N-Q 1 d100256dnq.htm BLACKROCK VIRGINIA MUNICIPAL BOND TRUST BLACKROCK VIRGINIA MUNICIPAL BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21053

Name of Fund:  BlackRock Virginia Municipal Bond Trust (BHV)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock Virginia Municipal Bond Trust, 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: 08/31/2016

Date of reporting period: 11/30/2015

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2015 (Unaudited)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Virginia — 117.9%

                 

Corporate — 2.1%

  

County of Chesterfield Virginia EDA, RB, Virginia Electric Power Co. Project, Series A, AMT, 5.60%, 11/01/31

    $ 500      $ 524,930   

County/City/Special District/School District — 25.9%

  

Cherry Hill Community Development Authority, Special Assessment, Potomac Shores Project, 5.40%, 3/01/45 (a)

      250        255,400   

City of Norfolk Virginia, GO, Refunding, Capital Improvement, Series A, 5.00%, 8/01/38

      500        566,570   

City of Portsmouth Virginia, GO, Refunding, Series D, 5.00%, 7/15/34

      500        568,970   

City of Suffolk Virginia, GO, Refunding, 5.00%, 6/01/42

      1,000        1,132,370   

County of Fairfax Virginia EDA, RB, Silverline Phase I Project, 5.00%, 4/01/37

      1,000        1,117,920   

County of Fairfax Virginia Redevelopment & Housing Authority, Refunding RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

      1,500        1,658,745   

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 3/01/26

      500        500,245   

Mosaic District Community Development Authority, Special Assessment, Series A, 6.88%, 3/01/36

      250        287,122   

Shops at White Oak Village Community Development Authority, Special Assessment, 5.30%, 3/01/17

      100        103,042   

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

      360        419,166   
    

 

 

  
               6,609,550   

Education — 19.4%

     

County of Montgomery Virginia EDA, Refunding RB, Virginia Tech Foundation, Series A, 5.00%, 6/01/39

      355        398,864   
Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

                 

Education (continued)

     

Virginia College Building Authority, RB, Marymount University Project, Series B, 5.00%, 7/01/45 (a)

    $ 100      $ 102,445   

Virginia College Building Authority, Refunding RB:

     

Liberty University Projects, 5.00%, 3/01/41

      1,000        1,123,810   

Marymount University Project, Series A, 5.00%, 7/01/45 (a)

      400        409,780   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/26

      500        605,790   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/31

      1,000        1,233,700   

Virginia Small Business Financing Authority, RB, Roanoke College, 5.75%, 4/01/41

      500        572,620   

Virginia Small Business Financing Authority, Refunding RB, 4.00%, 10/01/38

      500        503,450   
    

 

 

  
               4,950,459   

Health — 33.3%

     

City of Danville Virginia IDA, Refunding RB, Danville Regional Medical Center (AMBAC), 5.25%, 10/01/28 (c)

      1,000        1,197,070   

County of Fairfax Virginia EDA, Refunding RB:

     

Goodwin House, Inc., 5.00%, 10/01/27

      1,000        1,044,470   

Vinson Hall LLC, Series A, 5.00%, 12/01/42

      500        513,265   

County of Fairfax Virginia IDA, RB, Series A, 5.00%, 5/15/44

      1,000        1,122,210   

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A, 5.00%, 7/01/42

      500        509,810   

County of Henrico Virginia EDA, Refunding RB, United Methodist Homes, 4.25%, 6/01/26

      145        151,937   

Peninsula Ports Authority, Refunding RB, Virginia Baptist Homes, Series C, 5.40%, 12/01/33

      250        244,208   

Roanoke EDA, Refunding RB:

     

Carilion Clinic Obligation Group, 5.00%, 7/01/30

      795        887,856   
 

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2015    1

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

                 

Health (continued)

     

Roanoke EDA, Refunding RB (continued):

     

Carilion Health System (AGM), 5.00%, 7/01/20 (b)

    $ 5      $ 5,828   

Carilion Health System, Series B (AGM), 5.00%, 7/01/38

      495        539,991   

Winchester EDA, Refunding RB, Valley Health System Obligation:

     

5.00%, 1/01/44

      1,000        1,108,570   

Series A, 5.00%, 1/01/44

      400        441,632   

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 1/01/19 (b)

      650        740,278   
    

 

 

  
               8,507,125   

Housing — 9.7%

     

Virginia HDA, RB:

     

M/F Housing, Rental Housing, Series A, 5.25%, 5/01/41

      750        802,522   

M/F Rental Housing, Series B, 5.63%, 6/01/39

      1,000        1,060,000   

M/F Rental Housing, Series F, 5.25%, 10/01/38

      250        272,170   

Remarketing, S/F Housing, Sub-Series C-3, 3.25%, 4/01/31

      350        347,064   
    

 

 

  
               2,481,756   

State — 7.7%

     

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 9/01/18 (b)

      1,000        1,109,860   

Virginia Public School Authority, RB, School Financing, 1997 Resolution, Series B:

     

5.25%, 8/01/18 (b)

      400        445,524   

4.00%, 8/01/36

      405        420,811   
    

 

 

  
               1,976,195   

Transportation — 19.3%

     

Richmond Metropolitan Authority, Refunding RB, (NPFGC), 5.25%, 7/15/22

      500        558,140   

Virginia Port Authority, RB, 5.00%, 7/01/36

      500        567,885   

Virginia Port Authority, Refunding RB, 5.00%, 7/01/40

      500        552,845   

Virginia Resources Authority, RB, Series B:

     

5.00%, 11/01/18 (b)

      880        982,819   
Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

                 

Transportation (continued)

     

Virginia Resources Authority, RB, Series B (continued):

     

5.00%, 11/01/33

    $ 1,015      $ 1,114,602   

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT, 6.00%, 1/01/37

      1,000        1,147,150   
    

 

