N-CSRS 1 f3671d1.htm BLACKROCK MUNICIPAL INCOME QUALITY TRUST

UNITEDSTATES

SECURITIESANDEXCHANGECOMMISSION

Washington,D.C.20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

Investment Company Act file number 811-21178

Name of Fund: BlackRock Municipal Income Quality Trust (BYM)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock 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: 08/31/2020

Date of reporting period: 02/29/2020

Item 1 – Report to Stockholders

 

 

LOGO   FEBRUARY 29, 2020

 

  

2020 Semi-Annual Report

(Unaudited)

 

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)

 

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For much of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as threat from the coronavirus became more apparent throughout February 2020, which led China to take economically disruptive countermeasures, equity prices fell sharply. Now that the virus has spread around the globe and an economic downturn appears to be inevitable, investors are faced with the question of how long and how deep it will be.

Returns for most securities were robust for the first eleven months of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. While the coronavirus-related downturn negatively impacted all equity types, U.S. large cap-stocks still achieved positive returns for the reporting period due to the strength of their prior gains. However, U.S. small-cap, international, and emerging market equities all ended the reporting period with negative performance.

Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Returns were further bolstered late in the reporting period as investors moved towards relatively lower-risk bonds, which drove the yield on the 10-year Treasury, a bond market bellwether, to a 10-year low.

Continuing the shift toward looser monetary policy that began in early 2019, the U.S. Federal Reserve (the “Fed”) increased efforts to stimulate economic activity. The Fed reduced interest rates three times during the reporting period, from July 2019 to October 2019, while the European Central Bank also increased monetary stimulus, and the Bank of Japan continued to provide extensive monetary stimulus. Following the market downturn, investors were hopeful that central banks would intervene to further support the financial system.

Looking ahead, while coronavirus-related disruption is certain to hurt worldwide economic growth, the global expansion is likely to continue once the impact of the outbreak subsides. For the near term, however, the disruption is likely to act as a further drag on corporate earnings, following flat earnings growth in 2019. A coordinated monetary and fiscal response will be necessary to help businesses and individuals through the crisis, and hopeful signs have emerged on this front in the United States and abroad. If measures are taken to contain the virus and provide support to impacted businesses and individuals, we anticipate a sharp increase in economic activity as life returns to normal.

Overall, we favor a neutral stance toward risk, given the uncertainty surrounding the economic impact of coronavirus countermeasures. Among equities, we see an advantage in U.S. stocks compared to other developed markets, given the diversity of the U.S. economy and the ability to quickly provide monetary and fiscal stimulus. In bonds, we favor U.S. Treasuries over other government bonds, but maintain a neutral stance overall, and see risks that Treasuries offer a diminishing buffer from equity market selloffs.

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 29, 2020
     6-month   12-month

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

  1.92%   8.19%

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

  (0.52)   (4.92)

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

  (0.91)   (0.57)

Emerging market equities
(MSCI Emerging Markets Index)

  2.93   (1.88)

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

  0.92   2.18

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

  4.07   16.75

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

  3.39   11.68

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

  2.85   8.94

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

  1.56   6.10
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

     64  

Financial Highlights

     66  

Notes to Financial Statements

     72  

Trustee and Officer Information

     82  

Additional Information

     83  

Glossary of Terms Used in this Report

     85  

 

 

 

 

          3  


Municipal Market Overview  For the Reporting Period Ended February 29, 2020

 

Municipal Market Conditions

 

 

Municipal bonds posted strong total returns during the period, buoyed by a combination of rallying interest rates and a favorable technical backdrop. Interest rates moved lower in 2019 as the Fed turned more dovish on the back of slowing global growth and trade uncertainties, indicated a commitment to sustain the current economic expansion, and executed a mid-cycle adjustment consisting of three 0.25% rate cuts. This dynamic was compounded in early 2020 as elevated event risks, led by a coronavirus epidemic, spurred a flight to quality and pushed interest rates to new all-time lows. At the same

  S&P Municipal Bond Index
  Total Returns as of February 29, 2020
    6 months: 2.85%
  12 months: 8.94%
 

time, municipal technicals remained supportive with historically robust demand outpacing supply. During the 12 months ended February 29, 2020, municipal bond funds experienced net inflows totaling $97 billion (based on data from the Investment Company Institute). Broadly, investors favored the tax-exempt income, diversification, quality, and value of municipal bonds given that tax reform ultimately lowered the top individual tax rate just 2.6% while eliminating deductions. For the same 12-month period, total new issuance was elevated from a historical perspective at $424 billion, but was boosted by robust taxable municipal supply. Taxable municipal issuance picked up late in 2019, as issuers advance refunded tax-exempt debt using taxable municipal bonds for cost savings. While increasing issuance totals, this dynamic ultimately shrinks the size of the tax-exempt market and provides a positive technical tailwind for the natural buyer of the asset class.

A Closer Look at Yields

 

LOGO

From February 28, 2019 to February 29, 2020, yields on AAA-rated 30-year municipal bonds decreased by 146 basis points (“bps”) from 2.98% to 1.52%, while ten-year rates decreased by 117 bps from 2.10% to 0.93% and five-year rates decreased by 94 bps from 1.67% to 0.73% (as measured by Thomson Municipal Market Data). As a result, the municipal yield curve flattened over the 12-month period with the spread between two- and 30-year maturities flattening by 61 bps, compared to 22 bps of steepening in the comparable U.S. Treasury curve.

During the same time period, tax-exempt municipal bonds modestly underperformed duration matched U.S. Treasuries, most notably in the front and intermediate part of the yield curve. However, relative valuations remained broadly stretched versus history. Given that the corporate tax rate was lowered much more than the individual rate, institutions have less incentive to own tax-exempt municipal bonds, while individuals are more incentivized. In a more retail-driven market, lower municipal-to-Treasury ratios are likely sustainable as individuals are focused more on generating tax-free income and less concerned with relative valuations. 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

Most states and localities are on solid footing as tax receipts are increasing steadily and spending levels are rebounding from post-recession lows. Rising healthcare expenditures and legacy pension costs are plaguing a handful of high-profile credits. Essential service revenue bonds continue to benefit from deleveraging. Several private-public-partnerships and off-balance sheet projects have made headlines for cost-overruns that are calling into question their value-add. More caution is warranted in the non-profit sectors, especially less-selective private education credits that are dealing with competitive pressures and are burdened with outsized debt. Merger and acquisition activity has been elevated in the hospital sector, providing opportunities to generate performance. Additionally, high yield remains an important driver of performance. BlackRock maintains the view that municipal bond defaults will remain minimal and the overall market is fundamentally sound. However, 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 29, 2020 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 S&P 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    2020 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 each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) 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 Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trust 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 each Trust’s obligations under its respective leverage arrangement 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 Trust’s 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 Trust 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 each Trust’s 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”) or 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 29, 2020    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 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 29, 2020 ($15.94)(a)

  4.10%

Tax Equivalent Yield(b)

  6.93%

Current Monthly Distribution per Common Share(c)

  $0.0545

Current Annualized Distribution per Common Share(c)

  $0.6540

Leverage as of February 29, 2020(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 2, 2020, was increased to $0.0560 per share. The yield on closing market price, tax equivalent yield, 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. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended February 29, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BBK(a)(b)

    2.02      4.58

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

    1.89        4.82  

 

  (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:

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January and February. The gains for the broader bond market reflected the likelihood of an economic downturn caused by the spread of coronavirus, together with expectations for interest rate cuts by the Fed. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Portfolio income, enhanced by leverage, exceeded the contribution from price appreciation. At the sector level, the Trust benefited from its positions in school district, state tax-backed and health care issues. Holdings in longer-term bonds, particularly those with lower coupons, were also strong performers. A meaningful position in securities rated below investment grade, which outperformed the broader market as a group, was a further positive.

The Trust actively sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Trust performance. The trend of net negative issuance exacerbated reinvestment risk as the proceeds from bonds that matured or were called needed to be reinvested at lower prevailing yields compared to bonds that were issued when yields were higher.

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    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 29, 2020  (continued)    BlackRock Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/29/20     08/31/19      Change      High      Low  

Market Price

  $ 15.94     $ 15.95        (0.06 )%     $ 16.50      $ 15.07  

Net Asset Value

    17.23       16.82        2.44        17.24        16.42  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/29/20     08/31/19  

County/City/Special District/School District

    24     22

Health

    18       18  

Utilities

    14       15  

Transportation

    13       14  

Education

    12       12  

State

    7       7  

Tobacco

    6       6  

Housing

    4       4  

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 (c)

 

Calendar Year Ended December 31,

       

2020

    6

2021

    9  

2022

    10  

2023

    9  

2024

    8  

 

  (c) 

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

 

CREDIT QUALITY ALLOCATION (a)

 

     02/29/20     08/31/19  

AAA/Aaa

    4     3

AA/Aa

    35       36  

A

    27       28  

BBB/Baa

    13       13  

BB/Ba

    7       6  

B

    1       2  

CC

    1       1  

N/R(b)

    12       11  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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 29, 2020 and August 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments.

