BLACKROCK MUNIHOLDINGS INVESTMENT QUALITY FUND

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: 08/31/2018

Date of reporting period: 02/28/2018

 


Item 1  – Report to Stockholders


FEBRUARY 28, 2018

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

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 • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2018, assets with higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. Faster global growth drove the equity market, while rising interest rates constrained bond returns.

Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment. Higher prices for industrial metals also bolstered the outlook for emerging-market countries.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, the 10-year U.S. Treasury — a bellwether of the bond market — posted a negative return, as rising energy prices, higher wages, and steady job growth drove expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together.

The Fed responded to these positive developments by increasing short-term interest rates three times during the year. In October 2017, the Fed also began to reduce its balance sheet, while setting expectations for additional rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth and inflation, as well as limited bond supply, put steady pressure on other central banks to follow in the Fed’s footsteps. In October 2017, the ECB announced plans to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, as the country’s inflation rate remained below 2.0%.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. In particular, we are closely monitoring trade protectionism and the rise of populism in Western nations.

In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2018
     6-month   12-month

U.S. large cap equities
(S&P 500® Index)

  10.84%   17.10%

U.S. small cap equities
(Russell 2000® Index)

  8.30   10.51

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

  7.12   20.13

Emerging market equities
(MSCI Emerging Markets Index)

  10.58   30.51

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

  0.58   0.99

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

  (5.47)   (2.54)

U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index)

  (2.18)   0.51

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

  (1.15)   2.32

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index)

  1.11   4.18
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Municipal Market Overview

     4  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Trust Summaries

     6  

Financial Statements:

  

Schedules of Investments

     18  

Statements of Assets and Liabilities

     57  

Statements of Operations

     59  

Statements of Changes in Net Assets

     61  

Statements of Cash Flows

     67  

Financial Highlights

     69  

Notes to Financial Statements

     75  

Trustee and Officer Information

     84  

Additional Information

     85  

Glossary of Terms Used in This Report

     87  

 

 

 

 

     3  


Municipal Market Overview  For the Reporting Period Ended February 28, 2018

 

Municipal Market Conditions

Municipal bonds experienced positive performance during the period alongside a favorable technical backdrop and a flattening yield curve resulting from continued Fed monetary policy normalization and benign inflation expectations. Ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in continued demand for fixed income investments. More specifically, investors favored the tax-exempt income, diversification, quality, and value of municipal bonds amid fiscal policy uncertainty, which saw tax reform ultimately lower the top individual tax rate just 2.6% while eliminating deductions and increasing demand for tax shelter. During the 12 months ended February 28, 2018, municipal bond funds experienced net inflows of approximately $30 billion (based on data from the Investment Company Institute).

 

For the same 12-month period, total new issuance remained elevated from a historical perspective at $389 billion (though well below the robust $445 billion issued in the prior 12-month period). Notably, issuance in December posted the highest monthly total on record at $56 billion, as issuers rushed deals to market ahead of the expected elimination of the tax-exemption for advanced refunding bonds and possibly private activity bonds (PABs). Ultimately, the final version of the Tax Cuts and Jobs Act left PABs unchanged, though the elimination of advanced refundings will likely suppress supply going forward, providing a powerful technical.

  S&P Municipal Bond Index
  Total Returns as of February 28, 2018
    6 months: (1.15)%
  12 months: 2.32%
 

A Closer Look at Yields

 

LOGO

From February 28, 2017 to February 28, 2018, yields on AAA-rated 30-year municipal bonds increased by just 1 basis point (“bp”) from 3.05% to 3.06%, while 10-year rates increased by 18 bps from 2.29% to 2.47% and 5-year rates increased by 47 bps from 1.50% to 1.97% (as measured by Thomson Municipal Market Data). The municipal yield curve flattened significantly over the 12-month period with the spread between 2- and 30-year maturities flattening by 55 bps.

During the same time period, on a relative basis, tax-exempt municipal bonds strongly outperformed U.S. Treasuries with the greatest outperformance experienced in the front and intermediate portions of the yield curve. Notably, January saw interest rates move rapidly higher alongside strong global growth and a more hawkish bias from global central banks. The relative positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly scarce. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized distress among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — have exhibited markedly improved credit fundamentals during the slow national recovery. However, several states with the largest unfunded pension liabilities have seen their bond prices decline noticeably and remain vulnerable to additional price deterioration. On the local level, Chicago’s credit quality downgrade is an outlier relative to other cities due to its larger pension liability and inadequate funding remedies. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of February 28, 2018, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (“AMT”). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the AMT. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

 

4    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


The Benefits and Risks of Leveraging

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders 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.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. 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 value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, 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 the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”), and Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOB Trusts”) as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets or equity securities (e.g., Preferred Shares) up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by the Preferred Shares’ governing instruments or by agencies rating the Preferred Shares, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), then the TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and 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 instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      5  


Trust Summary  as of February 28, 2018    BlackRock Municipal Bond Trust

 

Trust Overview

BlackRock Municipal Bond Trust’s (BBK) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from regular U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality or, if unrated, determined to be of comparable quality by the investment adviser 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.

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  BBK

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($14.47)(a)

  5.27%

Tax Equivalent Yield(b)

  8.90%

Current Monthly Distribution per Common Share(c)

  $0.0635

Current Annualized Distribution per Common Share(c)

  $0.7620

Economic Leverage as of February 28, 2018(d)

  38%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.  
  (c)  The distribution rate is not constant and is subject to change.  
  (d)  Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BBK(a)(b)

    (7.16 )%       (0.55 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.78      (1.29

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c) Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  The Trust’s largest detractors were its positions in longer-dated, high-quality securities that were issued in the past two years. These bonds had longer call structures, which translated to higher durations and lower income than their lower-rated and/or shorter-call counterparts. (Duration is a measure of interest rate sensitivity; a call is when an issuer redeems a bond prior to its maturity date).

 

  The Trust had a modest weighting in zero-coupon bonds, which underperformed the overall market and detracted from performance due to their long durations. The Trust maintained a position in these securities due to their above-average income.

 

  At a time in which short-term bonds lagged, some of the Trust’s shorter-maturity holdings detracted.

 

  The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Trust’s strategy had a positive effect on returns.

 

  Positions in BBB, non-rated, and non-investment grade securities were positive contributors as a result of their higher income and superior price performance.

 

  Holdings in the tobacco sector also outperformed the broader market due to their above-average yields and the elevated demand for liquid, higher-yielding securities.

 

  The Trust’s use of leverage contributed to performance by enhancing income. However, the use of leverage also amplified the impact of falling prices.

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.

 

 

6    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018  (continued)    BlackRock Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     08/31/17      Change      High      Low  

Market Price

  $ 14.47     $ 15.99        (9.51 )%     $ 16.14      $
14.28
 

Net Asset Value

    15.82       16.32        (3.06      16.49       
15.82
 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/28/18     08/31/17  

County/City/Special District/School District

    22     23

Health

    20       18  

Transportation

    20       18  

Education

    11       11  

Utilities

    8       9  

State

    7       11  

Tobacco

    6       5  

Corporate

    5       5  

Housing

    1        

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    9

2019

    4  

2020

    6  

2021

    10  

2022

    7  

 

  (c)  Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.  

CREDIT QUALITY ALLOCATION (a)

 

     02/28/18     08/31/17  

AAA/Aaa

    3     3

AA/Aa

    37       40  

A

    25       26  

BBB/Baa

    16       15  

BB/Ba

    6       6  

B

    3       3  

N/R(b)

    10       7  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (b)  The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% and 3%, respectively, of the Trust’s total investments.  
 

 

  * Excludes short-term securities.  

 

 

TRUST SUMMARY      7  


Trust Summary  as of February 28, 2018    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 U.S. 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 managed assets in municipal bonds exempt from U.S. federal income taxes, including the alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular U.S. federal income tax would now satisfy the foregoing objective and policy.

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

Trust Information

 

Symbol on NYSE

  BAF

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as February 28, 2018 of ($14.01)(a)

  5.87%

Tax Equivalent Yield(b)

  9.92%

Current Monthly Distribution per Common Share(c)

  $0.0685

Current Annualized Distribution per Common Share(c)

  $0.8220

Economic Leverage as of February 28, 2018(d)

  41%

 

  (a) 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.  
  (b) Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.  
  (c) The distribution rate is not constant and is subject to change.  
  (d)  Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BAF(a)(b)

    (4.67 )%       (0.98 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.78      (1.29

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c) Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  Positions in single A rated securities, which outperformed higher-quality issues during the period, contributed positively. In addition, high-quality and short-dated pre-refunded bonds did well compared to those with longer durations. (Duration is a measure of interest rate sensitivity.) Overall, however, the Trust’s concentration in higher-rated securities detracted from performance.

 

  Positions in longer-duration bonds hurt performance relative to shorter-duration issues.

 

  Portfolio income, enhanced by leverage, made the largest contribution to performance. However, the use of leverage also amplified the impact of falling prices.

 

  The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

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.

 

 

8    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018  (continued)    BlackRock Municipal Income Investment Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     08/31/17      Change      High      Low  

Market Price

  $ 14.01     $ 15.11        (7.28 )%     $ 15.58      $ 13.70  

Net Asset Value

    15.11       15.69        (3.70      15.75        15.11  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

    

02/28/18

   

08/31/17

 

Transportation

    29     31

County/City/Special District/School District

    27       28  

Utilities

    15       15  

Health

    12       12  

State

    7       6  

Education

    6       5  

Housing

    2       1  

Tobacco

    1       1  

Corporate

    1       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    8

2019

    17  

2020

    2  

2021

    28  

2022

    6  

 

  (b)  Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.  

CREDIT QUALITY ALLOCATION (a)

 

    

02/28/18

   

08/31/17

 

AAA/Aaa

    4     3

AA/Aa

    64       70  

A

    21       17  

BBB/Baa

    8       8  

N/R

    3       2  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
 

 

  *   Excludes short-term securities.

 

 

TRUST SUMMARY      9  


Trust Summary  as of February 28, 2018    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 U.S. 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 managed assets in municipal bonds exempt from U.S. federal income taxes, including the U.S. federal alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser 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.