 

  
               4,923,441   

Utilities — 0.5%

     

Virginia Resources Authority, RB, 5.00%, 11/01/18 (b)

      105        117,268   
Total Municipal Bonds in Virginia              30,090,724   

District of Columbia — 7.7%

                 

Transportation — 7.7%

     

Metropolitan Washington Airports Authority, Refunding RB:

     

Dulles Toll Road, 1st Senior Lien, Series A, 5.00%, 10/01/39

      290        320,467   

Dulles Toll Road, 1st Senior Lien, Series A, 5.25%, 10/01/44

      460        510,522   

Series B, 5.00%, 10/01/29

      1,000        1,116,700   
Total Municipal Bonds in District of Columbia              1,947,689   

Guam — 1.9%

                 

State — 1.9%

     

Territory of Guam, RB, Series A:

     

Business Privilege Tax Bonds, 5.13%, 1/01/42

      250        271,233   

Limited Obligation Bonds, Section 30, 5.63%, 12/01/29

      200        221,254   
Total Municipal Bonds in Guam              492,487   
Total Municipal Bonds — 127.5%              32,530,900   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

  

Virginia — 27.3%

                 

Education — 12.8%

     

University of Virginia, Refunding RB, General, 5.00%, 6/01/40

      2,999        3,275,314   

 

 

 

                
2    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

   

Par  

(000)

     Value  

Virginia (continued)

                 

Health — 8.7%

     

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

    $ 999      $ 1,123,476   

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

      1,000        1,105,274   
    

 

 

  
               2,228,750   

Transportation — 5.8%

     

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

      1,261        1,464,443   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 27.3%

              6,968,507   

Total Long-Term Investments

(Cost — $35,939,599) — 154.8%

              39,499,407   

Short-Term Securities

    Shares     Value  

FFI Institutional Tax-Exempt Fund, 0.02% (e)(f)

      997,515      $ 997,515   

Total Short-Term Securities

(Cost — $997,515) — 3.9%

              997,515   
Total Investments (Cost — $36,937,114) — 158.7%        40,496,922   
Other Assets Less Liabilities — 1.9%        479,499   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (15.1)%

   

     (3,859,878 ) 
VRDP Shares, at Liquidation Value — (45.5)%        (11,600,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 25,516,543   
    

 

 

  

 

*   As of November 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 33,048,255   
 

 

 

  

Gross unrealized appreciation

   $ 3,604,965   

Gross unrealized depreciation

     (15,957 ) 
 

 

 

  

Net unrealized appreciation

   $ 3,589,008   
 

 

 

  
 
Notes to Schedule of Investments

 

(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)   Security is collateralized by municipal bonds or U.S. Treasury obligations.

 

(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.

 

(e)   During the period ended November 30, 2015, 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:

 

Affiliate     

Shares Held

at August 31,

2015

        Net
Activity		       

Shares Held

at November 30,

2015

        Income  

FFI Institutional Tax-Exempt Fund

        40,525           956,990           997,515         $ 20   

 

(f)   Represents the current yield as of period end.

 

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2015    3

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts

Short

     Issue   Expiration   Notional
Value		   Unrealized
Depreciation		  
  (2 )    10-Year U.S. Treasury Note   March 2016   $252,875   $ (503 ) 
  (2 )    5-Year U.S. Treasury Note   March 2016   $237,359     (128 ) 
  (1 )    Long U.S. Treasury Bond   March 2016   $154,000     (525 ) 
  Total            $ (1,156 ) 
       

 

 

  

 

Portfolio Abbreviations

 

AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
EDA    Economic Development Authority
GO    General Obligation Bonds
HDA    Housing Development Authority
IDA    Industrial Development Authority
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
RB    Revenue Bonds
S/F    Single-Family

 

                
4    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  •  

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

 

  •  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its annual report.

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 Investments1

     —         $ 39,499,407         —      $ 39,499,407   

Short-Term Securities

   $ 997,515           —         —        997,515   
 

 

 

  

Total

   $ 997,515         $ 39,499,407         —      $ 40,496,922   
 

 

 

  

1   See above Schedule of Investments for values in each sector.

 

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments1                 
Liabilities:                 

Interest rate contracts

   $ (1,156 )         —         —      $ (1,156 ) 

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

      

For Trust compliance purposes, the Trust’s sector classifications refer to any 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 advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2015    5

Schedule of Investments (concluded)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting 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  
Assets:                 

Cash pledged for financial futures contracts

   $ 7,950           —         —      $ 7,950   
Liabilities:                 

TOB Trust Certificates

     —         $ (3,859,659 )       —        (3,859,659 ) 

VRDP Shares

     —           (11,600,000 )       —        (11,600,000 ) 
 

 

 

  

Total

   $ 7,950         $ (15,459,659 )       —      $ (15,451,709 ) 
 

 

 

  

During the period ended November 30, 2015, there were no transfers between levels.

 

                
6    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2015   

Item 2 – Controls and Procedures

 

2(a) –

    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –

    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  BlackRock Virginia Municipal Bond Trust   
  By:    /s/ John M. Perlowski                            
     John M. Perlowski   
     Chief Executive Officer (principal executive officer) of   
     BlackRock Virginia Municipal Bond Trust   
  Date:    January 22, 2016   

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By:    /s/ John M. Perlowski                           
     John M. Perlowski   
     Chief Executive Officer (principal executive officer) of   
     BlackRock Virginia Municipal Bond Trust   
  Date:    January 22, 2016   
  By:    /s/ Neal J. Andrews                              
     Neal J. Andrews   
     Chief Financial Officer (principal financial officer) of   
     BlackRock Virginia Municipal Bond Trust   
  Date:    January 22, 2016