 
 

 

  *

Excludes short-term securities.

 

 

 

TRUST SUMMARY      7  


Trust Summary  as of February 29, 2020    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. Effective July 31, 2019, the Trust may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by BlackRock to be of comparable quality, at the time of purchase. The Trust may invest directly in 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 of February 29, 2020 ($14.36)(a)

  4.30%

Tax Equivalent Yield(b)

  7.26%

Current Monthly Distribution per Common Share(c)

  $0.0515

Current Annualized Distribution per Common Share(c)

  $0.6180

Leverage as of February 29, 2020(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. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended February 29, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BAF(a)(b)

    0.95      4.17

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

    1.89        4.82  

 

  (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:

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January and February. The gains for the broader bond market reflected the likelihood of an economic downturn caused by the spread of coronavirus, together with expectations for interest rate cuts by the Fed. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Holdings in longer-dated securities with maturities of greater than 20 years generated the strongest returns, as longer-term bonds outpaced short-term issues. The Trust’s use of leverage, which enhanced portfolio income and amplified the impact of rising prices, also contributed to results. The Trust further benefited from its positions in the state tax-backed and transportation sectors, as well as its holdings in Puerto Rico sales tax bonds.

The Trust actively sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Trust performance. The trend of net negative issuance exacerbated reinvestment risk as the proceeds from bonds that matured or were called needed to be reinvested at lower prevailing yields compared to bonds that were issued when yields were higher. Positions in pre-refunded bonds and short duration issues, while producing positive absolute returns, lagged somewhat in the rising market.

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    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 29, 2020 (continued)    BlackRock Municipal Income Investment Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/29/20     08/31/19      Change      High      Low  

Market Price

  $ 14.36     $ 14.53        (1.17 )%     $ 15.43      $ 14.02  

Net Asset Value

    15.99       15.68        1.98        15.99        15.28  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/29/20     08/31/19  

Transportation

    26     27

County/City/Special District/School District

    20       20  

Health

    16       17  

Utilities

    14       12  

State

    9       8  

Housing

    6       6  

Education

    6       7  

Tobacco

    3       3  

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,

       

2020

    2

2021

    24  

2022

    5  

2023

    17  

2024

    1  

 

  (d) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

     02/29/20     08/31/19  

AAA/Aaa

    2     2

AA/Aa

    49       49  

A

    27       30  

BBB/Baa

    13       12  

BB/Ba

    1        

B

          1  

N/R(c)

    8       6  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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 29, 2020 and August 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and less than 1%, respectively, of the Trust’s total investments.

 
 

 

 

 

TRUST SUMMARY      9  


Trust Summary  as of February 29, 2020    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. Effective July 31, 2019, the Trust may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by BlackRock to be of comparable quality, at the time of purchase. The Trust may invest directly in 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 29, 2020 ($14.39)(a)

  4.00%

Tax Equivalent Yield(b)

  6.76%

Current Monthly Distribution per Common Share(c)

  $0.0480

Current Annualized Distribution per Common Share(c)

  $0.5760

Leverage as of February 29, 2020(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. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (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. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended February 29, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BYM(a)(b)

    3.48      4.44

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

    1.89        4.82  

 

  (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:

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January and February. The gains for the broader bond market reflected the likelihood of an economic downturn caused by the spread of coronavirus, together with expectations for interest rate cuts by the Fed. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Holdings in longer-term bonds, particularly those with lower coupons, were key contributors to the Trust’s six-month results. AA rated issues also performed very well and added to returns. The Trust’s use of leverage contributed to results by enhancing portfolio income and amplifying the impact of rising prices. At the sector level, the Trust benefited from its positions in state tax-backed, health care and school district issues.

The Trust actively sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Trust performance. The trend of net negative issuance exacerbated reinvestment risk as the proceeds from bonds that matured or were called needed to be reinvested at lower prevailing yields compared to bonds that were issued when yields were higher. The Trust’s higher-quality focus also detracted at a time in which high yield bonds (those rated BBB and below) outperformed the rest of the market. However, the investment adviser began adding to high yield debt during the period as a result of a change in the Trust’s quality designation.

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    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 29, 2020 (continued)    BlackRock Municipal Income Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/29/20     08/31/19      Change      High      Low  

Market Price

  $ 14.39     $ 14.19        1.41    $ 14.68      $ 13.63  

Net Asset Value

    16.09       15.72        2.35        16.10        15.30  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/29/20    

08/31/19

 

Transportation

    23     25

County/City/Special District/School District

    22       20  

Health

    19       20  

Utilities

    13       13  

State

    7       6  

Education

    7       7  

Tobacco

    5       5  

Housing

    4       4  

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,

       

2020

    7

2021

    7  

2022

    9  

2023

    15  

2024

    6  

 

  (d) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

     02/29/20     08/31/19  

AAA/Aaa

    11     7

AA/Aa

    40       45  

A

    22       24  

BBB/Baa

    16       16  

BB/Ba

    1        

N/R

    10 (c)      8  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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 29, 2020, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      11  


Trust Summary  as of February 29, 2020    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 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

  BLE

Initial Offering Date

  July 30, 2002

Yield on Closing Market Price as of February 29, 2020 ($14.78)(a)

  4.71%

Tax Equivalent Yield(b)

  7.96%

Current Monthly Distribution per Common Share(c)

  $0.0580

Current Annualized Distribution per Common Share(c)

  $0.6960

Leverage as of February 29, 2020(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. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended February 29, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BLE(a)(b)

    (2.29 )%       4.90

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

    1.89        4.82  

 

  (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:

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January and February. The gains for the broader bond market reflected the likelihood of an economic downturn caused by the spread of coronavirus, together with expectations for interest rate cuts by the Fed. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Portfolio income, enhanced by leverage, was a key contributor to total returns in the six-month period. The Trust’s significant allocation to investment-grade bonds was also a key driver of overall performance, with more muted contributions coming from non-investment grade and unrated positions. Longer-dated investments with maturities of greater than 20 years performed very well and helped Trust performance. At the sector level, tobacco, state tax-backed, transportation and health care issues were the largest contributors.

The Trust actively sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Trust performance.

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    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 29, 2020 (continued)    BlackRock Municipal Income Trust II

 

Market Price and Net Asset Value Per Share Summary

 

     02/29/20     08/31/19      Change      High      Low  

Market Price

  $ 14.78     $ 15.48        (4.52 )%     $ 16.12      $ 14.23  

Net Asset Value

    15.54       15.16        2.51        15.55        14.81  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/29/20     08/31/19  

Transportation

    23     23

Utilities

    21       19  

County/City/Special District/School District

    17       17  

Health

    11       14  

Tobacco

    10       9  

State

    8       7  

Education

    6       6  

Corporate

    4       5  

Housing

    (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,

       

2020

    15

2021

    13  

2022

    10  

2023

    7  

2024

    8  

 

  (d) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

     02/29/20     08/31/19  

AAA/Aaa

    5     4

AA/Aa

    29       30  

A

    23       22  

BBB/Baa

    22       23  

BB/Ba

    8       6  

B

    2       3  

N/R(c)

    11       12  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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 29, 2020 and August 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% and less than 1%, respectively, of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      13  


Trust Summary  as of February 29, 2020    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. Effective July 31, 2019, the Trust may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by BlackRock to be of comparable quality, at the time of purchase. The Trust may invest directly in 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 29, 2020 ($13.75)(a)

  3.97%

Tax Equivalent Yield(b)

  6.71%

Current Monthly Distribution per Common Share(c)

  $0.0455

Current Annualized Distribution per Common Share(c)

  $0.5460

Leverage as of February 29, 2020(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 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. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended February 29, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MFL(a)(b)

    3.15      5.24

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

    1.89        4.82  

 

  (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:

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January and February. The gains for the broader bond market reflected the likelihood of an economic downturn caused by the spread of coronavirus, together with expectations for interest rate cuts by the Fed. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Positions in AA rated securities made a meaningful contribution to Trust performance, as did holdings in lower coupon, longer-dated issues. The Trust’s use of leverage added value by boosting income and augmenting the effect of rising prices. At the sector level, the Trust benefited from its positions in state tax-backed, transportation and health care issues.

The Trust actively sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Trust performance. The trend of net negative issuance exacerbated reinvestment risk as the proceeds from bonds that matured or were called needed to be reinvested at lower prevailing yields compared to bonds that were issued when yields were higher. The Trust’s higher-quality focus also detracted at a time in which high yield bonds (those rated BBB and below) outperformed the rest of the market. However, the investment adviser began adding to high yield debt during the period as a result of a change in the Trust’s quality designation.