Trust Information

 

Symbol on NYSE

  BYM

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 28, 2018 ($13.26)(a)

  5.43%

Tax Equivalent Yield(b)

  9.17%

Current Monthly Distribution per Common Share(c)

  $0.0600

Current Annualized Distribution per Common Share(c)

  $0.7200

Economic Leverage as of February 28, 2018(d)

  38%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.  
  (c)  The monthly distribution per Common Share, declared on March 1, 2018, was decreased to $0.0520 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.  
  (d)   Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BYM(a)(b)

    (8.33 )%       (1.16 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.78      (1.29

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c) Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  The Trust’s largest detractors were its positions in longer-dated, high-quality securities that were issued in the past two years. These bonds had longer call structures, which translated to higher durations and lower income than their lower-rated and/or shorter-call counterparts. (Duration is a measure of interest rate sensitivity; a call is when an issuer redeems a bond prior to its maturity date).

 

  An underweight in high-grade bonds with intermediate maturities also detracted given the outperformance of municipal bonds near the 10-year part of the yield curve.

 

  The Trust’s emphasis on higher-quality securities detracted from performance.

 

  The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

 

  Holdings in the tobacco sector outperformed the broader market due to their higher yields and the elevated demand for liquid, higher-yielding securities.

 

  Longer-dated holdings with call structures in the four- to seven-year range outperformed.

 

  The Trust’s use of leverage made a positive contribution to performance by enhancing income. However, the use of leverage also amplified the impact of falling prices.

 

  The Trust had a sizable position in zero coupon bonds, which are especially vulnerable to market selloffs due to their long durations. The Trust maintained a position in these securities due to their above-average income.

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.

 

 

10    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018  (continued)    BlackRock Municipal Income Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

02/28/18

   

08/31/17

     Change      High      Low  

Market Price

  $ 13.26     $ 14.84        (10.65 )%     $ 15.24      $ 13.24  

Net Asset Value

    14.76       15.32        (3.66      15.40        14.76  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

    

02/28/18

   

08/31/17

 

Transportation

    28     32

County/City/Special District/School District

    21       22  

Health

    16       14  

Utilities

    14       15  

State

    8       7  

Education

    7       5  

Tobacco

    4       3  

Corporate

    2       2  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CALL/MATURITY SCHEDULE (b)

 

Calendar Year Ended December 31,

       

2018

    8

2019

    8  

2020

    8  

2021

    7  

2022

    7  

 

  (b)  Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.  

 

CREDIT QUALITY ALLOCATION (a)

 

    

02/28/18

   

08/31/17

 

AAA/Aaa

    11     11

AA/Aa

    50       48  

A

    21       24  

BBB/Baa

    15       11  

N/R

    3       6  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
 

 

  * Excludes short-term securities.

 

 

TRUST SUMMARY      11  


Trust Summary  as of February 28, 2018    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 U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser 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.

Trust Information

 

Symbol on NYSE American

  BLE

Initial Offering Date

  July 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($13.56)(a)

  5.75%

Tax Equivalent Yield(b)

  9.71%

Current Monthly Distribution per Common Share(c)

  $0.0650

Current Annualized Distribution per Common Share(c)

  $0.7800

Economic Leverage as of February 28, 2018(d)

  39%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.  
  (c)  The distribution rate is not constant and is subject to change.  
  (d)  Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BLE(a)(b)

    (9.75 )%       (0.29 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.78      (1.29

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c) Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  The Trust’s investments in longer-term bonds, which experienced larger price declines than other segments of the market, detracted from performance.

 

  Portfolio income, enhanced by leverage, contributed to the Trust’s results over the last six months. However, the use of leverage also amplified the impact of falling prices.

 

  The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Trust’s strategy had a positive effect on returns.

 

  The Trust’s yield curve positioning also added value, as positions in short-dated, high-quality, and defensive pre-refunded bonds proved the most resilient in a challenging market environment.

 

  Holdings in the low investment-grade and high yield categories performed well amid investors’ ongoing appetite for credit risk.

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.

 

 

12    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018  (continued)    BlackRock Municipal Income Trust II

 

Market Price and Net Asset Value Per Share Summary

 

    

02/28/18

   

08/31/17

     Change      High      Low  

Market Price

  $
13.56
 
  $ 15.45        (12.23 )%     $ 15.59      $ 13.44  

Net Asset Value

    14.71       15.17        (3.03      15.23        14.71  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

    

02/28/18

   

08/31/17

 

Transportation

    21     24

Utilities

    15       16  

County/City/Special District/School District

    14       14  

Health

    13       12  

State

    11       11  

Education

    9       8  

Corporate

    8       7  

Tobacco

    7       7  

Housing

    2       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    11

2019

    16  

2020

    13  

2021

    14  

2022

    9  

 

  (c)  Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.  

CREDIT QUALITY ALLOCATION (a)

 

    

02/28/18

   

08/31/17

 

AAA/Aaa

    4     4

AA/Aa

    37       40  

A

    18       19  

BBB/Baa

    21       19  

BB/Ba

    7       7  

B

    3       2  

N/R(b)

    10       9  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (b)  The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% and 2%, respectively, of the Trust’s total investments.  
 

 

  * Excludes short-term securities.  

 

 

TRUST SUMMARY      13  


Trust Summary  as of February 28, 2018    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 U.S. 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 (as rated or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment) municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. 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. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular U.S. federal income tax would now satisfy the foregoing objective and policy.

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

Trust Information

 

Symbol on NYSE

  MFL

Initial Offering Date

  September 26, 1997

Yield on Closing Market Price as of February 28, 2018 ($13.76)(a)

  6.24%

Tax Equivalent Yield(b)

  10.54%

Current Monthly Distribution per Common Share(c)

  $0.0715

Current Annualized Distribution per Common Share(c)

  $0.8580

Economic Leverage as of February 28, 2018(d)

  42%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.  
  (c)  The monthly distribution per Common Share, declared on March 1, 2018, was decreased to $0.0565 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.  
  (d)  Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, 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 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MFL(a)(b)

    (5.68 )%       (1.33 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.78      (1.29

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c) Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  The Trust’s positions in intermediate-term issues detracted from performance amid the backdrop of rising yields, particularly in the second half of the period.

 

  Positions in higher-rated securities — those rated AA and AAA — also detracted. Higher-quality issues suffered a larger adverse impact from rising rates than their lower-rated counterparts due to their above-average interest-rate sensitivity and the strong demand for higher-yielding investments.

 

  The Trust’s lack of exposure to high yield was a detractor. For example, tobacco was the top performing sector in the semiannual period, and the Trust held a zero weighting in this area.

 

  The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

 

  Positions in pre-refunded securities were positive contributors largely due to their short durations and above-average yields at issuance. Investments in longer-maturity issues (those with maturities of 25 years and above) also contributed due primarily to their higher income.

 

  The Trust’s use of leverage made a positive contribution to performance by enhancing income. However, the use of leverage also amplified the impact of falling prices.

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.

 

 

14    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018 (continued)    BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     08/31/17      Change      High      Low  

Market Price

  $ 13.76     $ 15.03        (8.45 )%     $ 15.29      $ 13.70  

Net Asset Value

    14.28       14.91        (4.23      14.96        14.28  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

    

02/28/18

   

08/31/17

 

Transportation

    40     41

Health

    17       15  

Utilities

    16       17  

County/City/Special District/School District

    11       12  

State

    8       8  

Education

    6       5  

Tobacco

    1       1  

Housing

    1       1  

Corporate(a)

           

 

  (a)  Represents less than 1% of total investments.  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CALL/MATURITY SCHEDULE (d)

 

Calendar Year Ended December 31,

       

2018

    9

2019

    20  

2020

    4  

2021

    16  

2022

    1  
  (d)  Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.  

CREDIT QUALITY ALLOCATION (b)

 

    

02/28/18

   

08/31/17

 

AAA/Aaa

    8     9

AA/Aa

    57       59  

A

    26       26  

BBB/Baa

    5       4  

N/R

    4 (c)      2  

 

  (b)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (c) The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% of the Trust’s total investments.  
 

 

  * Excludes short-term securities.  

 

 

TRUST SUMMARY      15  


Trust Summary  as of February 28, 2018    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 U.S. 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 an aggregate of the Trust’s net assets (including proceeds from the issuance of any preferred shares) and the proceeds of any borrowing for investment purposes, in municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). Under normal market conditions, the Trust primarily invests in long term municipal obligations rated investment grade at the time of investment (or, if unrated, are considered by the Trust’s investment adviser to be of comparable quality at the time of investment) and in long term municipal obligations with maturities of more than ten years at the time of investment. The Trust may invest up to 20% of its total assets in securities rated below investment grade or deemed equivalent at the time of purchase. 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.

Trust Information

 

Symbol on NYSE American

  MVF

Initial Offering Date

  September 29, 1988

Yield on Closing Market Price as of February 28, 2018 ($9.21)(a)

  5.99%

Tax Equivalent Yield(b)

  10.12%

Current Monthly Distribution per Common Share(c)

  $0.0460

Current Annualized Distribution per Common Share(c)

  $0.5520

Economic Leverage as of February 28, 2018(d)

  38%

 

  (a) 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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.  
  (c) The monthly distribution per Common Share, declared on March 1, 2018, was decreased to $0.0410 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.  
  (d) Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MVF(a)(b)

    (3.64 )%       (0.32 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.78      (1.29

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c) Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  Long-term bonds outperformed short-term debt, leading to a flattening of the yield curve. In this environment, the Trust’s short duration posture contributed positively to relative performance. However, the Trust’s positions in short- and intermediate-term debt detracted. The Trust’s allocation to zero-coupon bonds, while limited, also detracted from performance since their longer duration accentuated the impact of the down market. (Duration is a measure of interest rate sensitivity.)

 

  Reinvestment had an adverse effect on the Trust’s income, as the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at lower prevailing rates.

 

  Bonds rated BBB and lower contributed to performance, as continued investor demand for higher yields helped support prices. In addition, these positions generated above-average income. Conversely, the Trust’s positions in higher-quality investments underperformed their lower-rated counterparts.

 

  The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

 

  At the sector level, positions in corporate-related tax-exempt bonds contributed to performance. The tobacco sector also generated positive absolute returns due to the announcement of a potential refunding of New Jersey’s outstanding tobacco bonds, which could result in $2.9 billion high yield tobacco issues being removed from the market. The announcement created a tailwind for all tobacco bonds due to the prospect of a reduced supply of liquid, high yield securities.

