UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-21126

 

Name of Fund: BlackRock Municipal Income Trust II (BLE)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Municipal Income Trust II, 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: 08/31/2012

 

Date of reporting period: 02/29/2012

 

Item 1 – Report to Stockholders


 

 

(BLACKROCK LOGO)

February 29, 2012


 

Semi-Annual Report (Unaudited)

 

BlackRock Municipal Bond Investment Trust (BIE)

 

BlackRock Municipal Bond Trust (BBK)

 

BlackRock Municipal Income Investment Quality Trust (BAF)

 

BlackRock Municipal Income Quality Trust (BYM)

 

BlackRock Municipal Income Trust II (BLE)

 

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

BlackRock MuniVest Fund, Inc. (MVF)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

Table of Contents


 

 

 

Page

 

 

Dear Shareholder

3

Semi-Annual Report:

 

Municipal Market Overview

4

Trust Summaries

5

The Benefits and Risks of Leveraging

12

Derivative Financial Instruments

12

Financial Statements:

 

Schedules of Investments

13

Statements of Assets and Liabilities

43

Statements of Operations

44

Statements of Changes in Net Assets

45

Statements of Cash Flows

47

Financial Highlights

49

Notes to Financial Statements

56

Officers and Trustees

65

Additional Information

66


 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Dear Shareholder

Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europe’s rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.

Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nation’s debt. Nevertheless, considerable head-winds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.

Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.

Sincerely

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

(PHOTO OF ROB KAPITO)

“For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.”

Rob Kapito
President, BlackRock Advisors, LLC

 

 

Total Returns as of February 29, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

13.31

%

 

5.12

%

 

US small cap equities
(Russell 2000® Index)

 

12.40

 

 

(0.15

)

 

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

 

4.13

 

 

(7.45

)

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

5.27

 

 

(0.11

)

 

3-month Treasury
bill (BofA Merrill Lynch
3-Month Treasury
Bill Index)

 

0.00

 

 

0.08

 

 

US Treasury securities
(BofA Merrill Lynch 10-
Year US Treasury Index)

 

3.70

 

 

17.22

 

 

US investment grade bonds
(Barclays US Aggregate
Bond Index)

 

2.73

 

 

8.37

 

 

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

 

5.93

 

 

12.88

 

 

US high yield bonds
(Barclays US Corporate
High Yield 2% Issuer
Capped Index)

 

8.62

 

 

6.92

 

 

 

 

 

 

 

 

 

 

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


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

Municipal Market Overview

 

For the 12-Month Period Ended February 29, 2012

One year ago, the municipal bond market was steadily recovering from a difficult fourth quarter of 2010 that brought severe losses amid a steepening US Treasury yield curve and a flood of inflated headlines about municipal finance troubles. Retail investors had lost confidence in municipals and retreated from the market. Political uncertainty surrounding the midterm elections and tax policies exacerbated the situation. These conditions combined with seasonal illiquidity weakened willful market participation from the trading community. December 2010 brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the Build America Bond program was retired. This supply-demand imbalance led to wider quality spreads and higher yields for municipal bonds heading into 2011.

(LINE GRAPH)

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in the first half of 2011. From the middle of November 2010, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June 2011. However, weak demand was counterbalanced by lower supply in 2011. According to Thomson Reuters, new issuance was down 32% in 2011 as compared to the prior year. While these technical factors were improving, municipalities were struggling to balance their budgets, although the late-2010 predictions for widespread municipal defaults did not materialize. Other concerns that resonated at the beginning of the year, such as rising interest rates, weakening credits and higher rates of inflation, abated as these scenarios also did not come to fruition.

On August 5, 2011, Standard & Poor’s (“S&P”) downgraded the US government’s credit rating from AAA to AA+. While this led to the downgrade of approximately 11,000 municipal issues directly tied to the US debt rating, this represented a very small fraction of the municipal market and said nothing about the individual municipal credits themselves. In fact, demand for municipal bonds increased as severe volatility in US equities drove investors to more stable asset classes. The municipal market benefited from an exuberant Treasury market and continued muted new issuance. As supply remained constrained, demand from both traditional and non-traditional buyers was strong, pushing long-term municipal bond yields lower and sparking a curve-flattening trend that continued through year end. Ultimately, 2011 was one of the strongest performance years in municipal market history. The S&P Municipal Bond Index returned 10.62% in 2011, making municipal bonds a top-performing fixed income asset class for the year.

Market technicals often begin a new year quite strong, only to moderate by the end of February as increasing supply begins to satisfy demand. This theme remained intact for 2012. Overall, the municipal yield curve flattened during the period from February 28, 2011 to February 29, 2012. As measured by Thomson Municipal Market Data, yields declined by 146 basis points (“bps”) to 3.23% on AAA-rated 30-year municipal bonds and by 112 bps to 1.85% on 10-year bonds, while yields on 5-year issues fell 108 bps to 0.68%. While the entire municipal curve flattened over the 12-month time period, the spread between 2- and 30-year maturities tightened by 101 bps, and in the 2- to 10-year range, the spread tightened by 67 bps.

The fundamental picture for municipalities continues to improve. Austerity has been the general theme across the country, while a small number of states continue to rely on a “kick-the-can” approach to close their budget shortfalls, with aggressive revenue projections and accounting gimmicks. It has been over a year since the first highly publicized interview about the fiscal problems plaguing state and local governments. Thus far, the prophecy of widespread defaults across the municipal market has not materialized. In 2011, there were fewer municipal defaults than seen in 2010. Throughout 2011 monetary defaults in the S&P Municipal Bond Index totaled roughly $805 million, representing less than 0.48% of the index. BlackRock maintains the view that municipal bond defaults will remain in the periphery and the overall market is fundamentally sound. We continue to recognize that careful credit research and security selection remain imperative amid uncertainty in this economic environment.

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

 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Bond Investment Trust


 

 

Trust Overview

 

 

BlackRock Municipal Bond Investment Trust’s (BIE) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

 

Performance

 

 

For the six months ended February 29, 2012, the Trust returned 17.53% based on market price and 13.50% based on net asset value (“NAV”). For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter-term rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health, transportation and education sectors experienced the strongest price appreciation.

 

 

 

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.

 

 

Trust Information

 

 

Symbol on New York Stock Exchange (“NYSE”)

BIE

Initial Offering Date

April 30, 2002

Yield on Closing Market Price as of February 29, 2012 ($16.19)1

6.00%

Tax Equivalent Yield2

9.23%

Current Monthly Distribution per Common Share3

$0.0810

Current Annualized Distribution per Common Share3

$0.9720

Economic Leverage as of February 29, 20124

38%


 

 

 

 

1

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.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents Variable Rate Demand Preferred Shares (“VRDP Shares”) and tender option bond trusts (“TOBs”) as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$16.19

 

$14.22

 

13.85%

 

$16.60

 

$14.18

 

Net Asset Value

 

$16.13

 

$14.67

 

9.95%

 

$16.19

 

$14.67

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

2/29/12

 

8/31/11

Transportation

21

%

 

21

%

County/City/Special District/School District

21

 

 

17

 

Utilities

17

 

 

19

 

Health

15

 

 

23

 

State

10

 

 

6

 

Education

9

 

 

7

 

Housing

5

 

 

5

 

Corporate

1

 

 

1

 

Tobacco

1

 

 

1

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

AAA/Aaa

11

%

 

10

%

AA/Aa

64

 

 

62

 

A

19

 

 

21

 

BBB/Baa

5

 

 

6

 

BB/Ba

 

 

1

 

Not Rated

1

 

 

 


 

 

 

 

5

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

5




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Municipal Bond Trust

 

Trust Overview


BlackRock Municipal Bond Trust’s (BBK) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from regular federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

Performance


For the six months ended February 29, 2012, the Trust returned 17.13% based on market price and 14.84% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the period, the Trust benefited from the declining interest rate environment (bond prices rise when interest rates fall), the flattening of the yield curve (long-term interest rates fell more than short and intermediate rates) and tightening of credit spreads. The Trust’s exposure to zero-coupon bonds and the health sector had a significant impact on performance as these holdings derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

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.

 

Trust Information


 

 

Symbol on NYSE

BBK

Initial Offering Date

April 30, 2002

Yield on Closing Market Price as of February 29, 2012 ($16.81)1

6.32%

Tax Equivalent Yield2

9.72%

Current Monthly Distribution per Common Share3

$0.0885

Current Annualized Distribution per Common Share3

$1.0620

Economic Leverage as of February 29, 20124

35%


 

 

 

 

1

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.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents Variable Rate Muni Term Preferred Shares (“VMTP Shares”) and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$16.81

 

$14.86

 

13.12%

 

$17.44

 

$14.80

 

Net Asset Value

 

$16.06

 

$14.48

 

10.91%

 

$16.10

 

$14.48

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Health

 

 

20

%

 

 

21

%

 

State

 

 

15

 

 

 

14

 

 

Education

 

 

13

 

 

 

10

 

 

County/City/Special District/School District

 

 

13

 

 

 

12

 

 

Transportation

 

 

12

 

 

 

10

 

 

Housing

 

 

10

 

 

 

14

 

 

Corporate

 

 

9

 

 

 

10

 

 

Utilities

 

 

5

 

 

 

7

 

 

Tobacco

 

 

3

 

 

 

2

 

 


 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

6

%

 

 

11

%

 

AA/Aa

 

 

39

 

 

 

35

 

 

A

 

 

25

 

 

 

18

 

 

BBB/Baa

 

 

18

 

 

 

22

 

 

BB/Ba

 

 

5

 

 

 

1

 

 

B

 

 

1

 

 

 

6

 

 

CCC/Caa

 

 

 

 

 

1

 

 

Not Rated6

 

 

6

 

 

 

6

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $3,120,455, representing 1%, and $4,646,558, representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Trust Summary as of February 29, 2012

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 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 assets in municipal bonds exempt from federal income taxes, including the alternative minimum tax. The Trust also invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

 

 

Performance

 

 

For the six months ended February 29, 2012, the Trust returned 16.65% based on market price and 13.40% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter-term rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health, transportation and education sectors experienced the strongest price appreciation.

 

 

 

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.

 

Trust Information


 

 

Symbol on NYSE

BAF

Initial Offering Date

October 31, 2002

Yield on Closing Market Price as of February 29, 2012 ($15.76)1

5.67%

Tax Equivalent Yield2

8.72%

Current Monthly Distribution per Common Share3

$0.0745

Current Annualized Distribution per Common Share3

$0.8940

Economic Leverage as of February 29, 20124

35%


 

 

 

 

1

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.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The distribution rate is not constant and is subject to change.

 

 

 

 

4

Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$15.76

 

$13.92

 

13.22%

 

$16.17

 

$13.76

Net Asset Value

 

$15.96

 

$14.50

 

10.07%

 

$16.01

 

$14.50

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

County/City/Special District/School District

 

 

29

%

 

 

34

%

 

Utilities

 

 

29

 

 

 

22

 

 

Transportation

 

 

17

 

 

 

16

 

 

Health

 

 

11

 

 

 

9

 

 

Education

 

 

6

 

 

 

9

 

 

State

 

 

6

 

 

 

8

 

 

Housing

 

 

1

 

 

 

1

 

 

Tobacco

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

7

%

 

 

14

%

 

AA/Aa

 

 

78

 

 

 

70

 

 

A

 

 

14

 

 

 

12

 

 

BBB/Baa

 

 

1

 

 

 

4

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

7




 

 

 

 

Trust Summary as of February 29, 2012

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 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 assets in municipal bonds exempt from federal income taxes, including the alternative minimum tax. The Trust also invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

 

 

Performance

 

 

For the six months ended February 29, 2012, the Trust returned 17.33% based on market price and 13.28% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the period, the Trust benefited from the declining interest rate environment (bond prices rise when interest rates fall), the flattening of the yield curve (long-term interest rates fell more than short and intermediate rates) and tightening of credit spreads. The Trust’s exposure to zero-coupon bonds and the health sector had a positive impact on performance as these holdings derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

 

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.

 

 

 

Trust Information


 

 

Symbol on NYSE

BYM

Initial Offering Date

October 31, 2002

Yield on Closing Market Price as of February 29, 2012 ($15.75)1

5.87%

Tax Equivalent Yield2

9.03%

Current Monthly Distribution per Common Share3

$0.0770

Current Annualized Distribution per Common Share3

$0.9240

Economic Leverage as of February 29, 20124

36%


 

 

 

 

1

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.

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0780 per share. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

 

 

4

Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$15.75

 

$13.85

 

13.72%

 

$15.86

 

$13.76

Net Asset Value

 

$15.47

 

$14.09

 

9.79%

 

$15.52

 

$14.09

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Transportation

 

 

23

%

 

 

24

%

 

County/City/Special District/School District

 

 

20

 

 

 

18

 

 

Utilities

 

 

18

 

 

 

21

 

 

State

 

 

15

 

 

 

14

 

 

Health

 

 

9

 

 

 

8

 

 

Education

 

 

6

 

 

 

6

 

 

Tobacco

 

 

5

 

 

 

6

 

 

Corporate

 

 

3

 

 

 

2

 

 

Housing

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

28

%

 

 

21

%

 

AA/Aa

 

 

49

 

 

 

58

 

 

A

 

 

14

 

 

 

13

 

 

BBB/Baa

 

 

9

 

 

 

8

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

Trust Summary as of February 29, 2012

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 federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

 

Performance

For the six months ended February 29, 2012, the Trust returned 15.47% based on market price and 13.99% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Among contributing factors, the most significant were the Trust’s duration profile (sensitivity to interest rate movements) and yield curve positioning, both of which were designed to benefit in an environment where interest rates moved broadly lower and, more specifically, where long-term municipal yields decline relative to short-term yields. Security selection and sector allocation also provided meaningful contributions to the Trust’s performance. Most notably, the Trust’s holdings in transportation, health and tobacco boosted returns as these sectors outperformed the broader market during the period. The Trust’s investments in local municipalities and school districts within the tax-backed sector were a modest drag on returns as these segments tended to underperform the overall 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.

 

 

Trust Information


 

 

 

 

 

 

Symbol on NYSE Amex

 

 

BLE

 

 

Initial Offering Date

 

 

July 30, 2002

 

 

Yield on Closing Market Price as of February 29, 2012 ($15.77)1

 

 

6.35%

 

 

Tax Equivalent Yield2

 

 

9.77%

 

 

Current Monthly Distribution per Common Share3

 

$

0.0835

 

 

Current Annualized Distribution per Common Share3

 

$

1.0020

 

 

Economic Leverage as of February 29, 20124

 

 

38%

 

 


 

 

 

 

1

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.

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

The Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0850 per share. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

4

Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.77

 

$

14.13

 

 

11.61%

 

$

16.05

 

$

13.85

 

Net Asset Value

 

$

15.38

 

$

13.96

 

 

10.17%

 

$

15.40

 

$

13.96

 


The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Health

 

 

19

%

 

 

21

%

 

Transportation

 

 

17

 

 

 

13

 

 

State

 

 

16

 

 

 

16

 

 

Utilities

 

 

14

 

 

 

13

 

 

Corporate

 

 

9

 

 

 

10

 

 

County/City/Special District

 

 

9

 

 

 

10

 

 

Education

 

 

8

 

 

 

8

 

 

Tobacco

 

 

5

 

 

 

4

 

 

Housing

 

 

3

 

 

 

5

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

10

%

 

 

10

%

 

AA/Aa

 

 

34

 

 

 

32

 

 

A

 

 

27

 

 

 

26

 

 

BBB/Baa

 

 

17

 

 

 

16

 

 

BB/Ba

 

 

2

 

 

 

5

 

 

B

 

 

3

 

 

 

4

 

 

Not Rated6

 

 

7

 

 

 

7

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $15,304,944, representing 3%, and $11,677,703, representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


9




 

 

 

 

 

Trust Summary as of February 29, 2012

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 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 municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in municipal obligations with remaining maturities of one year or more at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the six months ended February 29, 2012, the Trust returned 14.18% based on market price and 13.02% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter-term rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health, transportation and education sectors experienced the strongest price appreciation.

 

 

 

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.

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

Symbol on NYSE

 

 

MFL

 

Initial Offering Date

 

 

September 26, 1997

 

Yield on Closing Market Price as of February 29, 2012 ($15.31)1

 

 

6.00%

 

Tax Equivalent Yield2

 

 

9.23%

 

Current Monthly Distribution per Common Share3

 

 

$0.0765

 

Current Annualized Distribution per Common Share3

 

 

$0.9180

 

Economic Leverage as of February 29, 20124

 

 

39%

 


 

 

 

 

1

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.

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

The distribution rate is not constant and is subject to change.

 

 

4

Represents VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.


The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.31

 

$

13.84

 

 

10.62%

 

$

15.39

 

$

13.20

 

Net Asset Value

 

$

15.33

 

$

14.00

 

 

9.50%

 

$

15.40

 

$

14.00

 


The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Transportation

 

 

24

%

 

 

25

%

 

Utilities

 

 

21

 

 

 

25

 

 

County/City/Special District/School District

 

 

21

 

 

 

18

 

 

State

 

 

11

 

 

 

10

 

 

Health

 

 

10

 

 

 

11

 

 

Education

 

 

9

 

 

 

6

 

 

Housing

 

 

3

 

 

 

4

 

 

Tobacco

 

 

1

 

 

 

1

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa

 

 

9

%

 

 

12

%

 

AA/Aa

 

 

76

 

 

 

72

 

 

A

 

 

14

 

 

 

12

 

 

BBB/Baa

 

 

1

 

 

 

2

 

 

Not Rated6

 

 

 

 

 

2

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $1,114,020 and $3,979,631, each representing less than 1%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 


10


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

 

Trust Summary as of February 29, 2012

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 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 its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, primarily in long term municipal obligations rated investment grade at the time of investment and invests primarily in long term municipal obligations with maturities of more than ten years at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

 

Performance

For the six months ended February 29, 2012, the Trust returned 14.27% based on market price and 11.65% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 14.97% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the period, municipal bond prices generally rose as the yield curve flattened (longer-term interest rates fell more than shorter-term rates) and credit spreads tightened. Given these market conditions, the Fund’s exposure to longer-maturity bonds and lower-quality investment grade bonds had a significant positive impact on the Fund’s performance. The Fund’s exposure to zero-coupon bonds and the health sector also boosted returns as these types of bonds derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

 

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.

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

Symbol on NYSE Amex

 

 

MVF

 

Initial Offering Date

 

September 29, 1988

Yield on Closing Market Price as of February 29, 2012 ($10.73)1

 

 

6.60%

 

Tax Equivalent Yield2

 

 

10.15%

 

Current Monthly Distribution per Common Share3

 

$

0.0590

 

Current Annualized Distribution per Common Share3

 

$

0.7080

 

Economic Leverage as of February 29, 20124

 

 

40%

 


 

 

 

 

1

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.

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

The distribution rate is not constant and is subject to change.

 

 

4

Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.


The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

10.73

 

$

9.73

 

 

10.28%

 

$

10.99

 

$

9.63

 

Net Asset Value

 

$

10.29

 

$

9.55

 

 

7.75%

 

$

10.32

 

$

9.55

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Health

 

 

23

%

 

 

23

%

 

Transportation

 

 

19

 

 

 

17

 

 

Corporate

 

 

12

 

 

 

13

 

 

Utilities

 

 

12

 

 

 

12

 

 

County/City/Special District/School District

 

 

9

 

 

 

9

 

 

Education

 

 

9

 

 

 

9

 

 

State

 

 

8

 

 

 

8

 

 

Housing

 

 

6

 

 

 

7

 

 

Tobacco

 

 

2

 

 

 

2

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

 

 

8/31/11

 

 

AAA/Aaa

 

 

   12%

 

 

 

   12%

 

 

AA/Aa

 

 

47

 

 

 

46

 

 

A

 

 

24

 

 

 

22

 

 

BBB/Baa

 

 

14

 

 

 

15

 

 

BB/Ba

 

 

 

 

 

1

 

 

B

 

 

1

 

 

 

1

 

 

Not Rated6

 

 

2

 

 

 

3

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 29, 2012 and August 31, 2011, the market value of these securities was $19,911,457 and $22,724,541, each representing2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


11




 

 

The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

To obtain leverage, the Trusts issue Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) and previously issued and had outstanding Auction Market Preferred Shares (“AMPS”) (VRDP Shares, VMTP Shares, and as applicable AMPS, are collectively referred to as “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Trusts invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. 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 will benefit from the incremental net income.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it issues Preferred Shares for an additional $50 million, creating a total value of $150 million available for investment in long-term municipal bonds. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays dividends on the $50 million of Preferred Shares based on the lower short-term interest rates.At the same time, the securities purchased by the Trust with assets received from Preferred Shares issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of Preferred Shares (“Preferred Shareholders”) are significantly lower than the income earned on the Trust’s long-term investments, and therefore the Common Shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

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 redemption value of the Trusts’ Preferred Shares and/or debt securities does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares and borrowings discussed above.

The Trusts may also leverage their assets through the use of tender option bond trusts (“TOBs”), as described in Note 1 of the Notes to Financial Statements. TOB investments generally will provide the Trusts with economic benefits in periods of declining short-term interest rates, but expose the Trusts to risks during periods of rising short-term interest rates similar to those associated with Preferred Shares issued by the Trusts, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB trust may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income to the Trusts and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. 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 a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by rating agencies that rate the Preferred Shares issued by the Trusts. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by the Common Shareholders and may reduce income to the Common Shares.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). In addition, each Trust voluntarily limits its economic leverage to 45% of its total managed assets for Trusts with VRDP Shares or VMTP Shares. As of February 29, 2012, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

Percent of
Economic
Leverage

BIE

38%

BBK

35%

BAF

35%

BYM

36%

BLE

38%

MFL

39%

MVF

40%


 

 

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Derivative financial instruments 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 derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 

 

 

 

12

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma IDB, RB, International Paper Co. Project, Series A,
5.38%, 12/01/35

 

$

145

 

$

151,883

 

Alaska — 0.3%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp., RB, Asset-Backed
Series A, 5.00%, 6/01/46

 

 

180

 

 

131,441

 

California — 10.6%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/38

 

 

700

 

 

798,672

 

California Health Facilities Financing Authority, RB,
Scripps Health, Series A, 5.00%, 11/15/40

 

 

90

 

 

97,782

 

California Health Facilities Financing Authority,
Refunding RB, Catholic Healthcare West, Series A,
6.00%, 7/01/39

 

 

120

 

 

137,341

 

Grossmont Union High School District, GO, Election of
2008, Series B, 4.75%, 8/01/45

 

 

950

 

 

998,412

 

Los Angeles Department of Water & Power, RB, Power
System, Sub-Series A-1, 5.25%, 7/01/38

 

 

1,660

 

 

1,892,782

 

San Diego Regional Building Authority California, RB,
County Operations Center & Annex, Series A, 5.38%,
2/01/36

 

 

850

 

 

943,067

 

State of California, GO, Various Purpose, 6.00%,
3/01/33

 

 

685

 

 

820,048

 

 

 

 

 

 

 

5,688,104

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, Refunding RB,
Catholic Healthcare, Series A, 5.50%, 7/01/34

 

 

580

 

 

640,256

 

Delaware — 1.3%

 

 

 

 

 

 

 

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

 

 

655

 

 

705,468

 

District of Columbia — 1.4%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.25%, 10/01/29

 

 

640

 

 

747,418

 

Florida — 1.7%

 

 

 

 

 

 

 

Orange County Health Facilities Authority, RB,
The Nemours Foundation Project, Series A,
5.00%, 1/01/29

 

 

415

 

 

453,076

 

Village Community Development District No. 9, RB,
Special Assessment Revenue, 5.25%, 5/01/31

 

 

475

 

 

480,491

 

 

 

 

 

 

 

933,567

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Georgia — 1.2%

 

 

 

 

 

 

 

Municipal Electric Authority of Georgia, Refunding RB,
Project One, Sub-Series D, 6.00%, 1/01/23

 

$

555

 

$

667,837

 

Illinois — 11.7%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

500

 

 

566,100

 

5.00%, 12/01/41

 

 

565

 

 

609,285

 

Chicago Transit Authority, RB, Sales Tax Receipts
Revenue, 5.25%, 12/01/36

 

 

165

 

 

183,629

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

O’Hare International Airport Revenue, General,
Third Lien, Series C, (AGM), 6.50%, 1/01/41

 

 

1,590

 

 

1,913,629

 

Sales Tax Revenue, Series A, 5.25%, 1/01/38

 

 

205

 

 

229,737

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

Carle Foundation, Series A, 6.00%, 8/15/41

 

 

750

 

 

823,162

 

Navistar International, Recovery Zone, 6.50%,
10/15/40

 

 

270

 

 

289,478

 

Northwestern Memorial Hospital, 6.00%, 8/15/39

 

 

1,000

 

 

1,148,040

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

365

 

 

420,400

 

6.00%, 6/01/28

 

 

105

 

 

117,482

 

 

 

 

 

 

 

6,300,942

 

Indiana — 5.4%

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater Utility, RB,
First Lien, CWA Authority Project, Series A, 5.25%,
10/01/31

 

 

770

 

 

880,965

 

Indiana Municipal Power Agency, RB, Series B, 6.00%,
1/01/39

 

 

1,190

 

 

1,353,208

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

605

 

 

688,599

 

 

 

 

 

 

 

2,922,772

 

Iowa — 0.2%

 

 

 

 

 

 

 

Iowa Tobacco Settlement Authority, RB, Asset-Backed,
Series C, 5.63%, 6/01/46

 

 

140

 

 

107,930

 

Kansas — 1.9%

 

 

 

 

 

 

 

Kansas Development Finance Authority, Refunding RB,
Adventist Health, 5.50%, 11/15/29

 

 

900

 

 

1,038,420

 

Kentucky — 3.8%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority, RB,
Owensboro Medical Health System, Series A, 6.38%,
6/01/40

 

 

350

 

 

392,501

 


 

 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

CIFG

CDC IXIS Financial Guaranty

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

FGIC

Financial Guaranty Insurance Co.