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    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 29, 2020 (continued)    BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary

 

     02/29/20     08/31/19      Change      High      Low  

Market Price

  $ 13.75     $ 13.60        1.10    $ 13.98      $ 13.11  

Net Asset Value

    15.41       14.94        3.15        15.41        14.54  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/29/20     08/31/19  

Transportation

    40     42

State

    19       17  

Health

    14       16  

County/City/Special District/School District

    9       12  

Education

    6       4  

Utilities

    5       4  

Tobacco

    5       3  

Corporate

    1       1  

Housing

    1       1  

 

  (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 (c)

 

Calendar Year Ended December 31,

       

2020

    3

2021

    13  

2022

    1  

2023

    17  

2024

    5  

 

  (c) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

     02/29/20     08/31/19  

AAA/Aaa

    7     7

AA/Aa

    52       53  

A

    25       29  

BBB/Baa

    6       6  

BB/Ba

    3        

B

    1       1  

N/R(b)

    6       4  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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.

 
 

 

 

TRUST SUMMARY      15  


Trust Summary  as of February 29, 2020    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 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

  MVF

Initial Offering Date

  September 29, 1988

Yield on Closing Market Price as of February 29, 2020 ($9.24)(a)

  4.35%

Tax Equivalent Yield(b)

  7.35%

Current Monthly Distribution per Common Share(c)

  $0.0335

Current Annualized Distribution per Common Share(c)

  $0.4020

Leverage as of February 29, 2020(d)

  34%

 

  (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. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (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. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended February 29, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MVF(a)(b)

    (0.40 )%       5.41

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

    1.89        4.82  

 

  (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:

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January and February. The gains for the broader bond market reflected the likelihood of an economic downturn caused by the spread of coronavirus, together with expectations for interest rate cuts by the Fed. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Positions in high yield issues, which outpaced the investment-grade market, were key contributors to the Trust’s performance. Puerto Rico and tobacco issues were particularly strong performers in this area. The Trust’s allocations to longer-duration and longer-maturity bonds also benefited results. (Duration is a measure of interest rate sensitivity.) At the sector level, revenue sectors such as transportation and health care were large contributors. The Trust’s use of leverage also added value by boosting income and augmenting the effect of rising prices.

The Trust actively sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Trust performance. Positions in pre-refunded bonds and short duration issues, while producing positive absolute returns, lagged somewhat in the rising market. The trend of net negative issuance exacerbated reinvestment risk as the proceeds from bonds that matured or were called needed to be reinvested at lower prevailing yields compared to bonds that were issued when yields were higher.

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    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 29, 2020  (continued)    BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     02/29/20     08/31/19      Change      High      Low  

Market Price

  $ 9.24     $ 9.49        (2.63 )%     $ 9.60      $ 8.93  

Net Asset Value

    10.13       9.83        3.05        10.14        9.58  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/29/20     08/31/19  

Transportation

    28     28

Health

    21       20  

Utilities

    11       10  

County/City/Special District/School District

    10       11  

State

    8       8  

Tobacco

    8       7  

Education

    7       8  

Corporate

    5       5  

Housing

    2       3  

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,

       

2020

    15

2021

    4  

2022

    6  

2023

    6  

2024

    5  

 

  (c) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

     02/29/20     08/31/19  

AAA/Aaa

    2     3

AA/Aa

    28       30  

A

    28       28  

BBB/Baa

    22       21  

BB/Ba

    5       4  

B

    3       3  

CC

    1       1  

N/R(b)

    11       10  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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 29, 2020 and August 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade represents 3% and 1%, respectively, of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      17  


Schedule of Investments  (unaudited)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 130.0%

 

Alabama — 0.6%  

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

  $ 960     $ 1,099,738  
   

 

 

 
Arizona — 7.3%  

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

    2,200       2,357,542  

Arizona IDA, Refunding RB, Odyssey Preparatory Academy Project, Series A, 5.50%, 07/01/52(a)

    130       140,937  

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

    460       508,378  

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

   

4.75%, 07/01/21(b)

    680       714,993  

4.75%, 07/01/31

    3,070       3,221,566  

Industrial Development Authority of the County of Pima, RB, Imagine East Mesa Charter Schools Project, 5.00%, 07/01/34(a)

    400       441,496  

Salt Verde Financial Corp., RB, Senior:

   

5.00%, 12/01/32

    1,500       2,031,540  

5.00%, 12/01/37

    2,065       2,939,404  

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

    900       961,218  
   

 

 

 
      13,317,074  
Arkansas — 2.2%  

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

    505       558,767  

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

    840       949,141  

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

    1,835       1,972,276  

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

    465       539,289  
   

 

 

 
      4,019,473  
California — 18.8%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 5.88%, 08/15/20(b)

    1,900       1,943,510  

California Statewide Communities Development Authority, Refunding RB, Adventist Health System, Series A, 4.00%, 03/01/48

    1,345       1,503,697  

Carlsbad California Unified School District, GO, Election of 2006, Series B, 6.00%, 05/01/34

    1,000       1,214,400  

City & County of San Francisco Public Utilities Commission Wastewater Revenue, Refunding RB, Sewer System, Series B, 4.00%, 10/01/42

    500       537,515  

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       2,092,720  

County of San Diego Regional Airport Authority, ARB, Subordinate, Series B, AMT, 5.00%, 07/01/47

    1,405       1,727,799  

Golden State Tobacco Securitization Corp., Refunding RB, Series A-1, 5.00%, 06/01/47

    525       557,960  

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 7.00%, 08/01/34(c)

    1,650       2,055,999  

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

    8,000       4,946,720  

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

   

0.00%, 08/01/30(d)

    1,500       1,297,935  

0.00%, 08/01/33(d)

    4,000       1,708,400  

6.20%, 08/01/39(c)

    2,605       3,313,873  

San Diego Community College District, GO, CAB, Election of 2002, 6.00%, 08/01/33

    2,800       3,784,144  

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

    3,000       3,350,730  
Security   Par
(000)
    Value  
California (continued)  

State of California, GO, Various Purposes:

   

6.00%, 03/01/33

  $ 500     $ 502,145  

5.50%, 03/01/40

    2,350       2,358,201  

Visalia Unified School District, COP, (AGM), 4.00%, 05/01/48

    1,225       1,255,845  
   

 

 

 
      34,151,593  
Colorado — 0.4%  

Colorado Educational & Cultural Facilities Authority, Refunding RB, Rocky Mountain Classical Academy Project, 5.00%, 10/01/59(a)

    595       666,912  
   

 

 

 
Connecticut — 1.0%  

Connecticut State Health & Educational Facility Authority, Refunding RB, Lawrence & Memorial Hospital, Series F, 5.00%, 07/01/21(b)

    550       580,470  

State of Connecticut, GO, Series E, 5.00%, 09/15/37

    970       1,231,638  
   

 

 

 
      1,812,108  
Delaware — 2.1%  

County of Kent Delaware, RB, CHF-Dover, LLC-Delaware State University Project, Series A:

   

5.00%, 07/01/40

    330       387,064  

5.00%, 07/01/48

    900       1,036,980  

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

    1,200       1,240,080  

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

    950       1,132,846  
   

 

 

 
      3,796,970  
Florida — 2.9%  

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

    4,135       4,804,167  

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

    860       412,800  
   

 

 

 
      5,216,967  
Georgia — 0.7%  

County of Georgia Housing & Finance Authority, RB, S/F Housing, Series A:

   

3.95%, 12/01/43

    295       324,727  

4.00%, 12/01/48

    210       231,160  

Main Street Natural Gas, Inc., RB, Series A:

   

5.00%, 05/15/38

    255       369,661  

5.00%, 05/15/43

    330       409,629  
   

 

 

 
      1,335,177  
Hawaii — 0.2%  

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

    400       441,284  
   

 

 

 
Idaho — 0.3%  

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

    500       567,965  
   

 

 

 
Illinois — 7.3%  

Chicago Board of Education, GO, Series D:

   

Dedicated Revenues, Series H, 5.00%, 12/01/36

    235       282,888  

Project, Series C, 5.25%, 12/01/35

    775       893,854  

Chicago Board of Education, GO, Refunding:

   

Dedicated Revenues, Series C, 5.00%, 12/01/25

    425       506,591  

Dedicated Revenues, Series C, 5.00%, 12/01/34

    235       283,911  

Dedicated Revenues, Series F, 5.00%, 12/01/23

    310       350,697  

Series C, 5.00%, 12/01/25

    335       398,965  

Chicago Board of Education, GO:

   

5.00%, 12/01/46

    280       336,274  

5.00%, 12/01/46

    725       800,748  
 

 

