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: 08/31/2012

 

Date of reporting period: 02/29/2012

 

Item 1 – Report to Stockholders


 

 

(BLACKROCK LOGO)

February 29, 2012


 

Semi-Annual Report (Unaudited)

 

BlackRock Municipal Bond Investment Trust (BIE)

 

BlackRock Municipal Bond Trust (BBK)

 

BlackRock Municipal Income Investment Quality Trust (BAF)

 

BlackRock Municipal Income Quality Trust (BYM)

 

BlackRock Municipal Income Trust II (BLE)

 

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

BlackRock MuniVest Fund, Inc. (MVF)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

Table of Contents


 

 

 

Page

 

 

Dear Shareholder

3

Semi-Annual Report:

 

Municipal Market Overview

4

Trust Summaries

5

The Benefits and Risks of Leveraging

12

Derivative Financial Instruments

12

Financial Statements:

 

Schedules of Investments

13

Statements of Assets and Liabilities

43

Statements of Operations

44

Statements of Changes in Net Assets

45

Statements of Cash Flows

47

Financial Highlights

49

Notes to Financial Statements

56

Officers and Trustees

65

Additional Information

66


 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Dear Shareholder

Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europe’s rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.

Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nation’s debt. Nevertheless, considerable head-winds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.

Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.

Sincerely

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

(PHOTO OF ROB KAPITO)

“For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.”

Rob Kapito
President, BlackRock Advisors, LLC

 

 

Total Returns as of February 29, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

13.31

%

 

5.12

%

 

US small cap equities
(Russell 2000® Index)

 

12.40

 

 

(0.15

)

 

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

 

4.13

 

 

(7.45

)

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

5.27

 

 

(0.11

)

 

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

 

0.00

 

 

0.08

 

 

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

 

3.70

 

 

17.22

 

 

US investment grade bonds
(Barclays US Aggregate
Bond Index)

 

2.73

 

 

8.37

 

 

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

 

5.93

 

 

12.88

 

 

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

 

8.62

 

 

6.92

 

 

 

 

 

 

 

 

 

 

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


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

Municipal Market Overview

 

For the 12-Month Period Ended February 29, 2012

One year ago, the municipal bond market was steadily recovering from a difficult fourth quarter of 2010 that brought severe losses amid a steepening US Treasury yield curve and a flood of inflated headlines about municipal finance troubles. Retail investors had lost confidence in municipals and retreated from the market. Political uncertainty surrounding the midterm elections and tax policies exacerbated the situation. These conditions combined with seasonal illiquidity weakened willful market participation from the trading community. December 2010 brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the Build America Bond program was retired. This supply-demand imbalance led to wider quality spreads and higher yields for municipal bonds heading into 2011.

(LINE GRAPH)

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in the first half of 2011. From the middle of November 2010, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June 2011. However, weak demand was counterbalanced by lower supply in 2011. According to Thomson Reuters, new issuance was down 32% in 2011 as compared to the prior year. While these technical factors were improving, municipalities were struggling to balance their budgets, although the late-2010 predictions for widespread municipal defaults did not materialize. Other concerns that resonated at the beginning of the year, such as rising interest rates, weakening credits and higher rates of inflation, abated as these scenarios also did not come to fruition.

On August 5, 2011, Standard & Poor’s (“S&P”) downgraded the US government’s credit rating from AAA to AA+. While this led to the downgrade of approximately 11,000 municipal issues directly tied to the US debt rating, this represented a very small fraction of the municipal market and said nothing about the individual municipal credits themselves. In fact, demand for municipal bonds increased as severe volatility in US equities drove investors to more stable asset classes. The municipal market benefited from an exuberant Treasury market and continued muted new issuance. As supply remained constrained, demand from both traditional and non-traditional buyers was strong, pushing long-term municipal bond yields lower and sparking a curve-flattening trend that continued through year end. Ultimately, 2011 was one of the strongest performance years in municipal market history. The S&P Municipal Bond Index returned 10.62% in 2011, making municipal bonds a top-performing fixed income asset class for the year.

Market technicals often begin a new year quite strong, only to moderate by the end of February as increasing supply begins to satisfy demand. This theme remained intact for 2012. Overall, the municipal yield curve flattened during the period from February 28, 2011 to February 29, 2012. As measured by Thomson Municipal Market Data, yields declined by 146 basis points (“bps”) to 3.23% on AAA-rated 30-year municipal bonds and by 112 bps to 1.85% on 10-year bonds, while yields on 5-year issues fell 108 bps to 0.68%. While the entire municipal curve flattened over the 12-month time period, the spread between 2- and 30-year maturities tightened by 101 bps, and in the 2- to 10-year range, the spread tightened by 67 bps.

The fundamental picture for municipalities continues to improve. Austerity has been the general theme across the country, while a small number of states continue to rely on a “kick-the-can” approach to close their budget shortfalls, with aggressive revenue projections and accounting gimmicks. It has been over a year since the first highly publicized interview about the fiscal problems plaguing state and local governments. Thus far, the prophecy of widespread defaults across the municipal market has not materialized. In 2011, there were fewer municipal defaults than seen in 2010. Throughout 2011 monetary defaults in the S&P Municipal Bond Index totaled roughly $805 million, representing less than 0.48% of the index. BlackRock maintains the view that municipal bond defaults will remain in the periphery and the overall market is fundamentally sound. We continue to recognize that careful credit research and security selection remain imperative amid uncertainty in this economic environment.

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

 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Bond Investment Trust


 

 

Trust Overview

 

 

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

 

 

 

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

 

 

Performance

 

 

For the six months ended February 29, 2012, the Trust returned 17.53% based on market price and 13.50% 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 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter-term rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health, transportation and education sectors experienced the strongest price appreciation.

 

 

 

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

 

 

Trust Information

 

 

Symbol on New York Stock Exchange (“NYSE”)

BIE

Initial Offering Date

April 30, 2002

Yield on Closing Market Price as of February 29, 2012 ($16.19)1

6.00%

Tax Equivalent Yield2

9.23%

Current Monthly Distribution per Common Share3

$0.0810

Current Annualized Distribution per Common Share3

$0.9720

Economic Leverage as of February 29, 20124

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$16.19

 

$14.22

 

13.85%

 

$16.60

 

$14.18

 

Net Asset Value

 

$16.13

 

$14.67

 

9.95%

 

$16.19

 

$14.67

 

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

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

2/29/12

 

8/31/11

Transportation

21

%

 

21

%

County/City/Special District/School District

21

 

 

17

 

Utilities

17

 

 

19

 

Health

15

 

 

23

 

State

10

 

 

6

 

Education

9

 

 

7

 

Housing

5

 

 

5

 

Corporate

1

 

 

1

 

Tobacco

1

 

 

1

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

AAA/Aaa

11

%

 

10

%

AA/Aa

64

 

 

62

 

A

19

 

 

21

 

BBB/Baa

5

 

 

6

 

BB/Ba

 

 

1

 

Not Rated

1

 

 

 


 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

5




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Bond Trust

 

Trust Overview


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

 

 

 

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

 

Performance


For the six months ended February 29, 2012, the Trust returned 17.13% based on market price and 14.84% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium 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. During the period, the Trust benefited from the declining interest rate environment (bond prices rise when interest rates fall), the flattening of the yield curve (long-term interest rates fell more than short and intermediate rates) and tightening of credit spreads. The Trust’s exposure to zero-coupon bonds and the health sector had a significant impact on performance as these holdings derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

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

 

Trust Information


 

 

Symbol on NYSE

BBK

Initial Offering Date

April 30, 2002

Yield on Closing Market Price as of February 29, 2012 ($16.81)1

6.32%

Tax Equivalent Yield2

9.72%

Current Monthly Distribution per Common Share3

$0.0885

Current Annualized Distribution per Common Share3

$1.0620

Economic Leverage as of February 29, 20124

35%


 

 

 

 

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$16.81

 

$14.86

 

13.12%

 

$17.44

 

$14.80

 

Net Asset Value

 

$16.06

 

$14.48

 

10.91%

 

$16.10

 

$14.48

 

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

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Health

 

 

20

%

 

 

21

%

 

State

 

 

15

 

 

 

14

 

 

Education

 

 

13

 

 

 

10

 

 

County/City/Special District/School District

 

 

13

 

 

 

12

 

 

Transportation

 

 

12

 

 

 

10

 

 

Housing

 

 

10

 

 

 

14

 

 

Corporate

 

 

9

 

 

 

10

 

 

Utilities

 

 

5

 

 

 

7

 

 

Tobacco

 

 

3

 

 

 

2

 

 


 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

6

%

 

 

11

%

 

AA/Aa

 

 

39

 

 

 

35

 

 

A

 

 

25

 

 

 

18

 

 

BBB/Baa

 

 

18

 

 

 

22

 

 

BB/Ba

 

 

5

 

 

 

1

 

 

B

 

 

1

 

 

 

6

 

 

CCC/Caa

 

 

 

 

 

1

 

 

Not Rated6

 

 

6

 

 

 

6

 

 


 

 

 

 

5

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

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $3,120,455, representing 1%, and $4,646,558, representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Income Investment Quality Trust

 

Trust Overview

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

 

 

 

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

 

 

 

Performance

 

 

For the six months ended February 29, 2012, the Trust returned 16.65% based on market price and 13.40% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter-term rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health, transportation and education sectors experienced the strongest price appreciation.

