BlackRock MuniHoldings Investment Quality Fund
Table of Contents

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: 08/31/2012


Table of Contents

Item 1 – Report to Stockholders


Table of Contents
LOGO    August 31, 2012

Annual Report

 

BlackRock Municipal Bond Investment Trust (BIE)

BlackRock Municipal Bond Trust (BBK)

BlackRock Municipal Income Investment Quality Trust (BAF)

BlackRock Municipal Income Quality Trust (BYM)

BlackRock Municipal Income Trust II (BLE)

BlackRock MuniHoldings Investment Quality Fund (MFL)

BlackRock MuniVest Fund, Inc. (MVF)

 

Not FDIC Insured • No Bank Guarantee • May Lose Value


Table of Contents
Table of Contents     

 

      Page  

Dear Shareholder

     3   

Annual Report:

  

Municipal Market Overview

     4   

Trust Summaries

     5   

The Benefits and Risks of Leveraging

     12   

Derivative Financial Instruments

     13   
Financial Statements:   

Schedules of Investments

     14   

Statements of Assets and Liabilities

     46   

Statements of Operations

     47   

Statements of Changes in Net Assets

     48   

Statements of Cash Flows

     50   

Financial Highlights

     51   

Notes to Financial Statements

     58   

Report of Independent Registered Public Accounting Firm

     67   

Important Tax Information

     67   

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

     68   

Automatic Dividend Reinvestment Plans

     72   

Officers and Trustees

     73   

Additional Information

     77   

 

                
2    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Dear Shareholder

 

About this time one year ago, financial markets had been upended by sovereign debt turmoil in the United States and Europe as well as growing concerns about the future of the global economy. Since then, asset prices have waxed and waned in broad strokes as investors reacted to developments in Europe’s financial situation, mixed US economic news and global central bank policy action.

After confidence crumbled in the third quarter of 2011, October brought improving economic data and more concerted efforts among European leaders toward stemming the region’s debt crisis, gradually drawing investors back to the markets. Improving sentiment carried over into early 2012 as investors felt some relief from the world’s financial woes. Volatility abated and risk assets (including stocks, commodities and high yield bonds) moved boldly higher through the first two months of 2012 while climbing Treasury yields pressured higher-quality fixed income assets.

Markets reversed course in the spring when Europe’s debt problems boiled over once again. High levels of volatility returned as political instability in Greece threatened the country’s membership in the euro zone. Spain faced severe deficit issues while the nation’s banks clamored for liquidity. Yields on Spanish and Italian government debt rose to levels deemed unsustainable. European leaders conferred and debated vehemently over the need for fiscal integration among the 17 nations comprising the euro currency bloc as a means to resolve the crisis for the long term.

Alongside the drama in Europe, investors were discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, became particularly worrisome. In the United States, disappointing jobs reports dealt a crushing blow to sentiment. Risk assets sold off in the second quarter as investors again retreated to safe haven assets.

Despite the continuation of heightened market volatility, most asset classes enjoyed a robust summer rally. Global economic data continued to be mixed, but the spate of downside surprises seen in the second quarter began to recede and, outside of Europe, the risk of recession largely subsided. Central bank policy action has been a major driver of market sentiment in 2012. Investors’ anticipation for economic stimulus drove asset prices higher over the summer as the European Central Bank stepped up its efforts to support the region’s troubled nations and the US Federal Reserve reiterated its readiness to take action if economic conditions warrant.

On the whole, most asset classes advanced during the reporting period. US large cap stocks delivered strong returns for the 12 months ended August 31, 2012, while small cap stocks and high yield bonds also performed well. Despite the risk-asset rally in recent months, higher-quality investments including tax-exempt municipal bonds and US Treasury bonds posted exceptional gains by historical standards and outperformed investment-grade corporate bonds. International and emerging equities, however, lagged other asset classes amid ongoing global uncertainty. Near-zero short term interest rates kept yields on money market securities near their all-time lows.

We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities. We remain committed to working with you and your financial professional to identify actionable ideas for your portfolio. We encourage you to visit www.blackrock.com/newworld for more information.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

“We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities.”

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2012  
    6-month     12-month  

US large cap equities

(S&P 500® Index)

    4.14     18.00

US small cap equities (Russell 2000® Index)

    0.89        13.40   

International equities

(MSCI Europe, Australasia,
Far East Index)

    (4.00     (0.04

Emerging market equities (MSCI Emerging Markets
Index)

    (10.51     (5.80

3-month Treasury bill

(BofA Merrill Lynch 3-Month
US Treasury Bill Index)

    0.06        0.06   

US Treasury securities

(BofA Merrill Lynch 10-Year US Treasury Index)

    5.25        9.14   

US investment grade bonds (Barclays US Aggregate Bond Index)

    2.97        5.78   

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

    3.24        9.37   

US high yield bonds

(Barclays US Corporate

High Yield 2% Issuer

Capped Index)

    4.80        13.84   

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


Table of Contents
Municipal Market Overview     

 

For the 12-Month Period Ended August 31, 2012      

Municipal bonds delivered exceptional performance during the reporting period, with the S&P Municipal Bond Index gaining 9.37% for the 12 months ended August 31, 2012. In the later part of 2011, heightened volatility in equity markets led to increased demand for municipal bonds as investors flocked to more stable asset classes. The municipal market benefited from an exuberant Treasury market amid global uncertainty in addition to muted new issuance. Supply was constrained while 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 and municipal bonds outperformed most fixed income asset classes for the year.

 

LOGO

Market conditions remained favorable even though supply picked up considerably in 2012. As the fiscal situation for municipalities continued to improve, the rate of new issuance came back in line with historical averages. Total new issuance for the first eight months of 2012 was $253 billion as compared to $288 billion for the entire year of 2011. It is important to note that refunding activity has accounted for a large portion of supply in 2012 as issuers refinanced their debt at lower interest rates. Refunding issues are easily absorbed by the market because when seasoned bonds are refinanced, issuers re-enter the market via cheaper and predominantly shorter-maturity financing. Investors, in turn, support these new issues with the proceeds from bond maturities or coupon payments.

Increased supply was met with the continuation of strong demand in 2012 as investors remained starved for yield in a low-rate environment. Investors poured into municipal bond mutual funds, particularly those with long-duration and high-yield investment mandates as they tend to provide higher levels of income. Year-to-date through August 2012, flows into municipal funds have totaled $38.812 billion (according to the Investment Company Institute). Following an extensive period of significant outflows from late 2010 through mid-2011, these robust 2012 inflows are telling of the complete turnaround in confidence. Municipal market supply-and-demand technicals typically strengthen considerably upon the conclusion of tax season as net negative supply takes hold (i.e., more bonds are being called and maturing than being issued) and this theme remained intact for 2012. In the spring, a resurgence of concerns about Europe’s financial crisis and weakening US economic data drove municipal bond yields lower and prices higher. In addition to income and capital preservation, investors were drawn to the asset class for its relatively low volatility. As global sentiment improved over the summer, municipal bonds outperformed the more volatile US Treasury market. Given these positive market factors, the S&P Municipal Bond Index has gained 5.99% year-to-date through August 31, 2012.

Overall, the municipal yield curve flattened during the period from August 31, 2011 to August 31, 2012. As measured by Thomson Municipal Market Data, yields declined by 100 basis points (“bps”) to 2.89% on AAA-rated 30-year municipal bonds and by 51 bps to 1.74% on 10-year bonds, while yields on 5-year issues fell 20 bps to 0.69%. While the entire municipal curve flattened over the 12-month time period, the spread between 2- and 30-year maturities tightened by 99 bps, and in the 2- to 10-year range, the spread tightened by 50 bps.