 

18    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

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

  $ 1,600     $ 1,683,568  

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

    870       980,916  

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

    665       707,733  

County of Will Illinois, GO, 5.00%, 11/15/45

    600       704,556  

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

   

5.00%, 02/15/37

    300       354,669  

5.00%, 02/15/47

    205       237,247  

5.00%, 02/15/50

    100       115,488  

Illinois Finance Authority, Refunding RB:

   

OSF Health Care System, Series A, 5.00%, 11/15/45

    1,205       1,413,983  

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

    110       111,056  

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project(h):

   

4.00%, 06/15/50

    220       248,389  

5.00%, 06/15/50

    285       351,981  

Railsplitter Tobacco Settlement Authority, RB, 6.00%, 06/01/21(b)

    1,150       1,223,657  

State of Illinois, GO, Series D, 5.00%, 11/01/28

    645       806,385  

Upper Illinois River Valley Development Authority, Refunding RB, Prairie Crossing Charter School, 5.00%, 01/01/55(a)

    390       423,634  
   

 

 

 
      13,217,190  
Iowa — 0.2%  

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

    250       283,640  
   

 

 

 
Kansas — 2.4%  

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

   

5.00%, 09/01/22(b)

    3,280       3,614,593  

5.00%, 09/01/39

    720       794,887  
   

 

 

 
      4,409,480  
Kentucky — 3.9%  

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

    2,500       3,031,925  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 01/01/23(b)

    1,830       2,060,873  

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

   

6.45%, 07/01/34

    500       605,345  

6.60%, 07/01/39

    830       996,564  

6.75%, 07/01/43

    270       324,683  
   

 

 

 
      7,019,390  
Louisiana — 1.4%  

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

    860       992,371  

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

    1,050       1,083,894  

Louisiana Public Facilities Authority, RB, Belle Chasse Educational Foundation Project, 6.50%, 05/01/21(b)

    400       426,244  
   

 

 

 
      2,502,509  
Maryland — 0.4%  

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

   

5.13%, 07/01/36

    170       180,980  

5.25%, 07/01/44

    170       178,740  
Security   Par
(000)
    Value  
Maryland (continued)  

Maryland Community Development Administration, Refunding RB, S/F Housing, Series A, 4.10%, 09/01/38

  $ 315     $ 354,633  
   

 

 

 
      714,353  
Massachusetts — 4.3%  

Massachusetts Development Finance Agency, RB:

   

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

    630       740,395  

Emerson College Issue, 5.00%, 01/01/48

    1,115       1,325,780  

Emerson College Issue, Series A, 5.25%, 01/01/42

    565       678,689  

UMass Darthmouth Student Housing Project, 5.00%, 10/01/48

    830       1,015,978  

Worcester Polytechnic Institute, 4.00%, 09/01/49

    1,270       1,345,565  

Massachusetts Development Finance Agency, Refunding RB:

   

Atrius Health Issue, Series A, 4.00%, 06/01/49

    75       82,829  

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

    750       889,343  

International Charter School, 5.00%, 04/15/40

    400       437,104  

Western New England University, 5.00%, 09/01/43

    750       913,890  

Massachusetts HFA, RB, M/F Housing, Series A:

   

3.80%, 12/01/43

    160       173,566  

3.85%, 06/01/46

    205       222,400  
   

 

 

 
      7,825,539  
Michigan — 7.2%  

Michigan Finance Authority, RB:

   

Beaumont Health Credit Group, Series A, 5.00%, 11/01/44

    1,555       1,824,854  

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

    240       258,425  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 5.00%, 11/15/41

    5,560       6,747,505  

Michigan State Housing Development Authority, RB, S/F Housing, Series A, 3.80%, 10/01/38

    1,690       1,885,178  

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

    2,100       2,245,173  
   

 

 

 
      12,961,135  
Minnesota — 2.8%  

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

    880       987,906  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series A, 5.00%, 11/15/49

    560       691,499  

City of Otsego Minnesota, Refunding RB, Kaleidoscope Charter School Project, Series A, 5.00%, 09/01/44

    425       452,905  

City of Spring Lake Park Michigan, RB, Academy for Higher Learning Project, 5.00%, 06/15/39

    1,080       1,191,661  

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

    290       351,555  

Minnesota Higher Education Facilities Authority, RB:

   

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

    1,045       1,045,251  

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

    385       422,280  
   

 

 

 
      5,143,057  
Mississippi — 0.7%  

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

    400       426,460  

Mississippi Development Bank, RB, CAB, Special Obligation, Hinds Community College District (AGM), 5.00%, 04/01/21(b)

    845       882,881  
   

 

 

 
      1,309,341  
Missouri — 2.5%  

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

    900       953,784  

Missouri State Health & Educational Facilities Authority, RB:

   

A.T. Still University of Health Sciences, 5.25%, 10/01/21(b)

    500       534,990  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Missouri (continued)  

A.T. Still University of Health Sciences, 4.25%, 10/01/23(b)

  $ 320     $ 359,296  

A.T. Still University of Health Sciences, 5.00%, 10/01/23(b)

    500       574,610  

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

    300       313,386  

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

    1,000       1,133,040  

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

    540       659,367  
   

 

 

 
      4,528,473  
Nebraska — 1.0%  

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

    600       655,428  

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

    400       462,980  

Nebraska Public Power District, Refunding RB, Series A:

   

5.00%, 01/01/32

    250       268,493  

4.00%, 01/01/44

    400       420,280  
   

 

 

 
      1,807,181  
Nevada — 0.9%  

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

    580       586,560  

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

    1,000       1,126,960  
   

 

 

 
      1,713,520  
New Hampshire — 0.2%  

New Hampshire Business Finance Authority, Refunding RB, Resource Recovery, Covanta Project(a):

   

Series B, 4.63%, 11/01/42

    255       276,609  

Series C, AMT, 4.88%, 11/01/42

    145       158,547  
   

 

 

 
      435,156  
New Jersey — 13.2%  

New Jersey Economic Development Authority, RB, School Facilities Construction Bonds:

   

5.00%, 06/15/24(b)

    80       94,109  

5.00%, 06/15/40

    345       390,747  

New Jersey EDA, RB, AMT:

   

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

    660       763,560  

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

    200       224,086  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 04/01/28

    7,500       9,016,725  

New Jersey Health Care Facilities Financing Authority, Refunding RB:

   

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

    685       841,242  

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

    510       535,995  

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

    1,700       1,809,072  

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

    500       546,775  

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

    1,860       2,178,004  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.25%, 06/15/43

    1,070       1,332,792  

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

    1,000       647,290  
Security   Par
(000)
    Value  
New Jersey (continued)  

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

  $ 900     $ 1,040,094  

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

    400       461,924  

New Jersey Transportation Trust Fund Authority, Refunding RB, Transportation System, Series A, 5.00%, 12/15/36

    140       174,265  

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

    625       753,325  

Tobacco Settlement Financing Corp., Refunding RB, Series A:

   

5.00%, 06/01/35

    760       946,268  

5.25%, 06/01/46

    1,810       2,238,029  
   

 

 

 
      23,994,302  
New Mexico — 0.3%  

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

    450       529,542  
   

 

 

 
New York — 4.3%  

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

    925       927,618  

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

    1,000       1,124,250  

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

    900       907,128  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through, Series A-2B, 5.00%, 06/01/45

    500       541,800  

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

    1,160       1,160,905  

New York Liberty Development Corp., Refunding RB, 3 World Trade Center Project, Class 2, 5.38%, 11/15/40(a)

    405       460,141  

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

    1,295       1,355,515  

State of New York Mortgage Agency, Refunding RB, S/F Housing, Series 211, 3.75%, 10/01/43

    1,190       1,292,780  
   

 

 

 
      7,770,137  
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       505,934  
   

 

 

 
Ohio — 3.9%  

Buckeye Tobacco Settlement Financing Authority, Refunding RB, Senior, Series B-2, 5.00%, 06/01/55(h)

    1,500       1,690,680  

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       2,114,140  

Northwest Local School District/Hamilton & Butler Counties, GO, School Improvements, 4.00%, 12/01/50

    1,135       1,224,120  

Ohio Air Quality Development Authority, RB, AMG Vanadium Project, AMT, 5.00%, 07/01/49(a)

    395       466,618  

State of Ohio, Refunding RB, University Hospitals Health System, Series A, 5.00%, 01/15/41

    1,500       1,602,675  
   

 

 

 
      7,098,233  
Oklahoma — 0.9%  

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

    720       851,429  

Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B, 5.25%, 08/15/48

    605       741,306  
   

 

 

 
      1,592,735  
Oregon — 1.4%  

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

    675       787,009  

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

    1,475       1,725,765  
   

 

 