 

 

 

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

 

Trust Information


 

 

Symbol on NYSE

BAF

Initial Offering Date

October 31, 2002

Yield on Closing Market Price as of February 29, 2012 ($15.76)1

5.67%

Tax Equivalent Yield2

8.72%

Current Monthly Distribution per Common Share3

$0.0745

Current Annualized Distribution per Common Share3

$0.8940

Economic Leverage as of February 29, 20124

35%


 

 

 

 

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$15.76

 

$13.92

 

13.22%

 

$16.17

 

$13.76

Net Asset Value

 

$15.96

 

$14.50

 

10.07%

 

$16.01

 

$14.50

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

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

County/City/Special District/School District

 

 

29

%

 

 

34

%

 

Utilities

 

 

29

 

 

 

22

 

 

Transportation

 

 

17

 

 

 

16

 

 

Health

 

 

11

 

 

 

9

 

 

Education

 

 

6

 

 

 

9

 

 

State

 

 

6

 

 

 

8

 

 

Housing

 

 

1

 

 

 

1

 

 

Tobacco

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

7

%

 

 

14

%

 

AA/Aa

 

 

78

 

 

 

70

 

 

A

 

 

14

 

 

 

12

 

 

BBB/Baa

 

 

1

 

 

 

4

 

 


 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

7




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Income Quality Trust

 

Trust Overview

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

 

 

 

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

 

 

 

Performance

 

 

For the six months ended February 29, 2012, the Trust returned 17.33% based on market price and 13.28% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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. During the period, the Trust benefited from the declining interest rate environment (bond prices rise when interest rates fall), the flattening of the yield curve (long-term interest rates fell more than short and intermediate rates) and tightening of credit spreads. The Trust’s exposure to zero-coupon bonds and the health sector had a positive impact on performance as these holdings derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

 

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

 

 

 

Trust Information


 

 

Symbol on NYSE

BYM

Initial Offering Date

October 31, 2002

Yield on Closing Market Price as of February 29, 2012 ($15.75)1

5.87%

Tax Equivalent Yield2

9.03%

Current Monthly Distribution per Common Share3

$0.0770

Current Annualized Distribution per Common Share3

$0.9240

Economic Leverage as of February 29, 20124

36%


 

 

 

 

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 Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0780 per share. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$15.75

 

$13.85

 

13.72%

 

$15.86

 

$13.76

Net Asset Value

 

$15.47

 

$14.09

 

9.79%

 

$15.52

 

$14.09

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

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Transportation

 

 

23

%

 

 

24

%

 

County/City/Special District/School District

 

 

20

 

 

 

18

 

 

Utilities

 

 

18

 

 

 

21

 

 

State

 

 

15

 

 

 

14

 

 

Health

 

 

9

 

 

 

8

 

 

Education

 

 

6

 

 

 

6

 

 

Tobacco

 

 

5

 

 

 

6

 

 

Corporate

 

 

3

 

 

 

2

 

 

Housing

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

28

%

 

 

21

%

 

AA/Aa

 

 

49

 

 

 

58

 

 

A

 

 

14

 

 

 

13

 

 

BBB/Baa

 

 

9

 

 

 

8

 

 


 

 

 

 

5

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


 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Income Trust II

 

 

Trust Overview

 


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

 

 

 

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

 

 

Performance

For the six months ended February 29, 2012, the Trust returned 15.47% based on market price and 13.99% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium 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. Among contributing factors, the most significant were the Trust’s duration profile (sensitivity to interest rate movements) and yield curve positioning, both of which were designed to benefit in an environment where interest rates moved broadly lower and, more specifically, where long-term municipal yields decline relative to short-term yields. Security selection and sector allocation also provided meaningful contributions to the Trust’s performance. Most notably, the Trust’s holdings in transportation, health and tobacco boosted returns as these sectors outperformed the broader market during the period. The Trust’s investments in local municipalities and school districts within the tax-backed sector were a modest drag on returns as these segments tended to underperform the overall market.

 

 

 

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

 

 

Trust Information


 

 

 

 

 

 

Symbol on NYSE Amex

 

 

BLE

 

 

Initial Offering Date

 

 

July 30, 2002

 

 

Yield on Closing Market Price as of February 29, 2012 ($15.77)1

 

 

6.35%

 

 

Tax Equivalent Yield2

 

 

9.77%

 

 

Current Monthly Distribution per Common Share3

 

$

0.0835

 

 

Current Annualized Distribution per Common Share3

 

$

1.0020

 

 

Economic Leverage as of February 29, 20124

 

 

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 Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0850 per share. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.77

 

$

14.13

 

 

11.61%

 

$

16.05

 

$

13.85

 

Net Asset Value

 

$

15.38

 

$

13.96

 

 

10.17%

 

$

15.40

 

$

13.96

 


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Health

 

 

19

%

 

 

21

%

 

Transportation

 

 

17

 

 

 

13

 

 

State

 

 

16

 

 

 

16

 

 

Utilities

 

 

14

 

 

 

13

 

 

Corporate

 

 

9

 

 

 

10

 

 

County/City/Special District

 

 

9

 

 

 

10

 

 

Education

 

 

8

 

 

 

8

 

 

Tobacco

 

 

5

 

 

 

4

 

 

Housing

 

 

3

 

 

 

5

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

10

%

 

 

10

%

 

AA/Aa

 

 

34

 

 

 

32

 

 

A

 

 

27

 

 

 

26

 

 

BBB/Baa

 

 

17

 

 

 

16

 

 

BB/Ba

 

 

2

 

 

 

5

 

 

B

 

 

3

 

 

 

4

 

 

Not Rated6

 

 

7

 

 

 

7

 

 


 

 

 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $15,304,944, representing 3%, and $11,677,703, representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


9




 

 

 

 

 

Trust Summary as of February 29, 2012

BlackRock MuniHoldings Investment Quality Fund


 

 

Trust Overview

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

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

 

Performance

For the six months ended February 29, 2012, the Trust returned 14.18% based on market price and 13.02% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter-term rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health, transportation and education sectors experienced the strongest price appreciation.

 

 

 

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

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

Symbol on NYSE

 

 

MFL

 

Initial Offering Date

 

 

September 26, 1997

 

Yield on Closing Market Price as of February 29, 2012 ($15.31)1

 

 

6.00%

 

Tax Equivalent Yield2

 

 

9.23%

 

Current Monthly Distribution per Common Share3

 

 

$0.0765

 

Current Annualized Distribution per Common Share3

 

 

$0.9180

 

Economic Leverage as of February 29, 20124

 

 

39%

 


 

 

 

 

1

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

 

 

2

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

 

 

3

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

 

 

4

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


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.31

 

$

13.84

 

 

10.62%

 

$

15.39

 

$

13.20

 

Net Asset Value

 

$

15.33

 

$

14.00

 

 

9.50%

 

$

15.40

 

$

14.00

 


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Transportation

 

 

24

%

 

 

25

%

 

Utilities

 

 

21

 

 

 

25

 

 

County/City/Special District/School District

 

 

21

 

 

 

18

 

 

State

 

 

11

 

 

 

10

 

 

Health

 

 

10

 

 

 

11

 

 

Education

 

 

9

 

 

 

6

 

 

Housing

 

 

3

 

 

 

4

 

 

Tobacco

 

 

1

 

 

 

1

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

9

%

 

 

12

%

 

AA/Aa

 

 

76

 

 

 

72

 

 

A

 

 

14

 

 

 

12

 

 

BBB/Baa

 

 

1

 

 

 

2

 

 

Not Rated6

 

 

 

 

 

2

 

 


 

 

 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $1,114,020 and $3,979,631, each representing less than 1%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 


10


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

 

Trust Summary as of February 29, 2012

BlackRock MuniVest Fund, Inc.


