N-Q 1 d301453dnq.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: 08/31/2017

Date of reporting period: 11/30/2016

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2016 (Unaudited)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds

    Par  
(000)		     Value  

Virginia — 123.6%

                 

Corporate — 2.1%

     

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

    $ 500      $ 510,185   

County/City/Special District/School District — 26.0%

  

  

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 3/01/36 (a)

      250        239,335   

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

      250        255,452   

City of Portsmouth Virginia, GO, Refunding Series D:

     

5.00%, 7/15/20 (c)

      485        542,075   

5.00%, 7/15/34

      15        16,445   

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

      1,000        1,097,050   

County of Fairfax Virginia EDA, RB, Silverline Phase I Project, 5.00%, 4/01/20 (c)

      1,000        1,109,320   

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

      1,500        1,605,195   

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

      500        498,230   

Lower Magnolia Green Community Development Authority, Special Assessment Bonds,
5.00%, 3/01/35 (b)

      250        250,785   

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

      250        276,495   

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

      100        100,726   

Municipal Bonds

    Par  
(000)		     Value  

Virginia (continued)

                 

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

  

  

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

    $ 360      $ 397,706   
    

 

 

  
               6,388,814   

Education — 21.8%

     

City of Norfolk Virginia, GO, Refunding:

     

5.00%, 8/01/23 (c)

      465        547,161   

5.00%, 8/01/38

      35        38,755   

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

      355        385,012   

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

      100        92,426   

Virginia College Building Authority, Refunding RB:

     

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

      1,000        1,083,200   

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

      400        369,704   

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

      500        586,260   

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

      1,000        1,201,570   

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

      500        550,545   

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

      500        502,655   
    

 

 

  
               5,357,288   

Health — 35.8%

     

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

      1,000        1,153,420   

County of Fairfax Virginia EDA, Refunding RB:

     

Goodwin House, Inc., 5.00%, 10/01/17 (c)

      1,000        1,034,060   

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

      500        506,780   

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

      1,000        1,103,920   
 

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2016    1

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

                 

Health (continued)

     

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

    $ 500      $ 509,980   

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

      145        149,936   

Lexington Retirement Community, Inc., Refunding RB, Kendal at Lexington, 4.00%, 1/01/37

      500        477,995   

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

      250        250,032   

Roanoke EDA, Refunding RB:

     

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

      795        865,954   

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

      5        5,577   

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

      495        525,809   

Winchester EDA, Refunding RB, Valley Health System Obligation:

     

5.00%, 1/01/44

      1,000        1,081,860   

Series A, 5.00%, 1/01/44

      400        430,076   

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

      650        706,257   
    

 

 

  
               8,801,656   

Housing — 8.6%

     

Virginia HDA, RB, Rental Housing:

     

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

      750        785,888   

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

      1,000        1,069,910   

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

      250        265,455   
    

 

 

  
               2,121,253   

State — 7.7%

     

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

      1,000        1,066,290   

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

     

5.25%, 8/01/18 (c)

      400        426,976   
Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

                 

State (continued)

     

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

     

4.00%, 8/01/36

    $ 405      $ 413,286   
    

 

 

  
               1,906,552   

Tobacco — 2.6%

     

Tobacco Settlement Financing Corp., Refunding RB, Convertible, Senior, Series B2, 5.20%, 6/01/46

      750        632,250   

Transportation — 18.5%

     

Capital Region Airport Commission, Refunding RB, Series A, 4.00%, 7/01/38

      500        512,405   

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

      500        556,185   

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

      500        547,200   

Virginia Resources Authority, RB, Series B:

     

5.00%, 11/01/18 (c)

      1,155        1,238,402   

5.00%, 11/01/33

      740        785,910   

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

      820        920,073   
    

 

 

  
               4,560,175   

Utilities — 0.5%

     

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

      105        112,582   

Total Municipal Bonds in Virginia

        30,390,755   

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        310,172   

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

      460        493,921   
 

 

                
2    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2016   

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

Municipal Bonds   

Par  

(000)

     Value  

District of Columbia (continued)

                 

Transportation (continued)

     

Metropolitan Washington Airports Authority, Refunding RB (continued):