FHA

Federal Housing Administration

GARB

General Airport Revenue Bonds

GO

General Obligation Bonds

HDA

Housing Development Authority

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDB

Industrial Development Board

ISD

Independent School District

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PSF-GTD

Permanent School Fund Guaranteed

Q-SBLF

Qualified School Bond Loan Fund

RB

Revenue Bonds

S/F

Single Family

SBPA

Stand-by Purchase Agreement

VRDN

Variable Rate Demand Notes


 

 

 

 

See Notes to Financial Statements.

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

13




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Kentucky (concluded)

 

 

 

 

 

 

 

Louisville & Jefferson County Metropolitan Government,
RB, Jewish Hospital & St. Mary’s HealthCare, 6.13%,
2/01/37

 

$

675

 

$

723,114

 

Louisville & Jefferson County Metropolitan Government
Parking Authority, RB, Series A, 5.75%, 12/01/34

 

 

800

 

 

928,360

 

 

 

 

 

 

 

2,043,975

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

380

 

 

424,498

 

Maine — 1.5%

 

 

 

 

 

 

 

Maine Health & Higher Educational Facilities Authority,
RB, Maine General Medical Center, 7.50%, 7/01/32

 

 

675

 

 

776,763

 

Massachusetts — 1.3%

 

 

 

 

 

 

 

Massachusetts Development Finance Agency,
Refunding RB, Trustees of Deerfield Academy,
5.00%, 10/01/40

 

 

375

 

 

427,144

 

Massachusetts State College Building Authority, RB,
Series A, 5.50%, 5/01/39

 

 

250

 

 

279,777

 

 

 

 

 

 

 

706,921

 

Michigan — 3.4%

 

 

 

 

 

 

 

Lansing Board of Water & Light, RB, Series A, 5.50%,
7/01/41

 

 

485

 

 

561,678

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I, 6.00%, 10/15/38

 

 

500

 

 

570,175

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital,
8.25%, 9/01/39

 

 

530

 

 

667,599

 

 

 

 

 

 

 

1,799,452

 

Multi-State — 6.1%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%, 11/15/52 (a)(b)

 

 

3,000

 

 

3,274,380

 

Nevada — 7.9%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited Tax, Performing
Arts Center, 6.00%, 4/01/34

 

 

1,000

 

 

1,162,530

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

Motor Vehicle Fuel Tax, 5.00%, 7/01/28

 

 

1,130

 

 

1,265,193

 

Series B, 5.75%, 7/01/42

 

 

1,630

 

 

1,827,214

 

 

 

 

 

 

 

4,254,937

 

New Jersey — 7.1%

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB, School Facilities
Construction, Series AA, 5.50%, 12/15/29

 

 

750

 

 

850,433

 

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

 

 

620

 

 

665,818

 

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

 

 

 

 

 

 

 

Series A, 5.88%, 12/15/38

 

 

695

 

 

794,906

 

Series A, 5.50%, 6/15/41

 

 

500

 

 

571,055

 

Series B, 5.25%, 6/15/36

 

 

850

 

 

952,068

 

 

 

 

 

 

 

3,834,280

 

New York — 6.9%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB,
Series A, 5.75%, 2/15/47

 

 

145

 

 

163,833

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Building Aid, Sub-Series 1A, 5.25%, 7/15/37

 

 

1,000

 

 

1,130,290

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

1,000

 

 

1,098,420

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One
Bryant Park Project, 6.38%, 7/15/49

 

 

325

 

 

352,680

 

Triborough Bridge & Tunnel Authority, RB, General,
Series A-2, 5.38%, 11/15/38

 

 

840

 

 

952,770

 

 

 

 

 

 

 

3,697,993

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania — 8.1%

 

 

 

 

 

 

 

Pennsylvania Economic Development Financing
Authority, RB, American Water Co. Project, 6.20%,
4/01/39

 

$

300

 

$

346,380

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

Sub-Series A, 5.63%, 12/01/31

 

 

1,000

 

 

1,135,580

 

Sub-Series A, 6.00%, 12/01/41

 

 

1,500

 

 

1,663,440

 

Sub-Series C (AGC), 6.25%, 6/01/38

 

 

500

 

 

594,895

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Children’s Hospital of Philadelphia,
Series D, 5.00%, 7/01/32

 

 

575

 

 

635,939

 

 

 

 

 

 

 

4,376,234

 

Texas — 12.0%

 

 

 

 

 

 

 

Central Texas Regional Mobility Authority, RB, Senior
Lien, 6.00%, 1/01/41

 

 

890

 

 

954,863

 

Conroe ISD Texas, GO, School Building, Series A, 5.75%,
2/15/35

 

 

470

 

 

573,499

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

340

 

 

387,607

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare System,
Series B, 7.13%, 12/01/31

 

 

250

 

 

301,412

 

Lamar Texas Consolidated Independent School District,
GO, Refunding RB, Schoolhouse Improvements,
Series A, 5.00%, 2/15/45 (c)

 

 

350

 

 

395,083

 

North Texas Tollway Authority, RB, Special Projects
System, Series A, 5.50%, 9/01/41

 

 

900

 

 

1,035,837

 

North Texas Tollway Authority, Refunding RB, System,
First Tier, Series K-1 (AGC), 5.75%, 1/01/38

 

 

250

 

 

279,743

 

Tarrant County Cultural Education Facilities Finance
Corp., RB, Scott & White Healthcare, 6.00%,
8/15/45

 

 

1,020

 

 

1,165,982

 

Texas Private Activity Bond Surface Transportation
Corp., RB, Senior Lien, NTE Mobility Partners LLC,
North Tarrant Express Managed Lanes Project, 6.88%,
12/31/39

 

 

500

 

 

566,705

 

University of Texas System, Refunding RB, Financing
System Bonds, Series B, 5.00%, 8/15/43 (c)

 

 

715

 

 

820,420

 

 

 

 

 

 

 

6,481,151

 

Virginia — 1.6%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School Financing,
6.50%, 12/01/35

 

 

750

 

 

882,300

 

Washington — 3.7%

 

 

 

 

 

 

 

Port of Seattle, Refunding RB, Intermediate Lien,
Series A, 5.00%, 8/01/32 (c)

 

 

1,000

 

 

1,137,520

 

University of Washington, Refunding, RB, Series A,
5.00%, 7/01/41 (c)

 

 

730

 

 

829,703

 

 

 

 

 

 

 

1,967,223

 

Wisconsin — 1.8%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority, RB,
Froedtert & Community Health, 5.25%, 4/01/39

 

 

890

 

 

962,615

 

Total Municipal Bonds — 103.2%

 

 

 

 

 

55,518,760

 


 

 

 

See Notes to Financial Statements.

 

14

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

California — 19.3%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/39

 

$

1,005

 

$

1,133,489

 

Grossmont Union High School District, GO, Election of
2008, Series B, 5.00%, 8/01/40

 

 

1,300

 

 

1,419,340

 

Los Angeles Community College District California, GO,
Election of 2008:

 

 

 

 

 

 

 

Series A, 6.00%, 8/01/33

 

 

2,079

 

 

2,482,119

 

Series C, 5.25%, 8/01/39

 

 

1,410

 

 

1,616,283

 

Los Angeles Unified School District California, GO,
Series I, 5.00%, 1/01/34

 

 

200

 

 

221,030

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B, 5.50%, 8/01/39

 

 

2,234

 

 

2,571,339

 

University of California, RB, Series O, 5.75%, 5/15/34

 

 

810

 

 

947,141

 

 

 

 

 

 

 

10,390,741

 

District of Columbia — 3.5%

 

 

 

 

 

 

 

District of Columbia, RB, Series A, 5.50%, 12/01/30

 

 

735

 

 

879,810

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.50%, 10/01/39

 

 

899

 

 

1,016,294

 

 

 

 

 

 

 

1,896,104

 

Illinois — 7.4%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, University of Chicago,
Series B, 6.25%, 7/01/38

 

 

1,500

 

 

1,773,735

 

Illinois State Toll Highway Authority, RB, Series B, 5.50%,
1/01/33

 

 

2,000

 

 

2,190,333

 

 

 

 

 

 

 

3,964,068

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, Senior
Lien, Series B, 5.00%, 10/15/41

 

 

790

 

 

886,807

 

Nevada — 3.2%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Limited
Tax, 6.00%, 7/01/38

 

 

1,500

 

 

1,743,840

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

New Hampshire Health & Education Facilities Authority,
Refunding RB, Dartmouth College, 5.25%, 6/01/39

 

 

585

 

 

664,618

 

New Jersey — 2.0%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGM), 5.00%,
12/15/32

 

 

1,000

 

 

1,079,640

 

New York — 9.7%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

750

 

 

870,539

 

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

 

 

990

 

 

1,141,631

 

New York State Dormitory Authority, ERB, Series B,
5.25%, 3/15/38

 

 

1,000

 

 

1,111,700

 

New York State Liberty Development Corp., RB,
1 World Trade Center Project, 5.25%, 12/15/43

 

 

1,170

 

 

1,312,681

 

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

 

 

680

 

 

772,596

 

 

 

 

 

 

 

5,209,147

 

Ohio — 1.7%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB, Catholic Healthcare,
Series A, 5.25%, 6/01/38

 

 

840

 

 

894,902

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax
Revenue, Series C, 5.25%, 8/01/40

 

 

460

 

 

510,858

 

South Carolina — 2.1%

 

 

 

 

 

 

 

South Carolina State Public Service Authority, RB,
Santee Cooper, Series A, 5.50%, 1/01/38

 

 

1,005

 

 

1,138,665

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

Texas — 5.2%

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding RB, Series A,
5.25%, 2/01/31

 

$

1,050

 

$

1,205,613

 

Harris County Cultural Education Facilities Finance
Corp., RB, Hospital, Texas Children’s Hospital Project,
5.50%, 10/01/39

 

 

1,450

 

 

1,616,199

 

 

 

 

 

 

 

2,821,812

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

460

 

 

512,868

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 58.9%

 

 

 

 

 

31,714,070

 

Total Long-Term Investments
(Cost — $78,705,048) — 162.1%

 

 

 

 

 

87,232,830

 


 

 

 

 

 

 

 

 


Short-Term Securities

 

Shares

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (e)(f)

 

 

3,025,425

 

 

3,025,425

 

Total Short-Term Securities
(Cost — $3,025,425) — 5.6%

 

 

 

 

 

3,025,425

 

Total Investments (Cost — $81,730,473) — 167.7%

 

 

 

 

 

90,258,255

 

Liabilities in Excess of Other Assets — (5.2)%

 

 

 

 

 

(2,808,624

)

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (29.4)%

 

 

 

 

 

(15,825,594

)

VRDP Shares, at Liquidation Value — (33.1)%

 

 

 

 

 

(17,800,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

53,824,037

 


 

 


(a)

 


Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

 

(b)

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

 

 

(c)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Barclays Capital Inc.

 

$

829,703

 

$

5,606

 

 

JPMorgan Securities

 

$

1,137,520

 

$

3,280

 

 

Morgan Keegan & Co.

 

$

395,083

 

$

1,491

 

 

Morgan Stanley Co.

 

$

820,420

 

$

7,279

 


 

 

(d)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(e)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

 

Shares Held at
August 31,
2011

 

 

Net
Activity

 

 

Shares Held at
February 29,
2012

 

 

Income

 

 

FFI Institutional
Tax-Exempt Fund

 

 

2,198,525

 

 

826,900

 

 

3,025,425

 

$

231

 


 

 

(f)

Represents the current yield as of report date.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

15




 

 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Investment Trust (BIE)

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

18

 

 

10-Year US

 

 

Chicago

 

 

March

 

$

2,362,781

 

$

(13,815)

 

 

 

 

Treasury Note

 

 

Board of Trade

 

 

2012

 

 

 

 

 

 

 


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

87,232,830

 

 

 

$

87,232,830

 

Short-Term Securities

 

$

3,025,425

 

 

 

 

 

 

3,025,425

 

Total

 

$

3,025,425

 

$

87,232,830

 

 

 

$

90,258,255

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial

 

 

 

 

 

 

 

 

 

 

 

 

 

Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

   Interest rate contracts

 

$

(13,815

)

 

 

 

 

$

(13,815

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

16

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 4.1%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.00%, 6/01/34

 

$

1,150

 

$

1,321,614

 

6.00%, 6/01/39

 

 

450

 

 

514,256

 

Birmingham Water Works Board, RB, 4.75%, 1/01/36

 

 

2,100

 

 

2,214,597

 

Hoover City Board of Education, GO, Refunding, 4.25%,
2/15/40

 

 

2,750

 

 

2,857,277

 

 

 

 

 

 

 

6,907,744

 

Arizona — 8.4%

 

 

 

 

 

 

 

Arizona Sports & Tourism Authority, RB, Multipurpose
Stadium Facilities, Series A (NPFGC), 5.00%, 7/01/31

 

 

1,750

 

 

1,764,315

 

Arizona State University, RB, Series D, 5.50%, 7/01/26

 

 

200

 

 

240,894

 

County of Pinal Arizona Election District No. 3,
Refunding RB, 4.75%, 7/01/31

 

 

3,750

 

 

3,955,237

 

Mohave County Unified School District No. 20 Kingman,
GO, School Improvement Project of 2006, Series C
(AGC), 5.00%, 7/01/26

 

 

200

 

 

225,954

 

Pima County IDA, Refunding IRDB, Tucson Electric
Power, 5.75%, 9/01/29

 

 

900

 

 

940,212

 

Salt Verde Financial Corp., RB, Senior:

 

 

 

 

 

 

 

5.00%, 12/01/32

 

 

1,500

 

 

1,509,540

 

5.00%, 12/01/37

 

 

2,065

 

 

2,064,835

 

San Luis Facility Development Corp., RB, Senior Lien,
Regional Detention Center Project:

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

245

 

 

240,597

 

7.00%, 5/01/20

 

 

300

 

 

300,513

 

7.25%, 5/01/27

 

 

600

 

 

553,608

 

State of Arizona, COP, Department of Administration,
Series A (AGM), 5.00%, 10/01/29

 

 

750

 

 

821,768

 

University Medical Center Corp. Arizona, RB:

 

 

 

 

 

 

 

6.00%, 7/01/39

 

 

900

 

 

996,165

 

6.50%, 7/01/39

 

 

500

 

 

566,885

 

 

 

 

 

 

 

14,180,523

 

California — 17.9%

 

 

 

 

 

 

 

California County Tobacco Securitization Agency, RB,
CAB, Stanislaus, Sub-Series C, 6.30%, 6/01/55 (a)

 

 

4,500

 

 

52,470

 

California Educational Facilities Authority, RB, Santa
Clara University, 5.00%, 2/01/40

 

 

1,000

 

 

1,092,120

 

California Health Facilities Financing Authority,
Refunding RB, Sutter Health, Series B, 5.88%,
8/15/31

 

 

1,900

 

 

2,249,353

 

California HFA, RB, Home Mortgage, Series G, AMT,
5.05%, 2/01/29

 

 

2,285

 

 

2,194,468

 

Carlsbad Unified School District, GO, Election of 2006,
Series B, 6.09%, 5/01/34 (b)

 

 

1,000

 

 

741,600

 

City of San Jose California, RB, San Jose Airport,
Series A1, AMT, 5.75%, 3/01/34

 

 

2,000

 

 

2,206,800

 

Dinuba Unified School District, GO, Election of
2006 (AGM):

 

 

 

 

 

 

 

5.63%, 8/01/31

 

 

250

 

 

286,740

 

5.75%, 8/01/33

 

 

500

 

 

576,135

 

Hartnell Community College District California, GO, CAB,
Election of 2002, Series D, 7.46%, 8/01/34 (b)

 

 

1,650

 

 

1,089,611

 

Norwalk-La Mirada Unified School District California,
GO, CAB, Election of 2002, Series E (AGC), 6.47%,
8/01/38 (a)

 

 

8,000

 

 

1,873,600

 

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

 

 

 

 

 

 

 

6.09%, 8/01/30 (a)

 

 

1,500

 

 

614,865

 

6.15%, 8/01/33 (a)

 

 

4,000

 

 

1,100,040

 

6.44%, 8/01/39 (b)

 

 

2,000

 

 

1,066,180

 

San Diego Community College District California, GO,
CAB, Election of 2002, 6.24%, 8/01/19 (b)

 

 

2,800

 

 

2,095,772

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

San Jose Evergreen Community College District, GO,
Election of 2010, Series B, 3.50%, 8/01/32

 

$

1,200

 

$

1,165,788

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

5.75%, 4/01/31

 

 

2,000

 

 

2,330,760

 

6.00%, 3/01/33

 

 

1,000

 

 

1,197,150

 

6.50%, 4/01/33

 

 

1,950

 

 

2,398,246

 

5.50%, 3/01/40

 

 

2,350

 

 

2,604,716

 

State of California, GO, Refunding:

 

 

 

 

 

 

 

(CIFG), 4.50%, 8/01/28

 

 

500

 

 

523,335

 

Veterans, AMT, 5.05%, 12/01/36

 

 

1,000

 

 

1,015,200

 

Val Verde Unified School District California, Special Tax
Bonds, Refunding, Junior Lien, 6.25%, 10/01/28

 

 

1,585

 

 

1,616,431

 

 

 

 

 

 

 

30,091,380

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

1,070

 

 

1,241,767

 

Park Creek Metropolitan District, Refunding RB, Limited
Property Tax (AGM), 6.00%, 12/01/38

 

 

750

 

 

850,350

 

 

 

 

 

 

 

2,092,117

 

Connecticut — 2.3%

 

 

 

 

 

 

 

Connecticut State Health & Educational Facilities
Authority, RB:

 

 

 

 

 

 

 

Hartford Healthcare, Series A, 5.00%, 7/01/32

 

 

1,390

 

 

1,491,762

 

Lawrence & Memorial Hospital, Series F, 5.00%,
7/01/36

 

 

1,100

 

 

1,163,855

 

Sacred Heart University, Series G, 5.38%, 7/01/31

 

 

400

 

 

435,976

 

Western Connecticut Health, Series M, 5.38%,
7/01/41

 

 

700

 

 

762,391

 

 

 

 

 

 

 

3,853,984

 

Delaware — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,292,460

 

District of Columbia — 1.5%

 

 

 

 

 

 

 

District of Columbia Tobacco Settlement Financing
Corp., Refunding RB, Asset-Backed, 6.75%, 5/15/40

 

 

2,500

 

 

2,521,325

 

Florida — 6.1%

 

 

 

 

 

 

 

County of Lee Florida, Refunding RB, Lee Airport,
Series A, AMT (AGM), 5.00%, 10/01/28

 

 

2,000

 

 

2,141,580

 

Palm Beach County Housing Finance Authority, HRB,
Indian Trace Apartments, Series A, AMT (AGM),
5.63%, 1/01/44

 

 

7,255

 

 

7,259,643

 

Stevens Plantation Community Development District,
Special Assessment Bonds, Series A, 7.10%,
5/01/35

 

 

925

 

 

791,338

 

 

 

 

 

 

 

10,192,561

 

Idaho — 1.2%

 

 

 

 

 

 

 

Idaho Health Facilities Authority, Refunding RB, Trinity
Health Group, Series B, 6.25%, 12/01/33

 

 

1,750

 

 

2,066,033

 

Illinois — 7.5%

 

 

 

 

 

 

 

Chicago Transit Authority, RB, 5.25%, 12/01/40

 

 

665

 

 

738,369

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

MJH Education Assistance IV LLC, Sub-Series B,
5.38%, 6/01/35 (c)(d)

 

 

425

 

 

42,500

 

Navistar International, Recovery Zone, 6.50%,
10/15/40

 

 

1,285

 

 

1,377,700

 

Roosevelt University Project, 6.50%, 4/01/44

 

 

1,000

 

 

1,086,480

 

Rush University Medical Center, Series C, 6.63%,
11/01/39

 

 

650

 

 

770,569

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Friendship Village Schaumburg, 5.63%, 2/15/37

 

 

210

 

 

180,655

 

OSF Healthcare System, 6.00%, 5/15/39

 

 

1,040

 

 

1,164,966

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

6.25%, 6/01/24

 

 

1,000

 

 

1,114,910

 

6.00%, 6/01/28

 

 

1,150

 

 

1,286,712

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


17




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Village of Bolingbrook Illinois, GO, Refunding, Series B
(NPFGC), 6.23%, 1/01/36 (a)

 

$

21,065

 

$

4,858,221

 

 

 

 

 

 

 

12,621,082

 

Indiana — 1.9%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding RB:

 

 

 

 

 

 

 

5.25%, 10/01/38

 

 

2,000

 

 

2,226,060

 

Improvement, U.S. Steel Corp., 6.00%, 12/01/26

 

 

1,000

 

 

1,020,090

 

 

 

 

 

 

 

3,246,150

 

Iowa — 1.5%

 

 

 

 

 

 

 

Iowa Higher Education Loan Authority, RB, Private
College Facility, Buena Vista University Project,
5.00%, 4/01/31

 

 

875

 

 

951,528

 

Iowa Higher Education Loan Authority, Refunding RB,
Private College Facility:

 

 

 

 

 

 

 