 
      2,512,774  
 

 

 

20    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Pennsylvania — 4.2%  

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment:

   

5.00%, 06/01/33

  $ 335     $ 423,209  

5.00%, 06/01/34

    750       944,055  

(AGM), 4.00%, 06/01/39

    1,365       1,564,686  

County of Montgomery Higher Education & Health Authority, Refunding RB, Thomas Jefferson University:

   

Series A, 4.00%, 09/01/49

    495       562,845  

Project, 4.00%, 09/01/49

    715       823,394  

Delaware River Port Authority, RB, 4.50%, 01/01/32

    1,500       1,698,750  

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

    1,250       1,507,987  
   

 

 

 
      7,524,926  
Puerto Rico — 5.8%  

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

   

5.50%, 05/15/39

    315       324,305  

5.63%, 05/15/43

    345       355,164  

Commonwealth of Puerto Rico Aqueduct & Sewer Authority, RB, Senior Lien, Series A:

   

5.00%, 07/01/33

    1,305       1,391,508  

5.13%, 07/01/37

    375       400,327  

Commonwealth of Puerto Rico Aqueduct & Sewer Authority, Refunding RB, Senior Lien, Series A:

   

6.00%, 07/01/38

    385       396,793  

6.00%, 07/01/44

    700       724,108  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured:

   

CAB, Series A-1, 0.00%, 07/01/46(d)

    843       251,560  

Series A-1, 4.75%, 07/01/53

    1,072       1,204,832  

Series A-1, 5.00%, 07/01/58

    3,304       3,787,606  

Series A-2, 4.33%, 07/01/40

    451       495,699  

Series A-2, 4.78%, 07/01/58

    1,028       1,161,794  
   

 

 

 
      10,493,696  
Rhode Island — 3.7%  

Narragansett Bay Commission, Refunding RB, Series A, 4.00%, 09/01/22(b)

    900       956,583  

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

    1,155       1,278,597  

Rhode Island Housing & Mortgage Finance Corp., RB, (FHA), S/F Housing, Series 3-B, 4.13%, 10/01/49

    480       505,200  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.00%, 06/01/40

    1,000       1,139,500  

Series B, 4.50%, 06/01/45

    2,730       2,914,766  
   

 

 

 
      6,794,646  
South Carolina — 1.5%  

South Carolina Jobs-Economic Development Authority, RB:

   

Bishop Gadsden Episcopal Retirement Community, 5.00%, 04/01/44

    100       117,530  

Bishop Gadsden Episcopal Retirement Community, 4.00%, 04/01/49

    100       109,419  

Bishop Gadsden Episcopal Retirement Community, 5.00%, 04/01/49

    135       156,974  

Bishop Gadsden Episcopal Retirement Community, 4.00%, 04/01/54

    105       114,342  

Bishop Gadsden Episcopal Retirement Community, 5.00%, 04/01/54

    265       307,442  

Hilton Head Christian Academy, 5.00%, 01/01/55(a)

    470       504,399  

State of South Carolina Public Service Authority, RB, Series E, 5.50%, 12/01/53

    1,000       1,140,460  

State of South Carolina Public Service Authority, Refunding RB, Series A, 5.00%, 12/01/36

    175       210,555  
   

 

 

 
      2,661,121  
Security   Par
(000)
    Value  
South Dakota — 0.5%  

City of Rapid City South Dakota, RB, 4.00%, 12/01/48

  $ 740     $ 840,270  
   

 

 

 
Tennessee — 2.7%  

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 01/01/23(b)

    1,950       2,188,739  

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

    800       864,880  

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

    875       994,735  

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

    675       807,752  
   

 

 

 
      4,856,106  
Texas — 10.0%  

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

    11,690       4,978,069  

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

    10,760       5,476,087  

El Paso Independent School District, GO, (PSF-GTD), 4.00%, 08/15/43

    890       1,038,817  

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

   

0.00%, 08/15/24(b)

    370       210,582  

0.00%, 08/15/35

    3,630       2,069,536  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/23(b)

    760       859,241  

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, 4.00%, 09/15/42

    1,355       1,434,606  

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

    2,000       2,040,860  
   

 

 

 
      18,107,798  
Utah — 0.8%  

Salt Lake City Corp. Airport Revenue, ARB, Series A, AMT, 5.00%, 07/01/43

    530       655,059  

State of Utah Charter School Finance Authority, RB, Utah Charter Academies Project, 5.00%, 10/15/48

    360       439,106  

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

    400       432,224  
   

 

 

 
      1,526,389  
Vermont — 0.6%  

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

    500       557,695  

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

    440       469,049  
   

 

 

 
      1,026,744  
Virginia — 1.9%  

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

    490       558,277  

Virginia Beach Development Authority, Refunding RB, Westminster-Canterbury on Chesapeake Bay:

   

5.00%, 09/01/44

    585       683,982  

4.00%, 09/01/48

    375       409,552  

Virginia HDA, RB, M/F Housing, Rental Housing, Series B, 4.00%, 06/01/53

    385       425,945  

Virginia Small Business Financing Authority, RB, AMT:

   

Covanta Project, 5.00%, 01/01/48(a)(i)

    470       515,905  

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

    725       801,777  
   

 

 

 
      3,395,438  
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Washington — 0.4%  

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

  $ 600     $ 707,610  
   

 

 

 
West Virginia — 0.8%  

West Virginia Hospital Finance Authority, RB, Improvement, West Virginia University Health System Obligated Group, Series A, 4.00%, 06/01/51

    1,305       1,466,859  
   

 

 

 
Wisconsin — 1.1%  

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

    280       296,080  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Milwaukee Regional Medical Center Thermal Service, 5.00%, 04/01/44

    800       1,011,904  

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

    665       765,967  
   

 

 

 
      2,073,951  
   

 

 

 

Total Municipal Bonds — 130.0%
(Cost — $206,125,501)

 

    235,774,436  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(j) — 31.7%

 

California — 1.0%  

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

    1,451       1,874,804  
   

 

 

 
Colorado — 1.4%  

State of Colorado Health Facilities Authority, Refunding RB, Commonspirit Health, Series A, 5.00%, 08/01/44(k)

    1,950       2,452,164  
   

 

 

 
Connecticut — 1.7%  

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

    2,611       3,134,331  
   

 

 

 
Michigan — 3.4%  

State of Michigan Housing Development Authority, RB, S/F Housing, Series C, 3.90%, 12/01/33

    5,385       6,077,134  
   

 

 

 
New Jersey — 0.8%  

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

    1,400       1,470,073  
   

 

 

 
New York — 12.2%  

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

    3,990       4,459,942  

City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2013:

   

Series BB, 4.00%, 06/15/47

    3,660       3,922,056  

Series CC, 5.00%, 06/15/47

    6,000       6,784,265  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012(k):

   

5.75%, 02/15/21(b)

    1,548       1,618,547  

5.75%, 02/15/47

    952       995,681  

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

    2,505       2,692,048  

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

    1,560       1,659,528  
   

 

 

 
      22,132,067  
Texas — 5.7%  

City of Houston Texas Community College, GO, Limited Tax, 4.00%, 02/15/43

    2,999       3,233,522  

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

    1,580       1,765,856  
Security   Par
(000)
    Value  
Texas (continued)  

City of San Antonio Texas Water System, Refunding RB, Water System, Junior Lien, Series C, 5.00%, 05/15/46

  $ 1,515     $ 1,856,208  

El Paso Independent School District, GO, (PSF-GTD), 4.00%, 08/15/48

    2,999       3,544,707  
   

 

 

 
    10,400,293  
Virginia — 1.4%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.00%, 07/01/48

    1,996       2,495,512  
   

 

 

 
Washington — 4.1%  

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

    2,992       3,732,796  

Washington State Convention Center Public Facilities District, RB, 5.00%, 07/01/58

    3,000       3,661,530  
   

 

 

 
    7,394,326  
 

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 31.7%
(Cost — $53,741,287)

 

    57,430,704  
 

 

 

 

Total Long-Term Investments — 161.7%
(Cost — $259,866,788)

 

    293,205,140  
 

 

 

 
     Shares         
Short-Term Securities — 1.0%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.97%(l)(m)

    1,776,911       1,777,266  
   

 

 

 

Total Short-Term Securities — 1.0%
(Cost — $1,777,266)

 

    1,777,266  
 

 

 

 

Total Investments — 162.7%
(Cost — $261,644,054)

 

    294,982,406  

Liabilities in Excess of Other Assets — (0.1)%

 

    (313,558

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (18.5)%

 

    (33,508,952

VMTP Shares at Liquidation Value — (44.1)%

 

    (79,900,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 181,259,896  
 

 

 

 

 

(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) 

Zero-coupon bond.

(e) 

Non-income producing security.