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.

 

 

16    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018  (continued)    BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     08/31/17      Change      High      Low  

Market Price

  $ 9.21     $ 9.84        (6.40 )%     $ 9.97      $ 9.15  

Net Asset Value

    9.44       9.75        (3.18      9.78        9.44  

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

    

02/28/18

   

08/31/17

 

Transportation

    24     26

Health

    23       23  

County/City/Special District/School District

    11       11  

Education

    10       9  

Corporate

    9       8  

State

    7       7  

Tobacco

    6       3  

Utilities

    6       7  

Housing

    4       6  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    17

2019

    19  

2020

    4  

2021

    6  

2022

    5  

 

  (c)  Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.  

CREDIT QUALITY ALLOCATION (a)

 

    

02/28/18

   

08/31/17

 

AAA/Aaa

    5     7

AA/Aa

    38       39  

A

    15       16  

BBB/Baa

    23       21  

BB/Ba

    4       4  

B

    3       2  

N/R(b)

    12       11  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings  
  (b)  The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 2%, of the Trust’s total investments.  
 

 

  * Excludes short-term securities.

 

 

TRUST SUMMARY      17  


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds

 

Alabama  0.7%  

Opelika Utilities Board, Refunding RB, 4.00%, 06/01/41

  $ 960     $ 984,605  

UAB Medicine Finance Authority, Refunding RB, Series B, 5.00%, 09/01/41

    130       147,703  
   

 

 

 
    1,132,308  
Arizona  7.5%  

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A, 5.00%, 02/01/42

    2,200       2,312,244  

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, 5.00%, 07/01/45(a)

    460       469,301  

County of Pinal Arizona Electric District No.3, Refunding RB:

   

4.75%, 07/01/21(b)

    680       746,171  

4.75%, 07/01/31

    3,070       3,293,404  

Salt Verde Financial Corp., RB, Senior:

   

5.00%, 12/01/32

    1,500       1,744,200  

5.00%, 12/01/37

    2,065       2,416,380  

University Medical Center Corp., RB, 6.50%, 07/01/19(b)

    500       531,565  

University Medical Center Corp., Refunding RB, 6.00%, 07/01/21(b)

    900       1,019,142  
   

 

 

 
    12,532,407  
Arkansas  2.3%  

City of Benton Arkansas, RB, 4.00%, 06/01/39

    505       522,190  

City of Fort Smith Arkansas Water & Sewer Revenue, Refunding RB, 4.00%, 10/01/40

    840       860,975  

City of Little Rock Arkansas, RB, 4.00%, 07/01/41

    1,835       1,873,021  

County of Pulaski Arkansas Public Facilities Board, RB, 5.00%, 12/01/42

    465       507,738  
   

 

 

 
    3,763,924  
California  22.7%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 5.88%, 08/15/31

    1,900       2,084,452  

Carlsbad California Unified School District, GO, Election of 2006, Series B, 0.00%, 05/01/34(c)

    1,000       1,125,380  

Chaffey Joint Union High School District, GO, Election of 2012, Series C, 5.25%, 08/01/47

    3,000       3,486,240  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, Series A-1, AMT, 5.75%, 03/01/34

    2,000       2,201,180  

County of San Diego Regional Airport Authority, ARB, Subordinate, Series B, AMT, 5.00%, 07/01/42

    2,405       2,685,880  

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 0.00%, 08/01/34(c)

    1,650       1,658,267  

Los Angeles Unified School District California, GO, Election of 2008, Series B-1, 5.25%, 07/01/42(d)

    1,450       1,714,683  

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 08/01/38(e)

    8,000       3,393,040  

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

   

0.00%, 08/01/30(e)

    1,500       985,815  

0.00%, 08/01/33(e)

    4,000       1,631,680  

0.00%, 08/01/39(c)

    2,605       2,465,945  

San Diego Community College District, GO, CAB, Election of 2002, 0.00%, 08/01/33(c)

    2,800       3,240,748  

State of California, GO, Refunding, Various Purposes, 5.00%, 02/01/38

    3,000       3,334,440  

State of California, GO, Various Purposes:

   

5.75%, 04/01/31

    2,000       2,090,960  

6.00%, 03/01/33

    1,000       1,085,740  

6.50%, 04/01/33

    1,950       2,056,041  

5.50%, 03/01/40

    2,350       2,521,268  
   

 

 

 
    37,761,759  
Security   Par
(000)
    Value  
Colorado  0.7%  

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

  $ 1,070     $ 1,096,333  
Connecticut  0.4%  

Connecticut State Health & Educational Facility Authority, Refunding RB, Lawrence & Memorial Hospital, Series F, 5.00%, 07/01/36

    550       580,795  
   

 

 

 
Delaware  1.4%  

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

    1,200       1,263,264  

Delaware Transportation Authority, RB, U.S. 301 Project, 5.00%, 06/01/55

    950       1,046,216  
   

 

 

 
    2,309,480  
Florida  5.0%  

Capital Trust Agency Inc., RB, M/F Housing, The Gardens Apartment Project, Series A, 4.75%, 07/01/40

    600       620,220  

County of Broward Florida Airport System Revenue, ARB, AMT, 5.00%, 10/01/42

    345       385,317  

County of Miami-Dade Florida, RB, AMT, Seaport Department, Series B, 6.00%, 10/01/31

    4,135       4,767,944  

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center, 5.00%, 06/01/36

    125       131,447  

South Miami Health Facilities Authority, Refunding RB, Baptist Health South Florida Obligated Group, 5.00%, 08/15/42

    1,660       1,849,008  

Stevens Plantation Community Development District, RB, Special Assessment, Series A, 7.10%, 05/01/35(f)(g)

    860       602,000  
   

 

 

 
    8,355,936  
Georgia  0.4%  

County of Dalton Whitfield Joint Development Authority, RB, Hamilton Health Care System Obligation, 4.00%, 08/15/48

    705       705,564  
   

 

 

 
Hawaii  0.3%  

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

    400       441,956  
   

 

 

 
Idaho  0.3%  

Idaho Health Facilities Authority, RB, St. Lukes Health System Project, Series A, 5.00%, 03/01/39

    500       538,105  
   

 

 

 
Illinois  8.6%  

Chicago Board of Education, GO, Series H, 5.00%, 12/01/36

    235       237,331  

Chicago Board of Education, GO, Refunding, Dedicated Revenues:

   

Series C, 5.00%, 12/01/34

    235       239,524  

Series F, 5.00%, 12/01/23

    310       329,521  

Chicago Board of Education, GO, Refunding Series C, 5.00%, 12/01/25

    425       450,143  

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT, 4.00%, 01/01/29

    1,600       1,639,936  

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, Senior Lien:

   

Series B, 5.00%, 01/01/35

    2,000       2,274,940  

Series B, 5.00%, 01/01/41

    2,000       2,225,560  

Series C, 5.00%, 01/01/38

    1,000       1,118,620  

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A, AMT, 5.00%, 01/01/41

    870       947,343  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

    665       721,066  

Illinois Finance Authority, RB, Chicago LLC, University of Illinois at Chicago Project, Series A:

   

5.00%, 02/15/37

    300       316,641  

5.00%, 02/15/47

    205       214,586  

5.00%, 02/15/50

    100       104,283  
 

 

 

18    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

Illinois Finance Authority, Refunding RB:

   

OSF Healthcare System, 6.00%, 05/15/39

  $ 295     $ 310,033  

Roosevelt University Project, 6.50%, 04/01/44

    1,000       1,050,430  

Metropolitan Pier & Exposition Authority, RB, McCormick Place Expansion Project Bonds, Series A, 5.00%, 06/15/57

    645       684,951  

Railsplitter Tobacco Settlement Authority, RB:

   

6.00%, 06/01/21(b)

    1,150       1,300,868  

5.00%, 06/01/28

    155       175,798  
   

 

 

 
    14,341,574  
Iowa  0.2%  

Iowa Finance Authority, Refunding RB, Iowa Fertilizer Co. Project, Series B, 5.25%, 12/01/50(h)

    250       259,560  
   

 

 

 
Kansas  2.7%  

County of Seward Kansas Unified School District No. 480 Liberal, GO, Refunding:

   

5.00%, 09/01/22(b)

    3,280       3,716,306  

5.00%, 09/01/39

    720       807,516  
   

 

 

 
    4,523,822  
Kentucky — 3.7%  

County of Boyle Kentucky, Refunding RB, Centre College of Kentucky, 5.00%, 06/01/37

    2,500       2,758,600  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 01/01/40

    1,830       1,970,233  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C(c):

   

0.00%, 07/01/34

    500       464,030  

0.00%, 07/01/39

    830       761,907  

0.00%, 07/01/43

    270       248,289  
   

 

 

 
    6,203,059  
Louisiana — 1.5%  

City of Alexandria Louisiana Utilities, RB, 5.00%, 05/01/39

    860       947,453  

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

    1,050       1,163,568  

Louisiana Public Facilities Authority, RB, Belle Chasse Educational Foundation Project, 6.50%, 05/01/31

    400       426,476  
   

 

 

 
    2,537,497  
Maryland — 0.2%  

County of Anne Arundel Maryland Consolidated, RB, Special Taxing District, Villages at Two Rivers Project:

   

5.13%, 07/01/36

    170       171,496  

5.25%, 07/01/44

    170       171,086  
   

 

 

 
    342,582  
Massachusetts — 2.1%  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A:

   

5.00%, 01/01/47

    630       692,679  

5.25%, 01/01/42

    565       634,048  

Massachusetts Development Finance Agency, Refunding RB, International Charter School, 5.00%, 04/15/40

    400       423,788  

Massachusetts Port Authority, Refunding ARB, Series A, AMT, 5.00%, 07/01/42

    1,500       1,686,615  
   

 

 

 
    3,437,130  
Michigan — 5.7%  

Michigan Finance Authority, RB, Detroit Water & Sewage Disposal System, Senior Lien, Series 2014 C-2, AMT, 5.00%, 07/01/44

    240       256,627  
Security   Par
(000)
    Value  
Michigan (continued)  

Michigan Finance Authority, Refunding RB:

   

Henry Ford Health System, 5.00%, 11/15/41

  $ 5,560     $ 6,115,055  

Trinity Health Credit Group, Series A, 4.00%, 12/01/36

    850       869,967  

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

    2,100       2,150,190  

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

    40       41,161  
   

 

