
|
Total
Long-Term Investments |
|
|
|
|
|
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 |
|
|
|
|
|
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 |
|
|
|
|
|
(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 |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
FFI Institutional |
|
|
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 Trusts 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 Trusts perceived risk of investing in those securities. For information about the Trusts 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 Trusts investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments1 |
|
|
|
|
$ |
233,966,352 |
|
|
|
|
$ |
233,966,352 |
|
Short-Term |
|
$ |
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 |
|
Value |
|
||
Alabama 1.7% |
|
|
|
|
|
|
|
Birmingham Special Care Facilities Financing Authority, |
|
|
|
|
|
|
|
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, |
|
|
465 |
|
|
488,073 |
|
California 14.3% |
|
|
|
|
|
|
|
California Educational Facilities Authority, RB, University |
|
|
2,155 |
|
|
2,310,052 |
|
California Health Facilities Financing Authority, Refunding |
|
|
1,120 |
|
|
1,206,733 |
|
County of Sacramento California, RB, Senior Series A |
|
|
1,400 |
|
|
1,448,174 |
|
Cucamonga Valley Water District, Refunding RB, Series A |
|
|
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 |
|
|
1,175 |
|
|
1,241,129 |
|
Los Angeles Municipal Improvement Corp., Refunding |
|
|
3,210 |
|
|
3,289,769 |
|
Redondo Beach Unified School District, GO, Election of |
|
|
1,000 |
|
|
1,080,080 |
|
San Bernardino Community College District, GO, Election |
|
|
925 |
|
|
1,047,248 |
|
San Diego Public Facilities Financing Authority, Refunding |
|
|
1,125 |
|
|
1,205,381 |
|
San Jacinto Unified School District, GO, Election of 2006 |
|
|
1,000 |
|
|
1,036,960 |
|
|
|
|
|
|
|
18,136,526 |
|
Colorado 1.5% |
|
|
|
|
|
|
|
Colorado Health Facilities Authority, RB, Hospital, NCMC |
|
|
1,425 |
|
|
1,600,845 |
|
Regional Transportation District, COP, Series A, 5.00%, |
|
|
300 |
|
|
317,853 |
|
|
|
|
|
|
|
1,918,698 |
|
Florida 11.7% |
|
|
|
|
|
|
|
City of Jacksonville Florida, RB, Series A, 5.25%, |
|
|
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, |
|
|
10,000 |
|
|
8,820,300 |
|
|
|
|
|
|
|
14,822,618 |
|
Georgia 2.3% |
|
|
|
|
|
|
|
City of Atlanta Georgia, Refunding RB, General, Series C, |
|
|
2,500 |
|
|
2,850,550 |
|
Illinois 14.7% |
|
|
|
|
|
|
|
Chicago Board of Education Illinois, GO, Refunding, |
|
|
745 |
|
|
789,849 |
|
Chicago Transit Authority, RB, Federal Transit Administration |
|
|
1,300 |
|
|
1,471,743 |
|
City of Chicago Illinois, RB, General, Third Lien, |
|
|
|
|
|
|
|
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, OHare International |
|
|
825 |
|
|
880,786 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
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, |
|
|
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 |
|
|
550 |
|
|
571,049 |
|
Indianapolis Local Public Improvement Bond Bank, |
|
|
2,415 |
|
|
2,572,023 |
|
|
|
|
|
|
|
3,143,072 |
|
Iowa 0.3% |
|
|
|
|
|
|
|
Iowa Finance Authority, Refunding RB, Iowa Health System |
|
|
410 |
|
|
430,611 |
|
Louisiana 4.1% |
|
|
|
|
|
|
|
East Baton Rouge Sewerage Commission, RB, Series A, |
|
|
1,750 |
|
|
1,843,205 |
|
Louisiana State Citizens Property Insurance Corp., RB, |
|
|
2,510 |
|
|
2,787,807 |
|
New Orleans Aviation Board Louisiana, Refunding GARB, |
|
|
|
|
|
|
|
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%, |
|
|
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, |
|
|
365 |
|
|
391,130 |
|
Michigan State Building Authority, Refunding RB, |
|
|
|
|
|
|
|
5.25%, 10/15/24 |
