N-Q 1 d100260dnq.htm BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY 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: 811-21179

Name of Fund:  BlackRock New York Municipal Income Quality Trust (BSE)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock New York Municipal Income Quality 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 New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York — 119.4%

                 

Corporate — 0.9%

  

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

    $ 165      $ 177,172   

New York Liberty Development Corp., Refunding RB, Goldman Sachs Headquarters, 5.25%, 10/01/35

      570        679,081   
    

 

 

  
        856,253   

County/City/Special District/School District — 20.5%

  

City of New York New York, GO, Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

      440        516,657   

City of New York New York, GO, Refunding, 5.00%, 8/01/30

      1,000        1,168,130   

City of New York New York, GO:

     

Series A-1, 5.00%, 8/01/35

      200        230,910   

Refunding, Series E, 5.50%, 8/01/25

      830        1,041,061   

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured:

     

5.00%, 11/15/40

      960        1,096,560   

5.00%, 11/15/45

      1,250        1,418,875   

City of New York New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

     

5.25%, 7/01/32

      915        1,055,745   

5.00%, 7/01/33

      400        450,728   

City of New York New York Industrial Development Agency, RB, PILOT:

     

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/39 (a)

      1,000        380,240   

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

      150        170,219   

City of New York New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series B-1, 5.00%, 11/01/35

      425        490,212   

City of New York New York Transitional Finance Authority Future Tax Secured, Refunding RB, Series C, 5.00%, 11/01/30

      590        701,103   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

County/City/Special District/School District (continued)

  

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A:

     

5.25%, 5/01/31

    $ 200      $ 232,110   

(AGM), 5.75%, 5/01/17 (b)

      1,000        1,072,440   

County of Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project, 5.00%, 5/01/28

      750        914,550   

Hudson Yards Infrastructure Corp., RB, Series A:

     

5.00%, 2/15/47

      500        519,930   

5.75%, 2/15/47

      1,000        1,141,120   

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

      1,250        1,302,287   

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

      750        781,372   

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

      1,000        1,033,910   

New York Liberty Development Corp., Refunding RB:

     

4 World Trade Center Project, 5.00%, 11/15/31

      1,000        1,136,990   

4 World Trade Center Project, 5.00%, 11/15/44

      1,250        1,391,225   

4 World Trade Center Project, 5.75%, 11/15/51

      545        628,783   

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

      1,100        1,193,478   
    

 

 

  
        20,068,635   

Education — 33.2%

     

Build NYC Resource Corp., Refunding RB:

     

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

      250        281,485   

Ethical Culture Fieldston School Project, 5.00%, 6/01/33

      300        342,627   

Ethical Culture Fieldston School Project, 5.00%, 6/01/35

      350        396,669   

Packer Collegiate Institute Project, 5.00%, 6/01/40

      690        770,102   

City of New York Albany Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A:

     

5.00%, 12/01/33

      175        197,138   

4.00%, 12/01/34

      130        132,365   
 

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015    1

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

  

City of New York New York Trust for Cultural Resources, Refunding RB:

     

American Museum of Natural History, Series A, 5.00%, 7/01/37

    $ 440      $ 504,728   

American Museum of Natural History, Series A, 5.00%, 7/01/41

      500        567,490   

Museum of Modern Art, Series 1A, 5.00%, 4/01/31

      700        768,019   

Wildlife Conservation Society, Series A, 5.00%, 8/01/42

      410        457,753   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

     

Series A, 5.13%, 9/01/40

      1,645        1,842,318   

Series B, 4.00%, 8/01/35 (c)

      230        232,475   

County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

      1,500        1,623,030   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

      500        568,800   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

      400        453,908   

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

     

5.00%, 7/01/37

      180        191,612   

5.00%, 7/01/42

      115        120,917   

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 7/01/32

      500        569,275   

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

      250        284,198   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

  

County of Tompkins New York Industrial Development Agency, RB, Civic Facility Cornell University Project, Series A, 5.00%, 7/01/37

    $ 1,000      $ 1,142,390   

Dobbs Ferry Local Development Corp., RB, Mercy College Project:

     

5.00%, 7/01/39

      1,000        1,103,360   

5.00%, 7/01/44

      500        547,040   

Hempstead Town Local Development Corp., Refunding RB, Adelphini University Project, 5.00%, 10/01/34

      310        353,152   

State of New York Dormitory Authority, RB:

     

Convent of the Sacred Heart (AGM), 5.75%, 11/01/40

      300        350,283   

Fordham University, Series A, 5.00%, 7/01/28

      500        570,390   

New School (AGM), 5.50%, 7/01/43

      350        400,697   

New York University, Series B, 5.00%, 7/01/37

      500        570,245   

New York University, Series C, 5.00%, 7/01/18 (b)