 

 
    9,433,000  
Minnesota — 4.5%  

City of Maple Grove Minnesota, Refunding RB, Maple Grove Hospital, Corp., 4.00%, 05/01/37

    880       886,002  

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

    3,890       4,017,242  

Minneapolis-St. Paul Metropolitan Airports Commission, Refunding ARB, Sub Series D, AMT, 5.00%, 01/01/41

    290       325,360  

Minnesota Higher Education Facilities Authority, RB:

   

Augsburg College, Series B, 4.25%, 05/01/40

    1,185       1,184,881  

College of St. Benedict, Series 8-K, 5.00%, 03/01/37

    660       730,481  

College of St. Benedict, Series 8-K, 4.00%, 03/01/43

    385       391,064  
   

 

 

 
    7,535,030  
Mississippi — 1.9%  

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

    400       442,688  

Mississippi Development Bank, RB, Special Obligation:

   

CAB, Hinds Community College District (AGM), 5.00%, 04/01/21(b)

    845       927,802  

County of Jackson Limited Tax Note (AGC), 5.50%, 07/01/32

    1,750       1,829,152  
   

 

 

 
    3,199,642  
Missouri — 2.7%  

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

    900       978,282  

Missouri State Health & Educational Facilities Authority, RB:

   

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

    500       548,785  

A.T. Still University of Health Sciences, 4.25%, 10/01/32

    320       332,887  

A.T. Still University of Health Sciences, 5.00%, 10/01/39

    500       549,135  

Heartland Regional Medical Center, 4.13%, 02/15/43

    300       306,336  

University of Central Missouri, Series C-2, 5.00%, 10/01/34

    1,000       1,113,460  

Missouri State Health & Educational Facilities Authority, Refunding RB, Kansas City University of Medicine and Biosciences, Series A, 5.00%, 06/01/42

    540       600,334  
   

 

 

 
    4,429,219  
Montana — 1.2%  

County of Cascade Montana High School District A Great Falls, GO:

   

4.00%, 07/01/34

    570       605,095  

4.00%, 07/01/35

    550       582,043  

Montana State Board of Regents, RB, Montana State University Facilities Improvement, 5.00%, 11/15/43

    745       852,049  
   

 

 

 
    2,039,187  
Nebraska — 1.1%  

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.00%, 09/01/42

    600       650,136  

County of Douglas Nebraska Hospital Authority No. 3, Refunding RB, Health Facilities Nebraska Methodist Health System, 5.00%, 11/01/45

    400       435,520  

Nebraska Public Power District, Refunding RB, Series A:

   

5.00%, 01/01/32

    250       273,837  

4.00%, 01/01/44

    400       406,520  
   

 

 

 
    1,766,013  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Nevada — 1.2%  

City of Las Vegas Nevada, RB, Special Assessment, No. 809 Summerlin Area, 5.65%, 06/01/23

  $ 995     $ 1,002,303  

County of Clark Nevada, Refunding ARB, Department of Aviation, Subordinate Lien, Series A-2, 4.25%, 07/01/36

    1,000       1,039,910  
   

 

 

 
    2,042,213  
New Jersey — 15.2%  

New Jersey EDA, RB:

   

Continental Airlines, Inc. Project, Series B, AMT, 5.63%, 11/15/30

    660       746,506  

Goethals Bridge Replacement Project (AGM), AMT, 5.13%, 07/01/42

    200       219,986  

School Facilities Construction, Series UU, 5.00%, 06/15/40

    425       440,496  

New Jersey EDA, Refunding RB:

   

Series B, 5.50%, 06/15/30

    2,500       2,836,775  

Special Assessment, Kapkowski Road Landfill Project, 6.50%, 04/01/28

    7,500       8,774,250  

New Jersey Health Care Facilities Financing Authority, Refunding RB:

   

Hospital Asset Transfer Program, 5.00%, 10/01/37

    685       726,744  

St. Barnabas Health Care System, Series A, 4.63%, 07/01/21(b)

    510       554,120  

St. Barnabas Health Care System, Series A, 5.63%, 07/01/21(b)

    1,700       1,901,637  

St. Barnabas Health Care System, Series A, 5.00%, 07/01/25

    500       552,900  

New Jersey State Turnpike Authority, RB, Series E, 5.00%, 01/01/45

    1,860       2,061,475  

New Jersey Transportation Trust Fund Authority, RB:

   

CAB, Transportation System, Series A, 0.00%, 12/15/35(e)

    1,000       428,650  

Transportation Program, Series AA, 5.00%, 06/15/45

    900       935,001  

Transportation Program, Series AA, 5.00%, 06/15/46

    400       415,300  

New Jersey Turnpike Authority, Refunding RB, Series B, 5.00%, 01/01/40

    875       991,900  

South Jersey Port Corp., RB, Marine Terminal, Series B, AMT, 5.00%, 01/01/35

    625       666,969  

Tobacco Settlement Financing Corp., Refunding RB, Series 1A, 5.00%, 06/01/41

    3,000       2,985,060  
   

 

 

 
    25,237,769  
New Mexico  0.3%  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 08/01/44

    450       498,065  
   

 

 

 
New York  5.8%  

City of New York New York Industrial Development Agency, RB, PILOT (AMBAC), 5.00%, 01/01/39

    925       932,160  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 06/01/41(a)

    900       927,603  

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 06/01/45

    1,160       1,110,027  

Hudson Yards Infrastructure Corp., Refunding RB, Series A, 5.00%, 02/15/37

    1,000       1,138,310  

New York Liberty Development Corp., Refunding RB:

   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 07/15/49

    800       855,336  

3 World Trade Center Project, Class 2, 5.38%, 11/15/40(a)

    405       442,410  

New York Transportation Development Corp., ARB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.00%, 07/01/41

    1,000       1,088,610  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    1,295       1,371,068  
Security   Par
(000)
    Value  
New York (continued)  

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42(a)

  $ 400     $ 400,248  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 206th Series, AMT, 5.00%, 11/15/37

    1,250       1,419,587  
   

 

 

 
    9,685,359  
North Carolina  0.2%  

North Carolina Medical Care Commission, Refunding RB, The United Methodist Retirement Homes, Series A, 5.00%, 10/01/42

    300       326,829  
   

 

 

 
North Dakota  0.3%  

County of Burleigh North Dakota, Refunding RB, St. Alexius Medical Center Project, Series A, 5.00%, 07/01/21(b)

    480       527,299  
   

 

 

 
Ohio  2.4%  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 6.50%, 06/01/47

    2,000       1,979,780  

City of Dayton Ohio Airport Revenue, Refunding ARB, James M. Cox Dayton International Airport, Series A (AGM), AMT, 4.00%, 12/01/32

    2,000       2,034,320  
   

 

 

 
    4,014,100  
Oklahoma  1.8%  

Norman Oklahoma Regional Hospital Authority, Refunding RB, 4.00%, 09/01/37

    1,275       1,291,524  

Oklahoma City Public Property Authority, Refunding RB, 5.00%, 10/01/39

    720       809,698  

Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc., Cross Village Student Housing Project, Series A, 5.25%, 08/01/57

    820       892,340  
   

 

 

 
    2,993,562  
Oregon — 1.6%  

County of Lane Oregon School District No. 19 Springfield, GO, CAB, Series B, 0.00%, 06/15/40(e)

    1,000       419,150  

Oregon Health & Science University, RB, Series A, 4.00%, 07/01/37

    675       700,009  

State of Oregon State Facilities Authority, Refunding RB, University of Portland Project, Series A, 5.00%, 04/01/45

    1,475       1,620,420  
   

 

 

 
    2,739,579  
Pennsylvania — 9.3%  

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment:

   

5.00%, 06/01/33

    335       371,843  

5.00%, 06/01/34

    750       829,110  

(AGM), 4.00%, 06/01/39

    1,365       1,370,119  

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

    1,695       1,757,240  

Delaware River Port Authority, RB:

   

4.50%, 01/01/32

    1,500       1,601,265  

Series D (AGM), 5.00%, 01/01/40

    2,600       2,745,236  

Pennsylvania Turnpike Commission, RB, Sub-Series B-1, 5.00%, 06/01/42

    5,000       5,455,700  

Pottsville Hospital Authority, Refunding RB, Lehigh Valley Health Network, Series B, 5.00%, 07/01/45

    1,250       1,365,688  
   

 

 

 
    15,496,201  
Puerto Rico — 1.0%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

   

5.50%, 05/15/39

    940       883,939  

5.63%, 05/15/43

    890       829,364  
   

 

 

 
    1,713,303  
 

 

 

20    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Rhode Island — 4.6%  

Rhode Island Health & Educational Building Corp., Refunding RB, Series A (AGM), 3.75%, 05/15/32

  $ 1,155     $ 1,164,818  

Rhode Island Turnpike & Bridge Authority, Refunding RB, Series A, 5.00%, 10/01/40

    1,540       1,709,338  

State of Rhode Island, COP, School for the Deaf Project, Series C (AGC), 5.38%, 04/01/19(b)

    900       937,926  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.00%, 06/01/40

    1,000       1,068,800  

Series B, 4.50%, 06/01/45

    2,730       2,756,754  
   

 

 

 
    7,637,636  
South Carolina — 0.9%  

Spartanburg Regional Health Services District, Refunding RB, Series A, 4.00%, 04/15/43

    1,500       1,487,025  
   

 

 

 
Tennessee — 2.9%  

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 01/01/40

    1,950       2,088,723  

County of Chattanooga-Hamilton Tennessee Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44

    875       930,886  

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

    275       291,643  

County of Nashville & Davidson Metropolitan Government Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 07/01/40

    675       744,505  

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, Series A, 5.00%, 08/15/42

    800       839,976  
   

 

 

 
    4,895,733  
Texas — 8.8%  

County of Harris Texas Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series G (NPFGC), 0.00%, 11/15/41(e)

    11,690       3,643,890  

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

    1,500       1,613,025  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 09/15/38(e)

    10,760       4,454,640  

Leander ISD, GO, Refunding CAB, Series D (PSF-GTD)(e):

   

0.00%, 08/15/24(b)

    370       189,403  

0.00%, 08/15/35

    3,630       1,749,261  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/38

    760       854,103  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, LBJ Infrastructure Group LLC, 7.00%, 06/30/40