The fundamental picture for municipalities continues to improve. Austerity has been the general theme across the country as states set their budgets, although a small number of states continue to rely on a “kick-the-can” approach to close their budget gaps, using aggressive revenue projections and accounting gimmicks. It has been more than a year and a half since the fiscal problems plaguing state and local governments first became highly publicized and the prophecy of widespread defaults across the municipal market has not materialized. Year-to-date through August 2012, total outstanding municipal bonds entering into debt service cash-payment default for the first time had an aggregate par value of $1.16 billion. This amount represents only 0.5% of total issuance for the same period and 0.031% of total municipal bonds outstanding. This compares favorably to data for the full year 2011 when first-time defaults totaled 0.84% of issuance and 0.065% of outstanding. (Data provided by Bank of America Merrill Lynch.) 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    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 24.21% based on market price and 22.36% 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 22.25% based on market price and 18.93% 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. The Trust’s long duration posture (greater sensitivity to interest rates) contributed positively to performance as the municipal yield curve flattened (i.e., longer-term interest rates fell more than shorter rates) and bond prices moved higher on the long end of the curve. The Trust’s longer-dated holdings in the health, transportation and utilities sectors experienced the strongest price appreciation. The Trust’s small position in US Treasury futures as a strategy for hedging interest rate risk was a slight detractor from performance as rates generally declined 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 New York Stock Exchange (“NYSE”)

   BIE

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of August 31, 2012 ($16.61)1

   5.85%

Tax Equivalent Yield2

   9.00%

Current Monthly Distribution per Common Share3

   $0.081

Current Annualized Distribution per Common Share3

   $0.972

Economic Leverage as of August 31, 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 Monthly Distribution per Common Share, declared on October 1, 2012, was decreased to $0.078 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 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:

 

        8/31/12        8/31/11        Change      High        Low  

Market Price

     $ 16.61         $ 14.22           16.81    $ 17.20         $ 14.18   

Net Asset Value

     $ 16.88         $ 14.67           15.06    $ 16.93         $ 14.67   

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

 

Sector Allocations               
      8/31/12     8/31/11  

County/City/Special District/School District

     19     17

Transportation

     18        21   

Health

     17        23   

Utilities

     16        19   

Education

     12        7   

State

     12        6   

Housing

     4        5   

Corporate

     1        1   

Tobacco

     1        1   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     15     10

AA/Aa

     60        62   

A

     20        21   

BBB/Baa

     5        6   

BB/Ba

            1   

 

  5   

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

 

 

                
   ANNUAL REPORT    AUGUST 31, 2012    5


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 23.45% based on market price and 23.96% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 22.25% based on market price and 18.93% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s neutral-to-long average duration (greater sensitivity to interest rates) contributed positively to performance as interest rates generally declined over the one-year period. A preference for longer-dated maturities enhanced returns as the municipal yield curve flattened (long-term interest rates fell more than short and intermediate rates). The Trust benefited from a tightening of credit spreads during the period, with particularly strong performance from its allocations to the health sector. Narrowing spreads also bode well for the Trust’s holdings of lower-coupon bonds, which tend to offer higher yield and duration relative to their stated maturity. However, the Trust held limited exposure to tobacco, which was the strongest performing sector during the period. The Trust’s small position in US Treasury futures as a strategy for hedging interest rate risk was a slight detractor from performance as rates generally declined 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 August 31, 2012 ($17.16)1

   5.84%

Tax Equivalent Yield2

   8.98%

Current Monthly Distribution per Common Share3

   $0.0835

Current Annualized Distribution per Common Share3

   $1.0020

Economic Leverage as of August 31, 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:

 

      8/31/12        8/31/11        Change      High        Low  

Market Price

   $ 17.16         $ 14.86           15.48    $ 17.91         $ 14.80   

Net Asset Value.

   $ 16.79         $ 14.48           15.95    $ 16.79         $ 14.48   

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

 

Sector Allocations               
      8/31/12     8/31/11  

Health

     25     21

State

     14        14   

County/City/Special District/School District

     13        12   

Transportation

     13        10   

Education

     11        10   

Utilities

     8        7   

Housing

     8        14   

Corporate

     5        10   

Tobacco

     3        2   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     9     11

AA/Aa

     35        35   

A

     26        18   

BBB/Baa

     18        22   

BB/Ba

     4        1   

B

     2        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 August 31, 2012 and August 31, 2011, the market value of these securities was $3,199,110, representing 1%, and $4,464,558, representing 2%, respectively, of the Trust’s long-term investments.

 

 

                
6    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 23.59% based on market price and 20.76% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 22.25% based on market price and 18.93% 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. The Trust’s long duration posture (greater sensitivity to interest rates) contributed positively to performance as the municipal yield curve flattened (i.e., longer-term interest rates fell more than shorter rates) and bond prices moved higher on the long end of the curve. The Trust’s longer-dated holdings in the health, transportation and utilities sectors experienced the strongest price appreciation. The Trust’s small position in US Treasury futures as a strategy for hedging interest rate risk was a slight detractor from performance as rates generally declined 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

   BAF

Initial Offering Date

   October 31, 2002

Yield on Closing Market Price as of August 31, 2012 ($16.24)1

   5.36%

Tax Equivalent Yield2

   8.25%

Current Monthly Distribution per Common Share3

   $0.0725

Current Annualized Distribution per Common Share3

   $0.8700

Economic Leverage as of August 31, 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 Monthly Distribution per Common Share, declared on October 1, 2012, was decreased to $0.0685 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:

 

      8/31/12        8/31/11        Change      High        Low  

Market Price

   $ 16.24         $ 13.92           16.67    $ 16.92         $ 13.76   

Net Asset Value

   $ 16.53         $ 14.50           14.00    $ 16.61         $ 14.50   

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

 

Sector Allocations               
      8/31/12     8/31/11  

County/City/Special District/School District

     29     34

Utilities

     20        22   

Transportation

     19        16   

Health

     12        9   

Education

     10        9   

State

     8        8   

Housing

     1        1   

Tobacco

     1        1   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     11     14

AA/Aa

     74        70   

A

     14        12   

BBB/Baa

     1        4   

 

  5   

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

 

 

                
   ANNUAL REPORT    AUGUST 31, 2012    7


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 28.40% based on market price and 21.54% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 22.25% based on market price and 18.93% 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. Over the one-year 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 rates fell more than short and intermediate rates) and the tightening of credit spreads. The Trust’s exposure to zero-coupon bonds and the health sector had a positive impact on performance as these types of bonds derived the greatest benefit from the decline in interest rates and spread tightening. The Trust’s small position in US Treasury futures as its strategy for hedging interest rate risk was a modest detractor from performance as rates generally declined 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 August 31, 2012 ($16.73)1

   5.59%

Tax Equivalent Yield2

   8.60%

Current Monthly Distribution per Common Share3

   $0.078

Current Annualized Distribution per Common Share3

   $0.936

Economic Leverage as of August 31, 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 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:

 

        8/31/12        8/31/11        Change      High        Low  

Market Price

     $ 16.73         $ 13.85           20.79    $ 17.02         $ 13.76   

Net Asset Value

     $ 16.11         $ 14.09           14.34    $ 16.15         $ 14.09   

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

 

Sector Allocations

              
     

8/31/12

   

8/31/11

 

Transportation

     21     24

County/City/Special District/School District

     19        18   

Utilities

     19        21   

State

     17        14   

Health

     9        8   

Education

     6        6   

Tobacco

     5        6   

Corporate

     3        2   

Housing

     1        1   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     17     21

AA/Aa

     55        58   

A

     19        13   

B

     1          

BBB/Baa

     7        8   

Not Rated

     1 6        

 

  5   

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

  6   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of August 31, 2012, the market value of these securities was $8,360,761, representing 1% of the Trust’s long-term investments.