 

 

Trust Overview

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

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

 

 

Performance

For the six months ended February 29, 2012, the Trust returned 14.27% based on market price and 11.65% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium 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. During the period, municipal bond prices generally rose as the yield curve flattened (longer-term interest rates fell more than shorter-term rates) and credit spreads tightened. Given these market conditions, the Fund’s exposure to longer-maturity bonds and lower-quality investment grade bonds had a significant positive impact on the Fund’s performance. The Fund’s exposure to zero-coupon bonds and the health sector also boosted returns as these types of bonds derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

 

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

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

Symbol on NYSE Amex

 

 

MVF

 

Initial Offering Date

 

September 29, 1988

Yield on Closing Market Price as of February 29, 2012 ($10.73)1

 

 

6.60%

 

Tax Equivalent Yield2

 

 

10.15%

 

Current Monthly Distribution per Common Share3

 

$

0.0590

 

Current Annualized Distribution per Common Share3

 

$

0.7080

 

Economic Leverage as of February 29, 20124

 

 

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


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

10.73

 

$

9.73

 

 

10.28%

 

$

10.99

 

$

9.63

 

Net Asset Value

 

$

10.29

 

$

9.55

 

 

7.75%

 

$

10.32

 

$

9.55

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Health

 

 

23

%

 

 

23

%

 

Transportation

 

 

19

 

 

 

17

 

 

Corporate

 

 

12

 

 

 

13

 

 

Utilities

 

 

12

 

 

 

12

 

 

County/City/Special District/School District

 

 

9

 

 

 

9

 

 

Education

 

 

9

 

 

 

9

 

 

State

 

 

8

 

 

 

8

 

 

Housing

 

 

6

 

 

 

7

 

 

Tobacco

 

 

2

 

 

 

2

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

 

 

8/31/11

 

 

AAA/Aaa

 

 

   12%

 

 

 

   12%

 

 

AA/Aa

 

 

47

 

 

 

46

 

 

A

 

 

24

 

 

 

22

 

 

BBB/Baa

 

 

14

 

 

 

15

 

 

BB/Ba

 

 

 

 

 

1

 

 

B

 

 

1

 

 

 

1

 

 

Not Rated6

 

 

2

 

 

 

3

 

 


 

 

 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $19,911,457 and $22,724,541, each representing2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


11




 

 

The Benefits and Risks of Leveraging

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

To obtain leverage, the Trusts issue Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) and previously issued and had outstanding Auction Market Preferred Shares (“AMPS”) (VRDP Shares, VMTP Shares, and as applicable AMPS, are collectively referred to as “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Trusts invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

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

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

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

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

The use of leverage may enhance opportunities for increased income to the Trusts and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by rating 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, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). In addition, each Trust voluntarily limits its economic leverage to 45% of its total managed assets for Trusts with VRDP Shares or VMTP Shares. As of February 29, 2012, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

Percent of
Economic
Leverage

BIE

38%

BBK

35%

BAF

35%

BYM

36%

BLE

38%

MFL

39%

MVF

40%


 

 

Derivative Financial Instruments

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

 

 

 

 

 

 

12

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma IDB, RB, International Paper Co. Project, Series A,
5.38%, 12/01/35

 

$

145

 

$

151,883

 

Alaska — 0.3%

 

 

 

 

 

 

 

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

 

 

180

 

 

131,441

 

California — 10.6%

 

 

 

 

 

 

 

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

 

 

700

 

 

798,672

 

California Health Facilities Financing Authority, RB,
Scripps Health, Series A, 5.00%, 11/15/40

 

 

90

 

 

97,782

 

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

 

 

120

 

 

137,341

 

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

 

 

950

 

 

998,412

 

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

 

 

1,660

 

 

1,892,782

 

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

 

 

850

 

 

943,067

 

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

 

 

685

 

 

820,048

 

 

 

 

 

 

 

5,688,104

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

580

 

 

640,256

 

Delaware — 1.3%

 

 

 

 

 

 

 

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

 

 

655

 

 

705,468

 

District of Columbia — 1.4%

 

 

 

 

 

 

 

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

 

 

640

 

 

747,418

 

Florida — 1.7%

 

 

 

 

 

 

 

Orange County Health Facilities Authority, RB,
The Nemours Foundation Project, Series A,
5.00%, 1/01/29

 

 

415

 

 

453,076

 

Village Community Development District No. 9, RB,
Special Assessment Revenue, 5.25%, 5/01/31

 

 

475

 

 

480,491

 

 

 

 

 

 

 

933,567

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Georgia — 1.2%

 

 

 

 

 

 

 

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

 

$

555

 

$

667,837

 

Illinois — 11.7%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

500

 

 

566,100

 

5.00%, 12/01/41

 

 

565

 

 

609,285

 

Chicago Transit Authority, RB, Sales Tax Receipts
Revenue, 5.25%, 12/01/36

 

 

165

 

 

183,629

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

O’Hare International Airport Revenue, General,
Third Lien, Series C, (AGM), 6.50%, 1/01/41

 

 

1,590

 

 

1,913,629

 

Sales Tax Revenue, Series A, 5.25%, 1/01/38

 

 

205

 

 

229,737

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

750

 

 

823,162

 

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

 

 

270

 

 

289,478

 

Northwestern Memorial Hospital, 6.00%, 8/15/39

 

 

1,000

 

 

1,148,040

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

365

 

 

420,400

 

6.00%, 6/01/28

 

 

105

 

 

117,482

 

 

 

 

 

 

 

6,300,942

 

Indiana — 5.4%

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater Utility, RB,
First Lien, CWA Authority Project, Series A, 5.25%,
10/01/31

 

 

770

 

 

880,965

 

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

 

 

1,190

 

 

1,353,208

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

605

 

 

688,599

 

 

 

 

 

 

 

2,922,772

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

140

 

 

107,930

 

Kansas — 1.9%

 

 

 

 

 

 

 

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

 

 

900

 

 

1,038,420

 

Kentucky — 3.8%

 

 

 

 

 

 

 

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

 

 

350

 

 

392,501

 


 

 

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:

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

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

FGIC

Financial Guaranty Insurance Co.

FHA

Federal Housing Administration

GARB

General Airport Revenue Bonds

GO

General Obligation Bonds

HDA

Housing Development Authority

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDB

Industrial Development Board

ISD

Independent School District

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PSF-GTD

Permanent School Fund Guaranteed

Q-SBLF

Qualified School Bond Loan Fund

RB

Revenue Bonds

S/F

Single Family

SBPA

Stand-by Purchase Agreement

VRDN

Variable Rate Demand Notes


 

 

 

 

See Notes to Financial Statements.

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

13




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Kentucky (concluded)

 

 

 

 

 

 

 

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

 

$

675

 

$

723,114

 

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

 

 

800

 

 

928,360

 

 

 

 

 

 

 

2,043,975

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

380

 

 

424,498

 

Maine — 1.5%

 

 

 

 

 

 

 

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

 

 

675

 

 

776,763

 

Massachusetts — 1.3%

 

 

 

 

 

 

 

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

 

 

375

 

 

427,144

 

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

 

 

250

 

 

279,777

 

 

 

 

 

 

 

706,921

 

Michigan — 3.4%

 

 

 

 

 

 

 

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

 

 

485

 

 

561,678

 

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

 

 

500

 

 

570,175

 

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

 

 

530

 

 

667,599

 

 

 

 

 

 

 

1,799,452

 

Multi-State — 6.1%

 

 

 

 

 

 

 

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

 

 

3,000

 

 

3,274,380

 

Nevada — 7.9%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,162,530

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

Motor Vehicle Fuel Tax, 5.00%, 7/01/28

 

 

1,130

 

 

1,265,193

 

Series B, 5.75%, 7/01/42

 

 

1,630

 

 

1,827,214

 

 

 

 

 

 

 

4,254,937

 

New Jersey — 7.1%

 

 

 

 

 

 

 

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

 

 

750

 

 

850,433

 

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

 

 

620

 

 

665,818

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

Series A, 5.88%, 12/15/38

 

 

695

 

 

794,906

 

Series A, 5.50%, 6/15/41

 

 

500

 

 

571,055

 

Series B, 5.25%, 6/15/36

 

 

850

 

 

952,068

 

 

 

 

 

 

 

3,834,280

 

New York — 6.9%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB,
Series A, 5.75%, 2/15/47

 

 

145

 

 

163,833

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Building Aid, Sub-Series 1A, 5.25%, 7/15/37

 

 

1,000

 

 

1,130,290

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

1,000

 

 

1,098,420

 

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

 

 

325

 

 

352,680

 

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

 

 

840

 

 

952,770

 