      1,000        1,103,210   

Rochester Institute of Technology, 5.00%, 7/01/40

      550        622,347   

Series B, 5.75%, 3/15/36

      600        686,580   

Series C, 5.00%, 12/15/16 (b)

      750        785,032   

State University Dormitory Facilities, Series A, 5.00%, 7/01/40

      600        678,924   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

      1,000        1,140,040   

Teachers College, Series B, 5.00%, 7/01/42

      400        447,224   

State of New York Dormitory Authority, Refunding RB:

     

Barnard College, Series A, 5.00%, 7/01/34

      200        230,942   

Barnard College, Series A, 4.00%, 7/01/36

      190        198,622   

Barnard College, Series A, 5.00%, 7/01/43

      2,960        3,349,773   

Cornell University, Series A, 5.00%, 7/01/40

      250        284,060   

Fordham University, 5.00%, 7/01/44

      640        717,197   
 

 

                
2    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

  

State of New York Dormitory Authority, Refunding RB (continued):

     

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

    $ 1,600      $ 1,798,128   

New York University, Series A, 5.00%, 7/01/37

      745        849,665   

Pratt Institute, Series A, 5.00%, 7/01/44

      500        552,850   

Rochester Institute of Technology, 4.00%, 7/01/32

      395        412,427   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

      1,500        1,781,130   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

      600        705,654   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

      450        506,848   

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphi University Project, 5.00%, 10/01/35

      310        352,640   
    

 

 

  
        32,545,759   

Health — 13.1%

  

Buffalo & Erie County Industrial Land Development Corp., RB, 5.25%, 7/01/35

      500        568,540   

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30

      500        572,080   

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/37

      850        931,898   

County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

      725        845,452   

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

      150        166,323   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Health (continued)

  

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

    $ 895      $ 986,379   

State of New York Dormitory Authority, RB:

     

Hudson Valley Hospital (BHAC) (FHA), 5.00%, 8/15/36

      1,250        1,326,287   

Mental Health Services (AGM), 5.00%, 8/15/18 (b)

      5        5,542   

Mental Health Services (AGM), 5.00%, 8/15/18 (b)

      5        5,542   

Mental Health Services (AGM), 5.00%, 2/15/22

      985        1,088,927   

Mental Health Services, 2nd Series (AGM), 5.00%, 8/15/18 (b)

      5        5,542   

New York University Hospitals Center, Series A, 6.00%, 7/01/40

      250        285,240   

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

      500        519,920   

State of New York Dormitory Authority, Refunding RB:

     

New York University Hospitals Center, Series A, 5.00%, 7/01/17 (b)

      500        532,370   

North Shore-Long Island Jewish Obligated Group, 5.00%, 5/01/43

      1,140        1,258,834   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/32

      750        824,498   

North Shore-Long Island Jewish Obligated Group, Series A, 5.25%, 5/01/34

      1,840        2,040,762   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

      750        818,220   
    

 

 

  
        12,782,356   

Housing — 1.4%

  

City of New York New York Housing Development Corp., RB, M/F Housing, Series B1, 5.25%, 7/01/30

      750        879,817   
 

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015    3

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Housing (continued)

  

City of New York New York Housing Development Corp., Refunding RB, M/F Housing, 8 Spruce Street, Class F, 4.50%, 2/15/48

    $ 500      $ 515,140   
    

 

 

  
        1,394,957   

State — 12.5%

     

City of New York New York Transitional Finance Authority, BARB:

     

Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/33

      1,000        1,128,660   

Series S-2 (AGM) (NPFGC), 5.00%, 1/15/37

      850        885,513   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

     

Series B, 5.00%, 11/15/34

      540        610,346   

Sub-Series B-1, 5.00%, 11/15/31

      750        869,287   

Sales Tax Asset Receivable Corp., Refunding RB, Series A:

     

5.00%, 10/15/31

      750        892,470   

4.00%, 10/15/32

      1,495        1,641,241   

State of New York Dormitory Authority, RB, General Purpose, Series B:

     

5.00%, 3/15/37

      1,000        1,139,680   

5.00%, 3/15/42

      1,400        1,572,186   

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35

      1,000        1,093,080   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

      320        369,779   

State of New York Thruway Authority, Refunding RB, 2nd General Highway & Bridge Trust, Series A, 5.00%, 4/01/32

      250        286,090   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C:

     

5.00%, 3/15/30

      500        582,830   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

State (continued)