    2,000       2,210,340  
   

 

 

 
    14,714,662  
Utah — 0.2%  

Utah State Charter School Finance Authority, Refunding RB, Mountainville Academy, 4.00%, 04/15/42

    400       402,796  
   

 

 

 
Vermont — 0.8%  

University of Vermont & State Agricultural College, Refunding RB, 4.00%, 10/01/37

    500       514,275  

Vermont Student Assistance Corp., RB, Series A, 4.13%, 06/15/30

    735       751,104  
   

 

 

 
    1,265,379  
Virginia — 2.2%  

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 03/01/36

    490       510,751  

Virginia Small Business Financing Authority, RB, AMT:

   

Senior Lien, Elizabeth River Crossings OpCo LLC Project, 6.00%, 01/01/37

    725       814,871  
Security   Par
(000)
    Value  
Virginia (continued)  
Virginia Small Business Financing Authority, RB, AMT
(continued):
           

Transform 66 P3 Project, 5.00%, 12/31/49

  $ 2,135     $ 2,299,737  
   

 

 

 
    3,625,359  
Washington — 0.4%  

Washington State Housing Finance Commission, Refunding RB, Horizon House Project, 5.00%, 01/01/38(a)

    600       653,430  
   

 

 

 
Wisconsin — 0.6%  

Public Finance Authority, Refunding RB, National Gypsum Co., AMT, 4.00%, 08/01/35

    280       271,440  

WPPI Energy Power Supply Systems, Refunding RB, Series A, 5.00%, 07/01/37

    665       745,618  
   

 

 

 
    1,017,058  
   

 

 

 

Total Municipal Bonds — 138.3%
(Cost — $216,679,312)

 

    230,239,239  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(i)

 

Colorado — 2.3%  

Colorado Health Facilities Authority, RB, Catholic Health, Series C-7 (AGM), 5.00%, 05/01/18(b)

    3,750       3,771,600  
   

 

 

 
Connecticut — 1.7%  

State of Connecticut Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45

    2,611       2,911,209  
   

 

 

 
Georgia — 2.7%  

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/43

    4,003       4,499,017  
   

 

 

 
New Jersey — 0.9%  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(j)

    1,400       1,473,025  
   

 

 

 
New York — 12.7%  

City of New York New York, GO, Refunding Fiscal 2015, Series B, 4.00%, 08/01/32

    3,990       4,198,358  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

   

5.75%, 06/15/18(b)

    104       104,769  

5.75%, 06/15/40

    346       350,352  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    405       424,831  

City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 06/15/47

    6,000       6,690,301  

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 02/15/47(j)

    2,500       2,760,267  

New York Liberty Development Corp., ARB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

    2,505       2,765,909  

State of New York Dormitory Authority, RB, State University Dormitory Facilities, New York University, Series A, 5.00%, 07/01/18(b)

    2,199       2,223,837  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 03/15/31

    1,560       1,720,805  
   

 

 

 
    21,239,429  
Ohio — 0.8%  

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 04/28/18(b)

    1,260       1,267,365  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Texas — 1.0%  

City of San Antonio Texas Electric and Gas Systems, RB, Junior Lien, 5.00%, 02/01/43

  $ 1,580     $ 1,733,090  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 22.1%
(Cost — $35,805,279)

 

    36,894,735  
   

 

 

 

Total Long-Term Investments — 160.4%
(Cost — $252,484,591)

 

    267,133,974  
   

 

 

 
     Shares         

Short-Term Securities — 0.1%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.94%(k)(l)

    143,967       143,982  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $143,969)

 

    143,982  
   

 

 

 

Total Investments — 160.5%
(Cost — $252,628,560)

 

    267,277,956  

Other Assets Less Liabilities — 0.4%

 

    571,614  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (12.9)%

 

    (21,465,101

VMTP Shares at Liquidation Value — (48.0)%

 

    (79,900,000
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 166,484,469  
   

 

 

 

 

(a)  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.
(b)  U.S. 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)  Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.
(d)  When-issued security.
(e)  Zero-coupon bond.
(f)  Non-income producing security.
(g)  Issuer filed for bankruptcy and/or is in default.
(h)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(i)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(j)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2019 to June 15, 2019, is $2,411,645. See Note 4 of the Notes to Financial Statements for details.
(k)  Annualized 7-day yield as of period end.
 
(l)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     136,442        7,525        143,967      $ 143,982      $ 2,780      $ (242    $ 13  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     57          06/20/18        $ 6,843        $ 6,086  

Long U.S. Treasury Bond

     88          06/20/18          12,623          (47,864

5-Year U.S. Treasury Note

     15          06/29/18          1,709          2,159  
                 

 

 

 
        $ (39,619
                 

 

 

 

 

 

22    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 8,245      $      $ 8,245  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 47,864      $      $ 47,864  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.  

For the six months ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 1,336,617      $      $ 1,336,617  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 35,855      $      $ 35,855  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 15,899,012  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1      Level 2      Level 3      Total  

Assets:

           

Investments:

           

Long-Term Investments(a)

   $      $ 267,133,974      $      $ 267,133,974  

Short-Term Securities

     143,982                      143,982  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 143,982      $ 267,133,974      $      $ 267,277,956  
  

 

 

    

 

 

    

 

 

    

 

 

 

Derivative Financial Instruments(b)

           

Assets:

           

Interest rate contracts

   $ 8,245      $      $      $ 8,245  

Liabilities:

           

Interest rate contracts

     (47,864                    (47,864
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ (39,619    $      $             —      $ (39,619
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  See above Schedule of Investments for values in each state or political subdivision.  
  (b)  Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Bond Trust (BBK)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2      Level 3      Total  

Liabilities:

           

TOB Trust Certificates

   $      $ (21,403,733    $      $ (21,403,733

VMTP Shares at Liquidation Value

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

 

 

    

 

 

    

 

 

    

 

 

 
   $             —      $ (101,303,733    $             —      $ (101,303,733
  

 

 

    

 

 

    

 

 

    

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

24    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds

 

Alabama — 1.9%  

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

   

6.00%, 06/01/19

  $ 1,000     $ 1,055,370  

6.13%, 06/01/19

    1,000       1,056,910  

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A, 5.38%, 12/01/35

    335       370,751  
   

 

 

 
    2,483,031  
California — 13.8%  

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18(a)

    2,005       2,052,178  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/42

    1,120       1,222,749  

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 07/01/18(a)

    1,400       1,419,670  

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/33

    1,025       1,207,153  

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 04/01/19(a)

    3,210       3,353,102  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 08/01/21(a)

    1,000       1,127,630  

Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series J:

   

5.25%, 05/15/23(a)

    1,835       2,136,123  

5.25%, 05/15/38

    520       589,612  

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 08/01/19(a)

    1,125       1,185,097  

State of California Public Works Board, LRB, Various Capital Projects, Series I:

   

5.50%, 11/01/30

    1,000       1,164,370  

5.50%, 11/01/31

    1,500       1,742,250  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 09/01/33

    505       575,362  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/40

    380       443,973  
   

 

 

 
    18,219,269  
Colorado — 3.9%  

City & County of Denver Colorado Airport System, ARB, Sub-System, Series B, 5.25%, 11/15/32

    3,250       3,677,830  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 05/15/19(a)

    1,425       1,499,528  
   

 

 

 
    5,177,358  
Connecticut — 0.5%  

Connecticut Housing Finance Authority, Refunding RB, Sub-Series A-1(b):

   

3.63%, 05/15/35

    240       237,715  

3.85%, 11/15/43

    390       386,837  
   

 

 

 
    624,552  
Florida — 9.4%  

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

    4,525       5,033,972  

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

    205       233,274  

County of Miami-Dade Florida, RB, Seaport Department, Series A, 6.00%, 10/01/38

    4,215       4,888,389  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project, 5.00%, 08/01/41

    1,305       1,431,141  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 06/01/32

    745       846,707  
   

 

 

 
    12,433,483  
Security   Par
(000)
    Value  
Georgia — 2.2%  

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 01/01/30

  $ 2,500     $ 2,794,300  

Dahlonega Downtown Development Authority, Refunding RB, North Georgia MAC, LLC Project, 3.13%, 07/01/40

    160       144,059  
   

 

 

 
    2,938,359  
Illinois — 21.1%  

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, 3rd Lien, Series C (AGC), 5.25%, 01/01/30

    1,000       1,057,180  

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien:

   

Series A, 5.75%, 01/01/21(a)

    690       766,079  

Series A, 5.75%, 01/01/39

    135       148,195  

Series C, 6.50%, 01/01/21(a)

    3,740       4,229,491  

City of Chicago Illinois Transit Authority, RB:

   

Federal Transit Administration, Section 5309, Series A (AGC), 6.00%, 12/01/18(a)

    1,300       1,345,162  

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

    3,185       3,457,063  

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

    3,000       3,252,930  

City of Chicago Illinois Transit Authority, Refunding RB, Federal Transit Administration, Section 5309 (AGM), 5.00%, 06/01/28

    3,000       3,170,220  

City of Chicago Illinois Wastewater Transmission, RB, 2nd Lien, 5.00%, 01/01/42

    1,480       1,564,849  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago:

   

5.50%, 12/01/38

    855       909,378  

5.25%, 12/01/43

    1,430       1,480,021  

Illinois Finance Authority, RB, Series A:

   

Carle Foundation, 6.00%, 08/15/41

    1,885       2,094,122  

Chicago LLC, University of Illinois at Chicago Project, 5.00%, 02/15/47

    115       120,377  

Chicago LLC, University of Illinois at Chicago Project, 5.00%, 02/15/50

    60       62,570  

Railsplitter Tobacco Settlement Authority, RB(a):

   

5.50%, 06/01/21

    915       1,020,673  

6.00%, 06/01/21

    260       294,109  

State of Illinois, GO:

   

5.25%, 02/01/31

    610       630,301  

5.25%, 02/01/32

    1,000       1,033,280  

5.50%, 07/01/33

    1,000       1,039,180  

5.50%, 07/01/38

    270       279,804  
   

 

 

 
    27,954,984  
Indiana — 1.9%  

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

   

5.50%, 01/01/19(a)

    470       486,008  

5.50%, 01/01/38

    1,945       2,006,462  
   

 

 