5.75%, 9/01/30

 

 

500

 

 

536,460

 

6.00%, 9/01/39

 

 

1,000

 

 

1,049,030

 

 

 

 

 

 

 

2,537,018

 

Louisiana — 2.5%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District No. 1,
Refunding RB, West Jefferson Medical Center, Series A
(AGM), 6.00%, 1/01/39

 

 

1,450

 

 

1,610,428

 

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

 

 

1,050

 

 

1,172,955

 

Louisiana Public Facilities Authority, RB, Belle Chasse
Educational Foundation Project, 6.50%, 5/01/31

 

 

400

 

 

433,872

 

Louisiana Public Facilities Authority, Refunding RB,
Entergy Gulf States Louisiana, LLC Project, Series A,
5.00%, 9/01/28

 

 

1,000

 

 

1,049,080

 

 

 

 

 

 

 

4,266,335

 

Maryland — 1.9%

 

 

 

 

 

 

 

Maryland EDC, Refunding RB, CNX Marine
Terminals, Inc., 5.75%, 9/01/25

 

 

250

 

 

259,597

 

Maryland Health & Higher Educational Facilities
Authority, Refunding RB, Doctor’s Community
Hospital, 5.63%, 7/01/30

 

 

2,900

 

 

3,010,113

 

 

 

 

 

 

 

3,269,710

 

Michigan — 3.4%

 

 

 

 

 

 

 

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

 

 

1,250

 

 

1,444,113

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

1,950

 

 

2,456,259

 

Wayne County Airport Authority, Refunding RB, Airport
Revenue, Series A (AGM), 4.00%, 12/01/20

 

 

1,750

 

 

1,813,682

 

 

 

 

 

 

 

5,714,054

 

Minnesota — 4.3%

 

 

 

 

 

 

 

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

 

 

5,350

 

 

6,291,760

 

Tobacco Securitization Authority Minnesota, Refunding
RB, Tobacco Settlement, Series B, 5.25%, 3/01/31

 

 

800

 

 

870,088

 

 

 

 

 

 

 

7,161,848

 

Mississippi — 3.4%

 

 

 

 

 

 

 

Mississippi Development Bank, RB, Hinds Community
College District, CAB (AGM), 5.00%, 4/01/36

 

 

845

 

 

916,876

 

Mississippi Development Bank Special Obligation, RB,
Jackson County Limited Tax Note (AGC), 5.50%,
7/01/32

 

 

1,750

 

 

1,965,075

 

University of Southern Mississippi, RB, Campus
Facilities Improvements Project, 5.38%, 9/01/36

 

 

2,100

 

 

2,347,653

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Mississippi (concluded)

 

 

 

 

 

 

 

Warren County Mississippi, RB, Gulf Opportunity Zone
Bonds (International Paper Company Project),
Series A, AMT, 5.38%, 12/01/35

 

$

400

 

$

419,308

 

 

 

 

 

 

 

5,648,912

 

Missouri — 1.7%

 

 

 

 

 

 

 

Missouri State Development Finance Board, RB,
St. Joseph Sewage System Improvements, 5.25%,
5/01/31

 

 

580

 

 

611,053

 

Missouri State Health & Educational Facilities
Authority, RB:

 

 

 

 

 

 

 

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

 

 

500

 

 

542,300

 

A.T. Still University Health Sciences, 5.25%, 10/01/41

 

 

650

 

 

693,869

 

Lutheran Senior Services, 6.00%, 2/01/41

 

 

1,000

 

 

1,069,000

 

 

 

 

 

 

 

2,916,222

 

Montana — 0.8%

 

 

 

 

 

 

 

Montana Facility Finance Authority, Refunding RB,
Sisters of Leavenworth, Series A, 4.75%, 1/01/40

 

 

1,350

 

 

1,431,473

 

Multi-State — 6.8%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%, 11/15/52 (e)(f)

 

 

10,500

 

 

11,460,330

 

Nebraska — 2.3%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A, 6.05%, 9/01/41

 

 

990

 

 

1,054,172

 

Omaha Nebraska Sanitation Sewer Revenue,
RB, System:

 

 

 

 

 

 

 

4.25%, 11/15/38

 

 

1,890

 

 

1,978,792

 

4.25%, 11/15/41

 

 

775

 

 

808,185

 

 

 

 

 

 

 

3,841,149

 

Nevada — 1.1%

 

 

 

 

 

 

 

City of Las Vegas Nevada, Special Assessment Bonds,
Summerlin Area, 5.65%, 6/01/23

 

 

1,295

 

 

1,218,763

 

County of Clark Nevada, Refunding RB, Alexander
Dawson School Nevada Project, 5.00%, 5/15/29

 

 

575

 

 

602,497

 

 

 

 

 

 

 

1,821,260

 

New Jersey — 14.2%

 

 

 

 

 

 

 

Middlesex County Improvement Authority, RB,
Subordinate, Heldrich Center Hotel, Series B, 6.25%,
1/01/37 (c)(d)

 

 

915

 

 

81,893

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.50%, 6/15/24

 

 

3,710

 

 

3,730,553

 

Continental Airlines Inc. Project, AMT, 7.20%,
11/15/30 (g)

 

 

3,000

 

 

3,003,780

 

New Jersey EDA, Refunding RB, First Mortgage,
Winchester, Series A, 5.80%, 11/01/31

 

 

1,500

 

 

1,534,965

 

New Jersey EDA, Special Assessment Bonds,
Refunding, Kapkowski Road Landfill Project,
6.50%, 4/01/28

 

 

7,500

 

 

8,319,075

 

New Jersey Educational Facilities Authority, Refunding
RB, University of Medicine & Dentistry, Series B:

 

 

 

 

 

 

 

7.13%, 12/01/23

 

 

630

 

 

778,037

 

7.50%, 12/01/32

 

 

800

 

 

976,448

 

New Jersey Health Care Facilities Financing Authority,
Refunding RB, Barnabas Health, Series A:

 

 

 

 

 

 

 

4.63%, 7/01/23

 

 

510

 

 

516,145

 

5.63%, 7/01/37

 

 

1,700

 

 

1,791,358

 

New Jersey State Housing & Mortgage Finance Agency,
RB, Series AA, 6.50%, 10/01/38

 

 

615

 

 

664,483

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series B, 5.25%, 6/15/36

 

 

1,900

 

 

2,128,152

 

Union County Utilities Authority, Refunding RB, County
Deficiency Agreement, Series A:

 

 

 

 

 

 

 

4.00%, 6/15/32

 

 

250

 

 

262,510

 

5.00%, 6/15/41

 

 

95

 

 

106,219

 

 

 

 

 

 

 

23,893,618

 


 

 

 

 

See Notes to Financial Statements.


18

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

New York — 5.8%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New
Covenant Charter School Project, Series A, 7.00%,
5/01/35 (c)(d)

 

$

455

 

$

104,659

 

Hudson New York Yards Infrastructure Corp., RB,
Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

250

 

 

257,255

 

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

 

 

1,000

 

 

1,029,020

 

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

 

 

750

 

 

738,293

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport, AMT,
7.75%, 8/01/31 (c)(d)(g)

 

 

3,165

 

 

2,990,925

 

New York Convention Center Development Corp., RB
(AMBAC), 4.75%, 11/15/45

 

 

1,000

 

 

1,007,710

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One Bryant
Park Project, 6.38%, 7/15/49

 

 

800

 

 

868,136

 

New York State Dormitory Authority, RB, Rochester
Institute of Technology, Series A, 6.00%, 7/01/33

 

 

1,000

 

 

1,169,450

 

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

 

 

1,500

 

 

1,581,075

 

 

 

 

 

 

 

9,746,523

 

North Carolina — 5.4%

 

 

 

 

 

 

 

City of Charlotte North Carolina, Refunding RB, Series A,
5.50%, 7/01/34

 

 

225

 

 

256,592

 

Gaston County Industrial Facilities & Pollution Control
Financing Authority North Carolina, RB, Exempt
Facilities, National Gypsum Co. Project, AMT, 5.75%,
8/01/35

 

 

2,945

 

 

2,413,486

 

North Carolina Capital Facilities Finance Agency, RB,
Duke Energy Carolinas, Series B, 4.38%, 10/01/31

 

 

1,000

 

 

1,050,750

 

North Carolina Medical Care Commission, RB, Novant
Health Obligation, Series A, 4.75%, 11/01/43

 

 

4,450

 

 

4,519,287

 

North Carolina Medical Care Commission, Refunding
RB, University Health System, Series D, 6.25%,
12/01/33

 

 

800

 

 

926,600

 

 

 

 

 

 

 

9,166,715

 

Oklahoma — 0.5%

 

 

 

 

 

 

 

Tulsa Airports Improvement Trust, RB, Series A,
Mandatory Put Bonds, AMT, 7.75%, 6/01/35 (c)(d)(g)

 

 

1,025

 

 

793,852

 

Oregon — 1.7%

 

 

 

 

 

 

 

City of Portland Oregon, Multifamily Housing Revenue
Bond Pass-Through Certificates, RB, Pacific Tower
Apartments, Series 6, AMT, 6.05%, 11/01/34

 

 

505

 

 

505,146

 

Oregon Health & Science University, RB, Series A,
5.75%, 7/01/39

 

 

750

 

 

852,630

 

Oregon State Facilities Authority, Refunding RB, Limited
College Project, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/34

 

 

850

 

 

916,368

 

5.25%, 10/01/40

 

 

500

 

 

541,635

 

 

 

 

 

 

 

2,815,779

 

Pennsylvania — 4.0%

 

 

 

 

 

 

 

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

 

 

1,695

 

 

1,800,192

 

Delaware River Port Authority, RB, Series D (AGM),
5.00%, 1/01/40

 

 

2,600

 

 

2,798,718

 

Pennsylvania Economic Development Financing
Authority, RB, Aqua Pennsylvania Inc. Project,
Series B, 4.50%, 12/01/42

 

 

2,000

 

 

2,094,220

 

 

 

 

 

 

 

6,693,130

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 1.4%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB,
Series A, 5.70%, 8/01/35 (a)

 

$

1,000

 

$

278,690

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 5.75%, 8/01/37

 

 

1,000

 

 

1,117,510

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.73%, 8/01/41 (a)

 

 

5,000

 

 

1,001,600

 

 

 

 

 

 

 

2,397,800

 

Rhode Island — 1.3%

 

 

 

 

 

 

 

Rhode Island Health & Educational Building Corp., RB,
Hospital Financing, LifeSpan Obligation, Series A
(AGC), 7.00%, 5/15/39

 

 

1,000

 

 

1,190,110

 

State of Rhode Island, COP, Series C, School for the
Deaf (AGC), 5.38%, 4/01/28

 

 

900

 

 

1,014,129

 

 

 

 

 

 

 

2,204,239

 

South Dakota — 0.9%

 

 

 

 

 

 

 

State of South Dakota Board of Regents Housing &
Auxiliary Facility System Revenue, RB, 4.25%,
4/01/33

 

 

1,535

 

 

1,605,410

 

Tennessee — 0.2%

 

 

 

 

 

 

 

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

 

 

275

 

 

305,896

 

Texas — 13.4%

 

 

 

 

 

 

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare
System, Series B:

 

 

 

 

 

 

 

7.13%, 12/01/31

 

 

500

 

 

602,825

 

7.25%, 12/01/35

 

 

1,750

 

 

2,090,498

 

Harris County Metropolitan Transit Authority Sales and
Use Tax, RB, Series A, 5.00%, 11/01/36

 

 

940

 

 

1,058,919

 

Harris County-Houston Sports Authority, Refunding RB,
CAB, Senior Lien, Series G (NPFGC), 6.18%,
11/15/41 (a)

 

 

11,690

 

 

1,717,612

 

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

 

 

1,500

 

 

1,722,270

 

Texas Private Activity Bond Surface Transportation Corp.,
RB, Senior Lien, LBJ Infrastructure Group LLC, LBJ
Freeway Managed Lanes Project, 7.00%, 6/30/40

 

 

2,000

 

 

2,274,160

 

Texas State Turnpike Authority, RB (AMBAC):

 

 

 

 

 

 

 

CAB, 6.08%, 8/15/35 (a)

 

 

50,000

 

 

12,308,500

 

First Tier, Series A, 5.00%, 8/15/42

 

 

750

 

 

750,375

 

 

 

 

 

 

 

22,525,159

 

Vermont — 1.0%

 

 

 

 

 

 

 

Vermont Educational & Health Buildings Financing
Agency, RB, Hospital, Fletcher Allen Health, Series A,
4.75%, 12/01/36

 

 

1,600

 

 

1,606,640

 

Virginia — 0.1%

 

 

 

 

 

 

 

Roanoke Economic Development Authority, RB, Carilion
Clinic Obligated Group, 4.00%, 7/01/29

 

 

160

 

 

160,938

 

Washington — 1.9%

 

 

 

 

 

 

 

City of Lynnwood, GO (AGO), 4.00%, 12/01/37

 

 

1,600

 

 

1,597,360

 

Washington Health Care Facilities Authority, RB,
MultiCare Health System, Series B (AGC), 6.00%,
8/15/39

 

 

1,400

 

 

1,588,132

 

 

 

 

 

 

 

3,185,492

 

West Virginia — 0.7%

 

 

 

 

 

 

 

West Virginia State University, RB, West Virginia
University Projects, Series B, 5.00%, 10/01/36

 

 

1,100

 

 

1,242,956

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


19




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Trust (BBK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wisconsin — 0.7%

 

 

 

 

 

 

 

Wisconsin State Health & Educational Facilities
Authority, RB, Aurora Health Care, Series A, 4.00%,
7/15/28

 

$

1,215

 

$

1,202,000

 

Wyoming — 0.8%

 

 

 

 

 

 

 

County of Sweetwater Wyoming, Refunding RB, Idaho
Power Co. Project, 5.25%, 7/15/26

 

 

1,200

 

 

1,372,740

 

Total Municipal Bonds — 136.6%

 

 

 

 

 

230,052,557

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)

 

 

 

 

 

 

 

Colorado — 2.3%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Catholic Health,
Series C-7 (AGM), 5.00%, 9/01/36

 

 

3,750

 

 

3,940,537

 

Massachusetts — 1.0%

 

 

 

 

 

 

 

Massachusetts Water Resources Authority, Refunding
RB, General, Series A, 5.00%, 8/01/41

 

 

1,450

 

 

1,592,724

 

New York — 7.3%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, 5.75%, 2/15/47

 

 

2,500

 

 

2,824,461

 

New York City Municipal Water Finance Authority, RB:
Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

450

 

 

522,323

 

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

 

 

405

 

 

467,031

 

New York City Municipal Water Finance Authority,
Refunding RB, Series A, 4.75%, 6/15/30

 

 

3,000

 

 

3,262,770

 

New York Liberty Development Corp., RB, 5.25%,
12/15/43

 

 

2,505

 

 

2,810,485

 

New York State Dormitory Authority, RB, New York
University, Series A, 5.00%, 7/01/38

 

 

2,199

 

 

2,368,575

 

 

 

 

 

 

 

12,255,645

 

Ohio — 2.1%

 

 

 

 

 

 

 

County of Montgomery Ohio, RB, Catholic Health,
Series C-1 (AGM), 5.00%, 10/01/41

 

 

1,260

 

 

1,355,269

 

Ohio Higher Educational Facility Commission,
Refunding RB, Hospital, Cleveland Clinic Health,
Series A, 5.25%, 1/01/33

 

 

2,000

 

 

2,154,820

 

 

 

 

 

 

 

3,510,089

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 12.7%

 

 

 

 

 

21,298,995

 

Total Long-Term Investments
(Cost — $234,380,899) — 149.3%

 

 

 

 

 

251,351,552

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (i)(j)

 

 

4,946,999

 

 

4,946,999

 

Total Short-Term Securities
(Cost — $4,946,999) — 2.9%

 

 

 

 

 

4,946,999

 

Total Investments (Cost — $239,327,898) — 152.2%

 

 

 

 

 

256,298,551

 

Other Assets Less Liabilities — 1.4%

 

 

 

 

 

2,278,896

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (6.1)%

 

 

 

 

 

(10,322,024

)

VMTP Shares, at Liquidation Value — (47.5)%

 

 

 

 

 

(79,900,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

168,355,423

 


 

 

(a)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(b)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(c)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(d)

Non-income producing security.

 

 

(e)

Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

 

(f)

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

 

 

(g)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(h)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(i)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

 

FFI Institutional

 

 

 

 

 

 

 

 

 

 

Tax-Exempt Fund

 

2,247,948

 

2,699,051

 

4,946,999

 

$319

 


 

 

 

 

(j)

Represents the current yield as of report date.

 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

 

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

 

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

251,351,552

 

 

 

$

251,351,552

 

Short-Term Securities

 

$

4,946,999

 

 

 

 

 

 

4,946,999

 

Total

 

$

4,946,999

 

$

251,351,552

 

 

 

$

256,298,551

 


 

 

 

 

1

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

20

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 1.9%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.13%, 6/01/34

 

$

1,000

 

$

1,150,950

 

6.00%, 6/01/39

 

 

1,000

 

 

1,142,790

 

Selma IDB, RB, International Paper Co. Project, Series A,
5.38%, 12/01/35

 

 

370

 

 

387,564

 

 

 

 

 

 

 

2,681,304

 

California — 11.9%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/38

 

 

2,155

 

 

2,458,769

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Scripps, Series A, 5.00%, 11/15/40

 

 

175

 

 

190,132

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

1,120

 

 

1,294,216

 

County of Sacramento California, RB, Senior Series A
(AGC), 5.50%, 7/01/41

 

 

1,400

 

 

1,518,104

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

Election of 2001, Series A (NPFGC), 5.00%,
8/01/32

 

 

1,000

 

 

1,099,900

 

Election of 2008, Series C, 5.25%, 8/01/39

 

 

500

 

 

573,150

 

Los Angeles Department of Water & Power, RB, Power
System, Sub-Series A-1, 5.25%, 7/01/38

 

 

1,175

 

 

1,339,770

 

Los Angeles Municipal Improvement Corp., Refunding
RB, Real Property, Series B (AGC), 5.50%, 4/01/39

 

 

3,210

 

 

3,537,837

 

Redondo Beach Unified School District, GO, Election of
2008, Series E, 5.50%, 8/01/34

 

 

1,000

 

 

1,162,810

 

San Bernardino Community College District, GO,
Election of 2002, Series A, 6.25%, 8/01/33

 

 

925

 

 

1,100,584

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B (AGC), 5.38%, 8/01/34

 

 

1,125

 

 

1,299,960

 

San Jacinto Unified School District, GO, Election of
2006 (AGM), 5.25%, 8/01/32

 

 

1,000

 

 

1,085,210

 

 

 

 

 

 

 

16,660,442

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Hospital,
NCMC Inc. Project, Series B (AGM), 6.00%, 5/15/26

 

 

1,425

 

 

1,670,627

 

Florida — 5.4%

 

 

 

 

 

 

 

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

 

 

4,525

 

 

5,188,998

 

Orange County Health Facilities Authority, RB,
The Nemours Foundation Project, Series A,
5.00%, 1/01/29

 

 

1,070

 

 

1,168,172

 

Village Center Community Development District, RB,
Series A (NPFGC), 5.00%, 11/01/32

 

 

1,250

 

 

1,238,789

 

 

 

 

 

 

 

7,595,959

 

Georgia — 2.2%

 

 

 

 

 

 

 

City of Atlanta Georgia, Refunding RB, General, Series C,
6.00%, 1/01/30

 

 

2,500

 

 

3,045,850

 

Illinois — 15.4%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

1,500

 

 

1,698,300

 

5.00%, 12/01/41

 

 

1,000

 

 

1,078,380

 

Chicago Transit Authority, RB Federal Transit
Administration Section 5309, Series A (AGC),
6.00%, 6/01/26

 

 

1,300

 

 

1,526,304

 

Chicago Transit Authority, RB, Sales Tax
Receipts Revenue:

 

 

 

 

 

 

 

5.25%, 12/01/36

 

 

415

 

 

461,853

 

5.25%, 12/01/40

 

 

1,325

 

 

1,471,187

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

General Third Lien, Series C, 5.25%, 1/01/30

 

 

1,000

 

 

1,110,330

 

Sales Tax Revenue, Series A, 5.25%, 1/01/38

 

 

515

 

 

577,145

 

Third Lien, O’Hare International Airport, Series A,
5.75%, 1/01/39

 

 

825

 

 

946,778

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

City of Chicago Illinois, Refunding RB, General, Third
Lien, (AGM), Series C, 6.50%, 1/01/41

 

$

3,740

 

$

4,501,240

 

Illinois Finance Authority, RB, Carle Foundation, Series A,
6.00%, 8/15/41

 

 

1,885

 

 

2,068,882

 

Illinois Municipal Electric Agency, RB, Series A (NPFGC):

 

 

 

 

 

 

 

5.25%, 2/01/28

 

 

1,560

 

 

1,714,222

 

5.25%, 2/01/35

 

 

1,000

 

 

1,069,600

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

915

 

 

1,053,879

 

6.00%, 6/01/28

 

 

260

 

 

290,909

 

State of Illinois, RB, Build Illinois, Series B, 5.25%,
6/15/28

 

 

1,750

 

 

1,971,952

 

 

 

 

 

 

 

21,540,961

 

Indiana — 5.6%

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater Utility, RB, First

 

 

 

 

 

 

 

Lien, CWA Authority, Series A:

 

 

 

 

 

 

 

5.25%, 10/01/31

 

 

1,000

 

 

1,144,110

 

5.25%, 10/01/38

 

 

2,000

 

 

2,226,060

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

1,570

 

 

1,786,942

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

2,415

 

 

2,697,048

 

 

 

 

 

 

 

7,854,160

 

Iowa — 0.2%

 

 

 

 

 

 

 

Iowa Finance Authority, Refunding RB, Iowa Health
System (AGC), 5.25%, 2/15/29

 

 

305

 

 

335,149

 

Louisiana — 0.5%

 

 

 

 

 

 

 

New Orleans Aviation Board Louisiana, Refunding RB,
GARB, Restructuring, (AGC):

 

 

 

 

 

 

 

Series A-1, 6.00%, 1/01/23

 

 

375

 

 

447,656

 

Series A-2, 6.00%, 1/01/23

 

 

150

 

 

179,063

 

 

 

 

 

 

 

626,719

 

Michigan — 14.7%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Second Lien, Series B (NPFGC), 5.50%, 7/01/29

 

 

1,690

 

 

1,903,227

 

Senior Lien, Series B (AGM), 7.50%, 7/01/33

 

 

580

 

 

729,402

 

Senior Lien, Series B (BHAC), 5.50%, 7/01/35

 

 

4,750

 

 

5,195,218

 

System, Second Lien, Series A (BHAC), 5.50%,
7/01/36

 

 

2,330

 

 

2,570,456

 

City of Detroit Michigan, RB, Second Lien, Series B
(AGM), 6.25%, 7/01/36

 

 

1,700

 

 

1,949,220

 

City of Detroit Michigan, Refunding RB, Senior Lien,
Series C-1 (AGM), 7.00%, 7/01/27

 

 

1,800

 

 

2,220,264

 

Lansing Board of Water & Light Utilities, RB, Series A,
5.00%, 7/01/37

 

 

2,765

 

 

3,071,887

 

Michigan State Building Authority, RB, Facilities Program,
Series H (AGM), 5.00%, 10/15/26

 

 

365

 

 

410,771

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I (AGC):

 

 

 

 

 

 

 

5.25%, 10/15/24

 

 

565

 

 

649,462

 

5.25%, 10/15/25

 

 

300

 