 

 

                
8    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 26.61% based on market price and 23.25% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 22.25% based on market price and 18.93% 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. The Trust’s long duration (greater sensitivity to interest rates) contributed positively to performance as interest rates generally declined over the one-year period. A preference for longer-dated maturities enhanced returns as the municipal yield curve flattened (long-term interest rates fell more than short and intermediate rates). The Trust’s heavier concentrations in the strong-performing health and transportation sectors had a positive impact, as did exposure to lower-quality issues as credit spreads tightened during the period. However, the Trust held limited exposure to tobacco, which outperformed the broader market. The Trust’s small position in US Treasury futures as a strategy for hedging interest rate risk was a slight detractor from performance as rates generally declined 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

   BLE

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of August 31, 2012 ($16.74)1

   6.09%

Tax Equivalent Yield2

   9.37%

Current Monthly Distribution per Common Share3

   $0.085

Current Annualized Distribution per Common Share3

   $1.020

Economic Leverage as of August 31, 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 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:

 

        8/31/12        8/31/11        Change      High        Low  

Market Price

     $ 16.74         $ 14.13           18.47    $ 17.05         $ 13.85   

Net Asset Value

     $ 16.10         $ 13.96           15.33    $ 16.11         $ 13.96   

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

 

Sector Allocations               
      8/31/12     8/31/11  

Health

     18     21

Transportation

     17        13   

State

     16        16   

Utilities

     15        13   

County/City/Special District/School District

     11        10   

Education

     9        8   

Corporate

     7        10   

Tobacco

     4        4   

Housing

     3        5   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     13     10

AA/Aa

     36        32   

A

     25        26   

BBB/Baa

     17        16   

BB/Ba

     2        5   

B

     1        4   

Not Rated6

     6        7   

 

  5   

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

  6   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of August 31, 2012 and August 31, 2011, the market value of these securities was $12,361,560 and $11,677,703, each representing 2%, respectively, of the Trust’s long-term investments.

 

 

                
   ANNUAL REPORT    AUGUST 31, 2012    9


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 23.93% based on market price and 21.22% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 22.25% based on market price and 18.93% based on NAV. All returns reflect reinvestment of dividends. The Fund 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. The Trust’s long duration posture (greater sensitivity to interest rates) contributed positively to performance as the municipal yield curve flattened (i.e., longer-term interest rates fell more than shorter rates) and bond prices moved higher on the long end of the curve. The Trust’s longer-dated holdings in the health, transportation and utilities sectors experienced the strongest price appreciation. The Trust’s small position in US Treasury futures as a strategy for hedging interest rate risk was a slight detractor from performance as rates generally declined 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

   MFL

Initial Offering Date

   September 26, 1997

Yield on Closing Market Price as of August 31, 2012 ($16.13)1

   5.69%

Tax Equivalent Yield2

   8.75%

Current Monthly Distribution per Common Share3

   $0.0765

Current Annualized Distribution per Common Share3

   $0.9180

Economic Leverage as of August 31, 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

        8/31/12        8/31/11        Change      High        Low  

Market Price

     $ 16.13         $ 13.84           16.55    $ 16.35         $ 13.20   

Net Asset Value

     $ 15.96         $ 14.00           14.00    $ 16.03         $ 14.00   

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

 

Sector Allocations               
      8/31/12     8/31/11  

Transportation

     21     25

Utilities

     18        25   

County/City/Special District/School District

     16        18   

State

     16        10   

Health

     14        11   

Education

     11        6   

Housing

     3        4   

Tobacco

     1        1   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     14     12

AA/Aa

     66        72   

A

     18        12   

BBB/Baa

     1        2   

Not Rated6

     1        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 August 31, 2012 and August 31, 2011, the market value of these securities was $4,206,588 and $3,979,631, each representing less than 1%, respectively, of the Trust’s long-term investments.

 

 

                
10    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Trust Summary as of August 31, 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 12 months ended August 31, 2012, the Trust returned 24.24% based on market price and 19.85% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 22.25% based on market price and 18.93% 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, 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 Trust’s exposure to longer-maturity bonds and lower-quality investment grade bonds had a significant positive impact on performance. Exposure to the health sector and zero-coupon bonds also boosted returns as these bonds particularly benefited from the decline in interest rates and spread tightening during the period. The Trust’s income component was negatively impacted by the recent high level of refunding activity in the market as issuers were enticed to refinance their outstanding debt at significantly lower interest rates. The Trust’s small position in US Treasury futures as a strategy for hedging interest rate risk was a slight detractor from performance as rates generally declined 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 August 31, 2012 ($11.28)1

   6.28%

Tax Equivalent Yield2

   9.66%

Current Monthly Distribution per Common Share3

   $0.059

Current Annualized Distribution per Common Share3

   $0.708

Economic Leverage as of August 31, 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 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:

 

        8/31/12        8/31/11        Change      High        Low  

Market Price

     $ 11.28         $ 9.73           15.93    $ 11.39         $ 9.63   

Net Asset Value

     $  10.68         $  9.55           11.83    $ 10.71         $ 9.55   

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

 

Sector Allocations               
      8/31/12     8/31/11  

Health

     28     23

Transportation

     17        17   

Education

     10        9   

Corporate

     10        13   

Housing

     9        7   

County/City/Special District/School District

     8        9   

Utilities

     6        12   

State

     6        8   

Tobacco

     6        2   
Credit Quality Allocations5               
      8/31/12     8/31/11  

AAA/Aaa

     12     12

AA/Aa

     46        46   

A

     25        22   

BBB/Baa

     12        15   

BB/Ba

     2        1   

B

            1   

Not Rated6

     3        3   

 

  5   

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

  6   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of August 31, 2012 and August 31, 2011, the market value of these securities was $30,422,382, representing 3%, and $22,724,541, representing 2%, respectively, of the Trust’s long-term investments.

 

 

                
   ANNUAL REPORT    AUGUST 31, 2012    11


Table of Contents
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 and VMTP Shares 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.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

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 holders of Common Shares (“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 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 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 total assets less the sum of its accrued liabilities). In addition, each Trust with VRDP or VMTP Shares limits its economic leverage to 45% of its total managed assets. As of August 31, 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

     39

BBK

     35

BAF

     35

BYM

     36

BLE

     39

MFL

     40

MVF

     39
 

 

                
12    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
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.

 

 

                
   ANNUAL REPORT    AUGUST 31, 2012    13


Table of Contents
Schedule of Investments August 31, 2012   

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      $ 158,112   

Alaska — 0.2%

    

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

     180        145,013   

Arizona — 2.6%

    

Arizona Board of Regents, Refunding COP, University of Arizona, Series C, 5.00%, 6/01/29

     655        753,643   

Arizona Board of Regents, Refunding RB,
University of Arizona, Series A:

    

5.00%, 6/01/42

     250        285,622   

Tax Exempt, 5.00%, 7/01/30

     365        433,248   
    

 

 

 
               1,472,513   

California — 11.3%

    

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

     700        821,961   

California Health Facilities Financing Authority, RB, Stanford Hospital & Clinics, 5.00%, 8/15/42

     430        475,438   

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

     120        141,438   

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

     825        888,063   

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

     1,660        1,937,187   

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

     850        958,553   

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

     685        842,249   

University of California, Refunding RB, Limited Project, Series G, 5.00%, 5/15/37

     250        288,633   
    

 

 

 
               6,353,522   

Colorado — 3.0%

    

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

     580        661,652   

University of Colorado, Refunding RB, Enterprise System, Series A-2:

    