     

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C (continued):

     

5.00%, 3/15/32

    $ 1,000      $ 1,155,560   
    

 

 

  
        12,226,722   

Tobacco — 0.3%

     

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/40

      290        323,278   

Transportation — 23.5%

     

Metropolitan Transportation Authority, RB:

     

Series A, 5.00%, 11/15/27

      575        663,188   

Series A-1, 5.25%, 11/15/34

      270        318,794   

Series C, 6.50%, 11/15/28

      750        868,035   

Series D, 5.25%, 11/15/41

      2,000        2,340,500   

Series E, 5.00%, 11/15/38

      650        736,008   

Series H, 5.00%, 11/15/25

      1,500        1,781,835   

Metropolitan Transportation Authority, Refunding RB, Series D, 5.25%, 11/15/31

      750        892,043   

Port Authority of New York & New Jersey, ARB, Consolidated, 183rd Series, 4.00%, 6/15/44

      1,500        1,562,820   

Port Authority of New York & New Jersey, Refunding ARB:

     

179th Series, 5.00%, 12/01/38

      245        283,215   

Consolidated, 189th Series, 5.00%, 5/01/45

      860        985,010   

State of New York Thruway Authority, Refunding RB, General:

     

Series H (AGM) (NPFGC), 5.00%, 1/01/37

      4,000        4,292,400   

Series I, 5.00%, 1/01/37

      1,325        1,491,778   

Series I, 5.00%, 1/01/42

      425        474,959   

Series K, 5.00%, 1/01/32

      750        877,605   

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

      280        324,237   

Triborough Bridge & Tunnel Authority, Refunding RB:

     

General, CAB, Series B, 0.00%, 11/15/32 (a)

      1,250        680,725   

General, Remarketing, Series A, 5.00%, 11/15/34

      1,000        1,152,540   
 

 

                
4    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Transportation (continued)

  

Triborough Bridge & Tunnel Authority, Refunding RB (continued):

     

General, Series A, 5.25%, 11/15/45

    $ 370      $ 432,463   

Series C, 5.00%, 11/15/38

      1,000        1,101,400   

Sub-Series A, 5.00%, 11/15/29

      1,485        1,733,960   
    

 

 

  
        22,993,515   

Utilities — 14.0%

     

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

      1,000        1,156,860   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

     

Fiscal 2015, Series HH, 5.00%, 6/15/39

      1,000        1,154,990   

Series DD, 5.00%, 6/15/32

      1,100        1,202,322   

Long Island Power Authority, RB, General, Electric Systems:

     

Series A (AGM), 5.00%, 5/01/36

      500        553,355   

Series C (CIFG), 5.25%, 9/01/29

      1,000        1,219,090   

Long Island Power Authority, Refunding RB, Electric Systems, Series A:

     

(AGC), 5.75%, 4/01/39

      1,690        1,916,494   

General, 5.00%, 9/01/44

      310        345,275   

General (AGC), 6.00%, 5/01/19 (b)

      2,000        2,337,800   

State of New York Environmental Facilities Corp., RB, Series B, Revolving Funds, Green Bonds, 5.00%, 9/15/40

      635        735,063   

State of New York Power Authority, Refunding RB, Series A, 5.00%, 11/15/38

      1,000        1,118,200   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

     

3.00%, 12/15/32

      485        484,277   

Series E, 5.00%, 12/15/41

      1,000        1,147,340   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Utilities (continued)

  

Western Nassau County Water Authority, RB, Series A, 5.00%, 4/01/40

    $ 250      $ 281,970   
    

 

 

  
        13,653,036   
Total Municipal Bonds in New York        116,844,511   

Puerto Rico — 1.8%

                 

Housing — 1.8%

  

Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27

      1,650        1,776,341   
Total Municipal Bonds — 121.2%        118,620,852   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)		        

New York — 35.4%

                 

County/City/Special District/School District — 9.9%

  

City of New York New York, GO:

     

Fiscal 2015, Series B, 4.00%, 8/01/32

      1,790        1,901,785   

Sub-Series C-3 (AGC), 5.75%, 8/15/28 (e)

      1,000        1,132,920   

Sub-Series G-1, 5.00%, 4/01/29

      1,000        1,168,770   

Sub-Series I-1, 5.00%, 3/01/36

      250        284,538   

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D-1, 5.00%, 11/01/38

      2,475        2,774,376   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

      2,085        2,393,184   
    

 

 

  
        9,655,573   

Education — 5.0%

  

State of New York Dormitory Authority, LRB, State University Dormitory Facilities, New York University, Series A, 5.00%, 7/01/35