 

343,527

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

1,205

 

 

1,517,842

 

 

 

 

 

 

 

20,561,276

 

Minnesota — 3.1%

 

 

 

 

 

 

 

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

 

 

3,680

 

 

4,327,790

 

Missouri — 1.9%

 

 

 

 

 

 

 

Missouri Municipal Electric Utility Commission Power,
RB, Prairie State Project, Series A, 5.00%, 1/01/32 (a)

 

 

2,500

 

 

2,686,775

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

21




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nevada — 1.6%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Series A,
5.25%, 7/01/34

 

$

2,000

 

$

2,232,940

 

New Jersey — 4.6%

 

 

 

 

 

 

 

New Jersey Health Care Facilities Financing Authority,
RB, Virtua Health (AGC), 5.50%, 7/01/38

 

 

1,300

 

 

1,418,573

 

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

 

 

1,575

 

 

1,691,393

 

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

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,219,480

 

Series B, 5.25%, 6/15/36

 

 

1,000

 

 

1,120,080

 

 

 

 

 

 

 

6,449,526

 

New York — 5.5%

 

 

 

 

 

 

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Series S-3, 5.25%, 1/15/39

 

 

900

 

 

988,578

 

Sub-Future Tax Secured, Series C, 5.00%,
11/01/39

 

 

1,175

 

 

1,305,801

 

New York City Transitional Finance Authority, RB,
Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/29

 

 

2,465

 

 

2,873,623

 

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

 

 

2,220

 

 

2,468,951

 

 

 

 

 

 

 

7,636,953

 

Pennsylvania — 0.6%

 

 

 

 

 

 

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Childrens Hospital Philadelphia,
Series D, 5.00%, 7/01/32

 

 

710

 

 

785,246

 

Puerto Rico — 1.1%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.38%, 8/01/39

 

 

1,350

 

 

1,582,470

 

Texas — 22.8%

 

 

 

 

 

 

 

Austin Community College District, RB, Educational
Facilities Project, Round Rock Campus, 5.25%,
8/01/33

 

 

2,000

 

 

2,188,860

 

City of Austin Texas, Refunding RB, Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/15/28

 

 

705

 

 

802,502

 

5.00%, 11/15/29

 

 

895

 

 

1,010,052

 

City of Houston Texas, Refunding RB, Combined,
First Lien, Series A (AGC):

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

2,600

 

 

3,134,092

 

6.00%, 11/15/36

 

 

2,215

 

 

2,658,797

 

5.38%, 11/15/38

 

 

1,000

 

 

1,140,400

 

Clifton Higher Education Finance Corp., Refunding RB,
Baylor University, 5.25%, 3/01/32

 

 

1,270

 

 

1,453,070

 

Frisco ISD Texas, GO, School Building (AGC), 5.50%,
8/15/41

 

 

3,365

 

 

3,997,856

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

875

 

 

997,518

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare System,
Series B, 7.13%, 12/01/31

 

 

500

 

 

602,825

 

Lamar Texas Consolidated Independent School District,
GO, Refunding RB, School House, Series A, 5.00%,
2/15/45 (a)

 

 

890

 

 

1,004,641

 

Lubbock Cooper ISD Texas, GO, School Building (AGC),
5.75%, 2/15/42

 

 

500

 

 

562,715

 

North Texas Tollway Authority, RB, Special Projects
System, Series A, 5.50%, 9/01/41

 

 

1,000

 

 

1,150,930

 

North Texas Tollway Authority, Refunding RB:

 

 

 

 

 

 

 

System, First Tier (AGM), 6.00%, 1/01/43

 

 

1,000

 

 

1,167,070

 

System, First Tier, Series A (AGC), 5.75%, 1/01/40

 

 

1,500

 

 

1,654,275

 

System, First Tier, Series K-1 (AGC), 5.75%,
1/01/38

 

 

1,500

 

 

1,678,455

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Tarrant County Cultural Education Facilities Finance
Corp., Refunding RB, Christus Health, Series A (AGC),
6.50%, 7/01/37

 

$

1,000

 

$

1,150,810

 

University of Texas System, Refunding RB, Financing
System, Series B, 5.00%, 8/15/43 (a)

 

 

1,805

 

 

2,071,129

 

Waco Educational Finance Corporation, RB, Baylor
University, 5.00%, 3/01/43

 

 

3,000

 

 

3,352,920

 

 

 

 

 

 

 

31,778,917

 

Utah — 0.8%

 

 

 

 

 

 

 

City of Riverton Utah, RB, IHC Health Services Inc.,
5.00%, 8/15/41

 

 

1,000

 

 

1,073,950

 

Virginia — 0.9%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School Financing,
6.50%, 12/01/35

 

 

1,000

 

 

1,176,400

 

Washington — 5.5%

 

 

 

 

 

 

 

City of Seattle Washington, Refunding RB, Series A,
5.25%, 2/01/36

 

 

1,025

 

 

1,172,395

 

Port of Seattle, Refunding RB, Intermediate, Series A,
5.00%, 8/01/32 (a)

 

 

3,000

 

 

3,412,560

 

State of Washington, GO, Various Purpose, Series B,
5.25%, 2/01/36

 

 

795

 

 

914,616

 

University of Washington, Refunding, RB, Series A,
5.00%, 7/01/41 (a)

 

 

1,850

 

 

2,102,673

 

 

 

 

 

 

 

7,602,244

 

Total Municipal Bonds — 107.4%

 

 

 

 

 

149,905,658

 


 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

 

 

 

 

 

 

Alabama — 1.1%

 

 

 

 

 

 

 

Mobile Board of Water & Sewer Commissioners, RB
(NPFGC), 5.00%, 1/01/31

 

 

1,500

 

 

1,583,970

 

California — 10.7%

 

 

 

 

 

 

 

San Diego Community College District California, GO,
Election of 2002 (AGM), 5.00%, 5/01/30

 

 

2,500

 

 

2,756,925

 

San Marcos Unified School District, GO, Election of
2010, Series A, 5.25%, 8/01/31

 

 

10,680

 

 

12,196,453

 

 

 

 

 

 

 

14,953,378

 

District of Columbia — 0.7%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 6.00%, 10/01/35

 

 

760

 

 

942,608

 

Florida — 10.1%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB, Better Jacksonville
(NPFGC), 5.00%, 10/01/27

 

 

3,930

 

 

4,150,237

 

County of Pinellas Florida, RB (AGM), 5.00%,
10/01/32

 

 

9,500

 

 

9,993,568

 

 

 

 

 

 

 

14,143,805

 

Illinois — 4.7%

 

 

 

 

 

 

 

Chicago Transit Authority, Refunding RB, Federal Transit
Administration Section 5309 (AGM), 5.00%, 6/01/28

 

 

2,999

 

 

3,247,458

 

Illinois State Toll Highway Authority, RB, Series B,
5.50%, 1/01/33

 

 

2,999

 

 

3,285,500

 

 

 

 

 

 

 

6,532,958

 

Kentucky — 0.7%

 

 

 

 

 

 

 

Kentucky State Property & Building Commission,
Refunding RB, Project No. 93 (AGC), 5.25%,
2/01/27

 

 

898

 

 

1,025,816

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

22

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, 5.00%,
10/15/41

 

$

2,000

 

$

2,245,080

 

Nevada — 5.0%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Limited
Tax, 6.00%, 7/01/38

 

 

2,000

 

 

2,325,120

 

Las Vegas Valley Water District, GO, Refunding, Series C,
5.00%, 6/01/28

 

 

4,100

 

 

4,701,101

 

 

 

 

 

 

 

7,026,221

 

New Jersey — 0.8%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction,
Series Z (AGC), 6.00%, 12/15/34

 

 

1,000

 

 

1,150,600

 

New York — 8.7%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, Series A, 5.75%,
2/15/47

 

 

1,000

 

 

1,129,785

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Fiscal 2012, Series BB,
5.25%, 6/15/44

 

 

4,993

 

 

5,650,012

 

New York Liberty Development Corp., 5.25%, 12/15/43

 

 

2,955

 

 

3,315,362

 

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

 

 

1,740

 

 

1,976,936

 

 

 

 

 

 

 

12,072,095

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

 

1,180

 

 

1,310,461

 

Texas — 1.9%

 

 

 

 

 

 

 

North Texas Tollway Authority, RB, Special Projects,
System, Series A, 5.50%, 9/01/41

 

 

2,310

 

 

2,658,648

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 47.0%

 

 

 

 

 

65,645,640

 

Total Long-Term Investments
(Cost — $197,730,152) — 154.4%

 

 

 

 

 

215,551,298

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

Illinois — 2.8%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, VRDN, University of
Chicago Medical Center, Series B, 0.12%,
3/01/12 (c)

 

$

3,900

 

$

3,900,000

 

Texas — 0.8%

 

 

 

 

 

 

 

Harris County Health Facilities Development Corp., RB,
VRDN, Baylor College Medicine, Series B, 0.10%,
3/01/12 (c)

 

 

1,100

 

 

1,100,000

 

 

 

 

 

Shares

 

 

 

 

Money Market Funds — 2.3%

 

 

 

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (d)(e)

 

 

3,259,592

 

 

3,259,592

 

Total Short-Term Securities
(Cost — $8,259,592) — 5.9%

 

 

 

 

 

8,259,592

 

Total Investments (Cost — $205,989,744) — 160.3%

 

 

 

 

 

223,810,890

 

Liabilities in Excess of Other Assets — (6.8)%

 

 

 

 

 

(9,444,749

)

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (23.3)%

 

 

 

 

 

(32,587,769

)

VMTP Shares, at Liquidation Value — (30.2)%

 

 

 

 

 

(42,200,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

139,578,372

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

23




 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Quality Trust (BAF)


 

 

(a)

When-issued security. Unsettled when-issued transactions were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Morgan Keegan & Co.

 

$

1,004,641

 

$

3,791

 

 

National Financial

 

$

2,686,775

 

 

 

 

Pershing LLC

 

$

1,134,240

 

$

3,280

 

 

JPMorgan Securities

 

$

2,268,480

 

$

6,560

 

 

Morgan Stanley Co.

 

$

2,071,129

 

$

18,375

 

 

Barclays Capital Inc.

 

$

2,102,673

 

$

14,208

 


 

 

(b)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(c)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(d)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

 

FFI Institutional
Tax-Exempt Fund

 

 

9,230,241

 

 

(5,970,649

)

 

3,259,592

 

$

153

 


 

 

(e)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

 

47

 

10-Year US

 

Chicago

 

March

 

$

6,169,484

 

$

(36,074

)

 

 

 

Treasury Note

 

Board of Trade

 

2012

 

 

 

 

 

 

 


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

215,551,298

 

 

 

$

215,551,298

 

 

Short-Term Securities

 

$

3,259,592

 

 

5,000,000

 

 

 

 

8,259,592

 

 

Total

 

$

3,259,592

 

$

220,551,298

 

 

 

$

223,810,890

 


 

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

Derivative Financial

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

(36,074

)

 

 

 

 

$

(36,074

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

24

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.7%

 

 

 

 

 

 

 

Alabama State Docks Department, Refunding RB,
6.00%, 10/01/40

 

$

3,800

 

$

4,213,592

 

Birmingham Airport Authority, RB (AGM), 5.50%,
7/01/40

 

 

5,800

 

 

6,424,428

 

Birmingham Special Care Facilities Financing Authority,
RB, Children’s Hospital (AGC), 6.00%, 6/01/39

 

 

1,495

 

 

1,708,471

 

County of Jefferson Alabama, RB, Series A, 4.75%,
1/01/25

 

 

2,800

 

 

2,548,028

 

 

 

 

 

 

 

14,894,519

 

Alaska — 0.3%

 

 

 

 

 

 

 

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

 

 

1,070

 

 

1,194,933

 

Arizona — 0.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

1,500

 

 

1,684,575

 

5.25%, 10/01/28

 

 

250

 

 

283,560

 

 

 

 

 

 

 

1,968,135

 

California — 22.8%

 

 

 

 

 

 

 

California Health Facilities Financing Authority, RB,
St. Joseph Health System, Series A, 5.75%, 7/01/39

 

 

625

 

 

691,419

 

California Infrastructure & Economic Development
Bank, RB, Bay Area Toll Bridges, First Lien, Series A
(AMBAC), 5.00%, 7/01/36 (a)

 

 

10,100

 

 

13,511,174

 

Coast Community College District California, GO,
Refunding, CAB, Election of 2002, Series C (AGM):

 

 

 

 

 

 

 

5.00%, 8/01/13 (b)

 

 

7,450

 

 

7,090,463

 

5.41%, 8/01/36 (c)

 

 

4,200

 

 

1,105,734

 

Golden State Tobacco Securitization Corp. California,
RB, Series 2003-A-1 (a):

 

 

 

 

 

 

 

6.75%, 6/01/39

 

 

14,500

 

 

15,653,765

 

6.63%, 6/01/40

 

 

6,500

 

 

7,007,065

 

Metropolitan Water District of Southern California, RB,
Series B-1 (NPFGC), 5.00%, 10/01/33

 

 

16,745

 

 

17,997,024

 

Monterey Peninsula Community College District, GO,
CAB, Series C (AGM) (c):

 

 

 

 

 

 

 

5.15%, 8/01/31

 

 

13,575

 

 

5,091,575

 

5.16%, 8/01/32

 

 

14,150

 

 

4,881,325

 

Orange County Sanitation District, COP, Series B (AGM),
5.00%, 2/01/31

 

 

2,500

 

 

2,737,950

 

San Diego Unified School District California, GO, CAB,
Election of 2008, Series C, 6.84%, 7/01/38 (c)

 

 

2,000

 

 

491,500

 

San Joaquin Hills Transportation Corridor Agency
California, Refunding RB, CAB, Series A (NPFGC),
5.51%, 1/15/31 (c)

 

 

53,000

 

 

14,045,000

 

San Jose Unified School District Santa Clara County
California, GO, Election of 2002, Series B (NPFGC),
5.00%, 8/01/29

 

 

2,350

 

 

2,502,515

 

 

 

 

 

 

 

92,806,509

 

Colorado — 0.3%

 

 

 

 

 

 

 

Regional Transportation District, COP, Series A, 5.38%,
6/01/31

 

 

960

 

 

1,074,883

 

District of Columbia — 2.3%

 

 

 

 

 

 

 

District of Columbia Tobacco Settlement Financing
Corp., Refunding RB, Asset-Backed, 6.75%, 5/15/40

 

 

9,500

 

 

9,581,035

 

Florida — 15.8%

 

 

 

 

 

 

 

Broward County School Board Florida, COP, Series A
(AGM), 5.25%, 7/01/33

 

 

1,600

 

 

1,722,976

 

County of Broward Florida, RB, Series A, 5.25%,
10/01/34

 

 

6,750

 

 

7,523,550

 

County of Duval Florida, COP, Master Lease Program
(AGM), 5.00%, 7/01/33

 

 

3,800

 

 

4,020,172

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

CAB, Sub-Series A (NPFGC), 5.25%, 10/01/38 (c)

 

$

25,520

 

$

5,313,009

 

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

 

 

5,000

 

 

5,594,400

 

Series A, 5.50%, 10/01/36

 

 

5,000

 

 

5,538,250

 

Series B (AGC), 5.25%, 5/01/31

 

 

1,135

 

 

1,238,421

 

Water & Sewer System (AGM), 5.00%, 10/01/39

 

 

10,100

 

 

10,949,915

 

County of Miami-Dade Florida, Refunding RB (AGM),
5.00%, 7/01/35

 

 

1,300

 

 

1,386,333

 

County of Miami-Dade Florida, School Board, COP, RB,
Series B (AGC), 5.25%, 5/01/31

 

 

1,135

 

 

1,238,421

 

Florida Housing Finance Corp., RB, Homeowner
Mortgage, Series 3, 5.45%, 7/01/33

 

 

3,800

 

 

4,023,288

 

Florida State Department of Environmental Protection,
RB, Series B (NPFGC), 5.00%, 7/01/27

 

 

6,150

 

 

6,814,507

 

Orange County School Board, COP, Series A (AGC),
5.50%, 8/01/34

 

 

6,090

 

 

6,749,791

 

Sarasota County Public Hospital District, RB, Sarasota
Memorial Hospital Project, Series A, 5.63%, 7/01/39

 

 

300

 

 

321,651

 

South Florida Water Management District, COP
(AMBAC), 5.00%, 10/01/36

 

 

1,000

 

 

1,050,490

 

Tohopekaliga Water Authority, Refunding RB, Series A,
5.25%, 10/01/36

 

 

2,000

 

 

2,256,880

 

 

 

 

 

 

 

64,503,633

 

Georgia — 2.8%

 

 

 

 

 

 

 

Burke County Development Authority, RB, Oglethorpe
Power, Vogtle Project, Series C, 5.70%, 1/01/43

 

 

1,250

 

 

1,342,237

 

City of Atlanta Georgia, Refunding RB, General,
Series C, 6.00%, 1/01/30

 

 

7,500

 

 

9,137,550

 

Gwinnett County Hospital Authority, Refunding RB,
Gwinnett Hospital System Series D (AGM), 5.50%,
7/01/41

 

 

900

 

 

986,868

 

 

 

 

 

 

 

11,466,655

 

Hawaii — 1.4%

 

 

 

 

 

 

 

Hawaii State Harbor, RB, Series A, 5.25%, 7/01/35

 

 

5,000

 

 

5,545,800

 

Illinois — 3.1%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A,
5.50%, 12/01/39

 

 

2,590

 

 

2,932,398

 

Chicago Park District, GO, Harbor Facilities, Series C,
5.25%, 1/01/40

 

 

600

 

 

659,094

 

Chicago Transit Authority, RB, 5.25%, 12/01/36

 

 

650

 

 

723,385

 

City of Chicago Illinois, RB, Series A (AGC), 5.00%,
1/01/38

 

 

7,310

 

 

7,648,160

 

Railsplitter Tobacco Settlement Authority, RB, 6.00%,
6/01/28

 

 

710

 

 

794,405

 

 

 

 

 

 

 

12,757,442

 

Indiana — 2.0%

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater Utility,
Refunding RB, First Lien, CWA Authority, Series A,
5.25%, 10/01/38

 

 

1,100

 

 

1,224,333

 

Indiana Municipal Power Agency, RB, Series B, 5.75%,
1/01/34

 

 

450

 

 

481,995

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

5,750

 

 

6,421,543

 

 

 

 

 

 

 

8,127,871

 

Iowa — 1.3%

 

 

 

 

 

 

 

Iowa Finance Authority, RB, Series A (AGC), 5.63%,
8/15/37

 

 

5,000

 

 

5,495,900

 

Kentucky — 0.4%

 

 

 

 

 

 

 

Kentucky State Property & Buildings Commission,
Refunding RB, Project No. 93 (AGC), 5.25%,
2/01/29

 

 

1,500

 

 

1,692,525

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

25




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Louisiana — 2.8%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District No. 1,
Refunding RB, West Jefferson Medical Center,
Series A, 6.00%, 1/01/39

 

$

1,550

 

$

1,721,492

 

Parish of Saint John the Baptist Louisiana, RB,
Marathon Oil Corp., Series A, 5.13%, 6/01/37

 

 

1,750

 

 

1,811,250

 

State of Louisiana, RB, Series A (AGM), 5.00%,
5/01/31

 

 

7,500

 

 

8,080,800

 

 

 

 

 

 

 

11,613,542

 

Michigan — 2.5%

 

 

 

 

 

 

 

City of Detroit Michigan, Refunding RB, Second Lien,
Series E (BHAC), 5.75%, 7/01/31

 

 

3,000

 

 

3,395,160

 

Kalamazoo Hospital Finance Authority, RB, Bronson
Methodist Hospital (AGM), 5.25%, 5/15/36

 

 

465

 

 

502,609

 

Lansing Board of Water & Light, RB, Series A, 5.50%,
7/01/41

 

 

1,100

 

 

1,273,910

 

Michigan State Building Authority, Refunding RB,
Facilities Program:

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,247,620

 

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

 

 

800

 

 

896,312

 

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

 

 

1,500

 

 

1,685,715

 

 

 

 

 

 

 

10,001,326

 

Nebraska — 1.1%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

2,450

 

 

2,754,265

 

6.05%, 9/01/41

 

 

1,575

 

 

1,677,092

 

 

 

 

 

 

 

4,431,357

 

Nevada — 1.1%

 

 

 

 

 

 

 

County of Clark Nevada, RB, Las Vegas-McCarran
International Airport, Series A (AGC), 5.25%, 7/01/39

 

 

4,100

 

 

4,453,215

 

New Jersey — 1.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Series A, 5.50%, 6/15/41

 

 

3,000

 

 

3,426,330

 

Series B, 5.25%, 6/15/36

 

 

1,990

 

 

2,228,959

 

 

 

 

 

 

 

5,655,289

 

New York — 1.1%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, Series A,
5.75%, 2/15/47

 

 

770

 

 

870,008

 

New York City Transitional Finance Authority, RB,
Fiscal 2009, Series S-4, 5.50%, 1/15/33

 

 

1,950

 

 

2,226,139

 

New York State Dormitory Authority, ERB, Series B,
5.75%, 3/15/36

 

 

1,300

 

 

1,522,768

 

 

 

 

 

 

 

4,618,915

 

North Carolina — 1.0%

 

 

 

 

 

 

 

North Carolina Medical Care Commission, RB, Novant
Health Obligation, Series A, 4.75%, 11/01/43

 

 

3,875

 

 

3,935,334

 

Ohio — 0.5%

 

 

 

 

 

 

 

County of Lucas Ohio, Refunding RB, Promedica
Healthcare, Series A, 6.50%, 11/15/37

 

 

610

 

 

741,004

 

Ohio Higher Educational Facility Commission,
Refunding RB, Summa Health System, 2010 Project
(AGC), 5.25%, 11/15/40

 

 

1,125

 

 

1,196,842

 

 

 

 

 

 

 

1,937,846

 

Pennsylvania — 0.2%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, RB, Subordinate,
Special Motor, License Fund, 6.00%, 12/01/36

 

 

625

 

 

754,494

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 2.4%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB,
First Sub-Series A:

 

 

 

 

 

 

 

6.38%, 8/01/39

 

$

5,300

 

$

6,212,660

 

5.50%, 8/01/42

 

 

3,450

 

 

3,754,325

 

 

 

 

 

 

 

9,966,985

 

Rhode Island — 0.7%

 

 

 

 

 

 

 

Rhode Island Health & Educational Building Corp.,
Refunding RB, Public Schools Financing Program,
Series E (AGC), 6.00%, 5/15/29

 

 

2,625

 

 

2,998,538

 

South Carolina — 1.4%

 

 

 

 

 

 

 

South Carolina Jobs-EDA, Refunding RB, Palmetto
Health, Series A (AGM), 6.50%, 8/01/39

 

 

260

 

 

304,580

 

South Carolina State Ports Authority, RB, 5.25%,
7/01/40

 

 

5,000

 

 

5,498,750

 

 

 

 

 

 

 

5,803,330

 

Tennessee — 3.4%

 

 

 

 

 

 

 

Knox County Health Educational & Housing Facilities
Board Tennessee, Refunding RB, CAB,
Series A (AGM) (c):

 

 

 

 

 

 

 

5.88%, 1/01/23

 

 

8,910

 

 

4,839,823

 

5.90%, 1/01/24

 

 

8,500

 

 

4,344,265

 

5.91%, 1/01/25

 

 

6,850

 

 

3,297,248

 

Memphis Center City Revenue Finance Corp., RB,
Sub-Pyramid & Pinch District, Series B, (AGM),
5.25%, 11/01/30