5.00%, 6/01/32

     460        546,669   

5.00%, 6/01/33

     400        473,116   
    

 

 

 
               1,681,437   

Florida — 0.6%

    

City of Jacksonville Florida, Refunding RB, Better Jacksonville Sales Tax, Series A, 5.00%, 10/01/30

     295        339,899   

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      $ 660,805   

Illinois — 12.9%

    

Chicago Board of Education Illinois, GO, Series A:

    

5.50%, 12/01/39

     500        583,140   

5.00%, 12/01/42

     740        806,230   

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

     165        188,762   

City of Chicago Illinois, GARB, O’Hare International Airport, Third Lien, Series C, 6.50%, 1/01/41

     1,590        1,968,436   

City of Chicago Illinois, Refunding RB, Sales Tax Revenue, Series A, 5.25%, 1/01/38

     205        234,573   

Cook County Forest Preserve District, GO, Series C,
5.00%, 12/15/32

     150        171,717   

Cook County Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/32

     70        80,134   

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

     750        879,840   

Illinois Finance Authority, Refunding RB, Northwestern Memorial Hospital, 6.00%, 8/15/39

     1,000        1,173,350   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Project, Series B, 5.00%, 12/15/28

     530        618,828   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     365        425,729   

6.00%, 6/01/28

     105        123,076   
    

 

 

 
               7,253,815   

Indiana — 2.4%

    

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

     1,190        1,389,991   

Kansas — 3.9%

    

Kansas Development Finance Authority, Refunding RB:

    

Adventist Health, 5.50%, 11/15/29

     900        1,054,323   

Adventist Health System Sunbelt Obligated Group, 5.00%, 11/15/32

     1,000        1,148,210   
    

 

 

 
               2,202,533   

Kentucky — 2.5%

    

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

     350        414,113   

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

     800        984,712   
    

 

 

 
               1,398,825   
 
Portfolio Abbreviations

 

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

 

ACA   American Capital Access Corp.
AGC   Assured Guaranty Corp.
AGM   Assured Guaranty Municipal Corp.
AMBAC   American Municipal Bond Assurance Corp.
AMT   Alternative Minimum Tax (subject to)
ARB   Airport Revenue Bonds
BHAC   Berkshire Hathaway Assurance Corp.
CAB   Capital Appreciation Bonds
CIFG   CDC IXIS Financial Guaranty
COP   Certificates of Participation
EDA   Economic Development Authority
ERB   Education Revenue Bonds
FHA   Federal Housing Administration
FSA   Financial Security Assurance, Inc.
GARB   General Airport Revenue Bonds
GO   General Obligation Bonds
HFA   Housing Finance Agency
HRB   Housing Revenue Bonds
IDA   Industrial Development Authority
IDB   Industrial Development Board
IDRB   Industrial Development Revenue Bonds
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.

 

                
14    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Schedule of Investments (continued)   

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds

   Par
(000)
    Value  
    

Louisiana — 0.8%

    

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

   $ 380      $ 441,579   

Maine — 1.5%

    

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

     675        838,485   

Massachusetts — 0.8%

    

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

     375        433,714   

Michigan — 3.2%

    

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

     485        574,322   

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

     500        577,560   

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

     530        681,750   
    

 

 

 
               1,833,632   

Mississippi — 1.6%

    

Mississippi Development Bank, Refunding RB, Jackson Mississippi Water & Sewer (AGM), 5.00%, 9/01/30

     785        912,406   

Multi-State — 5.9%

    

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

     3,000        3,320,520   

Nevada — 4.1%

    

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

     1,000        1,177,980   

County of Clark Nevada, RB, Series B, 5.75%, 7/01/42

     1,000        1,147,150   
    

 

 

 
               2,325,130   

New Jersey — 7.0%

    

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

     750        879,435   

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

     610        673,019   

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

    

Series A, 5.88%, 12/15/38

     695        808,278   

Series A, 5.50%, 6/15/41

     500        584,135   

Series B, 5.25%, 6/15/36

     850        980,424   
    

 

 

 
               3,925,291   

New York — 2.0%

    

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

     145        170,088   

Metropolitan Transportation Authority, RB,
Series E, 5.00%, 11/15/42

     125        139,716   

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

     325        372,616   

New York State Dormitory Authority, RB,
Series B, 5.00%, 3/15/42

     390        445,243   
    

 

 

 
               1,127,663   

North Carolina — 1.1%

    

North Carolina Medical Care Commission, RB, Duke University Health System, Series A, 5.00%, 6/01/32

     530        614,148   

Pennsylvania — 7.5%

    

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

     300        350,901   

Pennsylvania Turnpike Commission, RB, Sub-Series A:

    

5.63%, 12/01/31

     750        882,113   

Municipal Bonds

   Par
(000)
    Value  
    

Pennsylvania (concluded)

    

Pennsylvania Turnpike Commission, RB,
Sub-Series A: (concluded)

    

6.00%, 12/01/41

   $ 1,500      $ 1,707,375   

Pennsylvania Turnpike Commission, Refunding RB, Sub-Series C (AGC), 6.25%, 6/01/38

     500        609,395   

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

     575        664,602   
    

 

 

 
               4,214,386   

South Carolina — 0.7%

    

City of North Charleston South Carolina, RB,
5.00%, 6/01/35

     355        401,154   

Texas — 11.6%

    

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

     890        1,034,901   

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

     470        573,428   

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

     250        310,452   

Katy ISD, GO, Refunding, Unlimited Tax School Building, Series A (PSF-GTD), 5.00%, 2/15/42

     295        343,522   

Lamar Texas Consolidated ISD, GO, Refunding, School House Improvements, Series A, 5.00%, 2/15/45

     500        578,670   

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

     500        593,615   

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

     250        285,350   

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

     1,020        1,204,263   

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        600,045   

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

     290        290,081   

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

     615        718,443   
    

 

 

 
               6,532,770   

Virginia — 3.6%

    

Fairfax County IDA, RB, Health Care, Inova Health System, Series A, 5.00%, 5/15/40

     275        306,048   

Norfolk Economic Development Authority, Refunding RB, Sentara Heatlhcare, Series B, 5.00%, 11/01/36

     500        564,130   

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

     500        622,305   

Virginia Resources Authority, RB, Series A-1,
5.00%, 11/01/42

     485        563,895   
    

 

 

 
               2,056,378   

Washington — 2.1%

    

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

     1,000        1,169,500   

Wisconsin — 2.7%

    

Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Alliance,
Series D, 5.00%, 11/15/41

     485        537,778   

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

     890        985,808   
    

 

 

 
               1,523,586   
Total Municipal Bonds — 97.1%              54,726,807   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2012    15


Table of Contents
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 (c)

   Par
(000)
    Value  
    

California — 18.8%

    

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

   $ 1,005      $ 1,177,187   

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

     1,300        1,448,044   

Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 8/01/39

     1,410        1,638,554   

Los Angeles Community College District California, GO, Refunding, Series A, 6.00%, 8/01/33

     2,079        2,528,274   

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

     200        225,594   

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

     2,234        2,611,173   

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

     810        971,598   
    

 

 

 
               10,600,424   

District of Columbia — 3.5%

  

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

     735        920,668   

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

     899        1,050,555   
    

 

 

 
               1,971,223   

Florida — 0.5%

    

County of Miami-Dade Florida, RB, Transit System
Sales Surtax, 5.00%, 7/01/42

     260        292,659   

Illinois — 8.0%

    

City of Chicago Illinois, Refunding RB, Second Lien Water, 5.00%, 11/01/42

     400        455,150   

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

     1,500        1,845,585   

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

     2,000        2,218,273   
    

 

 

 
               4,519,008   

Massachusetts — 1.6%

    