 

 

 

 

 

 

3,697,993

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania — 8.1%

 

 

 

 

 

 

 

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

 

$

300

 

$

346,380

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,135,580

 

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

 

 

1,500

 

 

1,663,440

 

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

 

 

500

 

 

594,895

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Children’s Hospital of Philadelphia,
Series D, 5.00%, 7/01/32

 

 

575

 

 

635,939

 

 

 

 

 

 

 

4,376,234

 

Texas — 12.0%

 

 

 

 

 

 

 

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

 

 

890

 

 

954,863

 

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

 

 

470

 

 

573,499

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

340

 

 

387,607

 

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

 

 

250

 

 

301,412

 

Lamar Texas Consolidated Independent School District,
GO, Refunding RB, Schoolhouse Improvements,
Series A, 5.00%, 2/15/45 (c)

 

 

350

 

 

395,083

 

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

 

 

900

 

 

1,035,837

 

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

 

 

250

 

 

279,743

 

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

 

 

1,020

 

 

1,165,982

 

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

 

 

500

 

 

566,705

 

University of Texas System, Refunding RB, Financing
System Bonds, Series B, 5.00%, 8/15/43 (c)

 

 

715

 

 

820,420

 

 

 

 

 

 

 

6,481,151

 

Virginia — 1.6%

 

 

 

 

 

 

 

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

 

 

750

 

 

882,300

 

Washington — 3.7%

 

 

 

 

 

 

 

Port of Seattle, Refunding RB, Intermediate Lien,
Series A, 5.00%, 8/01/32 (c)

 

 

1,000

 

 

1,137,520

 

University of Washington, Refunding, RB, Series A,
5.00%, 7/01/41 (c)

 

 

730

 

 

829,703

 

 

 

 

 

 

 

1,967,223

 

Wisconsin — 1.8%

 

 

 

 

 

 

 

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

 

 

890

 

 

962,615

 

Total Municipal Bonds — 103.2%

 

 

 

 

 

55,518,760

 


 

 

 

See Notes to Financial Statements.

 

14

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

California — 19.3%

 

 

 

 

 

 

 

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

 

$

1,005

 

$

1,133,489

 

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

 

 

1,300

 

 

1,419,340

 

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

 

 

 

 

 

 

 

Series A, 6.00%, 8/01/33

 

 

2,079

 

 

2,482,119

 

Series C, 5.25%, 8/01/39

 

 

1,410

 

 

1,616,283

 

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

 

 

200

 

 

221,030

 

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

 

 

2,234

 

 

2,571,339

 

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

 

 

810

 

 

947,141

 

 

 

 

 

 

 

10,390,741

 

District of Columbia — 3.5%

 

 

 

 

 

 

 

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

 

 

735

 

 

879,810

 

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

 

 

899

 

 

1,016,294

 

 

 

 

 

 

 

1,896,104

 

Illinois — 7.4%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,773,735

 

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

 

 

2,000

 

 

2,190,333

 

 

 

 

 

 

 

3,964,068

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, Senior
Lien, Series B, 5.00%, 10/15/41

 

 

790

 

 

886,807

 

Nevada — 3.2%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,743,840

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

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

 

 

585

 

 

664,618

 

New Jersey — 2.0%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,079,640

 

New York — 9.7%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

750

 

 

870,539

 

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

 

 

990

 

 

1,141,631

 

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

 

 

1,000

 

 

1,111,700

 

New York State Liberty Development Corp., RB,
1 World Trade Center Project, 5.25%, 12/15/43

 

 

1,170

 

 

1,312,681

 

New York State Liberty Development Corp., Refunding
RB, 4 World Trade Center Project, 5.75%, 11/15/51

 

 

680

 

 

772,596

 

 

 

 

 

 

 

5,209,147

 

Ohio — 1.7%

 

 

 

 

 

 

 

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

 

 

840

 

 

894,902

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax
Revenue, Series C, 5.25%, 8/01/40

 

 

460

 

 

510,858

 

South Carolina — 2.1%

 

 

 

 

 

 

 

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

 

 

1,005

 

 

1,138,665

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

Texas — 5.2%

 

 

 

 

 

 

 

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

 

$

1,050

 

$

1,205,613

 

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

 

 

1,450

 

 

1,616,199

 

 

 

 

 

 

 

2,821,812

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

460

 

 

512,868

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 58.9%

 

 

 

 

 

31,714,070

 

Total Long-Term Investments
(Cost — $78,705,048) — 162.1%

 

 

 

 

 

87,232,830

 


 

 

 

 

 

 

 

 


Short-Term Securities

 

Shares

 

 

 

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

 

 

3,025,425

 

 

3,025,425

 

Total Short-Term Securities
(Cost — $3,025,425) — 5.6%

 

 

 

 

 

3,025,425

 

Total Investments (Cost — $81,730,473) — 167.7%

 

 

 

 

 

90,258,255

 

Liabilities in Excess of Other Assets — (5.2)%

 

 

 

 

 

(2,808,624

)

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (29.4)%

 

 

 

 

 

(15,825,594

)

VRDP Shares, at Liquidation Value — (33.1)%

 

 

 

 

 

(17,800,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

53,824,037

 


 

 


(a)

 


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.

 

 

(b)

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

 

 

(c)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Barclays Capital Inc.

 

$

829,703

 

$

5,606

 

 

JPMorgan Securities

 

$

1,137,520

 

$

3,280

 

 

Morgan Keegan & Co.

 

$

395,083

 

$

1,491

 

 

Morgan Stanley Co.

 

$

820,420

 

$

7,279

 


 

 

(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 period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

 

Shares Held at
August 31,
2011

 

 

Net
Activity

 

 

Shares Held at
February 29,
2012

 

 

Income

 

 

FFI Institutional
Tax-Exempt Fund

 

 

2,198,525

 

 

826,900

 

 

3,025,425

 

$

231

 


 

 

(f)

Represents the current yield as of report date.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

15




 

 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Investment Trust (BIE)

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

18

 

 

10-Year US

 

 

Chicago

 

 

March

 

$

2,362,781

 

$

(13,815)

 

 

 

 

Treasury Note

 

 

Board of Trade

 

 

2012

 

 

 

 

 

 

 


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

87,232,830

 

 

 

$

87,232,830

 

Short-Term Securities

 

$

3,025,425

 

 

 

 

 

 

3,025,425

 

Total

 

$

3,025,425

 

$

87,232,830

 

 

 

$

90,258,255

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial

 

 

 

 

 

 

 

 

 

 

 

 

 

Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

   Interest rate contracts

 

$

(13,815

)

 

 

 

 

$

(13,815

)


 

 

 

 

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

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 4.1%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.00%, 6/01/34

 

$

1,150

 

$

1,321,614

 

6.00%, 6/01/39

 

 

450

 

 

514,256

 

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

 

 

2,100

 

 

2,214,597

 

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

 

 

2,750

 

 

2,857,277

 

 

 

 

 

 

 

6,907,744

 

Arizona — 8.4%

 

 

 

 

 

 

 

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

 

 

1,750

 

 

1,764,315

 

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

 

 

200

 

 

240,894

 

County of Pinal Arizona Election District No. 3,
Refunding RB, 4.75%, 7/01/31

 

 

3,750

 

 

3,955,237

 

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

 

 

200

 

 

225,954

 

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

 

 

900

 

 

940,212

 

Salt Verde Financial Corp., RB, Senior:

 

 

 

 

 

 

 

5.00%, 12/01/32

 

 

1,500

 

 

1,509,540

 

5.00%, 12/01/37

 

 

2,065

 

 

2,064,835

 

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

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

245

 

 

240,597

 

7.00%, 5/01/20

 

 

300

 

 

300,513

 

7.25%, 5/01/27

 

 

600

 

 

553,608

 

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

 

 

750

 

 

821,768

 

University Medical Center Corp. Arizona, RB:

 

 

 

 

 

 

 

6.00%, 7/01/39

 

 

900

 

 

996,165

 

6.50%, 7/01/39

 

 

500

 

 

566,885

 

 

 

 

 

 

 

14,180,523

 

California — 17.9%

 

 

 

 

 

 

 

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

 

 

4,500

 

 

52,470

 

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

 

 

1,000

 

 

1,092,120

 

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

 

 

1,900

 

 

2,249,353

 

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

 

 

2,285

 

 

2,194,468

 

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

 

 

1,000

 

 

741,600

 

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

 

 

2,000

 

 

2,206,800

 

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

 

 

 

 

 

 

 

5.63%, 8/01/31

 

 

250

 

 

286,740

 

5.75%, 8/01/33

 

 