 

 

1,240

 

 

1,425,479

 

 

 

 

 

 

 

13,906,815

 

Texas — 24.6%

 

 

 

 

 

 

 

City of Houston Texas, RB, Senior Lien, Series A,
5.50%, 7/01/34

 

 

4,165

 

 

4,617,194

 

City of San Antonio Texas, Refunding RB (NPFGC):

 

 

 

 

 

 

 

5.13%, 5/15/29

 

 

9,250

 

 

9,988,150

 

5.13%, 5/15/34

 

 

10,000

 

 

10,825,400

 

Comal ISD, GO, School Building (PSF-GTD), 5.00%,
2/01/36

 

 

2,500

 

 

2,759,800

 

Coppell ISD Texas, GO, Refunding, CAB (PSF-GTD),
5.64%, 8/15/30 (c)

 

 

10,030

 

 

5,324,325

 

County of Harris Texas, Refunding RB, Senior Lien,
Toll Road (AGM), 5.00%, 8/15/30

 

 

1,910

 

 

1,941,439

 

County of Harris Texas, GO (NPFGC) (c):

 

 

 

 

 

 

 

5.57%, 8/15/25

 

 

7,485

 

 

5,101,027

 

5.61%, 8/15/28

 

 

10,915

 

 

6,472,486

 

Harris County-Houston Sports Authority, Refunding RB
(NPFGC) (c):

 

 

 

 

 

 

 

CAB, Junior Lien, Series H, 5.94%, 11/15/38

 

 

5,785

 

 

979,632

 

CAB, Junior Lien, Series H, 5.95%, 11/15/39

 

 

6,160

 

 

976,298

 

Third Lien, Series A-3, 5.97%, 11/15/38

 

 

16,890

 

 

2,860,153

 

Mansfield ISD Texas, GO, School Building (PSF-GTD),
5.00%, 2/15/33

 

 

2,980

 

 

3,324,071

 

North Texas Tollway Authority, Refunding RB:

 

 

 

 

 

 

 

First Tier, Series A, 6.00%, 1/01/28

 

 

625

 

 

725,038

 

First Tier, System (NPFGC), 5.75%, 1/01/40

 

 

23,050

 

 

25,030,686

 

Texas State Turnpike Authority, RB, First Tier, Series A
(AMBAC), 5.00%, 8/15/42

 

 

19,500

 

 

19,509,750

 

 

 

 

 

 

 

100,435,449

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

26

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Washington — 3.1%

 

 

 

 

 

 

 

Chelan County Public Utility District No. 1, RB, Chelan
Hydro System, Series C (AMBAC), 5.13%, 7/01/33

 

$

3,655

 

$

3,715,563

 

County of King Washington, Refunding RB (AGM),
5.00%, 1/01/36

 

 

2,200

 

 

2,339,436

 

Washington Health Care Facilities Authority, RB:

 

 

 

 

 

 

 

MultiCare Health Care, Series C (AGC), 5.50%,
8/15/43

 

 

4,900

 

 

5,259,954

 

Providence Health & Services, Series A, 5.00%,
10/01/39

 

 

500

 

 

529,635

 

Providence Health & Services, Series A, 5.25%,
10/01/39

 

 

675

 

 

728,919

 

 

 

 

 

 

 

12,573,507

 

Wisconsin — 1.1%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority, RB:

 

 

 

 

 

 

 

Ascension Health Senior Credit Group, 5.00%,
11/15/33

 

 

1,500

 

 

1,625,505

 

Froedtert & Community Health, 5.25%, 4/01/39

 

 

2,500

 

 

2,703,975

 

 

 

 

 

 

 

4,329,480

 

Total Municipal Bonds — 105.1%

 

 

 

 

 

428,525,262

 


 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

 

 

 

 

 

 

Arizona — 1.9%

 

 

 

 

 

 

 

Phoenix Civic Improvement Corp., RB:

 

 

 

 

 

 

 

Junior Lien, Series A, 5.00%, 7/01/34

 

 

1,300

 

 

1,453,725

 

Sub-Civic Plaza Expansion Project, Series A,
5.00%, 7/01/37

 

 

4,490

 

 

4,701,659

 

Salt River Arizona Project Agricultural Improvement &
Power District, RB, Series A, 5.00%, 1/01/38

 

 

1,500

 

 

1,633,530

 

 

 

 

 

 

 

7,788,914

 

California — 10.3%

 

 

 

 

 

 

 

California State University, RB, Systemwide, Series A
(AGM), 5.00%, 11/01/33

 

 

3,379

 

 

3,645,788

 

California State University, Refunding RB, Systemwide,
Series A (AGM), 5.00%, 11/01/32

 

 

8,000

 

 

8,901,600

 

Foothill-De Anza Community College District, GO,
Election of 1999, Series C (NPFGC), 5.00%,
8/01/36

 

 

7,500

 

 

7,872,000

 

Los Angeles Community College District California, GO,
Election of 2001, Series A (AGM), 5.00%, 8/01/32

 

 

5,000

 

 

5,499,500

 

San Diego Community College District California, GO,
Election of 2002, 5.25%, 8/01/33

 

 

449

 

 

518,316

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/33

 

 

4,870

 

 

5,249,714

 

University of California, RB, Series C (NPFGC), 4.75%,
5/15/37

 

 

10,000

 

 

10,253,200

 

 

 

 

 

 

 

41,940,118

 

District of Columbia — 0.3%

 

 

 

 

 

 

 

District of Columbia, RB, Series A, 5.50%, 12/01/30

 

 

1,080

 

 

1,292,782

 

Florida — 4.9%

 

 

 

 

 

 

 

City of Tallahassee Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.00%, 10/01/32

 

 

3,000

 

 

3,210,810

 

5.00%, 10/01/37

 

 

5,000

 

 

5,327,900

 

Florida State Board of Education, GO, Series D, 5.00%,
6/01/37

 

 

2,999

 

 

3,248,355

 

Highlands County Health Facilities Authority, RB,
Adventist, Series C, 5.25%, 11/15/36 (e)

 

 

1,800

 

 

1,889,316

 

Orange County School Board, COP, Series A (NPFGC),
5.00%, 8/01/30

 

 

6,000

 

 

6,342,900

 

 

 

 

 

 

 

20,019,281

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

Hawaii — 2.6%

 

 

 

 

 

 

 

Honolulu City & County Board of Water Supply, RB,
Series A (FGIC), 5.00%, 7/01/33

 

$

10,000

 

$

10,388,400

 

Illinois — 9.3%

 

 

 

 

 

 

 

City of Chicago Illinois, RB, Sale Tax Revenue, Series A,
5.00%, 1/01/41

 

 

3,870

 

 

4,258,083

 

Illinois Finance Authority, RB, Carle Foundation, Series A
(AGM), 6.00%, 8/15/41

 

 

2,400

 

 

2,710,368

 

Illinois State Toll Highway Authority, RB, Series B, 5.50%,
1/01/33

 

 

4,499

 

 

4,928,249

 

Metropolitan Pier & Exposition Authority, RB, McCormick
Place Expansion Project, Series A (NPFGC), 5.00%,
12/15/28

 

 

24,010

 

 

24,487,319

 

State of Illinois, RB, Build Illinois, Series B, 5.25%,
6/15/34

 

 

1,400

 

 

1,542,708

 

 

 

 

 

 

 

37,926,727

 

Massachusetts — 3.5%

 

 

 

 

 

 

 

Massachusetts School Building Authority, Sales Tax RB,
Series A (AGM), 5.00%, 8/15/30

 

 

12,987

 

 

14,459,277

 

Michigan — 1.9%

 

 

 

 

 

 

 

Michigan Finance Authority, Refunding RB, Trinity Health,
5.00%, 12/01/39

 

 

7,300

 

 

7,721,064

 

Nevada — 1.8%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited Tax, Performing
Arts Center, 6.00%, 4/01/39

 

 

4,197

 

 

4,834,351

 

Clark County Water Reclamation District, GO, Series B,
5.75%, 7/01/34

 

 

2,024

 

 

2,387,128

 

 

 

 

 

 

 

7,221,479

 

New York — 4.4%

 

 

 

 

 

 

 

Erie County Industrial Development Agency, RB, City
School District of Buffalo Project, Series A (AGM),
5.75%, 5/01/28

 

 

4,494

 

 

5,231,211

 

Metropolitan Transportation Authority, RB, Series A
(NPFGC), 5.00%, 11/15/31

 

 

7,002

 

 

7,767,123

 

Triborough Bridge & Tunnel Authority, RB, General,
Series A-2, 5.25%, 11/15/34

 

 

4,500

 

 

5,093,595

 

 

 

 

 

 

 

18,091,929

 

Ohio — 0.2%

 

 

 

 

 

 

 

State of Ohio, RB, Cleveland Clinic Health, Series B,
5.50%, 1/01/34

 

 

620

 

 

684,096

 

Puerto Rico — 0.7%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

 

2,580

 

 

2,865,245

 

South Carolina — 0.2%

 

 

 

 

 

 

 

South Carolina State Public Service Authority, RB, Santee
Cooper, Series A, 5.50%, 1/01/38

 

 

600

 

 

679,800

 

Texas — 2.9%

 

 

 

 

 

 

 

North East ISD Texas, GO, School Building (PSF-GTD):

 

 

 

 

 

 

 

5.13%, 6/15/29

 

 

9,500

 

 

10,343,250

 

Series A, 5.00%, 8/01/37

 

 

1,500

 

 

1,660,140

 

 

 

 

 

 

 

12,003,390

 

Utah — 1.4%

 

 

 

 

 

 

 

Utah Transit Authority, RB, Series A (AGM), 5.00%,
6/15/36

 

 

5,000

 

 

5,515,200

 

Virginia — 0.1%

 

 

 

 

 

 

 

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

 

 

400

 

 

445,972

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

27




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

Washington — 0.9%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit Authority, RB,
Series A (AGM), 5.00%, 11/01/32

 

$

3,494

 

$

3,858,161

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 47.3%

 

 

 

 

 

192,901,835

 

Total Long-Term Investments
(Cost — $577,916,104) — 152.3%

 

 

 

 

 

621,427,097

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

New York — 0.4%

 

 

 

 

 

 

 

City of New York, New York, GO, VRDN, Sub-Series A-6
(AGM, Dexia Credit Local SBPA), 0.25%, 03/01/12 (e)

 

 

1,700

 

 

1,700,000

 


 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Funds — 3.4%

 

 

 

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (f)(g)

 

 

13,815,497

 

 

13,815,497

 

Total Short-Term Securities
(Cost — $15,515,497) — 3.8%

 

 

 

 

 

15,515,497

 

Total Investments (Cost — $593,431,601) — 156.1%

 

 

 

 

 

636,942,594

 

Other Assets Less Liabilities — 1.0%

 

 

 

 

 

3,906,687

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (23.5)%

 

 

 

 

 

(95,870,735

)

VMTP Shares, at Liquidation Value — (33.6)%

 

 

 

 

 

(137,200,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

407,778,546

 


 

 

 

 

(a)

US government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

 

(b)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(c)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(e)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(f)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

5,821,237

 

 

7,994,260

 

 

13,815,497

 

$

569

 


 

 

(g)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

50

 

10-Year US
Treasury Note

 

Chicago Board
of Trade

 

 

March
2012

 

$

6,563,281

 

$

(38,376

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

621,427,097

 

 

 

$

621,427,097

 

Short-Term Securities

 

$

13,815,497

 

 

1,700,000

 

 

 

 

15,515,497

 

Total

 

$

13,815,497

 

$

623,127,097

 

 

 

$

636,942,594

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

(38,376

)

 

 

 

 

$

(38,376

)


 

 

 

 

2

Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/depreciation on the instrument.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

28

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Arizona — 2.7%

 

 

 

 

 

 

 

Salt Verde Financial Corp., RB, Senior:

 

 

 

 

 

 

 

5.00%, 12/01/32

 

$

5,635

 

$

5,670,838

 

5.00%, 12/01/37

 

 

3,990

 

 

3,989,681

 

 

 

 

 

 

 

9,660,519

 

California — 12.7%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB, San Francisco
Bay Area, Series F-1, 5.63%, 4/01/44

 

 

2,480

 

 

2,796,622

 

California County Tobacco Securitization Agency, RB,
CAB, Stanislaus, Sub-Series C, 6.30%, 6/01/55 (a)

 

 

9,710

 

 

113,219

 

California Health Facilities Financing Authority, RB,
Sutter Health, Series B, 6.00%, 8/15/42

 

 

3,500

 

 

4,044,425

 

California HFA, RB, Series K, AMT Home Mortgage,
5.50%, 2/01/42

 

 

1,925

 

 

1,919,764

 

California State Public Works Board, RB, Various Capital
Project, Sub-Series I-1, 6.38%, 11/01/34

 

 

1,280

 

 

1,501,670

 

California Statewide Communities Development
Authority, RB, Health Facility, Memorial Health
Services, Series A, 5.50%, 10/01/33

 

 

5,000

 

 

5,199,900

 

Los Angeles Department of Airports, RB, Series A,
5.25%, 5/15/39

 

 

860

 

 

953,405

 

Los Angeles Department of Airports, Refunding RB,
Senior, Los Angeles International Airport, Series A,
5.00%, 5/15/40

 

 

6,500

 

 

7,156,175

 

San Francisco City & County Redevelopment Agency,
Special Tax Bonds, District No. 6, Mission Bay South
Public Improvements, 6.63%, 8/01/27

 

 

3,120

 

 

3,141,278

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

6.00%, 3/01/33

 

 

1,760

 

 

2,106,984

 

6.50%, 4/01/33

 

 

10,670

 

 

13,122,713

 

5.00%, 10/01/41

 

 

3,320

 

 

3,543,967

 

 

 

 

 

 

 

45,600,122

 

Colorado — 1.1%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, Refunding RB,
Catholic Healthcare Series A, 5.50%, 7/01/34

 

 

2,330

 

 

2,572,063

 

Park Creek Metropolitan District Colorado, Refunding
RB, Senior, Limited Tax, Property Tax, 5.50%,
12/01/37

 

 

1,375

 

 

1,399,269

 

 

 

 

 

 

 

3,971,332

 

Connecticut — 0.5%

 

 

 

 

 

 

 

Connecticut State Health & Educational Facility
Authority, RB, Ascension Health Senior Credit, 5.00%,
11/15/40

 

 

1,505

 

 

1,615,286

 

Delaware — 1.6%

 

 

 

 

 

 

 

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

 

 

1,240

 

 

1,335,542

 

Delaware State EDA, RB, Exempt Facilities, Indian River
Power, 5.38%, 10/01/45

 

 

4,430

 

 

4,510,582

 

 

 

 

 

 

 

5,846,124

 

District of Columbia — 6.3%

 

 

 

 

 

 

 

District of Columbia Tobacco Settlement Financing Corp.,
Refunding RB, Asset-Backed:

 

 

 

 

 

 

 

6.50%, 5/15/33

 

 

7,500

 

 

8,115,900

 

6.75%, 5/15/40

 

 

11,500

 

 

11,598,095

 

Metropolitan Washington Airports Authority, RB, First
Senior Lien, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/39

 

 

550

 

 

589,391

 

5.25%, 10/01/44

 

 

2,000

 

 

2,155,380

 

 

 

 

 

 

 

22,458,766

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida — 6.2%

 

 

 

 

 

 

 

City of Leesburg Florida, RB, Leesburg Regional
Medical Center Project, 5.50%, 7/01/32

 

$

1,000

 

$

1,001,450

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

Miami International Airport, Series A AMT (AGC),
5.25%, 10/01/38

 

 

2,855

 

 

2,975,795

 

Water & Sewer System Revenue (AGM), 5.00%,
10/01/39

 

 

5,000

 

 

5,420,750

 

County of Miami-Dade Florida, Refunding RB, Miami
International Airport, Series A-1, 5.38%, 10/01/41

 

 

1,255

 

 

1,390,891

 

Live Oak Community Development District No. 1,
Special Assessment Bonds, Series A, 6.30%,
5/01/34

 

 

3,115

 

 

3,211,254

 

Miami Beach Health Facilities Authority, RB, Mount
Sinai Medical Center of Florida, 6.75%, 11/15/21

 

 

3,640

 

 

3,826,586

 

Mid-Bay Bridge Authority, RB, Series A, 7.25%,
10/01/40

 

 

2,500

 

 

2,727,075

 

Stevens Plantation Community Development District,
Special Assessment Bonds, Series A, 7.10%,
5/01/35

 

 

1,930

 

 

1,651,115

 

 

 

 

 

 

 

22,204,916

 

Georgia — 0.3%

 

 

 

 

 

 

 

DeKalb Private Hospital Authority, Refunding RB,
Children’s Healthcare, 5.25%, 11/15/39

 

 

915

 

 

985,784

 

Guam — 0.7%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A:

 

 

 

 

 

 

 

6.00%, 11/15/19

 

 

695

 

 

766,043

 

6.75%, 11/15/29

 

 

995

 

 

1,061,516

 

7.00%, 11/15/39

 

 

680

 

 

738,432

 

 

 

 

 

 

 

2,565,991

 

Hawaii — 0.5%

 

 

 

 

 

 

 

State of Hawaii, Refunding RB, Series A, 5.25%,
7/01/30

 

 

1,480

 

 

1,644,354

 

Illinois — 12.5%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

2,300

 

 

2,604,060

 

5.00%, 12/01/41

 

 

760

 

 

819,569

 

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

 

 

1,150

 

 

1,276,880

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

5.25%, 1/01/38

 

 

895

 

 

1,003,000

 

O’Hare International Airport Revenue, General,
Third Lien, Series A, 5.75%, 1/01/39

 

 

5,000

 

 

5,738,050

 

O’Hare International Airport Revenue, General,
Third Lien, Series C, (AGM), 6.50%, 1/01/41

 

 

6,430

 

 

7,738,762

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

MJH Education Assistance IV LLC, Sub-Series B,
5.38%, 6/01/35 (b)(c)

 

 

900

 

 

90,000

 

Navistar International, Recovery Zone, 6.50%,
10/15/40

 

 

1,675

 

 

1,795,834

 

Illinois Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Central Dupage Health, Series B, 5.50%, 11/01/39

 

 

1,750

 

 

1,908,567

 

Friendship Village Schaumburg, Series A, 5.63%,
2/15/37

 

 

455

 

 

391,418

 

Illinois Sports Facilities Authority, RB, State Tax
Supported (AMBAC), 5.50%, 6/15/30

 

 

10,500

 

 

11,468,205

 

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

 

 

 

 

 

 

 

Series B (AGM), 5.00%, 6/15/50

 

 

3,430

 

 

3,563,050

 

Series B-2, 5.00%, 6/15/50

 

 

2,725

 

 

2,829,749

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

1,470

 

 

1,693,117

 

6.00%, 6/01/28

 

 

1,255

 

 

1,404,194

 

State of Illinois, RB, Build Illinois, Series B,
5.25%, 6/15/34

 

 

685

 

 

755,055

 

 

 

 

 

 

 

45,079,510

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

29




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana — 2.6%

 

 

 

 

 

 

 

Indiana Finance Authority, RB, Sisters of St. Francis
Health, 5.25%, 11/01/39

 

$

915

 

$

980,505

 

Indiana Finance Authority, Refunding RB, Ascension
Health Senior Credit, Series B-5, 5.00%, 11/15/36

 

 

1,500

 

 

1,567,020

 

Indiana Finance Authority Wastewater Utility, Refunding
RB, First Lien, CWA Authority, Series A, 5.25%,
10/01/38

 

 

1,720

 

 

1,914,412

 

Indiana Health Facility Financing Authority, Refunding
RB, Methodist Hospital Inc., 5.38%, 9/15/22

 

 

3,675

 

 

3,674,779

 

Indiana Municipal Power Agency, RB, Series B, 6.00%,
1/01/39

 

 

1,200

 

 

1,364,580

 

 

 

 

 

 

 

9,501,296

 

Iowa — 0.6%

 

 

 

 

 

 

 

Iowa Student Loan Liquidity Corp., RB, Series A-1, AMT,
5.15%, 12/01/22

 

 

2,140

 

 

2,295,899

 

Kansas — 0.5%

 

 

 

 

 

 

 

Kansas Development Finance Authority, Refunding RB,
Sisters of Leavenworth, Series A, 5.00%, 1/01/40

 

 

1,755

 

 

1,865,934

 

Kentucky — 0.3%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority,
RB, Owensboro Medical Health System, Series A,
6.38%, 6/01/40

 

 

1,105

 

 

1,239,180

 

Louisiana — 3.3%

 

 

 

 

 

 

 

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

 

 

3,650

 

 

4,077,415

 

Parish of Saint John the Baptist Louisiana, RB,
Marathon Oil Corp., Series A, 5.13%, 6/01/37

 

 

7,590

 

 

7,855,650

 

 

 

 

 

 

 

11,933,065

 

Maryland — 1.5%

 

 

 

 

 

 

 

Maryland EDC, RB, Transportation Facilities Project,
Series A, 5.75%, 6/01/35

 

 

475

 

 

501,116

 

Maryland EDC, Refunding RB, CNX Marine
Terminals, Inc., 5.75%, 9/01/25

 

 

1,000

 

 

1,038,390

 

Maryland Health & Higher Educational Facilities
Authority, RB, Union Hospital of Cecil County Issue,
5.63%, 7/01/32

 

 

1,000

 

 

1,006,770

 

Maryland Health & Higher Educational Facilities
Authority, Refunding RB, Charlestown Community,
6.25%, 1/01/41

 

 

2,400

 

 

2,662,680

 

 

 

 

 

 

 

5,208,956

 

Massachusetts — 0.3%

 

 

 

 

 

 

 

Massachusetts Health & Educational Facilities Authority,
Refunding RB, Partners Healthcare, Series J1, 5.00%,
7/01/39

 

 

955

 

 

1,015,795

 

Michigan — 1.1%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority, Refunding RB,
Bronson Methodist Hospital, 5.50%, 5/15/36

 

 

1,500

 

 

1,619,010

 

Michigan State Hospital Finance Authority, Refunding
RB, Henry Ford Health System, Series A, 5.25%,
11/15/46

 

 

2,305

 

 

2,381,249

 

 

 

 

 

 

 

4,000,259

 

Minnesota — 2.2%

 

 

 

 

 

 

 

Tobacco Securitization Authority Minnesota, Refunding
RB, Tobacco Settlement Revenue, Series B:

 

 

 

 

 

 

 

5.25%, 3/01/25

 

 

4,905

 

 

5,534,655

 

5.25%, 3/01/31

 

 

2,065

 

 

2,245,915

 

 

 

 

 

 

 

7,780,570

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Missouri — 2.0%

 

 

 

 

 

 

 

370/Missouri Bottom Road/Taussig Road
Transportation Development District, RB, 7.20%,
5/01/33

 

$

6,000

 

$

6,039,720

 

Missouri State Health & Educational Facilities Authority,
RB, Senior Living Facilities, Lutheran Senior Home,
5.50%, 2/01/42

 

 

1,135

 

 

1,153,149

 

 

 

 

 

 

 

7,192,869

 

Multi-State — 3.8%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust (d)(e):

 

 

 

 

 

 

 

5.75%, 5/15/15

 

 

1,000

 

 

1,073,800

 

6.00%, 5/15/15

 

 

5,000

 

 

5,418,250

 

6.00%, 5/15/19

 

 

3,500

 

 

3,919,090

 

6.30%, 5/15/19

 

 

3,000

 

 

3,369,210

 

 

 

 

 

 

 

13,780,350

 

Nebraska — 0.9%

 

 

 

 

 