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

     790        911,162   

Nevada — 3.3%

    

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

     1,500        1,845,465   

New Hampshire — 1.2%

    

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

     585        694,383   

New Jersey — 2.1%

    

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

     1,000        1,145,250   

New York — 14.5%

    

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

     750        903,532   

New York City Municipal Water Finance Authority,
Refunding RB:

    

5.00%, 6/15/45

     1,000        1,142,612   

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

     990        1,162,589   

New York City Transitional Finance Authority, RB:

    

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

     1,000        1,125,645   

Future Tax Secured, Fiscal 2012,
Series E, 5.00%, 2/01/42

     460        527,146   

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

     1,170        1,340,106   

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

     680        804,773   

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

     1,000        1,168,710   
    

 

 

 
               8,175,113   

Municipal Bonds Transferred to

Tender Option Bond Trusts (c)

   Par
(000)
    Value  
    

Ohio — 1.7%

    

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

   $ 840      $ 926,982   

Puerto Rico — 0.9%

    

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

     460        511,513   

Texas — 7.3%

    

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

     1,050        1,222,612   

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

     1,450        1,713,769   

Waco Educational Finance Corp., Refunding RB, Baylor University, 5.00%, 3/01/43

     1,005        1,148,645   
    

 

 

 
               4,085,026   

Virginia — 0.9%

    

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

     460        524,509   

Washington — 1.5%

    

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

     735        853,737   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 65.8%
        37,056,454   
Total Long-Term Investments
(Cost — $81,671,960) — 162.9%
        91,783,261   

 

Short-Term Securities    Shares         

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

     159,677        159,677   
Total Short-Term Securities
(Cost — $159,677) — 0.3%
        159,677   
Total Investments (Cost — $81,831,637) — 163.2%        91,942,938   
Other Assets Less Liabilities — 1.4%        779,902   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (33.0)%

   

    (18,592,156
VRDP Shares, at Liquidation Value — (31.6)%        (17,800,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 56,330,684   
    

 

 

 
                  

 

(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, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   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.

 

(d)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate    Shares
Held at
August 31,
2011
     Net
Activity
    Shares
Held at
August 31,
2012
     Income  

FFI Institutional Tax-Exempt Fund

     2,198,525         (2,038,848     159,677       $ 403   

 

(e)   Represents the current yield as of report date.
 

 

See Notes to Financial Statements.

 

                
16    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
   
Schedule of Investments (concluded)    BlackRock Municipal Bond Investment Trust (BIE)

 

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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)

 

Ÿ  

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 into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with 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 Trust’s investments categorized in the disclosure hierarchy as of August 31, 2012:

 

      Level 1      Level 2      Level 3      Total  

Assets:

           

Long-Term Investments1

           $ 91,783,261               $ 91,783,261   

Short-Term
Securities

   $ 159,677                         159,677   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 159,677       $ 91,783,261               $ 91,942,938   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

1  

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

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2     Level 3      Total  

Assets:

          

Cash

   $ 569,822                      $ 569,822   

Liabilities:

          

TOB trust certificates

           $ (18,585,072             (18,585,072

VRDP Shares

             (17,800,000             (17,800,000
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 569,822       $ (36,385,072           $ (35,815,250
  

 

 

    

 

 

   

 

 

    

 

 

 

There were no transfers between levels during the year ended August 31, 2012.

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2012    17


Table of Contents
Schedule of Investments August 31, 2012   

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par
(000)
    Value  
    

Alabama — 4.0%

    

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

    

6.00%, 6/01/34

   $ 1,150      $ 1,369,742   

6.00%, 6/01/39

     450        531,589   

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

     2,100        2,281,902   

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

     2,750        2,926,990   
    

 

 

 
               7,110,223   

Arizona — 9.4%

    

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A, 5.00%, 2/01/42 (a)

     2,200        2,309,450   

Arizona Sports & Tourism Authority, RB, Multipurpose Stadium Facilities, Series A (NPFGC), 5.00%, 7/01/13 (b)

     1,500        1,559,145   

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

     200        243,152   

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

     3,750        4,088,475   

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

     900        960,606   

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     1,500        1,598,880   

5.00%, 12/01/37

     2,065        2,203,499   

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

    

6.25%, 5/01/15

     185        183,994   

7.00%, 5/01/20

     300        305,412   

7.25%, 5/01/27

     600        574,902   

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

     750        835,440   

University Medical Center Corp. Arizona, RB:

    

6.00%, 7/01/39

     900        1,037,853   

6.50%, 7/01/39

     500        578,915   
    

 

 

 
               16,479,723   

Arkansas — 0.3%

    

City of Conway Arkansas, RB, Wastewater Revenue Improvement, Series A, 4.20%, 10/01/37

     500        517,715   

California — 17.8%

    

California County Tobacco Securitization Agency, RB, CAB, Stanislaus, Sub-Series C, 11.02%, 6/01/55 (c)

     4,500        45,945   

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

     1,000        1,112,400   

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

     1,900        2,289,994   

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

     2,285        2,269,531   

Carlsbad Unified School District, GO, Election of 2006, Series B, 0.00%, 5/01/34 (d)

     1,000        801,350   

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

     2,000        2,302,980   

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

    

5.63%, 8/01/31

     250        288,683   

5.75%, 8/01/33

     500        581,230   

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 0.00%, 8/01/34 (d)

     1,650        1,212,271   

Norwalk-La Mirada Unified School District California, GO, CAB, Election of 2002, Series E (AGC), 5.18%, 8/01/38 (c)

     8,000        2,125,600   

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

    

4.72%, 8/01/30 (c)

     1,500        650,265   

6.00%, 8/01/33 (c)

     4,000        1,160,600   

0.00%, 8/01/39 (d)

     2,000        1,188,720   

San Diego Community College District California, GO, CAB, Election of 2002, 0.00%, 8/01/19 (d)

     2,800        2,272,648   
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      $ 1,224,216   

State of California, GO, Refunding:

    

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

     500        532,715   

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

     1,000        1,022,580   

State of California, GO, Various Purpose:

    

5.75%, 4/01/31

     2,000        2,359,000   

6.00%, 3/01/33

     1,000        1,229,560   

6.50%, 4/01/33

     1,950        2,430,090   

5.50%, 3/01/40

     2,350        2,692,700   

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

     1,585        1,634,579   
    

 

 

 
               31,427,657   

Colorado — 1.2%

    

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

     1,070        1,266,591   

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

     750        873,368   
    

 

 

 
               2,139,959   

Connecticut — 1.7%

    

Connecticut State Health & Educational Facilities Authority, Refunding RB:

    

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

     1,390        1,536,061   

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

     550        603,433   

Pomfret School, Series B, 4.00%, 7/01/37

     490        498,085   

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

     400        443,708   
    

 

 

 
               3,081,287   

Delaware — 0.8%

    

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

     1,200        1,370,304   

District of Columbia — 1.4%

    

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

     2,500        2,550,225   

Florida — 5.7%

    

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

     2,000        2,199,840   

Orange County Health Facilities Authority, Refunding RB, Mayflower Retirement Center, 5.00%, 6/01/36

     125        128,650   

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

     7,050        7,057,261   

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

     910        682,637   
    

 

 

 
               10,068,388   

Georgia — 1.1%

    

Chatham County Hospital Authority, Refunding RB, Memorial Health University Medical Center, Inc., Series A, 4.00%, 1/01/34

     2,000        2,026,380   

Hawaii — 0.2%

    

Hawaii State Department of Budget & Finance Senior Living, Refunding RB, Special Purpose, Kahala Nui, 5.25%, 11/15/37

     400        419,296   

Idaho — 1.2%

    

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

     1,750        2,094,995   

Illinois — 10.9%

    

Chicago Transit Authority, RB, Sales Tax Receipts Revenue, 5.25%, 12/01/40

     665        758,506   

City of Chicago, Refunding RB, O’Hare International Airport, Passenger Facility Charge, Series B, AMT, 4.00%, 1/01/29 (a)

     4,000        3,961,000   
 

 

See Notes to Financial Statements.