500

 

 

576,135

 

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

 

 

1,650

 

 

1,089,611

 

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

 

 

8,000

 

 

1,873,600

 

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

 

 

 

 

 

 

 

6.09%, 8/01/30 (a)

 

 

1,500

 

 

614,865

 

6.15%, 8/01/33 (a)

 

 

4,000

 

 

1,100,040

 

6.44%, 8/01/39 (b)

 

 

2,000

 

 

1,066,180

 

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

 

 

2,800

 

 

2,095,772

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

San Jose Evergreen Community College District, GO,
Election of 2010, Series B, 3.50%, 8/01/32

 

$

1,200

 

$

1,165,788

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

5.75%, 4/01/31

 

 

2,000

 

 

2,330,760

 

6.00%, 3/01/33

 

 

1,000

 

 

1,197,150

 

6.50%, 4/01/33

 

 

1,950

 

 

2,398,246

 

5.50%, 3/01/40

 

 

2,350

 

 

2,604,716

 

State of California, GO, Refunding:

 

 

 

 

 

 

 

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

 

 

500

 

 

523,335

 

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

 

 

1,000

 

 

1,015,200

 

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

 

 

1,585

 

 

1,616,431

 

 

 

 

 

 

 

30,091,380

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

1,070

 

 

1,241,767

 

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

 

 

750

 

 

850,350

 

 

 

 

 

 

 

2,092,117

 

Connecticut — 2.3%

 

 

 

 

 

 

 

Connecticut State Health & Educational Facilities
Authority, RB:

 

 

 

 

 

 

 

Hartford Healthcare, Series A, 5.00%, 7/01/32

 

 

1,390

 

 

1,491,762

 

Lawrence & Memorial Hospital, Series F, 5.00%,
7/01/36

 

 

1,100

 

 

1,163,855

 

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

 

 

400

 

 

435,976

 

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

 

 

700

 

 

762,391

 

 

 

 

 

 

 

3,853,984

 

Delaware — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,292,460

 

District of Columbia — 1.5%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,521,325

 

Florida — 6.1%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,141,580

 

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

 

 

7,255

 

 

7,259,643

 

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

 

 

925

 

 

791,338

 

 

 

 

 

 

 

10,192,561

 

Idaho — 1.2%

 

 

 

 

 

 

 

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

 

 

1,750

 

 

2,066,033

 

Illinois — 7.5%

 

 

 

 

 

 

 

Chicago Transit Authority, RB, 5.25%, 12/01/40

 

 

665

 

 

738,369

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

425

 

 

42,500

 

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

 

 

1,285

 

 

1,377,700

 

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

 

 

1,000

 

 

1,086,480

 

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

 

 

650

 

 

770,569

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

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

 

 

210

 

 

180,655

 

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

 

 

1,040

 

 

1,164,966

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

6.25%, 6/01/24

 

 

1,000

 

 

1,114,910

 

6.00%, 6/01/28

 

 

1,150

 

 

1,286,712

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


17




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Village of Bolingbrook Illinois, GO, Refunding, Series B
(NPFGC), 6.23%, 1/01/36 (a)

 

$

21,065

 

$

4,858,221

 

 

 

 

 

 

 

12,621,082

 

Indiana — 1.9%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding RB:

 

 

 

 

 

 

 

5.25%, 10/01/38

 

 

2,000

 

 

2,226,060

 

Improvement, U.S. Steel Corp., 6.00%, 12/01/26

 

 

1,000

 

 

1,020,090

 

 

 

 

 

 

 

3,246,150

 

Iowa — 1.5%

 

 

 

 

 

 

 

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

 

 

875

 

 

951,528

 

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

 

 

 

 

 

 

 

5.75%, 9/01/30

 

 

500

 

 

536,460

 

6.00%, 9/01/39

 

 

1,000

 

 

1,049,030

 

 

 

 

 

 

 

2,537,018

 

Louisiana — 2.5%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District No. 1,
Refunding RB, West Jefferson Medical Center, Series A
(AGM), 6.00%, 1/01/39

 

 

1,450

 

 

1,610,428

 

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

 

 

1,050

 

 

1,172,955

 

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

 

 

400

 

 

433,872

 

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

 

 

1,000

 

 

1,049,080

 

 

 

 

 

 

 

4,266,335

 

Maryland — 1.9%

 

 

 

 

 

 

 

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

 

 

250

 

 

259,597

 

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

 

 

2,900

 

 

3,010,113

 

 

 

 

 

 

 

3,269,710

 

Michigan — 3.4%

 

 

 

 

 

 

 

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

 

 

1,250

 

 

1,444,113

 

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

 

 

1,950

 

 

2,456,259

 

Wayne County Airport Authority, Refunding RB, Airport
Revenue, Series A (AGM), 4.00%, 12/01/20

 

 

1,750

 

 

1,813,682

 

 

 

 

 

 

 

5,714,054

 

Minnesota — 4.3%

 

 

 

 

 

 

 

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

 

 

5,350

 

 

6,291,760

 

Tobacco Securitization Authority Minnesota, Refunding
RB, Tobacco Settlement, Series B, 5.25%, 3/01/31

 

 

800

 

 

870,088

 

 

 

 

 

 

 

7,161,848

 

Mississippi — 3.4%

 

 

 

 

 

 

 

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

 

 

845

 

 

916,876

 

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

 

 

1,750

 

 

1,965,075

 

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

 

 

2,100

 

 

2,347,653

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Mississippi (concluded)

 

 

 

 

 

 

 

Warren County Mississippi, RB, Gulf Opportunity Zone
Bonds (International Paper Company Project),
Series A, AMT, 5.38%, 12/01/35

 

$

400

 

$

419,308

 

 

 

 

 

 

 

5,648,912

 

Missouri — 1.7%

 

 

 

 

 

 

 

Missouri State Development Finance Board, RB,
St. Joseph Sewage System Improvements, 5.25%,
5/01/31

 

 

580

 

 

611,053

 

Missouri State Health & Educational Facilities
Authority, RB:

 

 

 

 

 

 

 

A.T. Still University Health Sciences, 5.25%, 10/01/31

 

 

500

 

 

542,300

 

A.T. Still University Health Sciences, 5.25%, 10/01/41

 

 

650

 

 

693,869

 

Lutheran Senior Services, 6.00%, 2/01/41

 

 

1,000

 

 

1,069,000

 

 

 

 

 

 

 

2,916,222

 

Montana — 0.8%

 

 

 

 

 

 

 

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

 

 

1,350

 

 

1,431,473

 

Multi-State — 6.8%

 

 

 

 

 

 

 

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

 

 

10,500

 

 

11,460,330

 

Nebraska — 2.3%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A, 6.05%, 9/01/41

 

 

990

 

 

1,054,172

 

Omaha Nebraska Sanitation Sewer Revenue,
RB, System:

 

 

 

 

 

 

 

4.25%, 11/15/38

 

 

1,890

 

 

1,978,792

 

4.25%, 11/15/41

 

 

775

 

 

808,185

 

 

 

 

 

 

 

3,841,149

 

Nevada — 1.1%

 

 

 

 

 

 

 

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

 

 

1,295

 

 

1,218,763

 

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

 

 

575

 

 

602,497

 

 

 

 

 

 

 

1,821,260

 

New Jersey — 14.2%

 

 

 

 

 

 

 

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

 

 

915

 

 

81,893

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.50%, 6/15/24

 

 

3,710

 

 

3,730,553

 

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

 

 

3,000

 

 

3,003,780

 

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

 

 

1,500

 

 

1,534,965

 

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

 

 

7,500

 

 

8,319,075

 

New Jersey Educational Facilities Authority, Refunding
RB, University of Medicine & Dentistry, Series B:

 

 

 

 

 

 

 

7.13%, 12/01/23

 

 

630

 

 

778,037

 

7.50%, 12/01/32

 

 

800

 

 

976,448

 

New Jersey Health Care Facilities Financing Authority,
Refunding RB, Barnabas Health, Series A:

 

 

 

 

 

 

 

4.63%, 7/01/23

 

 

510

 

 

516,145

 

5.63%, 7/01/37

 

 

1,700

 

 

1,791,358

 

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

 

 

615

 

 

664,483

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series B, 5.25%, 6/15/36

 

 

1,900

 

 

2,128,152

 

Union County Utilities Authority, Refunding RB, County
Deficiency Agreement, Series A:

 

 

 

 

 

 

 

4.00%, 6/15/32

 

 

250

 

 

262,510

 

5.00%, 6/15/41

 

 

95

 

 

106,219

 

 

 

 

 

 

 

23,893,618

 


 

 

 

 

See Notes to Financial Statements.