 
    2,492,470  
Kentucky — 0.7%  

Kentucky State Property & Building Commission, Refunding RB, Project No. 93 (AGC)(a):

   

5.25%, 02/01/19

    900       930,672  
   

 

 

 
Louisiana — 1.0%  

City of New Orleans Louisiana Aviation Board, Refunding GARB, Restructuring(a):

   

Series A-1 (AGC), 6.00%, 01/01/19

    375       389,314  

Series A-2 (AGC), 6.00%, 01/01/19

    150       155,725  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 05/15/29

    790       823,346  
   

 

 

 
    1,368,385  
 

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Massachusetts — 1.0%  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 01/01/47

  $ 695     $ 764,146  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/35

    500       547,400  
   

 

 

 
    1,311,546  
Michigan — 2.3%  

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM):

   

6.25%, 07/01/19(a)

    1,695       1,798,768  

6.25%, 07/01/36

    5       5,284  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 09/01/18(a)

    1,205       1,246,067  
   

 

 

 
    3,050,119  
Minnesota — 2.9%  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

   

6.50%, 11/15/18(a)

    565       585,187  

6.50%, 11/15/38

    3,115       3,216,892  
   

 

 

 
    3,802,079  
Mississippi  2.1%  

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM), 6.88%, 12/01/40

    1,000       1,220,820  

Mississippi State University Educational Building Corp., Refunding RB:

   

Mississippi State University Facilities Refinancing, Series A, 4.00%, 08/01/43

    330       337,009  

Mississippi State University Improvement Project, 5.25%, 08/01/23(a)

    1,000       1,163,730  
   

 

 

 
    2,721,559  
Montana  0.2%  

Montana State Board of Regents, RB, Montana State University Facilities Improvement:

   

3.25%, 11/15/37

    80       77,167  

3.38%, 11/15/47

    210       199,574  
   

 

 

 
    276,741  
Nevada  1.6%  

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 07/01/19(a)

    2,000       2,098,940  
   

 

 

 
New Jersey  5.0%  

New Jersey Health Care Facilities Financing Authority, RB, Virtua Health, Series A (AGC), 5.50%, 07/01/38

    1,300       1,358,877  

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

    1,455       1,483,751  

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

   

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

    2,000       2,056,020  

Series AA, 5.50%, 06/15/39

    1,620       1,725,899  
   

 

 

 
    6,624,547  
New York  5.9%  

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-4 (AGC), 5.50%, 01/15/29

    2,465       2,550,462  

Metropolitan Transportation Authority, RB:

   

Series A, 5.25%, 11/15/21(a)

    1,565       1,761,721  

Series A-1, 5.25%, 11/15/39

    1,000       1,140,710  

Metropolitan Transportation Authority, Refunding RB, Series D, 4.00%, 11/15/46

    1,890       1,926,458  

Westchester New York Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 4.00%, 06/01/42

    430       415,070  
   

 

 

 
    7,794,421  
Security   Par
(000)
    Value  
Ohio  0.4%  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 02/15/31

  $ 470     $ 527,758  
   

 

 

 
Oklahoma  0.8%  

Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc., Cross Village Student Housing Project, Series A, 5.25%, 08/01/57

    990       1,077,338  
   

 

 

 
Oregon  0.2%  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 06/15/38(c)

    510       217,423  
   

 

 

 
Pennsylvania  3.4%  

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment, 5.00%, 06/01/32

    390       435,006  

Pennsylvania Housing Finance Agency, RB, S/F Housing Mortgage, Series 123-B, 4.00%, 10/01/42

    535       540,414  

Pennsylvania Turnpike Commission, RB, Series C, 5.00%, 12/01/43

    1,720       1,871,859  

Township of Bristol Pennsylvania School District, GO, 5.25%, 06/01/37

    1,500       1,669,590  
   

 

 

 
    4,516,869  
Rhode Island  1.3%  

Rhode Island Health & Educational Building Corp., RB, Series A, 4.00%, 09/15/42

    1,645       1,684,332  
   

 

 

 
South Carolina  2.6%  

County of Charleston South Carolina, RB, Special Source, 5.25%, 12/01/38

    1,525       1,757,852  

State of South Carolina Public Service Authority, RB, Series E, 5.00%, 12/01/48

    305       327,466  

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

    1,275       1,400,677  
   

 

 

 
    3,485,995  
Texas — 13.0%  

Austin Community College District Public Facility Corp., RB, Educational Facilities Project, Round Rock Campus, 5.25%, 08/01/18(a)

    1,000       1,015,940  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 03/01/37

    980       1,100,961  

City of Frisco Texas ISD, GO, School Building (AGC), 5.50%, 08/15/41

    3,365       3,551,690  

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

   

5.38%, 05/15/19(a)

    945       987,998  

6.00%, 05/15/19(a)

    4,565       4,806,580  

6.00%, 11/15/35

    135       142,228  

6.00%, 11/15/36

    115       121,157  

5.38%, 11/15/38

    55       57,395  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

   

6.50%, 01/01/19(a)

    205       213,493  

6.50%, 07/01/37

    795       823,095  

Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33

    1,000       1,151,260  

North Texas Tollway Authority, Refunding RB, 1st Tier(a):

   

(AGM), 6.00%, 01/01/21

    1,000       1,117,130  

Series K-1 (AGC), 5.75%, 01/01/19

    1,500       1,553,535  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/38

    440       494,481  
   

 

 

 
    17,136,943  
Virginia — 1.1%  

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 01/01/43

    370       405,420  
 

 

 

26    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Virginia (continued)  

State of Virginia Public School Authority, RB, Fluvanna County School Financing, 6.50%, 12/01/18(a)

  $ 1,000     $ 1,038,440  
   

 

 

 
    1,443,860  
Washington — 1.5%  

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 02/01/21(a)

    1,025       1,127,695  

State of Washington, GO, Various Purposes, Series B, 5.25%, 02/01/21(a)

    795       874,651  
   

 

 

 
    2,002,346  
   

 

 

 

Total Municipal Bonds — 101.7%
(Cost — $126,123,717)

 

    134,395,379  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

California — 12.7%  

Fremont Union High School District, GO, Refunding Series A, 4.00%, 08/01/46

    1,640       1,705,247  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/43

    2,775       3,162,529  

San Marcos Unified School District, GO, Election of 2010, Series A, 5.25%, 08/01/21(a)

    10,680       11,936,182  
   

 

 

 
    16,803,958  
Connecticut — 1.1%  

State of Connecticut Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45

    1,306       1,455,604  
   

 

 

 
District of Columbia — 0.6%  

District of Columbia Water & Sewer Authority, Refunding RB, Series A, 6.00%, 10/01/18(a)(e)

    759       779,618  
   

 

 

 
Georgia — 0.8%  

County of Dalton Whitfield Joint Development Authority, RB, Hamilton Health Care System Obligation, 4.00%, 08/15/48

    1,025       1,025,819  
   

 

 

 
Idaho — 1.3%  

Idaho State Building Authority, RB, State Office Campus Project, Series A, 4.00%, 09/01/48

    1,700       1,757,052  
   

 

 

 
Illinois — 5.4%  

State of Illinois Toll Highway Authority, RB:

   

Series A, 5.00%, 01/01/40

    825       921,219  

Series B, 5.00%, 01/01/40

    3,329       3,722,659  

Series C, 5.00%, 01/01/38

    2,252       2,503,439  
   

 

 

 
    7,147,317  
Michigan — 2.2%  

Michigan State Building Authority, Refunding RB, Facilities Program, Series I, 5.00%, 10/15/45

    2,650       2,970,889  
   

 

 

 
Nevada — 4.9%  

County of Clark Nevada Water Reclamation District, GO, Limited Tax, 6.00%, 07/01/18(a)

    2,000       2,031,050  

Las Vegas Valley Water District, GO, Refunding, Series C, 5.00%, 06/01/28

    4,100       4,479,414  
   

 

 

 
    6,510,464  
New Jersey — 6.7%  

New Jersey EDA, RB, School Facilities Construction (AGC)(a):

   

6.00%, 12/15/18

    986       1,021,347  

6.00%, 12/15/18

    14       14,453  

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 07/01/22(a)(e)

    6,020       6,771,085  
Security   Par
(000)
    Value  
New Jersey (continued)  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(e)

  $ 1,000     $ 1,052,161  
   

 

 

 
    8,859,046  
New York — 14.4%  

City of New York New York Municipal Water Finance Authority, Refunding RB:

   

Series FF, 5.00%, 06/15/45

    3,019       3,326,053  

Water & Sewer System, 2nd General Resolution, Series BB, 5.25%, 06/15/44

    4,993       5,536,941  

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 01/15/39

    900       927,182  

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 02/15/47(e)

    1,000       1,104,107  

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

    2,540       2,884,945  

New York Liberty Development Corp., ARB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

    2,955       3,262,779  

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

    1,740       1,951,592  
   

 

 

 
    18,993,599  
North Carolina — 2.0%  

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55

    2,400       2,654,316  
   

 

 

 
Pennsylvania — 3.5%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38

    1,349       1,505,002  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

    1,094       1,253,021  

Pennsylvania Turnpike Commission, Refunding RB, Sub Series B-2 (AGM), 5.00%, 06/01/35

    1,640       1,850,789  
   

 

 

 
    4,608,812  
Rhode Island — 1.5%  

Rhode Island Health & Educational Building Corp., RB, Series A, 4.00%, 09/15/47

    1,982       2,018,190  
   

 

 

 
Texas — 5.7%  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

    4,456       4,889,431  

North Texas Tollway Authority, RB, Special Projects System, Series A, 5.50%, 09/01/21(a)

    2,310       2,592,317  
   

 

 

 
    7,481,748  
Utah — 0.8%  

City of Riverton Utah, RB, IHC Health Services, Inc., 5.00%, 08/15/41

    1,005       1,047,078  
   

 

 

 
Virginia — 1.2%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.50%, 07/01/57(e)

    1,337       1,581,381  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 64.8%
(Cost — $82,473,131)

 

    85,694,891  
   

 

 

 

Total Long-Term Investments — 166.5%
(Cost — $208,596,848)

 

    220,090,270  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities — 1.4%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.94%(f)(g)

    1,835,929     $ 1,836,113  
   

 

 

 

Total Short -Term Securities — 1.4%
(Cost — $1,836,102)

 

    1,836,113  
   

 

 

 

Total Investments — 167.9%
(Cost — $210,432,950)

 

    221,926,383  

Other Assets Less Liabilities — 1.7%

 

    2,326,474  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (37.7)%

 

    (49,840,636

VMTP Shares at Liquidation Value — (31.9)%

 

    (42,200,000
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 132,212,221  
   

 

 

 

 

(a)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(b)  When-issued security.
(c)  Zero-coupon bond.
(d)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(e)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between May 7, 2018 to January 1, 2026, is $8,408,847. See Note 4 of the Notes to Financial Statements for details.
(f)  Annualized 7-day yield as of period end.
 