 

                
18    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Schedule of Investments (continued)   

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par
(000)
    Value  
    

Illinois (concluded)

    

Illinois Finance Authority, RB:

    

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

   $ 425      $ 42,479   

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

     560        581,353   

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

     1,000        1,123,340   

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

     650        801,236   

Illinois Finance Authority, Refunding RB:

    

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

     1,025        1,178,032   

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

     210        210,995   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Project, Series B, 4.25%, 6/15/42

     3,000        3,089,310   

Railsplitter Tobacco Settlement Authority, RB:

    

6.25%, 6/01/24

     1,000        1,125,100   

6.00%, 6/01/28

     1,150        1,347,972   

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

     21,065        5,022,739   
    

 

 

 
               19,242,062   

Indiana — 0.6%

    

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

     1,000        1,040,640   

Iowa — 1.5%

    

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

     875        976,369   

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

    

5.75%, 9/01/30

     500        554,710   

6.00%, 9/01/39

     1,000        1,106,420   
    

 

 

 
               2,637,499   

Louisiana — 1.0%

    

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

     1,050        1,220,152   

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

     400        455,628   
    

 

 

 
               1,675,780   

Maryland — 1.9%

    

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

     250        270,800   

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

     2,900        3,119,124   
    

 

 

 
               3,389,924   

Michigan — 4.1%

    

Board of Control of Michigan Technological University, Refunding RB, General, Series A, 4.00%, 10/01/30

     1,290        1,345,509   

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

     1,250        1,461,525   

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

     1,950        2,508,324   

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

     1,750        1,867,880   
    

 

 

 
               7,183,238   

Minnesota — 3.8%

    

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

     4,600        5,493,688   

Minnesota Higher Education Facilities Authority, Refunding RB, Saint Catherine University, Series 7-Q, 5.00%, 10/01/32 (a)

     275        310,035   
Municipal Bonds    Par
(000)
    Value  
    

Minnesota (concluded)

    

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

   $ 800      $ 902,664   
    

 

 

 
               6,706,387   

Mississippi — 3.3%

    

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

     845        938,246   

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

     1,750        1,997,520   

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

     2,100        2,387,238   

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

     400        435,372   
    

 

 

 
               5,758,376   

Missouri — 1.2%

    

Missouri State Development Finance Board, RB, Annual Appropriation Sewer System, Series B, 5.00%, 11/01/41

     900        966,303   

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

     580        623,071   

Missouri State Health & Educational Facilities Authority, RB, A.T. Still University Health Sciences, 5.25%, 10/01/31

     500        566,320   
    

 

 

 
               2,155,694   

Montana — 0.8%

    

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

     1,350        1,464,615   

Multi-State — 6.6%

    

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

     10,500        11,621,820   

Nebraska — 2.2%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

    

5.25%, 9/01/37

     510        543,507   

5.00%, 9/01/42

     600        622,482   

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

     700        713,545   

Omaha Nebraska Sanitation Sewer Revenue, RB, System, 4.25%, 11/15/38

     1,890        2,014,456   
    

 

 

 
               3,893,990   

Nevada — 1.1%

    

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

     1,285        1,257,565   

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

     575        603,273   
    

 

 

 
               1,860,838   

New Jersey — 11.5%

    

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

     915        68,442   

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT, 7.20%, 11/15/30 (i)

     3,000        3,011,490   

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

     1,500        1,537,980   

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

     7,500        8,965,500   

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

    

7.13%, 12/01/23

     630        786,902   

7.50%, 12/01/32

     800        1,002,872   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2012    19


Table of Contents
Schedule of Investments (continued)   

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par
(000)
    Value  
    

New Jersey (concluded)

    

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

    

4.63%, 7/01/23

   $ 510      $ 531,185   

5.63%, 7/01/37

     1,700        1,881,101   

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

     565        601,855   

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

     1,400        1,614,816   

Union County Utilities Authority, Refunding RB, County Deficiency Agreement, Series A, 4.00%, 6/15/32

     250        269,340   
    

 

 

 
               20,271,483   

New York — 5.1%

    

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

     455        102,361   

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

    

4.50%, 2/15/47

     750        773,490   

5.00%, 2/15/47

     1,000        1,058,410   

New York City Industrial Development Agency, RB, American Airlines Inc., JFK International Airport, 7.75%, 8/01/31 (e)(i)

     3,165        3,324,041   

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

     800        917,208   

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

     1,000        1,179,330   

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

     1,500        1,647,900   
    

 

 

 
               9,002,740   

North Carolina — 5.8%

    

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

     225        261,610   

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        2,667,257   

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

     1,000        1,078,650   

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke Energy Carolinas, Series B, 4.63%, 11/01/40

     5,000        5,355,950   

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

     800        937,672   
    

 

 

 
               10,301,139   

North Dakota — 1.4%

    

City of Fargo North Dakota, Refunding RB, University Facilities Development Foundation Project:

    

3.00%, 12/01/30

     400        389,536   

4.00%, 12/01/36

     600        628,878   

City of Grand Forks North Dakota, Refunding RB, Healthcare Systems, 5.00%, 12/01/32

     1,415        1,533,676   
    

 

 

 
               2,552,090   

Ohio — 0.8%

    

City of Marion, GO, Various Purpose Improvement, 4.00%, 12/01/33

     480        485,611   

Kent State University, RB, General Receipts, Series A, 5.00%, 5/01/42

     800        901,856   
    

 

 

 
               1,387,467   

Oregon — 3.5%

    

City of Tigard Washington County Oregon, Refunding RB, Water System, 5.00%, 8/01/42

     930        1,076,401   
Municipal Bonds    Par
(000)
    Value  
    

Oregon (concluded)

    

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

   $ 750      $ 865,523   

Oregon Health & Science University, Refunding RB, Series A, 3.00%, 7/01/24

     2,000        2,015,760   

Oregon State Facilities Authority, RB, Student Housing, CHF- Ashland LLC, Southern Oregon University Project (AGM), 5.00%, 7/01/44

     600        644,814   

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

    

5.00%, 10/01/34

     850        934,668   

5.25%, 10/01/40

     500        553,705   
    

 

 

 
               6,090,871   

Pennsylvania — 3.6%

    

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

     1,695        1,848,177   

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

     2,600        2,860,806   

Pennsylvania Higher Educational Facilities Authority, RB, University Sciences Philadelphia (a):

    

4.00%, 11/01/39

     560        553,930   

5.00%, 11/01/42

     1,000        1,090,670   
    

 

 

 
               6,353,583   

Puerto Rico — 1.4%

    

Puerto Rico Sales Tax Financing Corp., RB:

    

CAB, Series A, 5.64%, 8/01/35 (c)

     1,000        279,600   

First Sub-Series A, 5.75%, 8/01/37

     1,000        1,115,020   

Puerto Rico Sales Tax Financing Corp., Refunding RB, CAB, Series A (NPFGC), 5.57%, 8/01/41 (c)

     5,000        1,020,150   
    

 

 

 
               2,414,770   

Rhode Island — 2.6%

    

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

     1,000        1,209,900   

Rhode Island Health & Educational Building Corp., Refunding RB, Rhode Island School of Design, 3.50%, 6/01/29

     2,405        2,400,671   

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

     900        1,024,506   
    

 

 

 
               4,635,077   

Tennessee — 1.4%

    

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, 5.00%, 8/15/42 (a)

     800        839,656   

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

     275        310,392   

Shelby County Health Educational & Housing Facilities Board, RB, Methodist Le Bonheur Healthcare, 5.00%, 5/01/42

     1,200        1,300,368   
    

 

 

 
               2,450,416   

Texas — 13.1%

    

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

    

7.13%, 12/01/31

     500        620,905   

7.25%, 12/01/35

     1,750        2,185,592   

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

     400        459,880   

Harris County-Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series G (NPFGC), 6.11%, 11/15/41 (c)

     11,690        2,014,304   

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

     1,500        1,741,005   
 

 

See Notes to Financial Statements.