18

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

New York — 5.8%

 

 

 

 

 

 

 

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

 

$

455

 

$

104,659

 

Hudson New York Yards Infrastructure Corp., RB,
Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

250

 

 

257,255

 

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

 

 

1,000

 

 

1,029,020

 

(NPFGC), 4.50%, 2/15/47

 

 

750

 

 

738,293

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport, AMT,
7.75%, 8/01/31 (c)(d)(g)

 

 

3,165

 

 

2,990,925

 

New York Convention Center Development Corp., RB
(AMBAC), 4.75%, 11/15/45

 

 

1,000

 

 

1,007,710

 

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

 

 

800

 

 

868,136

 

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

 

 

1,000

 

 

1,169,450

 

Westchester County Healthcare Corp. New York, RB,
Senior Lien, Series A, Remarketing, 5.00%, 11/01/30

 

 

1,500

 

 

1,581,075

 

 

 

 

 

 

 

9,746,523

 

North Carolina — 5.4%

 

 

 

 

 

 

 

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

 

 

225

 

 

256,592

 

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

 

 

2,945

 

 

2,413,486

 

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

 

 

1,000

 

 

1,050,750

 

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

 

 

4,450

 

 

4,519,287

 

North Carolina Medical Care Commission, Refunding
RB, University Health System, Series D, 6.25%,
12/01/33

 

 

800

 

 

926,600

 

 

 

 

 

 

 

9,166,715

 

Oklahoma — 0.5%

 

 

 

 

 

 

 

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

 

 

1,025

 

 

793,852

 

Oregon — 1.7%

 

 

 

 

 

 

 

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

 

 

505

 

 

505,146

 

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

 

 

750

 

 

852,630

 

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

 

 

 

 

 

 

 

5.00%, 10/01/34

 

 

850

 

 

916,368

 

5.25%, 10/01/40

 

 

500

 

 

541,635

 

 

 

 

 

 

 

2,815,779

 

Pennsylvania — 4.0%

 

 

 

 

 

 

 

County of Allegheny Pennsylvania IDA, Refunding RB,
U.S. Steel Corp. Project, 6.55%, 12/01/27

 

 

1,695

 

 

1,800,192

 

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

 

 

2,600

 

 

2,798,718

 

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

 

 

2,000

 

 

2,094,220

 

 

 

 

 

 

 

6,693,130

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 1.4%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB,
Series A, 5.70%, 8/01/35 (a)

 

$

1,000

 

$

278,690

 

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

 

 

1,000

 

 

1,117,510

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.73%, 8/01/41 (a)

 

 

5,000

 

 

1,001,600

 

 

 

 

 

 

 

2,397,800

 

Rhode Island — 1.3%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,190,110

 

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

 

 

900

 

 

1,014,129

 

 

 

 

 

 

 

2,204,239

 

South Dakota — 0.9%

 

 

 

 

 

 

 

State of South Dakota Board of Regents Housing &
Auxiliary Facility System Revenue, RB, 4.25%,
4/01/33

 

 

1,535

 

 

1,605,410

 

Tennessee — 0.2%

 

 

 

 

 

 

 

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

 

 

275

 

 

305,896

 

Texas — 13.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

7.13%, 12/01/31

 

 

500

 

 

602,825

 

7.25%, 12/01/35

 

 

1,750

 

 

2,090,498

 

Harris County Metropolitan Transit Authority Sales and
Use Tax, RB, Series A, 5.00%, 11/01/36

 

 

940

 

 

1,058,919

 

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

 

 

11,690

 

 

1,717,612

 

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

 

 

1,500

 

 

1,722,270

 

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

 

 

2,000

 

 

2,274,160

 

Texas State Turnpike Authority, RB (AMBAC):

 

 

 

 

 

 

 

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

 

 

50,000

 

 

12,308,500

 

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

 

 

750

 

 

750,375

 

 

 

 

 

 

 

22,525,159

 

Vermont — 1.0%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,606,640

 

Virginia — 0.1%

 

 

 

 

 

 

 

Roanoke Economic Development Authority, RB, Carilion
Clinic Obligated Group, 4.00%, 7/01/29

 

 

160

 

 

160,938

 

Washington — 1.9%

 

 

 

 

 

 

 

City of Lynnwood, GO (AGO), 4.00%, 12/01/37

 

 

1,600

 

 

1,597,360

 

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

 

 

1,400

 

 

1,588,132

 

 

 

 

 

 

 

3,185,492

 

West Virginia — 0.7%

 

 

 

 

 

 

 

West Virginia State University, RB, West Virginia
University Projects, Series B, 5.00%, 10/01/36

 

 

1,100

 

 

1,242,956

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


19




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wisconsin — 0.7%

 

 

 

 

 

 

 

Wisconsin State Health & Educational Facilities
Authority, RB, Aurora Health Care, Series A, 4.00%,
7/15/28

 

$

1,215

 

$

1,202,000

 

Wyoming — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,372,740

 

Total Municipal Bonds — 136.6%

 

 

 

 

 

230,052,557

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)

 

 

 

 

 

 

 

Colorado — 2.3%

 

 

 

 

 

 

 

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

 

 

3,750

 

 

3,940,537

 

Massachusetts — 1.0%

 

 

 

 

 

 

 

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

 

 

1,450

 

 

1,592,724

 

New York — 7.3%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, 5.75%, 2/15/47

 

 

2,500

 

 

2,824,461

 

New York City Municipal Water Finance Authority, RB:
Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

450

 

 

522,323

 

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

 

 

405

 

 

467,031

 

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

 

 

3,000

 

 

3,262,770

 

New York Liberty Development Corp., RB, 5.25%,
12/15/43

 

 

2,505

 

 

2,810,485

 

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

 

 

2,199

 

 

2,368,575

 

 

 

 

 

 

 

12,255,645

 

Ohio — 2.1%

 

 

 

 

 

 

 

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

 

 

1,260

 

 

1,355,269

 

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

 

 

2,000

 

 

2,154,820

 

 

 

 

 

 

 

3,510,089

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 12.7%

 

 

 

 

 

21,298,995

 

Total Long-Term Investments
(Cost — $234,380,899) — 149.3%

 

 

 

 

 

251,351,552

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

4,946,999

 

 

4,946,999

 

Total Short-Term Securities
(Cost — $4,946,999) — 2.9%

 

 

 

 

 

4,946,999

 

Total Investments (Cost — $239,327,898) — 152.2%

 

 

 

 

 

256,298,551

 

Other Assets Less Liabilities — 1.4%

 

 

 

 

 

2,278,896

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (6.1)%

 

 

 

 

 

(10,322,024

)

VMTP Shares, at Liquidation Value — (47.5)%

 

 

 

 

 

(79,900,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

168,355,423

 


 

 

(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)

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.

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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.

 

 

(i)

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


 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

 

FFI Institutional

 

 

 

 

 

 

 

 

 

 

Tax-Exempt Fund

 

2,247,948

 

2,699,051

 

4,946,999

 

$319

 


 

 

 

 

(j)

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 into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

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

 

 

 

 

 

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

 

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

251,351,552

 

 

 

$

251,351,552

 

Short-Term Securities

 

$

4,946,999

 

 

 

 

 

 

4,946,999

 

Total

 

$

4,946,999

 

$

251,351,552

 

 

 

$

256,298,551

 


 

 

 

 

1

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

20

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 1.9%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.13%, 6/01/34

 

$

1,000

 

$

1,150,950

 

6.00%, 6/01/39

 

 

1,000

 

 

1,142,790

 

Selma IDB, RB, International Paper Co. Project, Series A,
5.38%, 12/01/35

 

 

370

 

 

387,564

 

 

 

 

 

 

 

2,681,304

 

California — 11.9%

 

 

 

 

 

 

 

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

 

 

2,155

 

 

2,458,769

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Scripps, Series A, 5.00%, 11/15/40

 

 

175

 

 

190,132

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

1,120

 

 

1,294,216

 

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

 

 

1,400

 

 

1,518,104

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,099,900

 

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

 

 

500

 

 

573,150

 

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

 

 

1,175

 

 

1,339,770

 

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

 

 

3,210

 

 

3,537,837

 

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

 

 

1,000

 

 

1,162,810

 

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

 

 

925

 

 

1,100,584

 

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

 

 

1,125

 

 

1,299,960

 

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

 

 

1,000

 

 

1,085,210

 

 

 

 

 

 

 

16,660,442

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

1,425

 

 

1,670,627

 

Florida — 5.4%

 

 

 

 

 

 

 

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

 

 

4,525

 

 