(f) 

Issuer filed for bankruptcy and/or is in default.

(g) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(h) 

When-issued security.

(i) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(j) 

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.

(k) 

All or a portion of the 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 August 15, 2020 to August 1, 2027, is $3,678,119. See Note 4 of the Notes to Financial Statements for details.

(l) 

Annualized 7-day yield as of period end.

 

 

 

22    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

 

(m) 

During the six months ended February 29, 2020, investments in issuers considered to be an affiliate/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
08/31/19
     Net
Activity
     Shares
Held at
02/29/20
     Value at
02/29/20
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     7,802        1,769,109        1,776,911      $ 1,777,266      $ 4,852      $ (95    $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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

     31          06/19/20        $ 4,177        $ (52,355

U.S. Long Treasury Bond

     60          06/19/20          10,215          (201,753

5-Year U.S. Treasury Note

     24          06/30/20          2,946          (27,235
                 

 

 

 
                  $ (281,343
                 

 

 

 

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  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 281,343      $      $ 281,343  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the six months ended February 29, 2020, the effect of derivative financial instruments in the Statements of Operations were 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

   $      $      $      $      $ (466,370    $      $ (466,370
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                              

Futures contracts

   $      $      $      $      $ (246,962    $      $ (246,962
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ (a) 

Average notional value of contracts — short

     16,120,969  

 

  (a) 

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

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

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Bond Trust (BBK)

 

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)

   $        $ 292,792,340        $ 412,800        $ 293,205,140  

Short-Term Securities

     1,777,266                            1,777,266  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,777,266        $ 292,792,340        $ 412,800        $ 294,982,406  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest rate contracts

   $ (281,343      $        $        $ (281,343
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are futures contracts. Futures contracts 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

   $        $ (33,442,766      $        $ (33,442,766

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (113,342,766      $        $ (113,342,766
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

24    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 29, 2020

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 100.6%

 

Alabama — 0.4%  

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

  $ 335     $ 356,594  

University of South Alabama, RB, 4.00%, 04/01/40(a)

    220       262,229  
   

 

 

 
      618,823  
Arizona — 2.3%  

Arizona IDA, RB(b):

   

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/39

    210       223,257  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/49

    240       251,978  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/54

    185       193,764  

Odyssey Preparatory Academy Project, 4.38%, 07/01/39

    250       257,825  

County of Maricopa Arizona IDA, Refunding RB, Legacy Traditional Schools Project(b):

   

5.00%, 07/01/39

    100       116,376  

5.00%, 07/01/49

    125       142,639  

5.00%, 07/01/54

    100       113,808  

County of Maricopa IDA, Refunding RB, Honorhealth,
Series A, 4.13%, 09/01/38

    300       357,525  

County of Maricopa Pollution Control Corp., Refunding RB, EL Paso Electric Co. Palo Varde Project, Series B, 3.60%, 04/01/40

    1,400       1,539,048  
   

 

 

 
      3,196,220  
California — 8.0%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/20(c)

    1,120       1,146,275  

California Statewide Communities Development Authority, Refunding RB, Adventist Health System, Series A, 4.00%, 03/01/42

    1,000       1,147,330  

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/23(c)

    1,025       1,200,193  

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

    1,000       1,066,440  

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

   

5.25%, 05/15/23(c)

    1,835       2,094,469  

5.25%, 05/15/38

    520       589,431  

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

   

5.50%, 11/01/30

    1,000       1,169,640  

5.50%, 11/01/31

    1,500       1,753,020  

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

    505       580,886  

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

    380       449,445  
   

 

 

 
      11,197,129  
Colorado — 4.7%  

City & County of Denver Colorado, RB, Capital Appreciation Bonds Series, Series A-2, 0.00%, 08/01/38(d)

    915       493,990  

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

    3,250       3,768,992  

Colorado Educational & Cultural Facilities Authority, RB, Rocky Mountain School of Expeditionary Learning, 5.00%, 03/01/50(b)

    360       404,752  

Colorado Educational & Cultural Facilities Authority, Refunding RB, Rocky Mountain Classical Academy Project, 5.00%, 10/01/59(b)

    480       538,013  
Security   Par
(000)
    Value  
Colorado (continued)  

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiatives, Series B-1, 4.00%, 11/09/22(c)

  $ 680     $ 738,058  

Denver International Business Center Metropolitan District No. 1, GO, Series A, 4.00%, 12/01/48

    555       573,454  
   

 

 

 
      6,517,259  
Connecticut — 0.3%  

Connecticut Housing Finance Authority, Refunding RB, S/F Housing, Sub-Series B-1, 4.00%, 05/15/45

    415       457,816  
   

 

 

 
District of Columbia — 0.6%  

Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Refunding RB, Subordinate, Dulles Metrorail And Capital Improvement Projects, Series B, 4.00%, 10/01/53

    700       812,385  
   

 

 

 
Florida — 10.5%  

Capital Trust Agency, Inc., RB, Advantage Academy of Hillsborough Projects, Series A:

   

5.00%, 12/15/49

    160       177,896  

5.00%, 12/15/54

    140       155,366  

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

    4,525       4,814,193  

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45

    795       917,557  

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

    4,215       4,914,437  

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

    1,305       1,453,627  

County of Osceola Florida Transportation Revenue, Refunding RB, Series A-2(d):

   

0.00%, 10/01/46

    625       262,731  

0.00%, 10/01/47

    605       245,763  

0.00%, 10/01/48

    430       166,832  

0.00%, 10/01/49

    355       133,203  

Esplanade Lake Club Community Development District, Special Assessment Bonds, Capital Improvement,
Series A-1, 4.13%, 11/01/50

    615       636,396  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 06/01/23(c)

    745       850,149  
   

 

 

 
      14,728,150  
Georgia — 6.1%  

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

    2,500       2,606,725  

Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49

    2,225       3,370,074  

Municipal Electric Authority of Georgia, RB, Plant Vogtle Units 3 & 4 Project:

   

4.00%, 01/01/49

    710       800,823  

4.00%, 01/01/59

    1,335       1,488,672  

Municipal Electric Authority of Georgia, Refunding RB,
Series A, 4.00%, 01/01/49

    260       293,953  
   

 

 

 
      8,560,247  
Idaho — 0.5%  

Idaho Health Facilities Authority, RB, Trinity Health Credit Group, 4.00%, 12/01/43

    670       776,577  
   

 

 

 
Illinois — 20.2%  

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

    1,000       1,003,270  

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

   

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

    690       718,000  

Series A, 5.75%, 01/01/39

    135       140,226  

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

    3,740       3,914,882  
 

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts:

   

5.25%, 12/01/36

  $ 3,185     $ 3,407,313  

5.25%, 12/01/40

    3,000       3,192,780  

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

    3,000       3,030,210  

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

    1,480       1,564,301  

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

   

5.50%, 12/01/38

    855       962,764  

5.25%, 12/01/43

    1,430       1,580,636  

Illinois Finance Authority, RB, Series A:

   

Carle Foundation, 6.00%, 08/15/41

    1,885       2,011,974  

Chicago LLC, University of Illinois at Chicago Project, 5.00%, 02/15/37

    520       614,760  

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project(a):

   

4.00%, 06/15/50

    465       525,004  

5.00%, 06/15/50

    450       555,759  

Railsplitter Tobacco Settlement Authority, RB(c):

   

5.50%, 06/01/21

    915       967,887  

6.00%, 06/01/21

    260       276,653  

State of Illinois, GO:

   

5.25%, 02/01/31

    610       699,792  

5.25%, 02/01/32

    1,010       1,157,430  

5.50%, 07/01/33

    1,000       1,137,600  

5.50%, 07/01/38

    270       305,810  

State of Illinois, GO, Refunding, Series B, 5.00%, 10/01/27

    345       431,919  
   

 

 

 
      28,198,970  
Louisiana — 0.4%  

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

    640       641,306  
   

 

 

 
Maine — 0.8%  

Maine State Housing Authority(a):

   

2.50%, 11/15/45

    400       397,380  

2.60%, 11/15/50

    680       677,844  
   

 

 

 
      1,075,224  
Maryland — 0.6%  

Maryland Community Development Administration, Refunding RB, S/F Housing, Series A, 4.10%, 09/01/38

    710       799,332  
   

 

 

 
Massachusetts — 1.0%  

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

    695       816,785  

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

    500       598,560  
   

 

 

 
      1,415,345  
Michigan — 0.0%  

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM), 6.25%, 07/01/36

    5       5,020  
   

 

 

 
Minnesota — 2.9%  

Duluth Economic Development Authority, Refunding RB, Essentia Health Obligated Group, Series A:

   

4.25%, 02/15/48

    3,050       3,496,124  

5.25%, 02/15/58

    520       638,898  
   

 

 