(g)  During the year ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     189,247        1,646,682        1,835,929      $ 1,836,113      $ 3,908      $ (184    $ 30  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
      

Expiration

Date

      

Notional

Amount (000)

      

Value/

Unrealized

Appreciation

(Depreciation)

 

Short Contracts:

                 

10-Year U.S. Treasury Note

     28          06/20/18        $ 3,361        $ 2,624  

Long U.S. Treasury Bond

     34          06/20/18          4,877          (20,219

5-Year U.S. Treasury Note

     33          06/29/18          3,760          6,356  
                 

 

 

 
                  $ (11,239
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate
Contracts

     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 8,980      $      $ 8,980  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 20,219      $      $ 20,219  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.  

 

 

28    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

For the six months ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 722,187      $      $ 722,187  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $      $      $ 33,380      $      $ 33,380  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 9,698,270  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 220,090,270        $        $ 220,090,270  

Short-Term Securities

     1,836,113                            1,836,113  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,836,113        $ 220,090,270        $        $ 221,926,383  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 8,980        $        $        $ 8,980  

Liabilities:

                 

Interest rate contracts

     (20,219                          (20,219
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (11,239      $        $             —        $ (11,239
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) See above Schedule of Investments for values in each state or political subdivision.  
  (b) Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (49,716,592      $        $ (49,716,592

VMTP Shares at Liquidation Value

              (42,200,000                 (42,200,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (91,916,592      $             —        $ (91,916,592
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds

   
Alabama — 3.7%            

City of Birmingham Alabama, GO, Convertible CAB, Series A1, 0.00%, 03/01/45(a)

  $ 1,165     $ 1,221,957  

City of Birmingham Alabama Airport Authority, ARB, (AGM), 5.50%, 07/01/40

    5,800       6,269,510  

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 06/01/19(b)

    1,495       1,577,778  

County of Tuscaloosa Board of Education, RB, Special Tax School Warrants, 5.00%, 02/01/43

    1,005       1,127,731  

State of Alabama Docks Department, Refunding RB, 6.00%, 10/01/20(b)

    3,800       4,216,898  
   

 

 

 
      14,413,874  
Alaska — 0.3%            

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

    1,070       1,162,395  
   

 

 

 
Arizona — 0.5%            

County of Maricopa Arizona IDA, Refunding RB, Banner Health Obligation Group, Series A, 5.00%, 01/01/38

    440       493,649  

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

   

5.00%, 10/01/27

    1,250       1,311,637  

5.25%, 10/01/28

    250       263,378  
   

 

 

 
      2,068,664  
California — 14.1%            

California Health Facilities Financing Authority, RB, St. Joseph Health System, Series A, 5.75%, 07/01/39

    625       658,400  

California Health Facilities Financing Authority, Refunding RB, Kaiser Permanente, Sub-Series A-2, 5.00%, 11/01/47

    1,465       1,858,939  

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

    10,100       12,406,941  

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 04/01/42

    1,620       1,771,535  

Chaffey Joint Union High School District, GO, Election of 2012, Series C, 5.25%, 08/01/47

    2,000       2,324,160  

City of Los Angeles Department of Airports, RB, Sub-Series B, 5.00%, 05/15/37

    875       1,007,939  

Coast Community College District, GO, CAB, Election of 2002, Series C (AGM), 5.00%, 08/01/18(a)(b)

    7,450       7,567,337  

Los Angeles Unified School District California, GO, Election of 2008, Series B-1, 5.25%, 07/01/42(c)

    3,430       4,056,112  

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 0.00%, 08/01/43(a)

    1,580       1,283,260  

San Diego California Unified School District, GO, Election of 2008(d):

   

CAB, Series C, 0.00%, 07/01/38

    2,000       908,380  

CAB, Series G, 0.00%, 07/01/34

    725       343,338  

CAB, Series G, 0.00%, 07/01/35

    775       344,658  

CAB, Series G, 0.00%, 07/01/36

    1,155       482,374  

CAB, Series G, 0.00%, 07/01/37

    770       302,102  

CAB, Series K-2, 0.00%, 07/01/38

    1,745       792,562  

CAB, Series K-2, 0.00%, 07/01/39

    2,115       921,844  

CAB, Series K-2, 0.00%, 07/01/40

    2,715       1,134,571  

San Diego California Unified School District, GO, Refunding, CAB, Series R-1, 0.00%, 07/01/31(d)

    1,400       886,186  

San Leandro Unified School District, GO, Election of 2016, Series A (BAM), 5.25%, 08/01/46

    1,820       2,117,934  

San Marcos Schools Financing Authority, Refunding LRB, (AGM), 5.00%, 08/15/35

    1,000       1,157,300  
Security   Par
(000)
    Value  
California (continued)            

State of California, GO, Refunding, Various Purposes, 5.00%, 10/01/41

  $ 1,100     $ 1,211,463  

State of California, GO, Various Purposes, 5.00%, 04/01/42

    3,000       3,285,510  

State of California Public Works Board, LRB, Various Capital Projects, Series I, 5.50%, 11/01/33

    1,415       1,636,221  

Washington Township Health Care District, Refunding RB, Series B, 5.00%, 07/01/30

    1,500       1,675,185  

Yosemite Community College District, GO, CAB, Election of 2004, Series D, 0.00%, 08/01/37(d)

    10,000       4,760,500  
   

 

 

 
      54,894,751  
Colorado — 0.6%            

Regional Transportation District, COP, Refunding, Series A, 5.38%, 06/01/31

    960       1,028,842  

Regional Transportation District, COP, Series A, 5.00%, 06/01/39

    1,305       1,432,120  
   

 

 

 
      2,460,962  
District of Columbia — 4.9%            

District of Columbia, GO, Series D:

   

5.00%, 06/01/38

    2,500       2,877,075  

5.00%, 06/01/41

    2,000       2,280,880  

District of Columbia Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, 6.75%, 05/15/40

    9,500       9,991,720  

Washington Metropolitan Area Transit Authority, RB, Series B, 5.00%, 07/01/42

    3,350       3,824,226  
   

 

 

 
      18,973,901  
Florida — 9.8%            

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39

    1,795       1,937,523  

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 07/01/18(b)

    1,400       1,418,060  

County of Broward Florida Water & Sewer Utility, Refunding RB, Series A, 5.25%, 10/01/18(b)

    6,750       6,904,845  

County of Miami-Dade Florida, RB, Seaport Department, Series A, 6.00%, 10/01/38

    2,770       3,212,535  

County of Miami-Dade Florida Aviation, Refunding ARB:

   

Aviation, Miami International Airport, Series A-1, 5.50%, 10/01/41

    5,000       5,444,500  

Series A, 5.50%, 10/01/36

    5,000       5,288,550  

County of Miami-Dade Florida Educational Facilities Authority, RB, University of Miami, Series A, 5.00%, 04/01/40

    3,910       4,318,751  

County of Miami-Dade Florida Health Facilities Authority, Refunding RB, Nicklaus Children’s Hospital Project, 5.00%, 08/01/42

    685       759,357  

County of Miami-Dade Florida Transit System, RB, Surtax (AGM), 5.00%, 07/01/18(b)

    1,300       1,315,912  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project:

   

5.00%, 08/01/41

    630       690,896  

5.00%, 08/01/47

    1,845       2,017,563  

County of Sarasota Florida Public Hospital District, RB, Sarasota Memorial Hospital Project, Series A, 5.63%, 07/01/39

    300       313,188  

Reedy Creek Improvement District, GO, Series A, 5.25%, 06/01/33

    1,340       1,519,399  

South Miami Health Facilities Authority, Refunding RB, Baptist Health South Florida Obligated Group, 5.00%, 08/15/42

    710       790,841  

Tohopekaliga Water Authority, Refunding RB, Series A, 5.25%, 10/01/21(b)

    2,000       2,238,200  
   

 

 

 
      38,170,120  
 

 

 

30    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Georgia — 2.9%            

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 01/01/30

  $ 7,500     $ 8,382,900  

County of Dalton Whitfield Joint Development Authority, RB, Hamilton Health Care System Obligation, 4.00%, 08/15/48

    1,655       1,656,324  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 08/15/54

    545       625,981  

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

   

5.00%, 04/01/33

    155       169,138  

5.00%, 04/01/44

    595       642,469  
   

 

 

 
      11,476,812  
Hawaii — 1.4%            

State of Hawaii Harbor System, RB, Series A, 5.50%, 07/01/35

    5,000       5,391,650  
   

 

 

 
Illinois — 12.6%            

City of Chicago Illinois O’Hare International Airport, ARB, Senior Lien, Series D, 5.25%, 01/01/42

    3,300       3,789,324  

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien:

   

5.63%, 01/01/21(b)

    1,230       1,361,388  

5.63%, 01/01/35

    295       322,571  

City of Chicago Illinois O’Hare International Airport, Refunding GARB, Senior Lien, Series D, 5.25%, 01/01/34

    9,800       10,896,130  

City of Chicago Illinois Transit Authority, RB:

   

5.25%, 12/01/49

    3,500       3,860,640  

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

    650       705,523  

Cook County Community College District No. 508, GO, City College of Chicago, 5.13%, 12/01/38

    7,700       8,015,931  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago:

   

5.50%, 12/01/38

    1,000       1,063,600  

5.25%, 12/01/43

    500       517,490  

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/37

    210       222,856  

Illinois Finance Authority, RB, Chicago LLC, University of Illinois at Chicago Project, Series A:

   

5.00%, 02/15/37

    700       738,829  

5.00%, 02/15/47

    480       502,445  

5.00%, 02/15/50

    240       250,279  

Illinois Finance Authority, Refunding RB:

   