|
|
565 |
|
|
625,557 |
|
5.25%, 10/15/25 |
|
|
300 |
|
|
329,571 |
|
Royal Oak Hospital Finance Authority Michigan, Refunding |
|
|
1,205 |
|
|
1,398,427 |
|
|
|
|
|
|
|
20,398,377 |
|
Minnesota 4.9% |
|
|
|
|
|
|
|
City of Minneapolis Minnesota, Refunding RB, Fairview |
|
|
5,680 |
|
|
6,254,589 |
|
Nevada 1.7% |
|
|
|
|
|
|
|
Clark County Water Reclamation District, GO, Series A, |
|
|
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 |
|
Value |
|
||
New Jersey 4.0% |
|
|
|
|
|
|
|
New Jersey Health Care Facilities Financing Authority, RB, |
|
$ |
1,300 |
|
$ |
1,356,160 |
|
New Jersey State Housing & Mortgage Finance Agency, |
|
|
1,575 |
|
|
1,637,811 |
|
New Jersey Transportation Trust Fund Authority, RB, |
|
|
2,000 |
|
|
2,119,140 |
|
|
|
|
|
|
|
5,113,111 |
|
New York 2.9% |
|
|
|
|
|
|
|
New York City Transitional Finance Authority, RB, Fiscal |
|
|
|
|
|
|
|
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 |
|
|
75 |
|
|
75,415 |
|
Puerto Rico 2.1% |
|
|
|
|
|
|
|
Puerto Rico Highway & Transportation Authority, Refunding |
|
|
1,170 |
|
|
1,237,813 |
|
Puerto Rico Sales Tax Financing Corp., RB, First |
|
|
1,350 |
|
|
1,459,985 |
|
|
|
|
|
|
|
2,697,798 |
|
Texas 20.4% |
|
|
|
|
|
|
|
Austin Community College District, RB, Educational |
|
|
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 |
|
|
|
|
|
|
|
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, |
|
|
1,270 |
|
|
1,370,482 |
|
Dallas Area Rapid Transit, Refunding RB, Senior Lien, |
|
|
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., |
|
|
500 |
|
|
560,990 |
|
Lubbock Cooper ISD Texas, GO, School Building (AGC), |
|
|
500 |
|
|
535,605 |
|
North Texas Tollway Authority, RB, System, First Tier, |
|
|
1,500 |
|
|
1,586,160 |
|
North Texas Tollway Authority, Refunding RB, System, |
|
|
|
|
|
|
|
(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., |
|
|
1,000 |
|
|
1,073,930 |
|
|
|
|
|
|
|
25,879,567 |
|
Utah 0.8% |
|
|
|
|
|
|
|
City of Riverton Utah, RB, IHC Health Services Inc., |
|
|
1,000 |
|
|
1,005,190 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Virginia 0.9% |
|
|
|
|
|
|
|
Virginia Public School Authority, RB, School Financing, |
|
$ |
1,000 |
|
$ |
1,137,710 |
|
Washington 1.6% |
|
|
|
|
|
|
|
City of Seattle Washington, Refunding RB, Series A, |
|
|
1,025 |
|
|
1,114,605 |
|
State of Washington, GO, Various Purpose, Series B, |
|
|
795 |
|
|
871,002 |
|
|
|
|
|
|
|
1,985,607 |
|
Total Municipal Bonds 109.0% |
|
|
|
|
|
138,196,451 |
|
|
|
|
|
|
|
|
|
|
|||||||
Municipal Bonds Transferred to |
|
|
|
|
|
|
|
Alabama 1.2% |
|
|
|
|
|
|
|
Mobile Board of Water & Sewer Commissioners, RB |
|
|
1,500 |
|
|
1,542,810 |
|
California 11.0% |
|
|
|
|
|
|
|
San Diego Community College District California, GO, |
|
|
2,500 |
|
|
2,580,900 |
|
San Marcos Unified School District, GO, Election of 2010, |
|
|
10,680 |
|
|
11,349,850 |
|
|
|
|
|
|
|
13,930,750 |
|
District of Columbia 0.7% |
|
|
|
|
|
|
|
District of Columbia Water & Sewer Authority, RB, |
|
|
760 |
|
|
899,181 |
|
Florida 10.8% |
|
|
|
|
|
|
|
City of Jacksonville Florida, RB, Better Jacksonville |
|
|
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 |
|
|
2,999 |
|
|
3,071,313 |
|
Illinois State Toll Highway Authority, RB, Series B, 5.50%, |
|
|
2,999 |
|
|
3,129,409 |
|
|
|
|
|
|
|
6,200,722 |
|
Kentucky 0.8% |
|
|
|
|
|
|
|
Kentucky State Property & Building Commission, |
|
|
898 |
|
|
972,914 |
|
Nevada 1.8% |
|
|
|
|
|
|
|
Clark County Water Reclamation District, GO, Limited Tax, |
|
|
2,000 |
|
|
2,240,780 |
|
New Jersey 0.8% |
|
|
|
|
|
|
|
New Jersey EDA, RB, School Facilities Construction, |
|
|
1,000 |
|
|
1,093,560 |
|
Texas 1.9% |
|
|
|
|
|
|
|