 
      4,135,022  
Mississippi — 1.7%  

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

    1,000       1,205,190  
Security   Par
(000)
    Value  
Mississippi (continued)  

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 08/01/23(c)

  $ 1,000     $ 1,149,210  
   

 

 

 
      2,354,400  
New Jersey — 6.1%  

New Jersey EDA, RB, School Facilities Construction, 5.00%, 06/15/44

    160       197,891  

New Jersey Health Care Facilities Financing Authority, RB, Inspira Health Obligated Group, 4.00%, 07/01/47

    300       341,052  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.00%, 06/15/46

    2,070       2,502,216  

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

    1,620       1,820,750  

New Jersey Turnpike Authority, RB, Series A, 4.00%, 01/01/48

    270       320,012  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.00%, 06/01/35

    580       722,152  

Series A, 5.00%, 06/01/46

    1,365       1,659,103  

Sub-Series B, 5.00%, 06/01/46

    810       947,514  
   

 

 

 
      8,510,690  
New Mexico — 0.1%  

City of Santa Fe New Mexico, RB, EL Castillo Retirement Residences Project, Series A, 5.00%, 05/15/44

    100       113,887  
   

 

 

 
New York — 2.9%  

Metropolitan Transportation Authority, RB:

   

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

    1,565       1,682,907  

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

    1,000       1,145,630  

State of New York Thruway Authority, Refunding RB, Subordinate, Series B, 4.00%, 01/01/50

    700       825,377  

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

    415       444,025  
   

 

 

 
      4,097,939  
North Carolina — 0.7%  

North Carolina Turnpike Authority, RB, Senior Lien, Triangle Express Way System (AGM), 4.00%, 01/01/55

    260       304,783  

University of North Carolina at Chapel Hill, RB, University of North Carolina Hospital at Chapal Hills, 5.00%, 02/01/45

    395       617,215  
   

 

 

 
      921,998  
Ohio — 1.7%  

Buckeye Tobacco Settlement Financing Authority, Refunding RB(a):

   

4.00%, 06/01/48

    425       486,085  

Senior, Series B-2, 5.00%, 06/01/55

    1,215       1,369,451  

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

    470       531,429  
   

 

 

 
      2,386,965  
Oregon — 0.4%  

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

    510       278,521  

Multnomah & Clackamas Counties School District No. 10JT Gresham-Barlow, GO, CAB, Deferred Interest, Series A, 0.00%, 06/15/38(d)

    530       319,405  
   

 

 

 
      597,926  
Pennsylvania — 2.6%  

Pennsylvania Turnpike Commission, RB, Series C:

   

5.00%, 12/01/23(c)

    1,305       1,507,432  

5.00%, 12/01/43

    415       471,726  

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

    1,500       1,679,520  
   

 

 

 
      3,658,678  
 

 

 

26    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Puerto Rico — 3.9%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured:

   

CAB, Series A-1, 0.00%, 07/01/46(d)

  $ 143     $ 42,672  

Series A-1, 4.75%, 07/01/53

    734       824,950  

Series A-1, 5.00%, 07/01/58

    978       1,121,150  

Series A-2, 4.78%, 07/01/58

    2,693       3,043,494  

Series B-1, 4.75%, 07/01/53

    187       210,560  

Series B-2, 4.78%, 07/01/58

    181       203,645  
   

 

 

 
      5,446,471  
Rhode Island — 0.8%  

Tobacco Settlement Financing Corp., Refunding RB, Series A, 5.00%, 06/01/40

    1,050       1,196,475  
   

 

 

 
South Carolina — 8.0%  

County of Berkeley South Carolina, Special Assessment Bonds, Nexton Improvement District Assessment:

   

4.25%, 11/01/40

    140       147,199  

4.38%, 11/01/49

    205       214,533  

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

    1,525       1,762,870  

South Carolina Jobs EDA, Refunding RB:

   

Anmed Health Projects, 5.00%, 02/01/38

    2,875       3,369,672  

Prisma Health Obligated Group, Series A, 5.00%, 05/01/48

    785       949,041  

South Carolina Jobs-Economic Development Authority, RB, Hilton Head Christian Academy, 5.00%, 01/01/55(b)

    375       402,446  

State of South Carolina Jobs EDA, Refunding RB, Prisma Health Obligated Group, Series A, 5.00%, 05/01/43

    880       1,075,202  

State of South Carolina Public Service Authority, RB, Series E:

   

5.00%, 12/01/48

    440       493,530  

5.50%, 12/01/53

    500       570,230  

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

    1,825       2,162,807  
   

 

 

 
      11,147,530  
Tennessee — 4.0%  

County of Nashville & Davidson Metropolitan Government Health & Educational Facilities Board, Refunding RB, Lipscomb University Project, Series A:

   

4.00%, 10/01/49

    230       258,196  

5.25%, 10/01/58

    2,155       2,674,118  

Tennessee Housing Development Agency, RB(a):

   

2.30%, 07/01/40

    2,030       2,041,855  

2.40%, 01/01/44

    560       562,861  
   

 

 

 
      5,537,030  
Texas — 5.6%  

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

    980       1,096,473  

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

    1,000       1,139,550  

North Texas Tollway Authority, Refunding RB:

   

4.25%, 01/01/49

    2,555       2,960,581  

1st Tier (AGM), 6.00%, 01/01/21(c)

    1,000       1,041,970  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/23(c)

    440       497,455  

Texas Transportation Commission, RB, First Tier Toll Revenue:

   

0.00%, 08/01/39(d)

    1,000       480,450  

0.00%, 08/01/43(d)

    795       304,135  

5.00%, 08/01/57

    240       284,652  
   

 

 

 
      7,805,266  
Security   Par
(000)
    Value  
Utah — 0.1%  

Utah Charter School Finance Authority, RB, Wallace Stegner Academy Project, Series A, 5.00%, 06/15/39(b)

  $ 100     $ 110,023  
   

 

 

 
Virginia — 0.3%  

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 01/01/22(c)

    370       398,205  
   

 

 

 
Washington — 2.3%  

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

    1,025       1,066,307  

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

    795       827,039  

Washington State Housing Finance Commission, RB, Transforming Age Project, Series A, 5.00%, 01/01/55(b)

    220       251,376  

Washington State Housing Finance Commission, Refunding RB, Horizon House Project, 5.00%, 01/01/43(b)

    900       1,053,666  
   

 

 

 
      3,198,388  
Wisconsin — 0.1%  

Public Finance Authority, Refunding RB, Penick Village Obligation Group, 5.00%, 09/01/54(b)

    130       144,100  
   

 

 

 

Total Municipal Bonds — 100.6%
(Cost — $127,927,225)

 

    140,760,796  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(e) — 72.9%

 

California — 11.9%

 

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

    1,640       1,897,333  

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

    2,775       3,436,421  

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

    10,680       11,352,199  
   

 

 

 
      16,685,953  
Colorado — 1.2%  

Colorado Health Facilities Authority, Refunding RB, Commonspirit Health, Series A, 4.00%, 08/01/49(f)

    1,490       1,707,644  
   

 

 

 
Connecticut — 1.1%  

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

    1,306       1,567,165  
   

 

 

 
District of Columbia — 0.6%  

District of Columbia Housing Finance Agency, RB, M/F Housing, Series B-2 (FHA), 4.10%, 09/01/39

    790       896,697  
   

 

 

 
Florida — 1.5%  

Escambia Cnty Fl Hlth Facs Aut, 4.00%, 08/15/50(f)

    1,770       2,026,084  
   

 

 

 
Georgia — 0.8%  

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

    1,025       1,149,619  
   

 

 

 
Idaho — 1.4%  

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

    1,700       1,954,966  
   

 

 

 
Illinois — 5.5%  

State of Illinois Toll Highway Authority, RB:

   

Series A, 5.00%, 01/01/40

    825       981,151  

Series B, 5.00%, 01/01/40

    3,329       3,990,809  

Series C, 5.00%, 01/01/38

    2,252       2,650,681  
   

 

 

 
      7,622,641  
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Iowa — 1.2%  

Iowa Finance Authority, Refunding RB, UnityPoint Health, Series E, 4.00%, 08/15/46

  $ 1,455     $ 1,603,483  
   

 

 

 
Michigan — 3.6%  

Michigan Finance Authority, RB, Multi Model- McLaren Health Care, 4.00%, 02/15/47

    1,624       1,898,705  

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

    2,650       3,197,198  
   

 

 

 
      5,095,903  
Nevada — 3.1%  

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

    4,100       4,313,036  
   

 

 

 
New Jersey — 5.5%  

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

    6,020       6,602,616  

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

    1,000       1,050,052  
   

 

 

 
      7,652,668  
New York — 14.5%  

City of New York, GO, Sub-Series-D1, Series D, 5.00%, 12/01/43(f)