 

                
20    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Schedule of Investments (continued)   

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par
(000)
    Value  
    

Texas (concluded)

    

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      $ 2,440,580   

Texas State Turnpike Authority, RB (AMBAC):

    

CAB, 6.03%, 8/15/35 (c)

     50,000        12,796,000   

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

     750        750,210   
    

 

 

 
               23,008,476   

Vermont — 2.7%

    

University of Vermont & State Agricultural College, Refunding RB, Series A, 4.00%, 10/01/38

     2,000        2,053,800   

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

     1,600        1,636,960   

Vermont Educational & Health Buildings Financing Agency, Refunding RB, St. Michaels College, 5.00%, 10/01/42

     900        992,907   
    

 

 

 
               4,683,667   

Virginia — 0.6%

    

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT, 5.50%, 1/01/42

     940        1,036,754   

Washington — 1.2%

    

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

     400        415,336   

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

     1,400        1,636,418   
    

 

 

 
               2,051,754   

West Virginia — 0.7%

    

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

     1,100        1,275,659   

Wisconsin — 1.8%

    

Public Finance Authority Wisconsin, Refunding RB, Senior Obligated Group, Series B, AMT, 5.00%, 7/01/42 (a)

     950        953,230   

Wisconsin Health & Educational Facilities Authority, RB, Gunderson Lutheran, 5.00%, 11/15/44 (a)

     800        867,144   

Wisconsin State Health & Educational Facilities Authority, Refunding RB, Ministry HealthCare, Series C, 5.00%, 8/15/32

     1,200        1,328,904   
    

 

 

 
               3,149,278   

Wyoming — 0.8%

    
County of Sweetwater Wyoming, Refunding RB, Idaho Power Co. Project, 5.25%, 7/15/26      1,200        1,367,507   

Total Municipal Bonds — 141.8%

             249,949,746   

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (j)
 

Colorado — 2.3%

    

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

     3,750        4,008,825   

Massachusetts — 0.9%

    

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

     1,450        1,634,136   

Michigan — 2.4%

    

Michigan State Hospital Finance Authority, Refunding RB, Trinity Health Credit Group, Series C, 4.00%, 12/01/32

     4,000        4,150,440   

New York — 8.2%

    

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

     2,500        2,932,301   
Municipal Bonds Transferred to
Tender Option Bond Trusts (j)
   Par
(000)
    Value  
    

New York (concluded)

    

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

   $ 450      $ 542,119   

New York City Municipal Water Finance Authority, Refunding RB:

    

Series A, 4.75%, 6/15/30

     3,000        3,372,990   

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

     405        475,605   

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

     2,505        2,869,202   

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

     2,199        2,422,013   

New York State Thruway Authority, Refunding RB, Transportation, Series A, 5.00%, 3/15/31

     1,560        1,835,106   
    

 

 

 
               14,449,336   

Ohio — 2.0%

    

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

     1,260        1,338,901   

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

     2,000        2,208,760   
    

 

 

 
               3,547,661   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 15.8%

  

  

    27,790,398   

Total Long-Term Investments

(Cost — $254,337,180) — 157.6%

  

  

    277,740,144   

 

Short-Term Securities    Shares         

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

     583,607        583,607   

Total Short-Term Securities

(Cost — $583,607) — 0.3%

             583,607   
Total Investments (Cost — $254,920,787) — 157.9%        278,323,751   

Liabilities in Excess of Other Assets — (4.4)%

  

    (7,713,969

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (8.2)%

   

    (14,494,197
VMTP Shares, at Liquidation Value — (45.3)%        (79,900,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 176,215,585   
    

 

 

 
                  

 

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

 

Counterparty    Value      Unrealized
Appreciation
 
Goldman Sachs Group, Inc.    $ 953,230       $ 24,900   
JPMorgan Chase & Co.    $ 2,309,450       $ 24,954   
Merrill Lynch    $ 3,351,400       $ 28,190   
Stifel, Nicolaus & Co.    $ 3,961,000       $ 8,440   
Wells Fargo & Co.    $ 310,035       $ 932   

 

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

 

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

 

(d)   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.

 

(e)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(f)   Non-income producing security.

 

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2012    21


Table of Contents
Schedule of Investments (concluded)   

BlackRock Municipal Bond Trust (BBK)

 

 

(h)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(i)   Variable rate security. Rate shown is as of report date.

 

(j)   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.

 

(k)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate    Shares
Held at
August 31,
2011
     Net
Activity
    Shares
Held at
August 31,
2012
     Income  

FFI Institutional Tax-Exempt Fund

     2,247,948         (1,664,341     583,607       $ 606   

 

(l)   Represents the current yield as of report date.

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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)

 

Ÿ  

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 into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with 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 Trust’s investments categorized in the disclosure hierarchy as of August 31, 2012:

 

      Level 1      Level 2      Level 3      Total  

Assets:

           
Investments:            

Long-Term Investments1

           $ 277,740,144               $ 277,740,144   

Short-Term Securities

   $ 583,607                         583,607   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 583,607       $ 277,740,144               $ 278,323,751   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

1   

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

Certain of the Trust’s liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2     Level 3      Total  

Liabilities:

          

TOB trust certificates

           $ (14,488,936           $ (14,488,936

VMTP Shares

             (79,900,000             (79,900,000
  

 

 

   

 

 

    

 

 

 

Total

           $ (94,388,936           $ (94,388,936
  

 

 

   

 

 

    

 

 

 

There were no transfers between levels during the year ended August 31, 2012.

 

See Notes to Financial Statements.

 

                
22    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
Schedule of Investments August 31, 2012   

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      $ 1,191,190   

6.00%, 6/01/39

     1,000        1,181,310   

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

     335        365,294   
    

 

 

 
               2,737,794   

Arizona — 2.5%

    

Arizona Board of Regents, Refunding COP, University of Arizona, Series C:

    

5.00%, 6/01/28

     250        289,010   

5.00%, 6/01/29

     1,400        1,610,840   

Arizona Board of Regents, Refunding RB, University of Arizona, Series A:

    

5.00%, 6/01/42

     500        571,245   

Tax Exempt, 5.00%, 7/01/30

     925        1,097,956   
    

 

 

 
               3,569,051   

California — 15.0%

    

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

     2,155        2,530,466   

California Health Facilities Financing Authority, RB:

    

Stanford Hospital & Clinics, Series A,
5.00%, 8/15/42

     1,095        1,210,709   

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

     1,120        1,342,186   

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

     1,400        1,572,424   

Los Angeles Community College District California, GO:

    

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

     1,000        1,128,980   

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

     500        581,035   

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

     1,175        1,371,201   

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

     3,210        3,610,576   

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

     1,000        1,188,270   

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

     925        1,107,900   

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

     1,125        1,319,107   

State of California, GO, Refunding, Various Purpose, 5.00%, 9/01/41

     3,270        3,585,032   

University of California, Refunding RB, Limited Project, Series G, 5.00%, 5/15/37

     1,000        1,154,530   
    

 

 

 
               21,702,416   

Colorado — 3.0%

    