North Texas Tollway Authority, RB, Special Projects, |
|
|
2,310 |
|
|
2,484,752 |
|
Total
Municipal Bonds Transferred to |
|
|
|
|
|
43,014,158 |
|
Total
Long-Term Investments |
|
|
|
|
|
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 |
|
|
|
|
|
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 |
|
|
|
|
|
(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 |
|
Net |
|
Shares
Held at |
|
Income |
|
||||
FFI Institutional |
|
|
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 |
|
Unrealized |
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 Trusts 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 Trusts perceived risk of investing in those securities. For information about the Trusts 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 Trusts 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
Value |
|
||
Alabama 3.8% |
|
|
|
|
|
|
|
Alabama State Docks Department, Refunding RB, |
|
$ |
3,800 |
|
$ |
3,984,034 |
|
Birmingham Airport Authority, RB (AGM), 5.50%, |
|
|
5,800 |
|
|
6,046,674 |
|
Birmingham Special Care Facilities Financing Authority, |
|
|
1,495 |
|
|
1,618,487 |
|
County of Jefferson Alabama, RB, Series A 4.75%, |
|
|
2,800 |
|
|
2,310,112 |
|
|
|
|
|
|
|
13,959,307 |
|
Arizona 1.0% |
|
|
|
|
|
|
|
Salt River Project Agricultural Improvement & Power |
|
|
1,500 |
|
|
1,563,495 |
|
State of Arizona, COP, Department of Administration, |
|
|
|
|
|
|
|
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 |
|
|
625 |
|
|
641,981 |
|
California Infrastructure & Economic Development Bank, |
|
|
10,100 |
|
|
12,662,976 |
|
Coast Community College District California, GO, |
|
|
|
|
|
|
|
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 |
|
|
1,100 |
|
|
1,121,065 |
|
Golden State Tobacco Securitization Corp. California, |
|
|
|
|
|
|
|
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, |
|
|
3,500 |
|
|
3,184,440 |
|
Metropolitan Water District of Southern California, RB, |
|
|
17,500 |
|
|
17,817,800 |
|
Monterey Peninsula Community College District, GO, |
|
|
|
|
|
|
|
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), |
|
|
2,500 |
|
|
2,614,400 |
|
San Diego Unified School District California, GO, CAB, |
|
|
2,000 |
|
|
364,120 |
|
San Francisco City & County Public Utilities Commission, |
|
|
|
|
|
|
|
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 |
|
|
53,000 |
|
|
10,012,230 |
|
San Jose Unified School District Santa Clara County |
|
|
2,350 |
|
|
2,431,757 |
|
|
|
|
|
|
|
104,557,307 |
|
Colorado 0.3% |
|
|
|
|
|
|
|
Regional Transportation District, COP, Series A, 5.38%, |
|
|
960 |
|
|
1,013,731 |
|
District of Columbia 2.4% |
|
|
|
|
|
|
|
District of Columbia Tobacco Settlement Financing Corp., |
|
|
9,500 |
|
|
8,939,120 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Florida 15.3% |
|
|
|
|
|
|
|
Broward County School Board Florida, COP, Series A |
|
$ |
2,000 |
|
$ |
2,051,760 |
|
County of Broward Florida, RB, Series A, 5.25%, |
|
|
6,750 |
|
|
7,222,770 |
|
County of Duval Florida, COP, Master Lease Program |
|
|
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%, |
|
|
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), |
|
|
1,300 |
|
|
1,327,820 |
|
Florida Housing Finance Corp., RB, Homeowner Mortgage, |
|
|
3,800 |
|
|
3,928,022 |
|
Florida State Department of Environmental Protection, |
|
|
7,500 |
|
|
7,916,625 |
|
Miami-Dade County School Board, COP, RB, Series B |
|
|
1,135 |
|
|
1,188,141 |
|
Orange County School Board, COP, Series A (AGC), |
|
|
6,090 |
|
|
6,400,529 |
|
Sarasota County Public Hospital District, RB, Sarasota |
|
|
300 |
|
|
305,775 |
|
South Florida Water Management District, COP (AMBAC), |
|
|
1,000 |
|
|
1,010,230 |
|