    2,620       3,360,857  

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.15%, 11/01/38

    1,890       2,143,203  

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

   

Series FF, 5.00%, 06/15/45

    3,019       3,286,660  

Water & Sewer System, 2nd General Resolution,
Series BB, 5.25%, 12/15/21(c)

    4,993       5,386,084  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012(f):

   

5.75%, 02/15/21(c)

    619       647,419  

5.75%, 02/15/47

    381       398,272  

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

    2,955       3,175,650  

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

    1,740       1,884,558  
   

 

 

 
      20,282,703  
North Carolina — 2.8%  

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

    2,400       2,892,936  

North Carolina Housing Finance Agency, RB, S/F Housing, Series 39-B (Ginnie Mae, Fannie Mae & Freddie Mac), 4.00%, 01/01/48

    943       1,055,350  
   

 

 

 
      3,948,286  
Pennsylvania — 4.9%  

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

    1,349       1,614,274  

Pennsylvania Housing Finance Agency, RB, S/F Housing, Series 129, 3.40%, 10/01/49

    1,680       1,774,786  

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

    1,094       1,359,016  

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

    1,640       2,033,403  
   

 

 

 
      6,781,479  
Rhode Island — 1.6%  

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

    1,982       2,243,842  
   

 

 

 
Security   Par
(000)
    Value  
Texas — 6.9%  

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

  $ 4,456     $ 5,009,630  

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

    2,310       2,467,958  

Texas Department of Housing & Community Affairs, RB, S/F Housing, Series A (Ginnie Mae):

   

3.63%, 09/01/44

    1,114       1,235,208  

3.75%, 09/01/49

    790       876,484  
   

 

 

 
      9,589,280  
Virginia — 1.2%  

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

    1,337       1,699,138  
   

 

 

 
West Virginia — 1.2%  

Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48(f)

    1,511       1,739,884  
   

 

 

 
Wisconsin — 2.4%  

Wisconsin Housing & Economic Development Authority, RB, M/F Housing, Series A:

   

4.10%, 11/01/43

    1,342       1,492,714  

4.45%, 05/01/57

    1,678       1,865,925  
   

 

 

 
      3,358,639  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond
Trusts — 72.9%
(Cost — $94,031,323)

 

    101,919,110  
 

 

 

 

Total Long-Term Investments — 173.5%
(Cost — $221,958,548)

 

    242,679,906  
 

 

 

 
     Shares         
Short-Term Securities — 0.8%  

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.97%(g)(h)

    1,093,985       1,094,204  
   

 

 

 

Total Short-Term Securities — 0.8%
(Cost — $1,094,204)

 

    1,094,204  
 

 

 

 

Total Investments — 174.3%
(Cost — $223,052,752)

 

    243,774,110  

Liabilities in Excess of Other Assets — (3.6)%

 

    (5,115,482

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (40.5)%

 

    (56,592,651

VMTP Shares, at Liquidation Value,— (30.2)%

 

    (42,200,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 139,865,977  
 

 

 

 

 

(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) 

Zero-coupon bond.

(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. See Note 4 of the Notes to Financial Statements for details.

(f) 

All or a portion of the 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 July 1, 2020 to August 15, 2027, is $11,193,928. See Note 4 of the Notes to Financial Statements for details.

(g) 

Annualized 7-day yield as of period end.

 

 

 

28    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(h) 

During the six months ended February 29, 2020, investments in issuers considered to be an affiliate/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
08/31/19
     Net
Activity
     Shares
Held at
02/29/20
     Value at
02/29/20
     Income     

Net
Realized

Gain (Loss) (a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     466,968        627,017        1,093,985      $ 1,094,204      $ 1,461      $ (79    $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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

     13          06/19/20        $ 1,752        $ (22,393

U.S. Long Treasury Bond

     49          06/19/20          8,342          (164,765

5-Year U.S. Treasury Note

     21          06/30/20          2,578          (23,957
                 

 

 

 
                  $ (211,115
                 

 

 

 

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  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 211,115      $      $ 211,115  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the six months ended February 29, 2020, 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

   $      $      $      $      $ (372,684    $      $ (372,684
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Futures contracts

   $      $      $      $      $ (187,429    $      $ (187,429
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ (a) 

Average notional value of contracts — short

     12,003,195  

 

  (a) 

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

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

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

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)

   $        $ 242,679,906        $        $ 242,679,906  

Short-Term Securities

     1,094,204                            1,094,204  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,094,204        $ 242,679,906        $        $ 243,774,110  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest rate contracts

   $ (211,115      $        $             —        $ (211,115
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are futures contracts. Future contracts 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

   $             —        $ (56,448,869      $             —        $ (56,448,869

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (98,648,869      $        $ (98,648,869
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

30    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 29, 2020

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 111.0%

 

Alabama — 2.6%

 

City of Birmingham Alabama, GO, Convertible CAB, Series A1, 5.00%, 03/01/45

  $ 1,165     $ 1,383,041  

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

    5,800       5,882,244  

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

    3,800       3,913,506  
   

 

 

 
      11,178,791  
Alaska — 0.3%  

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

    1,070       1,143,980  
   

 

 

 
Arizona — 1.0%  

Arizona IDA, RB(b):

   

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/39

    610       648,509  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/49

    690       724,438  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/54

    530       555,106  

Odyssey Preparatory Academy Project, 4.38%, 07/01/39

    725       747,693  

County of Maricopa Arizona IDA, Refunding RB, Legacy Traditional Schools Project(b):

   

5.00%, 07/01/39

    255       296,759  

5.00%, 07/01/49

    365       416,505  

5.00%, 07/01/54

    230       261,758  

County of Pima Arizona IDA, Refunding RB, American Leadership Academy Project, 5.00%, 06/15/52(b)

    595       640,006  
   

 

 

 
      4,290,774  
California — 10.3%  

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

    1,465       2,405,750  

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

    10,100       13,273,319  

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

    1,620       1,754,314  

California Statewide Communities Development Authority, Refunding RB, Adventist Health System, Series A, 4.00%, 03/01/48

    3,175       3,549,618  

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 6.25%, 08/01/43(c)

    1,580       1,788,797  

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

   

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

    2,000       1,410,960  

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

    725       400,142  

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

    775       402,597  

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

    1,155       565,153  

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

    770       354,924  

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

    1,745       991,300  

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

    2,115       1,149,143  

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

    2,715       1,413,456  

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

    1,400       1,172,794  

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

    1,100       1,169,652  

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

    3,000       3,247,680  

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

    1,415       1,650,682  
Security   Par
(000)
    Value  
California (continued)  

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

  $ 10,000     $ 6,909,800  
   

 

 

 
      43,610,081  
Colorado — 0.8%  

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

    960       970,723  

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

    1,305       1,467,029  

Sabell Metropolitan District, GO, Senior Bonds, Series A, 5.00%, 12/01/50(b)(e)

    1,055       1,118,859  
   

 

 

 
      3,556,611  
Connecticut — 1.4%  

State of Connecticut, GO, Series E, 5.00%, 09/15/37

    2,280       2,894,984  

University of Connecticut, RB, Series A, 5.00%, 01/15/34

    2,620       3,222,862  
   

 

 

 
      6,117,846  
Delaware — 0.8%  

County of Kent Delaware, RB, CHF-Dover, LLC-Delaware State University Project, Series A:

   

5.00%, 07/01/40

    770       903,148  

5.00%, 07/01/48

    2,110       2,431,142  
   

 

 

 
      3,334,290  
District of Columbia — 2.3%  

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

    9,500       9,820,625  
   

 

 

 
Florida — 5.6%  

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

    1,795       2,006,397  

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

    2,770       3,229,654  

County of Miami-Dade Florida Aviation, Refunding ARB, Aviation, Miami International Airport, Series A-1, 5.50%, 10/01/20(a)

    5,000       5,134,500  

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

    3,910       4,584,709  

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

    685       841,591  

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

   

5.00%, 08/01/41

    630       701,751  

5.00%, 08/01/47

    1,845       2,045,957  

Preserve at South Branch Community Development District, Special Assessment Bonds, Green Bond, Phase 2:

   

4.00%, 11/01/39

    300       315,582  

4.00%, 11/01/50

    500       511,740  

Reedy Creek Improvement District, GO, Series A, 5.25%, 06/01/23(a)

    1,340       1,529,128  

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

    2,000       2,134,540  

Westside Community Development District, Refunding, Special Assessment Bonds(b):

   

4.10%, 05/01/37

    260       272,072  

4.13%, 05/01/38

    260       271,778  
   

 

 

 
      23,579,399  
Georgia — 2.9%  

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

    7,500       7,820,175  

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

    545       654,567  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 29, 2020

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Georgia (continued)  

County of Georgia Housing &