5,188,998

 

Orange County Health Facilities Authority, RB,
The Nemours Foundation Project, Series A,
5.00%, 1/01/29

 

 

1,070

 

 

1,168,172

 

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

 

 

1,250

 

 

1,238,789

 

 

 

 

 

 

 

7,595,959

 

Georgia — 2.2%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

3,045,850

 

Illinois — 15.4%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

1,500

 

 

1,698,300

 

5.00%, 12/01/41

 

 

1,000

 

 

1,078,380

 

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

 

 

1,300

 

 

1,526,304

 

Chicago Transit Authority, RB, Sales Tax
Receipts Revenue:

 

 

 

 

 

 

 

5.25%, 12/01/36

 

 

415

 

 

461,853

 

5.25%, 12/01/40

 

 

1,325

 

 

1,471,187

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

General Third Lien, Series C, 5.25%, 1/01/30

 

 

1,000

 

 

1,110,330

 

Sales Tax Revenue, Series A, 5.25%, 1/01/38

 

 

515

 

 

577,145

 

Third Lien, O’Hare International Airport, Series A,
5.75%, 1/01/39

 

 

825

 

 

946,778

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

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

 

$

3,740

 

$

4,501,240

 

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

 

 

1,885

 

 

2,068,882

 

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

 

 

 

 

 

 

 

5.25%, 2/01/28

 

 

1,560

 

 

1,714,222

 

5.25%, 2/01/35

 

 

1,000

 

 

1,069,600

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

915

 

 

1,053,879

 

6.00%, 6/01/28

 

 

260

 

 

290,909

 

State of Illinois, RB, Build Illinois, Series B, 5.25%,
6/15/28

 

 

1,750

 

 

1,971,952

 

 

 

 

 

 

 

21,540,961

 

Indiana — 5.6%

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater Utility, RB, First

 

 

 

 

 

 

 

Lien, CWA Authority, Series A:

 

 

 

 

 

 

 

5.25%, 10/01/31

 

 

1,000

 

 

1,144,110

 

5.25%, 10/01/38

 

 

2,000

 

 

2,226,060

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

1,570

 

 

1,786,942

 

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

 

 

2,415

 

 

2,697,048

 

 

 

 

 

 

 

7,854,160

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

305

 

 

335,149

 

Louisiana — 0.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

 

375

 

 

447,656

 

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

 

 

150

 

 

179,063

 

 

 

 

 

 

 

626,719

 

Michigan — 14.7%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

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

 

 

1,690

 

 

1,903,227

 

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

 

 

580

 

 

729,402

 

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

 

 

4,750

 

 

5,195,218

 

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

 

 

2,330

 

 

2,570,456

 

City of Detroit Michigan, RB, Second Lien, Series B
(AGM), 6.25%, 7/01/36

 

 

1,700

 

 

1,949,220

 

City of Detroit Michigan, Refunding RB, Senior Lien,
Series C-1 (AGM), 7.00%, 7/01/27

 

 

1,800

 

 

2,220,264

 

Lansing Board of Water & Light Utilities, RB, Series A,
5.00%, 7/01/37

 

 

2,765

 

 

3,071,887

 

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

 

 

365

 

 

410,771

 

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

 

 

 

 

 

 

 

5.25%, 10/15/24

 

 

565

 

 

649,462

 

5.25%, 10/15/25

 

 

300

 

 

343,527

 

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

 

 

1,205

 

 

1,517,842

 

 

 

 

 

 

 

20,561,276

 

Minnesota — 3.1%

 

 

 

 

 

 

 

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

 

 

3,680

 

 

4,327,790

 

Missouri — 1.9%

 

 

 

 

 

 

 

Missouri Municipal Electric Utility Commission Power,
RB, Prairie State Project, Series A, 5.00%, 1/01/32 (a)

 

 

2,500

 

 

2,686,775

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

21




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nevada — 1.6%

 

 

 

 

 

 

 

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

 

$

2,000

 

$

2,232,940

 

New Jersey — 4.6%

 

 

 

 

 

 

 

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

 

 

1,300

 

 

1,418,573

 

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

 

 

1,575

 

 

1,691,393

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

Series A (AGC), 5.50%, 12/15/38

 

 

2,000

 

 

2,219,480

 

Series B, 5.25%, 6/15/36

 

 

1,000

 

 

1,120,080

 

 

 

 

 

 

 

6,449,526

 

New York — 5.5%

 

 

 

 

 

 

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

900

 

 

988,578

 

Sub-Future Tax Secured, Series C, 5.00%,
11/01/39

 

 

1,175

 

 

1,305,801

 

New York City Transitional Finance Authority, RB,
Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/29

 

 

2,465

 

 

2,873,623

 

New York State Dormitory Authority, RB, General Purpose,
Series C, 5.00%, 3/15/41

 

 

2,220

 

 

2,468,951

 

 

 

 

 

 

 

7,636,953

 

Pennsylvania — 0.6%

 

 

 

 

 

 

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Childrens Hospital Philadelphia,
Series D, 5.00%, 7/01/32

 

 

710

 

 

785,246

 

Puerto Rico — 1.1%

 

 

 

 

 

 

 

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

 

 

1,350

 

 

1,582,470

 

Texas — 22.8%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,188,860

 

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

 

 

 

 

 

 

 

5.00%, 11/15/28

 

 

705

 

 

802,502

 

5.00%, 11/15/29

 

 

895

 

 

1,010,052

 

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

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

2,600

 

 

3,134,092

 

6.00%, 11/15/36

 

 

2,215

 

 

2,658,797

 

5.38%, 11/15/38

 

 

1,000

 

 

1,140,400

 

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

 

 

1,270

 

 

1,453,070

 

Frisco ISD Texas, GO, School Building (AGC), 5.50%,
8/15/41

 

 

3,365

 

 

3,997,856

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

875

 

 

997,518

 

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

 

 

500

 

 

602,825

 

Lamar Texas Consolidated Independent School District,
GO, Refunding RB, School House, Series A, 5.00%,
2/15/45 (a)

 

 

890

 

 

1,004,641

 

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

 

 

500

 

 

562,715

 

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

 

 

1,000

 

 

1,150,930

 

North Texas Tollway Authority, Refunding RB:

 

 

 

 

 

 

 

System, First Tier (AGM), 6.00%, 1/01/43

 

 

1,000

 

 

1,167,070

 

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

 

 

1,500

 

 

1,654,275

 

System, First Tier, Series K-1 (AGC), 5.75%,
1/01/38

 

 

1,500

 

 

1,678,455

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

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

 

$

1,000

 

$

1,150,810

 

University of Texas System, Refunding RB, Financing
System, Series B, 5.00%, 8/15/43 (a)

 

 

1,805

 

 

2,071,129

 

Waco Educational Finance Corporation, RB, Baylor
University, 5.00%, 3/01/43

 

 

3,000

 

 

3,352,920

 

 

 

 

 

 

 

31,778,917

 

Utah — 0.8%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,073,950

 

Virginia — 0.9%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,176,400

 

Washington — 5.5%

 

 

 

 

 

 

 

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

 

 

1,025

 

 

1,172,395

 

Port of Seattle, Refunding RB, Intermediate, Series A,
5.00%, 8/01/32 (a)

 

 

3,000

 

 

3,412,560

 

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

 

 

795

 

 

914,616

 

University of Washington, Refunding, RB, Series A,
5.00%, 7/01/41 (a)

 

 

1,850

 

 

2,102,673

 

 

 

 

 

 

 

7,602,244

 

Total Municipal Bonds — 107.4%

 

 

 

 

 

149,905,658

 


 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

 

 

 

 

 

 

Alabama — 1.1%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,583,970

 

California — 10.7%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,756,925

 

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

 

 

10,680

 

 

12,196,453

 

 

 

 

 

 

 

14,953,378

 

District of Columbia — 0.7%

 

 

 

 

 

 

 

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

 

 

760

 

 

942,608

 

Florida — 10.1%

 

 

 

 

 

 

 

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

 

 

3,930

 

 

4,150,237

 

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

 

 

9,500

 

 

9,993,568

 

 

 

 

 

 

 

14,143,805

 

Illinois — 4.7%

 

 

 

 

 

 

 

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

 

 

2,999

 

 

3,247,458

 

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

 

 

2,999

 

 

3,285,500

 

 

 

 

 

 

 

6,532,958

 

Kentucky — 0.7%

 

 

 

 

 

 

 

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

 

 

898

 

 

1,025,816

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

22

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, 5.00%,
10/15/41

 

$

2,000

 

$

2,245,080

 

Nevada — 5.0%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,325,120

 