Tohopekaliga Water Authority, Refunding RB, Series A, |
|
|
2,000 |
|
|
2,122,100 |
|
|
|
|
|
|
|
56,691,743 |
|
Georgia 2.5% |
|
|
|
|
|
|
|
City of Atlanta Georgia, Refunding RB, General, Series C, |
|
|
7,500 |
|
|
8,551,650 |
|
Gwinnett County Hospital Authority, Refunding RB, |
|
|
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, |
|
|
2,500 |
|
|
2,650,500 |
|
Chicago Park District, GO, Harbor Facilities, Series C, |
|
|
600 |
|
|
627,894 |
|
City of Chicago Illinois, RB, Series A (AGC), 5.00%, |
|
|
7,310 |
|
|
7,404,518 |
|
County of Cook Illinois, GO, Refunding, Series A, 5.25%, |
|
|
1,475 |
|
|
1,559,813 |
|
Illinois Municipal Electric Agency, RB, Series A (NPFGC), |
|
|
1,350 |
|
|
1,424,007 |
|
Railsplitter Tobacco Settlement Authority, RB, 6.00%, |
|
|
710 |
|
|
725,691 |
|
|
|
|
|
|
|
14,392,423 |
|
Indiana 2.1% |
|
|
|
|
|
|
|
Indiana Finance Authority, Refunding RB, First Lien, |
|
|
1,100 |
|
|
1,142,097 |
|
Indiana Municipal Power Agency, RB, Series B, 5.75%, |
|
|
450 |
|
|
461,596 |
|
Indianapolis Local Public Improvement Bond Bank, |
|
|
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 |
|
Value |
|
||
Iowa 1.4% |
|
|
|
|
|
|
|
Iowa Finance Authority, RB, Series A (AGC), 5.63%, |
|
$ |
5,000 |
|
$ |
5,236,350 |
|
Kentucky 0.4% |
|
|
|
|
|
|
|
Kentucky State Property & Buildings Commission, |
|
|
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%, |
|
|
2,900 |
|
|
3,013,448 |
|
System, Second Lien, Series B (NPFGC), 5.00%, |
|
|
100 |
|
|
95,743 |
|
City of Detroit Michigan, Refunding RB, Second Lien, |
|
|
3,000 |
|
|
3,201,930 |
|
Kalamazoo Hospital Finance Authority, RB, Bronson |
|
|
465 |
|
|
473,747 |
|
Lansing Board of Water & Light, RB, Series A, 5.50%, |
|
|
1,100 |
|
|
1,192,928 |
|
Michigan State Building Authority, RB, Refunding |
|
|
|
|
|
|
|
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, |
|
|
|
|
|
|
|
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 |
|
|
4,100 |
|
|
4,208,199 |
|
New Jersey 0.9% |
|
|
|
|
|
|
|
New Jersey Transportation Trust Fund Authority, RB, |
|
|
3,000 |
|
|
3,186,360 |
|
New York 1.0% |
|
|
|
|
|
|
|
New York City Transitional Finance Authority, RB, Fiscal |
|
|
1,950 |
|
|
2,095,119 |
|
New York State Dormitory Authority, ERB, Series B, |
|
|
1,300 |
|
|
1,455,753 |
|
|
|
|
|
|
|
3,550,872 |
|
North Carolina 0.9% |
|
|
|
|
|
|
|
North Carolina Medical Care Commission, RB, Novant |
|
|
3,875 |
|
|
3,370,552 |
|
Ohio 0.5% |
|
|
|
|
|
|
|
County of Lucas Ohio, Refunding RB, Promedica |
|
|
610 |
|
|
683,426 |
|
Ohio Higher Educational Facility Commission, Refunding |
|
|
1,125 |
|
|
1,131,232 |
|
|
|
|
|
|
|
1,814,658 |
|
Pennsylvania 0.2% |
|
|
|
|
|
|
|
Pennsylvania Turnpike Commission, RB, Subordinate, |
|
|
625 |
|
|
712,506 |
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
Puerto Rico 1.8% |
|
|
|
|
|
|
|
Puerto Rico Sales Tax Financing Corp., RB, First |
|
|
|
|
|
|
|
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., |
|
|
2,625 |
|
|
2,909,419 |
|
South Carolina 1.5% |
|
|
|
|
|
|
|
South Carolina Jobs-EDA, Refunding RB, Palmetto |
|
|
260 |
|
|
282,766 |
|
South Carolina State Ports Authority, RB, 5.25%, |
|
|
5,000 |
|
|
5,200,250 |
|
|
|
|
|
|
|
5,483,016 |
|
Tennessee 3.3% |
|
|
|
|
|
|
|
Knox County Health Educational & Housing Facilities |
|
|
|
|
|
|
|
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, |
|
|
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%, |
|
|
2,500 |
|
|
2,595,075 |
|
Coppell ISD Texas, GO, Refunding, CAB (PSF-GTD), |
|
|
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 |
|
|
5,510 |
|
|
5,668,082 |
|
Harris County-Houston Sports Authority, Refunding RB |
|
|
|
|
|
|
|
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 |