     

Series B, 5.00%, 10/01/29

    $ 1,000      $ 1,080,490   

Total Municipal Bonds in District of Columbia

        1,884,583   

Puerto Rico — 1.3%

                 

Tobacco — 1.3%

     

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed Bonds, 5.63%, 5/15/43

      335        330,813   
Total Municipal Bonds - 132.6%              32,606,151   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

             

Virginia — 27.3%

                 

Education — 12.8%

     

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

      2,999        3,148,744   

Health — 8.8%

     

County of Fairfax Virginia IDA, Refunding RB, Health Care, Inova Health System:

     

5.50%, 5/15/19 (c)

      350        380,530   

5.50%, 5/15/35

      650        706,976   

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

   

Par  

(000)

     Value  

Virginia (continued)

                 

Health (continued)

     

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

    $ 1,000      $ 1,079,464   
    

 

 

  
               2,166,970   

Transportation — 5.7%

     

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

      1,261        1,398,205   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 27.3%

              6,713,919   

Total Long-Term Investments

(Cost — $36,885,417) — 159.9%

              39,320,070   
    
                  
Short-Term Securities      Shares           

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.43% (f)(g)

      359,362        359,362   

Total Short-Term Securities

(Cost — $359,362) — 1.4%

  

  

     359,362   

Total Investments

(Cost — $37,244,779*) — 161.3%

  

  

     39,679,432   

Other Assets Less Liabilities — 1.6%

        380,084   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (15.7)%

   

     (3,866,110 ) 

VRDP Shares, at Liquidation Value — (47.2)%

        (11,600,000 ) 
    

 

 

  

Net Assets Applicable to Common Shares —100.0%

  

   $ 24,593,406   
    

 

 

  

 

*   As of November 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 33,413,600   
 

 

 

  

Gross unrealized appreciation

   $ 2,585,332   

Gross unrealized depreciation

     (179,159 ) 
 

 

 

  

Net unrealized appreciation

   $ 2,406,173   
 

 

 

  
 

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2016    3

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

Notes to Schedule of Investments

 

(a)   When-issued security.

 

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

 

(c)   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.

 

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

 

(e)   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.

 

(f)   During the period ended November 30, 2016, investments in issuers considered to be affiliates 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, 2016

       

Net

Activity

       

Shares

Held at

November 30,

2016

       

Value at

November 30, 2016

        Income  

BlackRock Liquidity Funds, MuniCash, Institutional Class

        215,116           144,246           359,362         $ 359,362         $ 126   

 

(g)   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

Futures Contracts

 

Contracts

Short

     Issue     Expiration    

Notional

Value

    

Unrealized

Appreciation

  
  (2 )      10-Year U.S. Treasury Note        March 2017      $ 249,031      $ 976   
  (1 )      5-Year U.S. Treasury Note        March 2017      $ 117,844        131   
  (1 )      Long U.S. Treasury Bond        March 2017      $ 151,281        983   
  Total            $ 2,090   
       

 

 

  

 

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
VA    Department of Veterans Affairs

 

                
4    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2016   

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 methodologies 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 the 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. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation methodologies 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

     —         $ 39,320,070           —         $ 39,320,070   

Short-Term Securities

   $ 359,362           —           —           359,362   
 

 

 

  

Total

   $ 359,362         $ 39,320,070           —         $ 39,679,432   
 

 

 

  
                
Derivative Financial Instruments2                                         

Assets:

                 

Interest rate contracts

   $ 2,090           —           —         $ 2,090   

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

       

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

       

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2016    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 futures contracts

   $ 8,950           —           —         $ 8,950   

Liabilities:

                 

Bank overdraft

     —         $ (7,995 )         —           (7,995 ) 

TOB Trust Certificates

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

VRDP Shares at Liquidation Value

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

 

 

  

Total

   $ 8,950         $ (15,467,654 )         —         $ (15,458,704 ) 
 

 

 

  

During the period ended November 30, 2016, there were no transfers between levels.

 

                
6    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2016   

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 23, 2017

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 23, 2017

 

By:       /s/ Neal J. Andrews                        
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Virginia Municipal Bond Trust

Date: January 23, 2017