Silver Cross Hospital & Medical Centers, Series C, 4.13%, 08/15/37

    3,130       3,130,908  

Silver Cross Hospital & Medical Centers, Series C, 5.00%, 08/15/44

    390       411,567  

University of Chicago Medical Center, Series B, 4.00%, 08/15/41

    900       891,900  

Railsplitter Tobacco Settlement Authority, RB:

   

6.00%, 06/01/21(b)

    710       803,145  

5.00%, 06/01/28

    365       413,976  

State of Illinois, GO:

   

5.25%, 07/01/29

    8,345       8,650,177  

5.50%, 07/01/33

    880       914,478  

5.50%, 07/01/38

    1,475       1,528,557  
   

 

 

 
      48,991,714  
Indiana — 2.0%            

Carmel Local Public Improvement Bond Bank, RB, Series B-1, 4.00%, 07/15/37

    655       678,829  

Indiana Finance Authority, RB, CWA Authority Project, 1st Lien, Series A, 5.25%, 10/01/38

    1,100       1,215,291  
Security   Par
(000)
    Value  
Indiana (continued)            

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

   

5.50%, 01/01/19(b)

  $ 1,125     $ 1,163,317  

5.50%, 01/01/38

    4,625       4,771,150  
   

 

 

 
      7,828,587  
Iowa — 2.2%            

Iowa Finance Authority, RB, Iowa Health Care Facilities:

   

Genesis Health System, 5.50%, 07/01/33

    3,000       3,428,190  

Series A (AGC), 5.63%, 08/15/19(b)

    5,000       5,292,300  
   

 

 

 
      8,720,490  
Kentucky — 0.4%            

State of Kentucky Property & Building Commission, Refunding RB, Project No. 93 (AGC):

   

5.25%, 02/01/19(b)

    1,330       1,375,326  

5.25%, 02/01/29

    170       175,653  
   

 

 

 
      1,550,979  
Maryland — 1.0%            

Maryland Health & Higher Educational Facilities Authority, RB, University of Maryland Medical System Issue, 4.00%, 07/01/48

    4,000       3,958,160  
   

 

 

 
Massachusetts — 5.1%            

Massachusetts Development Finance Agency, RB, Series A:

   

Emerson College Issue, 5.00%, 01/01/47

    2,370       2,605,791  

Lesley University, 5.00%, 07/01/35

    805       894,282  

Lesley University, 5.00%, 07/01/37

    815       899,271  

Massachusetts Development Finance Agency, Refunding RB:

   

Emerson College, Series A, 5.00%, 01/01/40

    610       680,150  

Emmanuel College Issue, Series A, 5.00%, 10/01/43

    420       455,956  

Foxborough Regional Charter School Issue, 5.00%, 07/01/37

    190       202,681  

Umass Memorial Healthcare, 5.00%, 07/01/44

    3,700       4,036,774  

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior Series A, 5.00%, 05/15/43

    1,395       1,551,854  

Massachusetts School Building Authority, Refunding RB, Series A, 5.25%, 02/15/48

    3,300       3,869,613  

Massachusetts State College Building Authority, Refunding RB, Series D, 4.00%, 05/01/40

    4,475       4,641,515  
   

 

 

 
      19,837,887  
Michigan — 6.8%            

City of Detroit Michigan Sewage Disposal System, Refunding RB, 2nd Lien, Series E (BHAC), 5.75%, 07/01/18(b)

    3,000       3,042,600  

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A, 5.50%, 07/01/41

    1,100       1,219,669  

Michigan Finance Authority, Refunding RB:

   

Henry Ford Health System, 5.00%, 11/15/41

    2,235       2,458,120  

Henry Ford Health System, 3.25%, 11/15/42

    995       854,775  

Hospital; Trinity Health Credit Group, 5.00%, 12/01/39

    9,020       9,804,650  

Trinity Health Credit Group, 5.00%, 12/01/21(b)

    30       33,382  

Trinity Health Credit Group, Series A, 4.00%, 12/01/36

    1,900       1,944,631  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, Beaumont Health Credit Group, Series D, 5.00%, 09/01/39

    1,560       1,690,291  

State of Michigan Building Authority, Refunding RB, Facilities Program:

   

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

    2,000       2,226,360  

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

    800       887,880  

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

    1,500       1,669,770  

Western Michigan University, Refunding RB, General, University and College Improvements (AGM), 5.00%, 11/15/39

    430       482,172  
   

 

 

 
      26,314,300  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Montana — 0.5%            

Montana State Board of Regents, RB, Montana State University Facilities Improvement, 5.00%, 11/15/43

  $ 1,755     $ 2,007,176  
   

 

 

 
Nebraska — 1.8%            

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.25%, 09/01/37

    6,345       6,941,430  
   

 

 

 
Nevada — 1.9%            

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A:

   

5.25%, 07/01/42

    3,000       3,182,130  

(AGM), 5.25%, 07/01/39

    4,100       4,348,911  
   

 

 

 
      7,531,041  
New Jersey — 7.9%            

New Jersey EDA, RB:

   

School Facilities Construction Bonds, Series DDD, 5.00%, 06/15/42

    375       392,850  

Series WW, 5.25%, 06/15/33

    170       183,306  

Series WW, 5.00%, 06/15/34

    225       237,629  

Series WW, 5.00%, 06/15/36

    1,395       1,467,024  

Series WW, 5.25%, 06/15/40

    400       423,016  

New Jersey EDA, Refunding RB, Sub-Series A:

   

3.38%, 07/01/30

    475       451,202  

4.00%, 07/01/32

    930       927,945  

New Jersey Health Care Facilities Financing Authority, Refunding RB, Hospital Asset Transfer Program, 5.00%, 10/01/37

    1,605       1,702,809  

New Jersey Transportation Trust Fund Authority, RB:

   

5.00%, 06/15/36

    5,070       5,299,265  

CAB, Transportation System, Series A, 0.00%, 12/15/38(d)

    5,845       2,132,548  

Transportation Program, Series AA, 5.25%, 06/15/33

    1,660       1,764,381  

Transportation Program, Series AA, 5.00%, 06/15/38

    945       985,266  

Transportation System, Series A, 5.50%, 06/15/41

    3,000       3,158,820  

Transportation System, Series AA, 5.50%, 06/15/39

    3,785       4,032,425  

Transportation System, Series B, 5.25%, 06/15/36

    5,000       5,259,600  

Transportation System, Series D, 5.00%, 06/15/32

    900       955,719  

New Jersey Turnpike Authority, Refunding RB, Series B, 4.00%, 01/01/37

    595       615,034  

South Jersey Port Corp., RB, Sub-Marine Terminal, Series A, 5.00%, 01/01/49

    720       773,770  
   

 

 

 
      30,762,609  
New Mexico — 0.1%            

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 08/01/44

    405       448,258  
   

 

 

 
New York — 3.1%            

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-4, 5.50%, 01/15/33

    1,950       2,016,222  

City of New York New York Transitional Finance Authority, RB, Future Tax Secured Fiscal, Sub-Series E-1, 5.00%, 02/01/37

    1,465       1,668,064  

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/32

    1,650       1,845,904  

Hudson Yards Infrastructure Corp., RB, Senior, Fiscal 2012:

   

5.75%, 02/15/21(b)

    480       534,571  

5.75%, 02/15/47

    290       317,356  

Hudson Yards Infrastructure Corp., Refunding RB, Series A, 5.00%, 02/15/39

    710       807,014  

Metropolitan Transportation Authority, Refunding RB, Series B, 5.00%, 11/15/37

    1,570       1,775,466  

New York City Water & Sewer System, Refunding RB, Second Genration Resolution, 5.00%, 06/15/37

    1,500       1,724,460  
Security   Par
(000)
    Value  
New York (continued)            

State of New York Dormitory Authority, RB, Education, Series B, 5.75%, 03/15/19(b)

  $ 1,300     $ 1,358,097  
   

 

 

 
      12,047,154  
North Carolina — 0.2%            

North Carolina Medical Care Commission, Refunding RB, The United Methodist Retirement Homes, Series A, 5.00%, 10/01/42

    700       762,601  
   

 

 

 
Ohio — 0.7%            

County of Lucas Ohio, Refunding RB, Promedica Healthcare, Series A, 6.50%, 11/15/21(b)

    610       710,802  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

   

5.25%, 02/15/32

    780       873,538  

5.25%, 02/15/33

    1,095       1,223,619  
   

 

 

 
      2,807,959  
Oregon — 0.4%            

Counties of Washington & Multnomah Oregon School District No. 48J Beaverton, GO, Convertible CAB, Series D, 0.00%, 06/15/36(a)

    945       1,067,340  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 06/15/38(d)

    1,115       475,347  
   

 

 

 
      1,542,687  
Pennsylvania — 5.5%            

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment:

   

5.00%, 06/01/33

    790       876,884  

5.00%, 06/01/34

    1,750       1,934,590  

(AGM), 4.00%, 06/01/39

    3,230       3,242,112  

Pennsylvania HFA, RB, S/F Housing Mortgage, Series 118-B, 4.05%, 10/01/40

    1,770       1,797,205  

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Thomas Jefferson University, Series A, 5.25%, 09/01/50

    4,245       4,702,526  

Pennsylvania Turnpike Commission, RB:

   

Series A, 5.00%, 12/01/38

    695       774,362  

Series A-1, 5.00%, 12/01/37

    1,230       1,382,274  

Series A-1, 5.00%, 12/01/41

    2,730       3,031,337  

Series B, 5.00%, 12/01/40

    1,060       1,176,134  

Series C, 5.50%, 12/01/23(b)

    630       744,629  

Subordinate, Special Motor License Fund, 6.00%, 12/01/20(b)

    625       693,431  

Pennsylvania Turnpike Commission, Refunding RB, Series A-1, 5.00%, 12/01/40

    850       940,695  
   

 

 

 
      21,296,179  
Rhode Island — 1.5%            

Tobacco Settlement Financing Corp., Refunding RB, Series B, 4.50%, 06/01/45

    5,855       5,912,379  
   

 

 

 
South Carolina — 5.9%            

South Carolina Jobs EDA, Refunding RB, Palmetto Health, Series A (AGM), 6.50%, 08/01/39

    260       294,042  

Spartanburg Regional Health Services District, Refunding RB, Series A, 4.00%, 04/15/43

    3,500       3,469,725