Las Vegas Valley Water District, GO, Refunding, Series C,
5.00%, 6/01/28

 

 

4,100

 

 

4,701,101

 

 

 

 

 

 

 

7,026,221

 

New Jersey — 0.8%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,150,600

 

New York — 8.7%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, Series A, 5.75%,
2/15/47

 

 

1,000

 

 

1,129,785

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Fiscal 2012, Series BB,
5.25%, 6/15/44

 

 

4,993

 

 

5,650,012

 

New York Liberty Development Corp., 5.25%, 12/15/43

 

 

2,955

 

 

3,315,362

 

New York State Liberty Development Corp., Refunding
RB, 4 World Trade Center Project, 5.75%, 11/15/51

 

 

1,740

 

 

1,976,936

 

 

 

 

 

 

 

12,072,095

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

 

1,180

 

 

1,310,461

 

Texas — 1.9%

 

 

 

 

 

 

 

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

 

 

2,310

 

 

2,658,648

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 47.0%

 

 

 

 

 

65,645,640

 

Total Long-Term Investments
(Cost — $197,730,152) — 154.4%

 

 

 

 

 

215,551,298

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

Illinois — 2.8%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, VRDN, University of
Chicago Medical Center, Series B, 0.12%,
3/01/12 (c)

 

$

3,900

 

$

3,900,000

 

Texas — 0.8%

 

 

 

 

 

 

 

Harris County Health Facilities Development Corp., RB,
VRDN, Baylor College Medicine, Series B, 0.10%,
3/01/12 (c)

 

 

1,100

 

 

1,100,000

 

 

 

 

 

Shares

 

 

 

 

Money Market Funds — 2.3%

 

 

 

 

 

 

 

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

 

 

3,259,592

 

 

3,259,592

 

Total Short-Term Securities
(Cost — $8,259,592) — 5.9%

 

 

 

 

 

8,259,592

 

Total Investments (Cost — $205,989,744) — 160.3%

 

 

 

 

 

223,810,890

 

Liabilities in Excess of Other Assets — (6.8)%

 

 

 

 

 

(9,444,749

)

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (23.3)%

 

 

 

 

 

(32,587,769

)

VMTP Shares, at Liquidation Value — (30.2)%

 

 

 

 

 

(42,200,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

139,578,372

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

23




 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Quality Trust (BAF)


 

 

(a)

When-issued security. Unsettled when-issued transactions were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Morgan Keegan & Co.

 

$

1,004,641

 

$

3,791

 

 

National Financial

 

$

2,686,775

 

 

 

 

Pershing LLC

 

$

1,134,240

 

$

3,280

 

 

JPMorgan Securities

 

$

2,268,480

 

$

6,560

 

 

Morgan Stanley Co.

 

$

2,071,129

 

$

18,375

 

 

Barclays Capital Inc.

 

$

2,102,673

 

$

14,208

 


 

 

(b)

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.

 

 

(c)

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

 

 

(d)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

 

FFI Institutional
Tax-Exempt Fund

 

 

9,230,241

 

 

(5,970,649

)

 

3,259,592

 

$

153

 


 

 

(e)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

 

47

 

10-Year US

 

Chicago

 

March

 

$

6,169,484

 

$

(36,074

)

 

 

 

Treasury Note

 

Board of Trade

 

2012

 

 

 

 

 

 

 


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

215,551,298

 

 

 

$

215,551,298

 

 

Short-Term Securities

 

$

3,259,592

 

 

5,000,000

 

 

 

 

8,259,592

 

 

Total

 

$

3,259,592

 

$

220,551,298

 

 

 

$

223,810,890

 


 

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

Derivative Financial

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

(36,074

)

 

 

 

 

$

(36,074

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

24

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.7%

 

 

 

 

 

 

 

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

 

$

3,800

 

$

4,213,592

 

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

 

 

5,800

 

 

6,424,428

 

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

 

 

1,495

 

 

1,708,471

 

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

 

 

2,800

 

 

2,548,028

 

 

 

 

 

 

 

14,894,519

 

Alaska — 0.3%

 

 

 

 

 

 

 

Alaska Industrial Development & Export Authority, RB,
Providence Health Services, Series A, 5.50%,
10/01/41

 

 

1,070

 

 

1,194,933

 

Arizona — 0.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

1,500

 

 

1,684,575

 

5.25%, 10/01/28

 

 

250

 

 

283,560

 

 

 

 

 

 

 

1,968,135

 

California — 22.8%

 

 

 

 

 

 

 

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

 

 

625

 

 

691,419

 

California Infrastructure & Economic Development
Bank, RB, Bay Area Toll Bridges, First Lien, Series A
(AMBAC), 5.00%, 7/01/36 (a)

 

 

10,100

 

 

13,511,174

 

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

 

 

 

 

 

 

 

5.00%, 8/01/13 (b)

 

 

7,450

 

 

7,090,463

 

5.41%, 8/01/36 (c)

 

 

4,200

 

 

1,105,734

 

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

 

 

 

 

 

 

 

6.75%, 6/01/39

 

 

14,500

 

 

15,653,765

 

6.63%, 6/01/40

 

 

6,500

 

 

7,007,065

 

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

 

 

16,745

 

 

17,997,024

 

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

 

 

 

 

 

 

 

5.15%, 8/01/31

 

 

13,575

 

 

5,091,575

 

5.16%, 8/01/32

 

 

14,150

 

 

4,881,325

 

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

 

 

2,500

 

 

2,737,950

 

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

 

 

2,000

 

 

491,500

 

San Joaquin Hills Transportation Corridor Agency
California, Refunding RB, CAB, Series A (NPFGC),
5.51%, 1/15/31 (c)

 

 

53,000

 

 

14,045,000

 

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

 

 

2,350

 

 

2,502,515

 

 

 

 

 

 

 

92,806,509

 

Colorado — 0.3%

 

 

 

 

 

 

 

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

 

 

960

 

 

1,074,883

 

District of Columbia — 2.3%

 

 

 

 

 

 

 

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

 

 

9,500

 

 

9,581,035

 

Florida — 15.8%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,722,976

 

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

 

 

6,750

 

 

7,523,550

 

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

 

 

3,800

 

 

4,020,172

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

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

 

$

25,520

 

$

5,313,009

 

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

 

 

5,000

 

 

5,594,400

 

Series A, 5.50%, 10/01/36

 

 

5,000

 

 

5,538,250

 

Series B (AGC), 5.25%, 5/01/31

 

 

1,135

 

 

1,238,421

 

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

 

 

10,100

 

 

10,949,915

 

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

 

 

1,300

 

 

1,386,333

 

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

 

 

1,135

 

 

1,238,421

 

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

 

 

3,800

 

 

4,023,288

 

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

 

 

6,150

 

 

6,814,507

 

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

 

 

6,090

 

 

6,749,791

 

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

 

 

300

 

 

321,651

 

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

 

 

1,000

 

 

1,050,490

 

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

 

 

2,000

 

 

2,256,880

 

 

 

 

 

 

 

64,503,633

 

Georgia — 2.8%

 

 

 

 

 

 

 

Burke County Development Authority, RB, Oglethorpe
Power, Vogtle Project, Series C, 5.70%, 1/01/43

 

 

1,250

 

 

1,342,237

 

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

 

 

7,500

 

 

9,137,550

 

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

 

 

900

 

 

986,868

 

 

 

 

 

 

 

11,466,655

 

Hawaii — 1.4%

 

 

 

 

 

 

 

Hawaii State Harbor, RB, Series A, 5.25%, 7/01/35

 

 

5,000

 

 

5,545,800

 

Illinois — 3.1%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A,
5.50%, 12/01/39

 

 

2,590

 

 

2,932,398

 

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

 

 

600

 

 

659,094

 

Chicago Transit Authority, RB, 5.25%, 12/01/36

 

 

650

 

 

723,385

 

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

 

 

7,310

 

 

7,648,160

 

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

 

 

710

 

 

794,405

 

 

 

 

 

 

 

12,757,442

 

Indiana — 2.0%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

1,224,333

 

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

 

 

450

 

 

481,995

 

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

 

 

5,750

 

 

6,421,543

 

 

 

 

 

 

 

8,127,871

 

Iowa — 1.3%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,495,900

 

Kentucky — 0.4%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,692,525

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

25




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Louisiana — 2.8%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District No. 1,
Refunding RB, West Jefferson Medical Center,
Series A, 6.00%, 1/01/39

 

$

1,550

 

$

1,721,492

 

Parish of Saint John the Baptist Louisiana, RB,
Marathon Oil Corp., Series A, 5.13%, 6/01/37