 

 

Lancaster County Hospital Authority No. 1, RB,
Immanuel Obligation Group, 5.63%, 1/01/40

 

 

1,245

 

 

1,326,423

 

Sarpy County Hospital Authority No. 1, RB, Immanuel
Obligation Group, 5.63%, 1/01/40

 

 

1,635

 

 

1,741,929

 

 

 

 

 

 

 

3,068,352

 

Nevada — 0.7%

 

 

 

 

 

 

 

County of Clark Nevada, Refunding RB, Alexander
Dawson School Nevada Project, 5.00%, 5/15/29

 

 

2,465

 

 

2,582,876

 

New Jersey — 7.5%

 

 

 

 

 

 

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.75%, 6/15/34

 

 

3,810

 

 

3,946,055

 

Continental Airlines Inc. Project, AMT, 7.20%,
11/15/30 (f)

 

 

10,100

 

 

10,112,726

 

New Jersey EDA, Special Assessment Bonds, Refunding,
Kapkowski Road Landfill Project, 6.50%, 4/01/28

 

 

7,475

 

 

8,291,345

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, 5.25%, 6/15/36

 

 

2,690

 

 

3,013,015

 

Port Authority of New York & New Jersey, RB, JFK
International Air Terminal, 6.00%, 12/01/42

 

 

1,375

 

 

1,534,170

 

 

 

 

 

 

 

26,897,311

 

New York — 3.1%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New
Covenant Charter School Project, Series A, 7.00%,
5/01/35 (b)(c)

 

 

985

 

 

226,570

 

Metropolitan Transportation Authority, Refunding RB,
Transportation, Series D, 5.25%, 11/15/40

 

 

1,325

 

 

1,461,104

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport,
AMT, 7.75%, 8/01/31 (c)(f)

 

 

6,700

 

 

6,331,500

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One Bryant
Park Project, 6.38%, 7/15/49

 

 

1,335

 

 

1,448,702

 

Port Authority of New York & New Jersey, RB, JFK
International Air Terminal, 6.00%, 12/01/36

 

 

1,410

 

 

1,578,875

 

 

 

 

 

 

 

11,046,751

 

North Carolina — 2.2%

 

 

 

 

 

 

 

Gaston County Industrial Facilities & Pollution Control
Financing Authority North Carolina, RB, Exempt
Facilities National Gypsum Co. Project, AMT, AMT,
5.75%, 8/01/35

 

 

7,500

 

 

6,146,400

 

North Carolina Medical Care Commission, RB, Duke
University Health System, Series A, 5.00%, 6/01/42

 

 

1,525

 

 

1,617,171

 

 

 

 

 

 

 

7,763,571

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

30

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Ohio — 1.9%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB, Catholic Healthcare,
Series A, 5.25%, 6/01/38

 

$

3,405

 

$

3,627,551

 

County of Montgomery Ohio, Refunding RB, Catholic
Healthcare, Series A, 5.00%, 5/01/39

 

 

3,025

 

 

3,186,747

 

 

 

 

 

 

 

6,814,298

 

Oklahoma — 0.8%

 

 

 

 

 

 

 

Tulsa Airports Improvement Trust, RB, Series A,
Mandatory Put Bonds, AMT, 7.75%, 6/01/35 (f)

 

 

3,925

 

 

3,039,873

 

Pennsylvania — 2.5%

 

 

 

 

 

 

 

Allegheny County Hospital Development Authority,
Refunding RB, Health System, West Penn, Series A,
5.38%, 11/15/40

 

 

2,000

 

 

1,652,940

 

Pennsylvania Economic Development Financing
Authority, RB:

 

 

 

 

 

 

 

Amtrak Project, Series A, AMT, 6.38%, 11/01/41

 

 

5,175

 

 

5,196,631

 

Aqua Pennsylvania Inc. Project, 5.00%, 11/15/40

 

 

2,065

 

 

2,256,591

 

 

 

 

 

 

 

9,106,162

 

Puerto Rico — 5.9%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.13%, 7/01/37

 

 

375

 

 

374,498

 

5.25%, 7/01/42

 

 

625

 

 

624,387

 

Puerto Rico Sales Tax Financing Corp., RB:

 

 

 

 

 

 

 

CAB, Series A, 6.58%, 8/01/33 (a)

 

 

13,600

 

 

4,396,064

 

CAB, Series A, 6.61%, 8/01/34 (a)

 

 

5,500

 

 

1,646,865

 

CAB, CAB, Series A, 6.61%, 8/01/35 (a)

 

 

14,055

 

 

3,916,988

 

CAB, Series A, 6.64%, 8/01/36 (a)

 

 

11,875

 

 

3,082,037

 

First Sub-Series A, 6.50%, 8/01/44

 

 

6,100

 

 

7,173,539

 

 

 

 

 

 

 

21,214,378

 

South Carolina — 3.9%

 

 

 

 

 

 

 

County of Greenwood South Carolina, RB, Facilities,
Self Memorial Hospital:

 

 

 

 

 

 

 

5.50%, 10/01/26

 

 

2,280

 

 

2,283,329

 

5.50%, 10/01/31

 

 

3,250

 

 

3,255,818

 

South Carolina Jobs-EDA, Refunding RB, Palmetto
Health Alliance, Series A, 6.25%, 8/01/31

 

 

2,640

 

 

2,788,896

 

South Carolina State Ports Authority, RB, 5.25%,
7/01/40

 

 

3,595

 

 

3,953,601

 

South Carolina State Public Service Authority,
Refunding RB, Santee Cooper Project, Series C,
5.00%, 12/01/36

 

 

1,685

 

 

1,880,460

 

 

 

 

 

 

 

14,162,104

 

Tennessee — 3.5%

 

 

 

 

 

 

 

Knox County Health Educational & Housing Facilities
Board Tennessee, Refunding RB, CAB, Series A
(AGM), 5.77%, 1/01/21 (a)

 

 

20,405

 

 

12,584,988

 

Texas — 15.6%

 

 

 

 

 

 

 

Brazos River Authority, RB, TXU Electric, Series A, AMT,
8.25%, 10/01/30

 

 

2,400

 

 

396,384

 

Central Texas Regional Mobility Authority, RB, Senior
Lien, 6.25%, 1/01/46

 

 

2,350

 

 

2,519,435

 

City of Dallas Texas, Refunding RB, 5.00%, 10/01/35

 

 

1,650

 

 

1,868,807

 

City of Houston Texas, Refunding RB:

 

 

 

 

 

 

 

Combined, First Lien, Series A (AGC), 6.00%,
11/15/35

 

 

9,145

 

 

11,023,566

 

Senior Lien, Series A, 5.50%, 7/01/39

 

 

1,675

 

 

1,840,909

 

Gulf Coast Waste Disposal Authority, Refunding RB,
Series A, AMT, 6.10%, 8/01/24

 

 

5,000

 

 

5,088,900

 

Harris County-Houston Sports Authority, Refunding RB,
Third Lien, Series A-3 (NPFGC), 5.96%, 11/15/36 (a)

 

 

25,375

 

 

4,908,286

 

Lower Colorado River Authority, Refunding RB, Series A
(NPFGC), 5.00%, 5/15/31 (g)

 

 

5

 

 

5,287

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

North Texas Tollway Authority, RB, Toll 2nd Tier, Series F,
6.13%, 1/01/31

 

$

6,790

 

$

7,525,085

 

San Antonio Energy Acquisition Public Facility Corp.,
RB, Gas Supply, 5.50%, 8/01/24

 

 

3,600

 

 

3,967,020

 

Tarrant County Cultural Education Facilities Finance
Corp., RB, Scott & White Healthcare, 6.00%,
8/15/45

 

 

4,410

 

 

5,041,159

 

Texas Private Activity Bond Surface Transportation
Corp., RB, Senior Lien:

 

 

 

 

 

 

 

LBJ Infrastructure Group LLC, LBJ Freeway Managed
Lanes Project, 7.00%, 6/30/40

 

 

4,210

 

 

4,787,107

 

NTE Mobility Partners LLC, North Tarrant Express
Managed Lanes Project, 6.88%, 12/31/39

 

 

3,000

 

 

3,400,230

 

University of Texas System, Refunding RB, Financing
System Bonds, Series B, 5.00%, 8/15/43 (h)

 

 

3,350

 

 

3,843,924

 

 

 

 

 

 

 

56,216,099

 

Utah — 1.2%

 

 

 

 

 

 

 

City of Riverton Utah, RB, IHC Health Services Inc.,
5.00%, 8/15/41

 

 

3,960

 

 

4,252,842

 

Virginia — 1.8%

 

 

 

 

 

 

 

City of Norfolk Virginia, Refunding RB, Series B
(AMBAC), 5.50%, 2/01/31 (g)

 

 

1,240

 

 

1,241,017

 

Halifax County IDA, Refunding RB, Old Dominion Electric
Co-op Project, AMT (AMBAC), 5.63%, 6/01/28

 

 

5,000

 

 

5,155,700

 

 

 

 

 

 

 

6,396,717

 

Washington — 2.3%

 

 

 

 

 

 

 

Bellingham Washington, Water & Sewer Revenue,
5.00%, 8/01/36

 

 

5,050

 

 

5,687,967

 

Washington Health Care Facilities Authority, RB,
Swedish Health Services, Series A, 6.75%, 11/15/41

 

 

2,190

 

 

2,585,229

 

 

 

 

 

 

 

8,273,196

 

Wisconsin — 2.0%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority, RB:

 

 

 

 

 

 

 

Ascension Health Senior Credit Group, 5.00%,
11/15/30

 

 

1,790

 

 

1,971,255

 

Ascension Health Senior Credit Group, 5.00%,
11/15/33

 

 

910

 

 

986,140

 

Aurora Health Care, 6.40%, 4/15/33

 

 

3,930

 

 

4,038,468

 

 

 

 

 

 

 

6,995,863

 

Wyoming — 1.5%

 

 

 

 

 

 

 

County of Sweetwater Wyoming, Refunding RB,
Idaho Power Co. Project, 5.25%, 7/15/26

 

 

3,355

 

 

3,837,952

 

Wyoming Municipal Power Agency, RB, Series A:

 

 

 

 

 

 

 

5.50%, 1/01/33

 

 

800

 

 

880,688

 

5.50%, 1/01/38

 

 

750

 

 

816,983

 

 

 

 

 

 

 

5,535,623

 

Total Municipal Bonds — 120.6%

 

 

 

 

 

433,397,881

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)

 

 

 

 

 

 

 

Alabama — 0.7%

 

 

 

 

 

 

 

Alabama Special Care Facilities Financing Authority-
Birmingham, Refunding RB, Ascension Health
Senior Credit, Series C-2, 5.00%, 11/15/36

 

 

2,519

 

 

2,637,093

 

Arizona — 0.8%

 

 

 

 

 

 

 

Salt River Arizona Project Agricultural Improvement &
Power District, RB, Series A, 5.00%, 1/01/38

 

 

2,630

 

 

2,863,745

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

31




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)

 

Par
(000)

 

Value

 

California — 6.9%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/39

 

$

2,850

 

$

3,214,373

 

Los Angeles Community College District California, GO,
Election of 2001, Series A (AGM), 5.00%, 8/01/32

 

 

2,530

 

 

2,782,747

 

San Diego Community College District California, GO,
Election of 2002, 5.25%, 8/01/33

 

 

1,840

 

 

2,125,097

 

San Francisco City & County Public Utilities
Commission, RB, Series B, 5.00%, 11/01/39

 

 

10,335

 

 

11,457,691

 

University of California, RB, Limited Project, Series B,
4.75%, 5/15/38

 

 

5,099

 

 

5,218,369

 

 

 

 

 

 

 

24,798,277

 

Colorado — 2.0%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB (AGM),
Catholic Health:

 

 

 

 

 

 

 

Series C-3, 5.10%, 10/01/41

 

 

4,230

 

 

4,439,385

 

Series C-7, 5.00%, 9/01/36

 

 

2,710

 

 

2,847,695

 

 

 

 

 

 

 

7,287,080

 

Connecticut — 3.3%

 

 

 

 

 

 

 

Connecticut State Health & Educational Facility
Authority, RB, Yale University:

 

 

 

 

 

 

 

Series T-1, 4.70%, 7/01/29

 

 

5,170

 

 

5,971,091

 

Series X-3, 4.85%, 7/01/37

 

 

5,130

 

 

5,843,327

 

 

 

 

 

 

 

11,814,418

 

Georgia — 1.4%

 

 

 

 

 

 

 

Private Colleges & Universities Authority, Refunding RB,
Emory University, Series C, 5.00%, 9/01/38

 

 

4,638

 

 

5,068,483

 

Massachusetts — 2.5%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, Sales Tax
Revenue, Senior, Series B, 5.00%, 10/15/41

 

 

4,950

 

 

5,556,573

 

Massachusetts Water Resources Authority, Refunding
RB, General, Series A, 5.00%, 8/01/41

 

 

3,150

 

 

3,460,055

 

 

 

 

 

 

 

9,016,628

 

New Hampshire — 0.7%

 

 

 

 

 

 

 

New Hampshire Health & Education Facilities Authority,
Refunding RB, Dartmouth College, 5.25%, 6/01/39

 

 

2,219

 

 

2,522,142

 

New York — 12.7%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., Senior RB,
Series A, 5.75%, 2/15/47

 

 

1,750

 

 

1,977,123

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Second General Resolution, Series HH, 5.00%,
6/15/31

 

 

9,149

 

 

10,574,792

 

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

 

 

1,710

 

 

1,971,908

 

New York State Dormitory Authority, ERB, Series F,
5.00%, 3/15/35

 

 

9,284

 

 

10,085,030

 

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

 

 

11,670

 

 

13,093,156

 

New York State Liberty Development Corp., Refunding
RB, Liberty Revenue Bonds, 4 World Trade Center
Project, 5.75%, 11/15/51

 

 

7,040

 

 

7,998,637

 

 

 

 

 

 

 

45,700,646

 

Texas — 1.2%

 

 

 

 

 

 

 

Harris County Texas Metropolitan Transit Authority, RB,
Sales & Use Tax Bonds, Series A, 5.00%, 11/01/41

 

 

3,720

 

 

4,154,905

 

Virginia — 1.8%

 

 

 

 

 

 

 

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

 

 

5,909

 

 

6,521,102

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)

 

Par
(000)

 

Value

 

Washington — 3.5%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit Authority, RB,
Series A (AGM), 5.00%, 11/01/32

 

$

3,029

 

$

3,344,843

 

State of Washington, GO, Various Purpose, Series E,
5.00%, 2/01/34

 

 

8,113

 

 

9,142,522

 

 

 

 

 

 

 

12,487,365

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 37.5%

 

 

 

 

 

134,871,884

 

Total Long-Term Investments
(Cost — $531,470,748) — 158.1%

 

 

 

 

 

568,269,765

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (j)(k)

 

 

12,802,513

 

 

12,802,513

 

Total Short-Term Securities
(Cost — $12,802,513) — 3.5%

 

 

 

 

 

12,802,513

 

Total Investments (Cost — $544,273,261) — 161.6%

 

 

 

 

 

581,072,278

 

Other Assets Less Liabilities — 0.4%

 

 

 

 

 

1,423,884

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (19.9)%

 

 

 

 

 

(71,723,715

)

VMTP Shares, at Liquidation Value — (42.1)%

 

 

 

 

 

(151,300,000

)

Net Assets — 100.0%

 

 

 

 

$

359,472,447

 


 

 

 

 

(a)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(b)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

 

(f)

Variable rate security. Rate shown is as of report date.

 

 

(g)

US 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.

 

 

(h)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Morgan Stanley Co.

 

$

3,843,924

 

$

34,103

 


 

 

(i)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(j)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

11,840,465

 

 

962,048

 

 

12,802,513

 

$

704

 


 

 

(k)

Represents the current yield as of report date.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

32

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Trust II (BLE)

 

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

79

 

 

10-Year US
Treasury Note

 

 

Chicago Board
of Trade

 

 

March
2012

 

$

10,369,984

 

$

(60,634

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

568,269,765

 

 

 

$

568,269,765

 

Short-Term Securities

 

$

12,802,513

 

 

 

 

 

 

12,802,513

 

Total

 

$

12,802,513

 

$

568,269,765

 

 

 

$

581,072,278

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

(60,634

)

 

 

 

 

$

(60,634

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

33




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.13%, 6/01/34

 

$

4,980

 

$

5,731,731

 

6.00%, 6/01/39

 

 

10,995

 

 

12,564,976

 

Selma Industrial Development Board, RB, International
Paper Co., Project, Series A, 5.38%, 12/01/35

 

 

1,745

 

 

1,827,835

 

 

 

 

 

 

 

20,124,542

 

Arizona — 2.1%

 

 

 

 

 

 

 

State of Arizona, COP, Department of Administration,
Series A (AGM), 5.25%, 10/01/24

 

 

10,260

 

 

11,931,046

 

California — 18.7%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/38

 

 

8,920

 

 

10,177,363

 

California Health Facilities Financing Authority, RB,
Series A, 5.00%, 11/15/40

 

 

1,080

 

 

1,173,388

 

California Health Facilities Financing Authority,
Refunding RB, Sutter Health, Series B, 6.00%,
8/15/42

 

 

5,370

 

 

6,205,303

 

California State Public Works Board, RB, Various Capital
Projects, Series G-1 (AGC), 5.25%, 10/01/24

 

 

5,000

 

 

5,748,100

 

California State University, RB, Systemwide, Series A
(AGM), 5.00%, 11/01/39

 

 

3,325

 

 

3,546,279

 

City of San Jose California, RB, Series A-1, AMT, 5.75%,
3/01/34

 

 

4,450

 

 

4,910,130

 

County of Sacramento California, RB, Senior Series A
(AGC), 5.50%, 7/01/41

 

 

6,600

 

 

7,156,776

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

Election of 2001, Series A (NPFGC), 5.00%,
8/01/32

 

 

10,000

 

 

10,999,000

 

Election of 2008, Series C, 5.25%, 8/01/39

 

 

3,675

 

 

4,212,653

 

Los Angeles Department of Water & Power, RB, Power
System, Sub-Series A-1, 5.25%, 7/01/38

 

 

5,000

 

 

5,701,150

 

Los Angeles Municipal Improvement Corp., Refunding
RB, Real Property, Series B (AGC), 5.50%, 4/01/39

 

 

2,980

 

 

3,284,347

 

Los Angeles Unified School District California, GO,
Series D, 5.25%, 7/01/25

 

 

3,485

 

 

4,091,913

 

Manteca Financing Authority California, RB, Manteca
Sewer (AGC):

 

 

 

 

 

 

 

5.63%, 12/01/33

 

 

2,450

 

 

2,772,347

 

5.75%, 12/01/36

 

 

3,285

 

 

3,711,590

 

Redondo Beach Unified School District, GO, Election of
2008, Series E, 5.50%, 8/01/34

 

 

4,110

 

 

4,779,149

 

San Bernardino Community College District, GO,
Election of 2002, Series A, 6.25%, 8/01/33

 

 

3,820

 

 

4,545,112

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B (AGC), 5.38%, 8/01/34

 

 

4,690

 

 

5,419,389

 

San Jacinto Unified School District, GO, Election of
2006 (AGM), 5.25%, 8/01/32

 

 

3,000

 

 

3,255,630

 

State of California, GO, Various Purpose (AGC), 5.50%,
11/01/39

 

 

15,000

 

 

16,671,900

 

 

 

 

 

 

 

108,361,519

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Hospital,
NCMC Inc. Project, Series B (AGM), 6.00%, 5/15/26

 

 

5,925

 

 

6,946,292

 

District of Columbia — 0.2%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A (NPFGC), 5.00%, 10/01/38

 

 

1,000

 

 

1,079,200

 

Florida — 7.3%

 

 

 

 

 

 

 

County of Lee Florida, Refunding RB, Series A, AMT,
5.38%, 10/01/32

 

 

4,600

 

 

4,947,622

 

County of Miami-Dade Florida, RB, AMT, Miami
International Airport, Series A:

 

 

 

 

 

 

 

(AGM), 5.50%, 10/01/41

 

 

3,500

 

 

3,703,630

 

(NPFGC), 6.00%, 10/01/29

 

 

8,000

 

 

8,055,680

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

Florida Housing Finance Corp., RB, Waverly Apartments,
Series C-1, AMT (AGM), 6.30%, 7/01/30

 

$

2,055

 

$

2,066,960

 

Florida Housing Finance Corp., Refunding RB, AMT
(NPFGC) Homeowner Mortgage, Series 2:

 

 

 

 

 

 

 

5.75%, 7/01/14

 

 

360

 

 

360,900

 

5.90%, 7/01/29

 

 

5,880

 

 

5,948,855

 

Jacksonville Port Authority, RB, AMT (AGC), 6.00%,
11/01/38

 

 

6,740

 

 

6,831,260

 

Manatee County Housing Finance Authority, RB,
Series A, AMT (Ginnie Mae), 5.90%, 9/01/40

 

 

2,700

 

 

3,037,527

 

Miami-Dade County Housing Finance Authority Florida,
MRB, Marbrisa Apartments Project, Series 2A, AMT
(AGM), 6.00%, 8/01/26

 

 

2,185

 

 

2,200,229

 

Orange County Health Facilities Authority, RB,
The Nemours Foundation Project, Series A,
5.00%, 1/01/29

 

 

4,435

 

 

4,841,911

 

 

 

 

 

 

 

41,994,574

 

Illinois — 18.4%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

6,370

 

 

7,212,114

 

5.00%, 12/01/41

 

 

12,865

 

 

13,873,359

 

Chicago Board of Education Illinois, GO, Refunding,
Chicago School Reform Board, Series A (NPFGC),
5.50%, 12/01/26

 

 

1,620

 

 

1,972,787

 

Chicago Transit Authority, RB, Federal Transit
Administration Section 5309, Series A (AGC),
6.00%, 6/01/26

 

 

6,315

 

 

7,414,315

 

Chicago Transit Authority, RB, Sale Tax Receipts Revenue:

 

 

 

 

 

 

 

5.25%, 12/01/36

 

 

1,960

 

 

2,181,284

 

5.25%, 12/01/40

 

 

5,515

 

 

6,123,470

 

City of Chicago Illinois, O’Hare International Airport,
Third Lien, RB, Series C (AGM), 5.25%, 1/01/35

 

 

4,520

 

 

4,947,637

 

City of Chicago Illinois, RB, Sales Tax Revenue, Series A,
5.25%, 1/01/38

 

 

2,445

 

 

2,740,038

 

City of Chicago Illinois, RB, Third Lien, O’Hare
International Airport, Series A, 5.75%, 1/01/39

 

 

7,395

 

 

8,486,576

 

City of Chicago Illinois, Refunding RB, General, Third
Lien, Series C, 6.50%, 1/01/41

 

 

16,800

 

 

20,219,472

 

Illinois Finance Authority, RB, University of Chicago,
Series B, 5.50%, 7/01/37

 

 

10,000

 

 

11,200,100

 

Illinois Finance Authority, Refunding RB, Carle
Foundation, Series A, 6.00%, 8/15/41

 

 

4,000

 

 

4,390,200

 

Illinois Municipal Electric Agency, RB, Series A
(NPFGC), 5.25%, 2/01/35

 

 

2,700

 

 

2,887,920

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

4,365

 

 

5,027,520

 

6.00%, 6/01/28

 

 

1,245

 

 

1,393,006

 

State of Illinois, RB, Build Illinois, Series B,
5.25%, 6/15/26

 

 

5,625

 

 

6,386,062

 

 

 

 

 

 

 

106,455,860

 