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

     1,425        1,695,807   

University of Colorado, Refunding RB, Enterprise System, Series A-2:

    

5.00%, 6/01/32

     1,165        1,384,498   

5.00%, 6/01/33

     1,010        1,194,618   
    

 

 

 
               4,274,923   

Florida — 6.7%

    

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

     4,525        5,313,436   

City of Jacksonville Florida, Refunding RB, Better Jacksonville, Series A, 5.00%, 10/01/30

     745        858,389   
Municipal Bonds    Par
(000)
    Value  
    

Florida (concluded)

    

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

   $ 1,070      $ 1,216,718   

Palm Beach County Florida School Board, Refunding COP, Series A, 5.00%, 8/01/28

     2,000        2,309,300   
    

 

 

 
               9,697,843   

Georgia — 2.1%

    

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

     2,500        3,090,825   

Illinois — 13.0%

    

Chicago Board of Education Illinois, GO, Series A:

    

5.50%, 12/01/39

     1,500        1,749,420   

5.00%, 12/01/42

     1,865        2,031,918   

Chicago Transit Authority, RB:

    

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

     1,300        1,535,547   

Sales Tax Receipts Revenue,
5.25%, 12/01/36

     415        474,764   

Sales Tax Receipts Revenue,
5.25%, 12/01/40

     1,325        1,511,308   

City of Chicago Illinois, Refunding RB, Sales Tax Revenue, Series A, 5.25%, 1/01/38

     515        589,294   

City of Chicago Illinois O’Hare International Airport, RB, General, Third Lien:

    

Series A, 5.75%, 1/01/39

     825        971,174   

Series C, 6.50%, 1/01/41

     3,740        4,630,157   

City of Chicago Illinois O’Hare International Airport, Refunding RB, General, Third Lien, Series C (AGC), 5.25%, 1/01/30

     1,000        1,133,710   

Cook County Forest Preserve District, GO, Series C, 5.00%, 12/15/32

     380        435,016   

Cook County Forest Preserve District, GO, Refunding, Limited Tax Project, Series B,
5.00%, 12/15/32

     180        206,060   

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

     1,885        2,211,331   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     915        1,067,238   

6.00%, 6/01/28

     260        304,759   
    

 

 

 
               18,851,696   

Indiana — 3.1%

    

Indiana Finance Authority Waste Water Utility, RB,
First Lien CWA Authority Project, Series A,
5.00%, 10/01/41

     1,500        1,678,695   

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

     2,415        2,738,441   
    

 

 

 
               4,417,136   

Kansas — 2.4%

    

Kansas Development Finance Authority, Refunding RB, Adventist Health Sunbelt Obligation, Series A,
5.00%, 11/15/32

     3,000        3,444,630   

Louisiana — 0.4%

    

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

    

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

     375        448,268   

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

     150        179,307   
    

 

 

 
               627,575   

Michigan — 6.6%

    

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

     1,700        1,980,721   

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

     1,800        2,155,644   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2012    23


Table of Contents
Schedule of Investments (continued)   

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par
(000)
    Value  
    

Michigan (concluded)

    

City of Detroit Michigan, RB, Sewage Disposal System, Senior Lien, Series B (AGM),
7.50%, 7/01/33

   $ 580      $ 729,518   

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

     2,765        3,149,777   

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

     1,205        1,550,016   
    

 

 

 
               9,565,676   

Minnesota — 3.0%

    

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

     3,680        4,394,950   

Mississippi — 1.6%

    

Mississippi Development Bank, Refunding RB, Jackson Mississippi Water & Sewer (AGM),
5.00%, 9/01/30

     2,000        2,324,600   

Nevada — 1.7%

    

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

     2,000        2,424,200   

New Jersey — 4.5%

    

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

     1,300        1,445,886   

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

     1,540        1,699,097   

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

    

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

     2,000        2,273,480   

Series B, 5.25%, 6/15/36

     1,000        1,153,440   
    

 

 

 
               6,571,903   

New York — 6.7%

    

Metropolitan Transportation Authority, RB, Series E,
5.00%, 11/15/42

     320        357,674   

Metropolitan Transportation Authority, Refunding RB, Transportation, Series C, 5.00%, 11/15/28

     1,300        1,530,815   

New York City Transitional Finance Authority, RB:

    

Future Tax Secured, Sub-Series E-1,
5.00%, 2/01/42

     2,000        2,292,400   

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

     2,465        2,949,372   

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

     1,175        1,353,236   

New York State Dormitory Authority, RB, Series B,
5.00%, 3/15/42

     1,000        1,141,650   
    

 

 

 
               9,625,147   

North Carolina — 1.1%

    

North Carolina Medical Care Commission, RB, Duke University Health System, Series A, 5.00%, 6/01/32

     1,340        1,552,752   

Pennsylvania — 0.5%

    

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

     580        670,381   

Puerto Rico — 1.1%

    

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

     1,350        1,592,906   

South Carolina — 0.7%

    

City of North Charleston South Carolina, RB,
5.00%, 6/01/35

     895        1,011,359   
Municipal Bonds    Par
(000)
    Value  
    

Texas — 18.0%

    

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

   $ 2,000      $ 2,230,760   

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

    

6.00%, 11/15/35

     2,600        3,160,274   

6.00%, 11/15/36

     2,215        2,683,162   

5.38%, 11/15/38

     1,000        1,155,730   

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

     3,365        4,165,769   

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

     500        620,905   

Katy ISD, GO, Refunding, School Building, Series A
(PSF-GTD), 5.00%, 2/15/42

     745        867,538   

Lamar Texas Consolidated ISD, GO, Refunding, School House, Series A (PSF-GTD),
5.00%, 2/15/45

     1,000        1,157,340   

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

     1,000        1,187,230   

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

    

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

     1,000        1,196,870   

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

     1,500        1,712,100   

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

     1,000        1,174,000   

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

     1,395        1,395,391   

Texas Tech University, Refunding RB, Refunding & Improvement, 14th Series A, 5.00%, 8/15/31

     1,000        1,175,780   

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

     1,805        2,108,601   
    

 

 

 
               25,991,450   

Virginia — 2.4%

    

Fairfax County IDA, RB, Health Care, Inova Health System, Series A, 5.00%, 5/15/40

     685        762,336   

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

     1,000        1,244,610   

Virginia Resources Authority, RB,
5.00%, 11/01/42

     1,225        1,424,271   
    

 

 

 
               3,431,217   

Washington — 3.9%

    

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

     1,025        1,194,566   

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

     3,000        3,508,500   

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

     795        931,024   
    

 

 

 
               5,634,090   

Wisconsin — 0.9%

    

Wisconsin Health & Educational Facilities Authority, RB, Ascension Health, Series D,
5.00%, 11/15/41

     1,230        1,363,849   

Total Municipal Bonds — 102.8%

  

    148,568,369   

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (a)
              

Alabama — 1.1%

    

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

     1,500        1,591,980   
 

 

See Notes to Financial Statements.

 

                
24    ANNUAL REPORT    AUGUST 31, 2012   


Table of Contents
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 (a)
   Par
(000)
    Value  
    

California — 8.7%

    

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

   $ 10,680      $ 12,498,377   

District of Columbia — 0.6%

    

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

     760        924,094   

Florida — 0.5%

    

County of Miami-Dade Florida, RB, Transit System Sales Surtax, 5.00%, 7/01/42

     650        731,647   

Illinois — 5.4%

    

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

     2,999        3,306,273   

City of Chicago Illinois, Refunding RB,
5.00%, 11/01/42

     1,020        1,160,631   

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

     2,999        3,327,410   
    

 

 

 
               7,794,314   

Kentucky — 0.7%