      1,999        2,283,471   
 

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015    5

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

  

State of New York Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/17 (b)

    $ 2,499      $ 2,663,959   
    

 

 

  
        4,947,430   

State — 4.2%

     

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (e)

      1,800        2,053,831   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 5.00%, 10/15/31

      990        1,178,060   

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

      750        864,667   
    

 

 

  
        4,096,558   

Transportation — 5.9%

     

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

      3,495        4,015,937   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

      735        847,550   

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

      800        939,048   
    

 

 

  
        5,802,535   

Utilities — 10.4%

     

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

      495        551,102   

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

  

Par  

(000)

     Value  

New York (continued)

                

Utilities (continued)

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

    

Fiscal 2011, Series HH, 5.00%, 6/15/32

   $ 2,249      $ 2,612,074   

Fiscal 2012, Series BB, 5.00%, 6/15/44

     2,011        2,300,245   

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

     405        459,437   

Utility Debt Securitization Authority, Refunding RB, 5.00%, 12/15/41

     3,719        4,266,809   
   

 

 

  
        10,189,667   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 35.4%

  

  

     34,691,763   

Total Long-Term Investments

(Cost — $141,955,660) — 156.6%

  

  

     153,312,615   
   
                 
Short-Term Securities   Shares         

BIF New York Municipal Money Fund, 0.00% (f)(g)

     2,288,196        2,288,196   

Total Short-Term Securities

(Cost — $2,288,196) — 2.3%

  

  

     2,288,196   
Total Investments (Cost — $144,243,856*) — 158.9%        155,600,811   
Other Assets Less Liabilities — 1.5%        1,405,060   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (19.0)%

   

     (18,587,361 ) 
VRDP Shares, at Liquidation Value — (41.4)%        (40,500,000 ) 
   

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 97,918,510   
   

 

 

  

 

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

 

Tax cost

   $ 125,940,376   
 

 

 

  

Gross unrealized appreciation

   $ 11,387,075   

Gross unrealized depreciation

     (307,539 ) 
 

 

 

  

Net unrealized appreciation

   $ 11,079,536   
 

 

 

  
 
Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

(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.

 

                
6    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

(c)   When-issued security.

 

(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)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB Trust Certificates and proceeds received from the sale of the security contributed to the TOB Trust or in the event of a default on the security. In the case of a shortfall or default, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2017 to February 15, 2019, is $1,482,731.

 

(f)   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  

BIF New York Municipal Money Fund

        767,884           1,520,312           2,288,196           —   

 

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

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.

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short		     Issue        Expiration   Notional
Value		     Unrealized
(Depreciation)		  
  (5 )    5-Year U.S. Treasury Note     March 2016   $ 593,398      $ (86 ) 
  (11 )    10-Year U.S. Treasury Note     March 2016   $ 1,390,813        (2,766 ) 
  (5 )    Long U.S. Treasury Bond     March 2016   $ 770,000        (2,507 ) 
  (1 )    Ultra U.S. Treasury Bond       March 2016   $ 158,437        (642 ) 

 

Total

  

   $ (6,001 ) 
         

 

 

  

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
BARB    Building Aid Revenue Bonds
BHAC    Berkshire Hathaway Assurance Corp.
CAB    Capital Appreciation Bonds
CIFG    CIFG Assurance North America, Inc.
EDC    Economic Development Corp.
FHA    Federal Housing Administration
GO    General Obligation Bonds
LRB    Lease Revenue Bonds
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
PILOT    Payment in Lieu of Taxes
RB    Revenue Bonds

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015    7

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

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

     —         $ 153,312,615         —      $ 153,312,615   

Short-Term Securities

   $ 2,288,196           —         —        2,288,196   
 

 

 

  

Total

   $ 2,288,196         $ 153,312,615         —      $ 155,600,811   
 

 

 

  

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

   $ (6,001 )         —         —      $ (6,001 ) 

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

       

 

                
8    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015   

Schedule of Investments (concluded)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

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

   $ 41,300           —         —      $ 41,300   

Liabilities:

                 

TOB Trust Certificates

     —         $ (18,580,899 )       —        (18,580,899 ) 

VRDP Shares

     —           (40,500,000 )       —        (40,500,000 ) 
 

 

 

  

Total

   $ 41,300         $ (59,080,899 )       —      $ (59,039,599 ) 
 

 

 

  

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

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2015    9

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

 

By:    /s/ Neal J. Andrews                           
   Neal J. Andrews   
   Chief Financial Officer (principal financial officer) of   
   BlackRock New York Municipal Income Quality Trust   
Date:    January 22, 2016