Indiana — 5.5%

 

 

 

 

 

 

 

Indiana Finance Authority WasteWater Utility, RB,
First Lien, CWA Authority, Series A:

 

 

 

 

 

 

 

5.25%, 10/01/31

 

 

5,810

 

 

6,647,279

 

5.00%, 10/01/41

 

 

2,000

 

 

2,167,860

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

6,535

 

 

7,438,006

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

14,105

 

 

15,752,323

 

 

 

 

 

 

 

32,005,468

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

34

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Iowa — 0.6%

 

 

 

 

 

 

 

Iowa Finance Authority, Refunding RB, Iowa Health
System (AGC), 5.25%, 2/15/29

 

$

3,350

 

$

3,681,148

 

Louisiana — 0.3%

 

 

 

 

 

 

 

New Orleans Aviation Board Louisiana, Refunding RB,
GARB, Restructuring (AGC):

 

 

 

 

 

 

 

Series A-1, 6.00%, 1/01/23

 

 

720

 

 

859,500

 

Series A-2, 6.00%, 1/01/23

 

 

500

 

 

596,875

 

 

 

 

 

 

 

1,456,375

 

Michigan — 13.2%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Second Lien, Series B (AGM), 6.25%, 7/01/36

 

 

6,320

 

 

7,246,512

 

Second Lien, Series B (NPFGC), 5.50%, 7/01/29

 

 

7,490

 

 

8,435,013

 

Senior Lien, Series B (AGM), 7.50%, 7/01/33

 

 

2,780

 

 

3,496,100

 

System, Second Lien, Series A (BHAC), 5.50%,
7/01/36

 

 

16,440

 

 

18,136,608

 

City of Detroit Michigan, Refunding RB, Senior Lien,
Series C-1 (AGM), 7.00%, 7/01/27

 

 

9,055

 

 

11,169,162

 

Hudsonville Public Schools, GO, School Building & Site
(Q-SBLF), 5.25%, 5/01/41

 

 

6,015

 

 

6,655,357

 

Michigan State Building Authority, RB, Facilities Program,
Series H (AGM), 5.00%, 10/15/26

 

 

1,760

 

 

1,980,704

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I (AGC):

 

 

 

 

 

 

 

5.25%, 10/15/22

 

 

6,150

 

 

7,170,408

 

5.25%, 10/15/24

 

 

2,755

 

 

3,166,845

 

5.25%, 10/15/25

 

 

1,435

 

 

1,643,204

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

5,780

 

 

7,280,604

 

 

 

 

 

 

 

76,380,517

 

Minnesota — 2.0%

 

 

 

 

 

 

 

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

 

 

9,900

 

 

11,642,697

 

Nebraska — 0.9%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority, Refunding RB,
Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

3,650

 

 

4,103,294

 

6.05%, 9/01/41

 

 

1,115

 

 

1,187,274

 

 

 

 

 

 

 

5,290,568

 

Nevada — 5.7%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Series A,
5.25%, 7/01/34

 

 

11,140

 

 

12,437,476

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

Las Vegas-McCarran International Airport, Series A
(AGC), 5.25%, 7/01/39

 

 

9,005

 

 

9,780,781

 

Subordinate Lien, Series A-2 (NPFGC), 5.00%,
7/01/36

 

 

10,380

 

 

10,634,725

 

 

 

 

 

 

 

32,852,982

 

New Jersey — 3.7%

 

 

 

 

 

 

 

New Jersey Health Care Facilities Financing Authority,
RB, Virtua Health (AGC), 5.50%, 7/01/38

 

 

6,500

 

 

7,092,865

 

New Jersey Higher Education Student Assistance
Authority, RB, Series 1, AMT, 5.75%, 12/01/28

 

 

4,475

 

 

5,017,594

 

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

 

 

 

 

 

 

 

Series A, 5.50%, 6/15/41

 

 

5,410

 

 

6,178,815

 

Series B, 5.25%, 6/15/36

 

 

2,960

 

 

3,315,437

 

 

 

 

 

 

 

21,604,711

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 8.1%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series EE, 5.25%, 6/15/40

 

$

7,500

 

$

8,461,650

 

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

 

 

4,000

 

 

4,613,760

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution:

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,499,500

 

Series EE, 5.38%, 6/15/43

 

 

3,475

 

 

3,941,866

 

New York City Transitional Finance Authority, RB,
Fiscal 2009:

 

 

 

 

 

 

 

Series S-3, 5.25%, 1/15/39

 

 

5,625

 

 

6,178,612

 

Series S-4 (AGC), 5.50%, 1/15/29

 

 

4,000

 

 

4,663,080

 

New York City Transitional Finance Authority, RB,
Sub-Future Tax Secured, Series C, 5.00%, 11/01/39

 

 

4,865

 

 

5,406,572

 

New York City Transitional Finance Authority, RB,
Sub-Series S-2A, 5.00%, 7/15/30

 

 

7,110

 

 

8,233,167

 

 

 

 

 

 

 

46,998,207

 

North Carolina — 1.4%

 

 

 

 

 

 

 

City of Charlotte NC, RB, Airport Revenue, Charlotte
Douglas Airport, Series A, 5.00%, 7/01/41

 

 

7,540

 

 

8,270,249

 

Pennsylvania — 1.7%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, RB, Sub-Series A,
6.00%, 12/01/41

 

 

4,945

 

 

5,483,807

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Children’s Hospital Philadelphia,
Series D, 5.00%, 7/01/32

 

 

3,785

 

 

4,186,135

 

 

 

 

 

 

 

9,669,942

 

Puerto Rico — 1.3%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.38%, 8/01/39

 

 

6,610

 

 

7,748,242

 

Texas — 22.7%

 

 

 

 

 

 

 

City of Austin Texas, Refunding RB, Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/15/28

 

 

3,360

 

 

3,824,688

 

5.00%, 11/15/29

 

 

4,255

 

 

4,801,980

 

City of Houston Texas, Refunding RB, Combined
First Lien, Series A (AGC):

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

12,700

 

 

15,308,834

 

6.00%, 11/15/36

 

 

9,435

 

 

11,325,397

 

5.38%, 11/15/38

 

 

5,000

 

 

5,702,000

 

Clifton Higher Education Finance Corp., Refunding RB,
Baylor University, 5.25%, 3/01/32

 

 

5,690

 

 

6,510,213

 

Dallas Area Rapid Transit, Refunding RB, Senior Lien,
5.25%, 12/01/38

 

 

10,110

 

 

11,236,355

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

3,645

 

 

4,155,373

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare
System, Series B, 7.25%, 12/01/35

 

 

1,500

 

 

1,791,855

 

Lamar Texas Consolidated Independent School District,
GO, Refunding School House, Series A, 5.00%,
2/15/45 (a)

 

 

4,175

 

 

4,712,782

 

Lower Colorado River Authority, Refunding RB, LCRA
Transmission Services Project (AGC), 5.50%,
5/15/36

 

 

3,295

 

 

3,640,843

 

Lubbock Cooper ISD Texas, GO, School Building (AGC),
5.75%, 2/15/42

 

 

2,300

 

 

2,588,489

 

North Texas Tollway Authority, RB, System:

 

 

 

 

 

 

 

First Tier, Series K-1 (AGC), 5.75%, 1/01/38

 

 

12,150

 

 

13,595,485

 

Special Projects System, Series A, 5.50%,
9/01/41

 

 

4,200

 

 

4,833,906

 

North Texas Tollway Authority, Refunding RB, System,
First Tier:

 

 

 

 

 

 

 

(AGM), 6.00%, 1/01/43

 

 

5,555

 

 

6,483,074

 

Series A (AGC), 5.75%, 1/01/40

 

 

7,000

 

 

7,719,950

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

35




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Tarrant County Cultural Education Facilities Finance
Corp., Refunding RB, Christus Health, Series A (AGC),
6.50%, 7/01/37

 

$

1,770

 

$

2,036,934

 

University of Texas, RB, Refunding Financing System
Series B, 5.00%, 8/15/43 (a)

 

 

8,495

 

 

9,747,503

 

Waco Educational Finance Corporation, RB, Baylor
University Issue 5.00%, 3/01/43

 

 

10,000

 

 

11,176,400

 

 

 

 

 

 

 

131,192,061

 

Utah — 1.2%

 

 

 

 

 

 

 

City of Riverton Utah, RB, IHC Health Services Inc.,
5.00%, 8/15/41

 

 

6,375

 

 

6,846,431

 

Virginia — 0.9%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School Financing,
6.50%, 12/01/35

 

 

4,300

 

 

5,058,520

 

Washington — 3.2%

 

 

 

 

 

 

 

City of Seattle Washington, Refunding RB, Series A,
5.25%, 2/01/36

 

 

4,200

 

 

4,803,960

 

State of Washington, GO, Various Purpose, Series B,
5.25%, 2/01/36

 

 

3,290

 

 

3,785,013

 

University of Washington, General Revenue, Refunding
Bonds, Series A, 5.00%, 7/01/41 (a)

 

 

8,700

 

 

9,888,246

 

 

 

 

 

 

 

18,477,219

 

Total Municipal Bonds — 123.8%

 

 

 

 

 

716,068,370

 


 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

 

 

 

 

 

 

Alabama — 1.2%

 

 

 

 

 

 

 

Mobile Board of Water & Sewer Commissioners, RB
(NPFGC), 5.00%, 1/01/31

 

 

6,500

 

 

6,863,870

 

California — 2.9%

 

 

 

 

 

 

 

California State University, Refunding RB, Systemwide,
Series A (AGM), 5.00%, 11/01/32

 

 

7,960

 

 

8,857,092

 

Los Angeles Unified School District California, GO,
Series I, 5.00%, 1/01/34

 

 

2,400

 

 

2,652,360

 

San Diego Community College District California, GO,
Election of 2002 (AGM), 5.00%, 5/01/30

 

 

5,000

 

 

5,513,850

 

 

 

 

 

 

 

17,023,302

 

District of Columbia — 0.7%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 6.00%, 10/01/35

 

 

3,381

 

 

4,192,125

 

Florida — 4.5%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB, Better Jacksonville
(NPFGC), 5.00%, 10/01/27

 

 

10,000

 

 

10,560,400

 

Hillsborough County Aviation Authority, RB, Series A,
AMT (AGC), 5.50%, 10/01/38

 

 

10,657

 

 

11,283,407

 

Lee County Housing Finance Authority, RB, Multi-County
Program, Series A-2, AMT (Ginnie Mae), 6.00%,
9/01/40

 

 

4,065

 

 

4,355,851

 

 

 

 

 

 

 

26,199,658

 

Illinois — 1.5%

 

 

 

 

 

 

 

Chicago Transit Authority, Refunding RB, Federal Transit
Administration Section 5309 (AGM), 5.00%, 6/01/28

 

 

7,737

 

 

8,378,442

 

Indiana — 1.8%

 

 

 

 

 

 

 

Indiana Health & Educational Facilities Financing
Authority, Refunding RB, St. Francis, Series E (AGM),
5.25%, 5/15/41

 

 

9,850

 

 

10,401,108

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Kentucky — 0.1%

 

 

 

 

 

 

 

Kentucky State Property & Building Commission,
Refunding RB, Project No. 93 (AGC), 5.25%,
2/01/27

 

$

404

 

$

461,617

 

Massachusetts — 1.8%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB,
Senior-Series B, 5.00%, 10/15/41

 

 

9,440

 

 

10,596,778

 

Nevada — 2.6%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

8,000

 

 

9,300,480

 

Series B, 5.50%, 7/01/29

 

 

5,008

 

 

5,834,918

 

 

 

 

 

 

 

15,135,398

 

New Jersey — 3.8%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction,
Series Z (AGC), 6.00%, 12/15/34

 

 

4,350

 

 

5,005,110

 

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

 

 

7,532

 

 

8,088,583

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGM), 5.00%,
12/15/32

 

 

8,000

 

 

8,637,120

 

 

 

 

 

 

 

21,730,813

 

New York — 9.7%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, Series A,
5.75%, 2/15/47

 

 

9,249

 

 

10,450,507

 

New York City Municipal Water Finance Authority, RB,
Series FF-2, 5.50%, 6/15/40

 

 

4,994

 

 

5,760,048

 

New York Liberty Development Corp., RB, Series 1,
5.25%, 12/15/43

 

 

13,950

 

 

15,651,202

 

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

 

 

8,200

 

 

9,316,594

 

New York State Dormitory Authority, Short Term Personal
Income, Tax Revenue Education, Series B, 5.25%,
3/15/38

 

 

13,500

 

 

15,007,950

 

 

 

 

 

 

 

56,186,301

 

Puerto Rico — 1.1%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., Sales Tax, RB,
Senior Series C, 5.25%, 8/01/40

 

 

5,590

 

 

6,208,030

 

Texas — 4.3%

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding RB, Series A,
5.25%, 2/01/31

 

 

12,027

 

 

13,812,878

 

North Texas Tollway Authority, RB, Special Projects
System, Series A, 5.50%, 9/01/41

 

 

9,640

 

 

11,094,965

 

 

 

 

 

 

 

24,907,843

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 36.0%

 

 

 

 

 

208,285,285

 

Total Long-Term Investments
(Cost — $844,237,606) — 159.8%

 

 

 

 

 

924,353,655

 


 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (c)(d)

 

 

30,313,901

 

 

30,313,901

 

Total Short-Term Securities
(Cost — $30,313,901) — 5.3%

 

 

 

 

 

30,313,901

 

Total Investments (Cost — $874,551,507) — 165.1%

 

 

 

 

 

954,667,556

 

Liabilities in Excess of Other Assets — (0.2)%

 

 

 

 

 

(1,218,568

)

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (17.4)%

 

 

 

 

 

(100,504,544

)

VRDP Shares, at Liquidation Value — (47.5)%

 

 

 

 

 

(274,600,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

578,344,444

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

36

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniHoldings Investment Quality Fund (MFL)


 

 

(a)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Morgan Keegan & Co.

 

$

4,712,782

 

$

17,786

 

Morgan Stanley Co.

 

$

9,747,503

 

$

86,479

 

Barclays Capital Inc.

 

$

9,888,246

 

$

66,816

 


 

 

(b)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(c)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

22,122,505

 

 

8,191,396

 

 

30,313,901

 

$

1,723

 


 

 

(d)

Represents the current yield as of report date.


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

195

 

10-Year US
Treasury Note

 

Chicago
Board of Trade

 

March
2012

 

$

25,596,797

 

$

(149,667

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

 

$

924,353,655

 

 

 

$

924,353,655

 

Short-Term Securities

 

$

30,313,901

 

 

 

 

 

 

30,313,901

 

Total

 

$

30,313,901

 

$

924,353,655

 

 

 

$

954,667,556

 


 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

(149,667

)

 

 

 

 

$

(149,667

)


 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

37




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.0%

 

 

 

 

 

 

 

Alabama State Docks Department, Refunding RB,
6.00%, 10/01/40

 

$

7,610

 

$

8,438,272

 

Camden IDB Alabama, RB, Weyerhaeuser Co. Project,
Series A, 6.13%, 12/01/13 (a)

 

 

2,550

 

 

2,810,483

 

Selma IDB, RB:

 

 

 

 

 

 

 

Gulf Opportunity Zone, International Paper,
5.80%, 5/01/34

 

 

1,850

 

 

1,969,843

 

International Paper Co., Series A, 5.38%,
12/01/35

 

 

1,000

 

 

1,047,470

 

Selma IDB Alabama, Refunding RB, International
Paper Co. Project, Series B, 5.50%, 5/01/20

 

 

5,000

 

 

5,113,650

 

 

 

 

 

 

 

19,379,718

 

Alaska — 0.1%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp., RB, Asset-Backed,
Series A, 5.00%, 6/01/46

 

 

1,250

 

 

912,787

 

Arizona — 2.7%

 

 

 

 

 

 

 

Maricopa County IDA, RB, Arizona Charter Schools
Project, Series A, 6.75%, 7/01/29

 

 

4,100

 

 

2,809,894

 

Maricopa County Pollution Control Corp., Refunding RB,
Southern California Edison Co., Series A, 5.00%,
6/01/35

 

 

3,300

 

 

3,583,041

 

Phoenix Civic Improvement Corp., RB, Junior Lien,
Series A, 5.00%, 7/01/40

 

 

2,000

 

 

2,121,580

 

Pima County IDA, RB, Arizona Charter School Project,
Series E, 7.25%, 7/01/31

 

 

1,995

 

 

1,998,551

 

Pima County IDA, Refunding RB:

 

 

 

 

 

 

 

Arizona Charter, Series I, 6.10%, 7/01/13 (a)(b)

 

 

110

 

 

117,932

 

Arizona Charter, Series I, 6.30%, 7/01/13 (a)(b)

 

 

230

 

 

247,197

 

Arizona Charter, Series I, 6.10%, 7/01/24 (b)

 

 

370

 

 

363,991

 

Arizona Charter, Series I, 6.30%, 7/01/31 (b)

 

 

740

 

 

713,205

 

Charter Schools II, Series A, 6.75%, 7/01/21

 

 

900

 

 

901,728

 

Salt Verde Financial Corp., RB, Senior, 5.00%,
12/01/37

 

 

5,000

 

 

4,999,600

 

 

 

 

 

 

 

17,856,719

 

California — 10.0%

 

 

 

 

 

 

 

California Health Facilities Financing Authority, RB,
Scripps Health, Series A, 5.00%, 11/15/40

 

 

2,800

 

 

3,042,116

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Catholic Healthcare West, Series A, 6.00%,
7/01/34

 

 

1,055

 

 

1,222,861

 

State Joseph Health System, Series A, 5.75%,
7/01/39

 

 

5,000

 

 

5,531,350

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

5,600

 

 

6,471,080

 

California HFA, RB, Home Mortgage, Series K, AMT,
5.50%, 2/01/42

 

 

2,515

 

 

2,508,159

 

California State Public Works Board, RB, Department
of Mental Health, Coalinga, Series A:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

6,000

 

 

6,186,120

 

5.13%, 6/01/29

 

 

10,435

 

 

10,637,752

 

California Statewide Communities Development
Authority, RB, Health Facility, Memorial Health
Services, Series A, 6.00%, 10/01/23

 

 

4,240

 

 

4,460,904

 

Golden State Tobacco Securitization Corp. California,
RB, Asset-Backed, Series A-3, 7.88%, 6/01/13 (a)

 

 

10,725

 

 

11,724,356

 

Los Angeles Department of Airports, RB, Series A,
5.25%, 5/15/39

 

 

1,200

 

 

1,330,332

 

State of California, GO, Various Purpose, 6.50%,
4/01/33

 

 

9,700

 

 

11,929,739

 

 

 

 

 

 

 

65,044,769

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Colorado — 1.0%

 

 

 

 

 

 

 

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

 

$

2,500

 

$

2,901,325

 

Colorado Health Facilities Authority, Refunding RB,
Evangelical Lutheran, Series A, 5.25%, 6/01/34

 

 

3,000

 

 

3,030,870

 

Colorado Housing & Finance Authority, Refunding RB,
S/F Program, Senior Series A-2, AMT:

 

 

 

 

 

 

 

6.60%, 5/01/28

 

 

275

 

 

283,476

 

7.50%, 4/01/31

 

 

130

 

 

131,548

 

Regional Transportation District, COP, Series A, 5.38%,
6/01/31

 

 

385

 

 

431,073

 

 

 

 

 

 

 

6,778,292

 

Connecticut — 0.2%

 

 

 

 

 

 

 

Mohegan Tribe of Indians of Connecticut, RB, Public
Improvement, Priority Distribution, 6.25%, 1/01/31

 

 

1,885

 

 

1,600,422

 

Delaware — 0.3%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,615,575

 

District of Columbia — 0.2%

 

 

 

 

 

 

 

Metropolitan Washington Airports Authority, RB, First
Senior Lien, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/39

 

 

415

 

 

444,722

 

5.25%, 10/01/44

 

 

650

 

 

700,499

 

 

 

 

 

 

 

1,145,221

 

Florida — 5.0%

 

 

 

 

 

 

 

County of Miami-Dade Florida, GO, Building Better
Communities Program:

 

 

 

 

 

 

 

Series B, 6.38%, 7/01/28

 

 

4,630

 

 

5,564,797

 

Series B-1, 5.63%, 7/01/38

 

 

5,000

 

 

5,587,050

 

County of Miami-Dade Florida, Refunding RB, Miami
International Airport:

 

 

 

 

 

 

 

AMT (AGC), 5.00%, 10/01/40

 

 

10,000

 

 

10,239,300

 

Series A-1, 5.38%, 10/01/41

 

 

10,290

 

 

11,404,201

 

 

 

 

 

 

 

32,795,348

 

Georgia — 2.2%

 

 

 

 

 

 

 

City of Atlanta Georgia, Refunding RB, General, Series B,
AMT, 5.00%, 1/01/29

 

 

1,070

 

 

1,149,779

 

DeKalb County Hospital Authority Georgia, RB, Dekalb
Medical Center Inc. Project, 6.13%, 9/01/40

 

 

3,570

 

 

3,850,602

 

DeKalb Private Hospital Authority, Refunding RB,
Childrens Healthcare, 5.25%, 11/15/39

 

 

3,335

 

 

3,592,996

 

Municipal Electric Authority of Georgia, RB, Series W:

 

 

 

 

 

 

 

6.60%, 1/01/18

 

 

4,530

 

 

5,140,553

 

6.60%, 1/01/18 (c)

 

 

250

 

 

269,365

 

 

 

 

 

 

 

14,003,295

 

Hawaii — 0.9%

 

 

 

 

 

 

 

Hawaii State Harbor, RB, Series A, 5.50%, 7/01/35

 

 

5,000

 

 

5,545,800

 

Illinois — 12.5%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Series A,
5.50%, 12/01/39

 

 

6,670

 

 

7,551,774

 

City of Chicago Illinois Sales Tax Revenue, Series A,
5.00%, 1/01/41

 

 

2,290

 

 

2,519,641

 

Chicago Transit Authority, RB, Sales Tax Receipts
Revenue, Third Lien, 5.25%, 12/01/36

 

 

2,110

 

 

2,348,219

 

City of Chicago Illinois, RB, General, Third Lien,
Series B-2, AMT (NPFGC), 6.00%, 1/01/27

 

 

17,080

 

 

18,303,782

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

Advocate Health Care Network, Series D, 6.50%,
11/01/38

 

 

9,700

 

 

11,193,024

 

Community, 6.50%, 7/01/22

 

 

1,060

 

 

968,193

 

Community Rehabilitation, 6.50%, 7/01/12 (a)

 

 

1,080

 

 

1,114,020

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

38

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Northwestern Memorial Hospital, Series A, 6.00%,
8/15/39

 

$

9,000

 

$

10,332,360

 

OSF Healthcare System, Series A, 6.00%, 5/15/39

 

 

5,140

 

 

5,757,623

 

Railsplitter Tobacco Settlement Authority, RB, 6.00%,
6/01/28

 

 

2,645

 

 

2,959,438

 

Regional Transportation Authority, RB:

 

 

 

 

 

 

 

Series A (AMBAC), 7.20%, 11/01/20

 

 

3,040

 

 

3,710,107

 

Series C (NPFGC), 7.75%, 6/01/20

 

 

4,000

 

 

5,044,600

 

Village of Hodgkins Illinois, RB, MBM Project, AMT,
6.00%, 11/01/23

 

 

10,000

 

 

10,009,000

 

 

 

 

 

 

 

81,811,781

 

Indiana — 2.6%

 

 

 

 

 

 

 

Indiana Health & Educational Facilities Financing
Authority, RB, Clarian Health Obligation, Series A,
5.25%, 2/15/40

 

 

8,980

 

 

9,251,196

 

Indianapolis Local Public Improvement Bond Bank,
Refunding RB, Series D, 6.75%, 2/01/14

 

 

7,120

 

 

7,595,545

 

 

 

 

 

 

 

16,846,741

 

Iowa — 0.1%

 

 

 

 

 

 

 

Iowa Tobacco Settlement Authority, RB, Asset Backed,
Series C, 5.63%, 6/01/46

 

 

1,000

 

 

770,930

 

Kansas — 0.3%

 

 

 

 

 

 

 

Sedgwick & Shawnee Counties Kansas, RB, Mortgage-
Backed Securities Program, Series A-4, AMT (Ginnie
Mae), 5.95%, 12/01/33

 

 

1,555

 

 

1,620,014

 

Kentucky — 1.2%

 

 

 

 

 

 

 

County of Owen Kentucky, RB, Kentucky American
Water Co., Series B, 5.63%, 9/01/39

 

 

1,000

 

 

1,054,700

 

Kentucky Economic Development Finance Authority,
RB, Owensboro Medical Health System, Series A:

 

 

 

 

 

 

 

6.38%, 6/01/40

 

 

2,000

 

 

2,242,860

 

6.50%, 3/01/45

 

 

4,000

 

 

4,519,720

 

 

 

 

 

 

 

7,817,280

 

Louisiana — 0.5%

 

 

 

 

 

 

 

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

 

 

2,615

 

 

2,921,216

 

Maine — 1.0%

 

 

 

 

 

 

 

Maine Health & Higher Educational Facilities Authority,
RB, Series A, 5.00%, 7/01/39

 

 

5,000

 

 

5,295,450

 

Portland New Public Housing Authority Maine, Refunding
RB, Senior Living, Series A, 6.00%, 2/01/34

 

 

1,190

 

 

1,206,493

 

 

 

 

 

 

 

6,501,943

 

Maryland — 1.8%

 

 

 

 

 

 

 

Maryland Community Development Administration, RB,
AMT, 5.10%, 9/01/37

 

 

1,835

 

 

1,880,545

 

Maryland Community Development Administration,
Refunding RB, Residential, Series D, 4.90%,
9/01/42

 

 

3,250

 

 

3,281,557

 

Maryland Health & Higher Educational Facilities
Authority, Refunding RB:

 

 

 

 

 

 

 

Charlestown Community, 6.25%, 1/01/41

 

 

2,000

 

 

2,218,900

 

University of Maryland Medical System, 5.00%,
7/01/34

 

 

2,100

 

 

2,224,089

 

University of Maryland Medical System, 5.13%,
7/01/39

 

 

2,100

 

 

2,236,479

 

 

 

 

 

 

 

11,841,570

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Massachusetts — 5.4%

 

 

 

 

 

 

 

Massachusetts Bay Transportation Authority, Refunding
RB, General Transportation System, Series A, 7.00%,
3/01/19

 

$

3,010

 

$

3,669,852

 

Massachusetts HFA, RB, Series A, AMT, 5.20%,
12/01/37

 

 

2,935

 

 

3,006,526

 

Massachusetts HFA, RB, S/F, Series 130, AMT,
5.00%, 12/01/32

 

 

2,500

 

 

2,544,250

 

Massachusetts HFA, Refunding RB, Series C, AMT,
5.35%, 12/01/42

 

 

6,550

 

 

6,886,998

 

Massachusetts Water Resources Authority, RB,
Series A, 6.50%, 7/15/19

 

 

16,000

 

 

19,344,160

 

 

 

 

 

 

 

35,451,786

 

Michigan — 3.9%

 

 

 

 

 

 

 

City of Detroit Michigan, RB, Second Lien,
Series B (AGM):

 

 

 

 

 

 

 

6.25%, 7/01/36

 

 

2,500

 

 

2,866,500

 

7.00%, 7/01/36

 

 

1,250

 

 

1,495,150

 

Michigan State Hospital Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Henry Ford Health System, Series A, 5.25%,
11/15/46

 

 

7,950

 

 

8,212,986

 

McLaren Health Care, 5.75%, 5/15/38

 

 

7,285

 

 

7,904,443

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

4,100

 

 

5,164,442

 

 

 

 

 

 

 

25,643,521

 

Minnesota — 0.5%

 

 

 

 

 

 

 

Tobacco Securitization Authority Minnesota, Refunding
RB, Tobacco Settlement, Series B, 5.25%, 3/01/31

 

 

3,000

 

 

3,262,830

 

Mississippi — 5.0%

 

 

 

 

 

 

 

County of Lowndes Mississippi, Refunding RB,
Weyerhaeuser Co. Project:

 

 

 

 

 

 

 

Series A, 6.80%, 4/01/22

 

 

9,160

 

 

10,206,530

 

Series B, 6.70%, 4/01/22

 

 

4,500

 

 

4,963,455

 

Mississippi Business Finance Corp., Refunding RB,
System Energy Resource Inc. Project:

 

 

 

 

 

 

 

5.88%, 4/01/22

 

 

15,000

 

 

15,045,000

 

5.90%, 5/01/22

 

 

2,250

 

 

2,257,830

 

 

 

 

 

 

 

32,472,815

 

Nebraska — 0.7%

 

 

 

 

 

 

 

Omaha New York Public Power District, Series B, 5.00%,
2/01/36

 

 

4,000

 

 

4,528,360

 

Nevada — 0.9%

 

 

 

 

 

 

 

County of Clark Nevada, RB, Series B, 5.75%, 7/01/42

 

 

5,000

 

 

5,604,950

 

New Hampshire — 0.4%

 

 

 

 

 

 

 

New Hampshire Health & Education Facilities Authority,
Refunding RB, Elliot Hospital, Series B, 5.60%,
10/01/22

 

 

2,300

 

 

2,466,037

 

New Jersey — 6.4%

 

 

 

 

 

 

 

New Jersey EDA, RB, Cigarette Tax:

 

 

 

 

 

 

 

5.50%, 6/15/24

 

 

9,080

 

 

9,130,303

 

5.75%, 6/15/34

 

 

3,695

 

 

3,826,949

 

New Jersey EDA, Refunding RB, School Facilities
Construction, Series AA, 5.25%, 12/15/33

 

 

10,000

 

 

11,103,900

 

New Jersey State Housing & Mortgage Finance Agency,
RB, Series AA, 6.38%, 10/01/28

 

 

1,420

 

 

1,572,323

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, 5.50%, 6/15/31

 

 

8,000

 

 

9,384,480

 

Tobacco Settlement Financing Corp. New Jersey, RB,
7.00%, 6/01/13 (a)

 

 

5,980

 

 

6,485,430

 

 

 

 

 

 

 

41,503,385

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

39




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 4.0%

 

 

 

 

 

 

 

Metropolitan Transportation Authority, RB, Series 2008C:

 

 

 

 

 

 

 

6.25%, 11/15/23

 

$

3,245

 

$

3,952,086

 

6.50%, 11/15/28

 

 

14,925

 

 

18,564,461

 

Port Authority of New York & New Jersey, RB, JFK
International Air Terminal, 6.00%, 12/01/36

 

 

3,165

 

 

3,544,072

 

 

 

 

 

 

 

26,060,619

 

North Carolina — 0.5%

 

 

 

 

 

 

 

Gaston County Industrial Facilities & Pollution Control
Financing Authority North Carolina, RB, Exempt
Facilities, National Gypsum Co. Project, AMT, 5.75%,
8/01/35

 

 

4,105

 

 

3,364,130

 

Ohio — 0.5%

 

 

 

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, RB,
Senior, Series A-2, 6.50%, 6/01/47

 

 

1,125

 

 

917,213

 

County of Lucas Ohio, Refunding RB, Promedica
Healthcare, Series A, 6.50%, 11/15/37

 

 

1,915

 

 

2,326,265

 

 

 

 

 

 

 

3,243,478

 

Pennsylvania — 0.9%

 

 

 

 

 

 

 

Chester County IDA, RB, Aqua Pennsylvania Inc. Project,
Series A, AMT (NPFGC), 5.00%, 2/01/40

 

 

540

 

 

559,985

 

Delaware River Port Authority Pennsylvania, RB, Series D,
5.00%, 1/01/40

 

 

195

 

 

208,001

 

Pennsylvania Economic Development Financing
Authority, Refunding RB, Aqua Pennsylvania Inc.
Project, Series A, AMT, 5.00%, 12/01/34

 

 

2,780

 

 

2,987,749

 

Philadelphia Authority for Industrial Development, RB:

 

 

 

 

 

 

 

Arbor House Inc. Project, Series E, 6.10%,
7/01/33

 

 

1,000

 

 

1,008,890

 

Rieder House Project, Series A, 6.10%, 7/01/33

 

 

1,355

 

 

1,367,046

 

 

 

 

 

 

 

6,131,671

 

Puerto Rico — 2.6%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.38%, 8/01/39

 

 

13,000

 

 

15,238,600

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.68%, 8/01/41 (d)

 

 

10,000

 

 

2,003,200

 

 

 

 

 

 

 

17,241,800

 

South Carolina — 0.9%

 

 

 

 

 

 

 

County of Georgetown South Carolina, Refunding RB,
International Paper Co. Project, Series A, AMT, 5.55%,
12/01/29

 

 

1,000

 

 

1,016,480

 

County of Richland South Carolina, Refunding RB,
International Paper Co. Project, AMT, 6.10%, 4/01/23

 

 

5,000

 

 

5,148,200

 

 

 

 

 

 

 

6,164,680

 

Texas — 12.9%

 

 

 

 

 

 

 

Brazos River Authority, Refunding RB, Texas Utility Co.,
Series, AMT, 7.70%, 4/01/33

 

 

3,055

 

 

458,708

 

Brazos River Harbor Navigation District, Refunding RB,
Dow Chemical Co. Project, Series A-7, AMT, 6.63%,
5/15/33

 

 

11,460

 

 

11,612,991

 

Central Texas Regional Mobility Authority, RB,
Senior Lien:

 

 

 

 

 

 

 

5.75%, 1/01/31

 

 

1,000

 

 

1,084,950

 

6.00%, 1/01/41

 

 

4,300

 

 

4,613,384

 

City of Houston Texas, RB, Senior Lien, Series A, 5.50%,
7/01/34

 

 

8,335

 

 

9,239,931

 

Gulf Coast Waste Disposal Authority, Refunding RB,
Series A, AMT, 6.10%, 8/01/24

 

 

4,000

 

 

4,071,120

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare System,
Series B:

 

 

 

 

 

 

 

7.13%, 12/01/31

 

 

3,500

 

 

4,219,775

 

7.25%, 12/01/35

 

 

5,400

 

 

6,450,678

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Houston Industrial Development Corp., RB, Senior, Air
Cargo, AMT, 6.38%, 1/01/23

 

$

1,690

 

$

1,574,100

 

La Vernia Higher Education Finance Corp., RB, KIPP Inc.,
6.25%, 8/15/39

 

 

925

 

 

1,014,947

 

Love Field Airport Modernization Corp., RB, Southwest
Airlines Co. Project, 5.25%, 11/01/40

 

 

3,600

 

 

3,726,468

 

Matagorda County Navigation District No. 1 Texas,
Refunding RB, CenterPoint Energy Project, 5.60%,
3/01/27 (e)

 

 

9,355

 

 

9,770,456

 

North Texas Tollway Authority, Refunding RB, First Tier,
Series A, 6.25%, 1/01/39

 

 

3,500

 

 

3,949,050

 

Tarrant County Cultural Education Facilities Finance
Corp., RB, Scott & White Healthcare, 6.00%, 8/15/45

 

 

5,000

 

 

5,715,600

 

Texas Private Activity Bond Surface Transportation Corp.,
RB, Senior Lien:

 

 

 

 

 

 

 

LBJ Infrastructure Group LLC, LBJ Freeway Managed
Lanes Project, 7.00%, 6/30/40

 

 

10,000

 

 

11,370,800

 

NTE Mobility Partners LLC, North Tarrant Express
Managed Lanes Project, 6.88%, 12/31/39

 

 

4,710

 

 

5,338,361

 

 

 

 

 

 

 

84,211,319

 

Vermont — 0.2%

 

 

 

 

 

 

 

Vermont Educational & Health Buildings Financing
Agency, RB, Developmental & Mental Health, Series A,
6.38%, 6/15/22

 

 

1,000

 

 

1,010,120

 

Virginia — 2.5%

 

 

 

 

 

 

 

City of Norfolk Virginia, Refunding RB, Series B
(AMBAC), 5.50%, 2/01/31

 

 

3,550

 

 

3,552,911

 

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

 

 

3,105

 

 

3,520,077

 

Fairfax County EDA, Refunding RB, Goodwin House Inc.:

 

 

 

 

 

 

 

5.13%, 10/01/37

 

 

2,000

 

 

2,029,480

 

5.13%, 10/01/42

 

 

6,015

 

 

6,083,150

 

Virginia HDA, Refunding RB, Sub-Series A3, AMT,
5.05%, 7/01/26

 

 

1,325

 

 

1,381,193

 

 

 

 

 

 

 

16,566,811

 

Washington — 4.4%

 

 

 

 

 

 

 

Energy Northwest, Refunding RB, Series B, 7.13%,
7/01/16

 

 

14,320

 

 

18,109,501

 

Seattle Housing Authority Washington, RB, Replacement
Housing Projects, 6.13%, 12/01/32

 

 

2,175

 

 

2,176,414

 

Washington Health Care Facilities Authority, Refunding
RB, Catholic Health Initiatives, Series D, 6.38%,
10/01/36

 

 

7,000

 

 

8,215,270

 

 

 

 

 

 

 

28,501,185

 

West Virginia — 0.4%

 

 

 

 

 

 

 

West Virginia Hospital Finance Authority, Refunding RB,
Charleston, Series A, 5.63%, 9/01/32

 

 

2,500

 

 

2,689,000

 

Wisconsin — 1.4%

 

 

 

 

 

 

 

City of Milwaukee Wisconsin, RB, Senior, Air Cargo, AMT,
6.50%, 1/01/25

 

 

1,475

 

 

1,409,421

 

Wisconsin Health & Educational Facilities Authority, RB,
Hudson Memorial Hospital (FHA), 5.70%, 1/15/29

 

 

4,500

 

 

4,563,000

 

Wisconsin Health & Educational Facilities Authority, RB,
SynergyHealth Inc., 6.00%, 11/15/32

 

 

3,040

 

 

3,132,477

 

 

 

 

 

 

 

9,104,898

 

Wyoming — 0.8%

 

 

 

 

 

 

 

County of Sweetwater Wyoming, Refunding RB, Idaho
Power Co. Project, 5.25%, 7/15/26

 

 

4,500

 

 

5,147,775

 

Total Municipal Bonds — 100.8%

 

 

 

 

 

657,180,591

 


 

 

 

 

See Notes to Financial Statements.

 

40

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

Par
(000)

 

Value

 

Arizona — 0.6%

 

 

 

 

 

 

 

Phoenix Civic Improvement Corp., RB, Junior Lien,
Series A, 5.00%, 7/01/34

 

$

3,500

 

$

3,913,875

 

California — 5.2%

 

 

 

 

 

 

 

Los Angeles Community College District California, GO,
Election of 2008, Series A, 6.00%, 8/01/33

 

 

9,586

 

 

11,444,001

 

University of California, RB, Series O, 5.25%, 5/15/39

 

 

20,000

 

 

22,374,600

 

 

 

 

 

 

 

33,818,601

 

Connecticut — 2.0%

 

 

 

 

 

 

 

Connecticut State Health & Educational Facility
Authority, RB, Yale University, Series Z-3, 5.05%,
7/01/42

 

 

12,000

 

 

13,221,480

 

District of Columbia — 1.3%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.50%, 10/01/39

 

 

7,495

 

 

8,469,120

 

Florida — 3.9%

 

 

 

 

 

 

 

County of Miami-Dade Florida, RB, Water & Sewer
System (AGM), 5.00%, 10/01/39

 

 

14,747

 

 

15,987,776

 

Miami-Dade County Expressway Authority, RB, Series A
(AGC), 5.00%, 7/01/35

 

 

8,900

 

 

9,630,245

 

 

 

 

 

 

 

25,618,021

 

Illinois — 3.2%

 

 

 

 

 

 

 

City of Chicago Illinois, Refunding RB, Second Lien
(AGM), 5.25%, 11/01/33

 

 

1,330

 

 

1,438,142

 

Illinois Finance Authority, RB, University of Chicago,
Series B, 6.25%, 7/01/38

 

 

10,000

 

 

11,824,900

 

Illinois State Toll Highway Authority, RB, Series B,
5.50%, 1/01/33

 

 

6,999

 

 

7,666,165

 

 

 

 

 

 

 

20,929,207

 

Kentucky — 5.2%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority,
Refunding RB, St. Elizabeth, Series A, 5.50%,
5/01/39

 

 

8,003

 

 

8,770,210

 

Kentucky Housing Corp., Refunding RB, Series L,
AMT, 5.25%, 1/01/38

 

 

6,840

 

 

7,024,475

 

Lexington-Fayette Urban County Airport Board,
Refunding RB, Series A, 5.00%, 7/01/27

 

 

7,001

 

 

7,868,226

 

Louisville & Jefferson County Metropolitan Government
Parking Authority, RB, Series A, 5.38%, 12/01/39

 

 

9,195

 

 

10,300,239

 

 

 

 

 

 

 

33,963,150

 

Maryland — 0.8%

 

 

 

 

 

 

 

Maryland State Transportation Authority, RB,
Transportation Facility Project (AGM), 5.00%,
7/01/41

 

 

4,710

 

 

5,141,907

 

Nevada — 2.9%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Series B,
5.75%, 7/01/34

 

 

15,789

 

 

18,619,599

 

New York — 6.5%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority:
RB, Series FF-2, 5.50%, 6/15/40

 

 

4,154

 

 

4,791,391

 

Water & Sewer System, RB, Series DD, 5.00%,
6/15/37

 

 

24,199

 

 

26,203,899

 

New York Liberty Development Corp., Refunding RB,
5.75%, 11/15/51

 

 

10,000

 

 

11,361,700

 

 

 

 

 

 

 

42,356,990

 

North Carolina — 2.9%

 

 

 

 

 

 

 

North Carolina Capital Facilities Finance Agency,
Refunding RB:

 

 

 

 

 

 

 

Duke University Project, Series A, 5.00%, 10/01/41

 

 

12,678

 

 

13,555,522

 

Wake Forest University, 5.00%, 1/01/38

 

 

5,000

 

 

5,484,300

 

 

 

 

 

 

 

19,039,822

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

Par
(000)

 

Value

 

Ohio — 3.6%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB, Catholic Healthcare,
Series A, 5.25%, 6/01/38

 

$

2,870

 

$

3,057,583

 

County of Montgomery Ohio, Refunding RB, Catholic
Healthcare, Series A, 5.50%, 5/01/34

 

 

5,470

 

 

6,066,777

 

Ohio Higher Educational Facility Commission,
Refunding RB, Hospital, Cleveland Clinic Health,
Series A, 5.25%, 1/01/33

 

 

4,400

 

 

4,740,604

 

State of Ohio, RB, Cleveland Clinic Health, Series B,
5.50%, 1/01/34

 

 

8,500

 

 

9,378,730

 

 

 

 

 

 

 

23,243,694

 

Oregon — 2.1%

 

 

 

 

 

 

 

Oregon State Housing & Community Services
Department, HRB, Series A, AMT, 4.95%, 7/01/30

 

 

13,000

 

 

13,373,328

 

South Carolina — 0.5%

 

 

 

 

 

 

 

South Carolina State Housing Finance & Development
Authority, Refunding RB, Series B-1, 5.55%, 7/01/39

 

 

3,079

 

 

3,247,931

 

Texas — 7.8%

 

 

 

 

 

 

 

Harris County Health Facilities Development Corp.,
Refunding RB, School Health Care System, Series B,
5.75%, 7/01/27

 

 

20,970

 

 

27,225,141

 

Houston Higher Education Finance Corp., RB, Rice
University Project, Series A, 5.00%, 5/15/40

 

 

10,000

 

 

11,321,091

 

Texas Department of Housing & Community Affairs,
MRB, Series B, AMT (Ginnie Mae), 5.25%, 9/01/32

 

 

6,276

 

 

6,476,594

 

Texas State University Systems, Refunding RB (AGM),
5.00%, 3/15/30

 

 

5,667

 

 

6,037,561

 

 

 

 

 

 

 

51,060,387

 

Virginia — 2.6%

 

 

 

 

 

 

 

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

 

 

2,099

 

 

2,341,355

 

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

 

 

5,002

 

 

5,361,480

 

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

 

 

8,001

 

 

9,287,550

 

 

 

 

 

 

 

16,990,385

 

Washington — 4.2%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit Authority, RB,
Series A:

 

 

 

 

 

 

 

5.00%, 11/01/34

 

 

5,000

 

 

6,005,175

 

5.00%, 11/01/36

 

 

6,000

 

 

6,005,190

 

(AGM), 5.00%, 11/01/32

 

 

14,007

 

 

15,465,760

 

 

 

 

 

 

 

27,476,125

 

Wisconsin — 1.0%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority,
Refunding RB, Froedtert & Community Health Inc.,
5.25%, 4/01/39

 

 

6,099

 

 

6,596,226

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 56.3%

 

 

 

 

 

367,079,848

 

Total Long-Term Investments
(Cost — $934,858,894) — 157.1%

 

 

 

 

 

1,024,260,439

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

41




 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

Virginia — 0.8%

 

 

 

 

 

 

 

Roanoke Economic Development Authority, RB, VRDN,
Carilion Health System, Series A-2 (AGM Insurance,
Wells Fargo Bank NA SBPA), 0.05%, 3/01/12 (g)

 

$

5,000

 

$

5,000,000

 

Washington — 0.7%

 

 

 

 

 

 

 

Washington Health Care Facilities Authority, RB, VRDN,
Multicare Health System, Series D, 0.10%,
3/01/12 (g)

 

 

4,900

 

 

4,900,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Funds — 5.5%

 

 

 

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (h)(i)

 

 

35,889,619

 

 

35,889,619

 

Total Short-Term Securities
(Cost — $45,789,619) — 7.0%

 

 

 

 

 

45,789,619

 

Total Investments (Cost — $980,648,513) — 164.1%

 

 

 

 

 

1,070,050,058

 

Other Assets Less Liabilities — 1.4%

 

 

 

 

 

9,465,669

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (28.1)%

 

 

 

 

 

(183,483,660

)

VMTP Shares, at Liquidation Value — (37.4)%

 

 

 

 

 

(243,800,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

652,232,067

 


 

 

(a)

US government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

 

(b)

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

 

 

(c)

Security is collateralized by Municipal or US Treasury obligations.

 

 

(d)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Variable rate security. Rate shown is as of report date.

 

 

(f)

Securities represent bonds transferred to a TOB trust in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(g)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(h)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

44,571,921

 

 

(8,682,302

)

 

35,889,619

 

 

 


 

 

 

(i)

Represents the current yield as of report date.

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

1,024,260,439

 

 

 

$

1,024,260,439

 

Short-Term
Securities

 

$

35,889,619

 

 

9,900,000

 

 

 

 

45,789,619

 

Total

 

$

35,889,619

 

$

1,034,160,439

 

 

 

$

1,070,050,058

 


 

 

 

 

1

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


 

 

 

 

See Notes to Financial Statements.

 

42

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012 (Unaudited)

 

BlackRock
Municipal Bond
Investment Trust
(BIE)

 

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)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

87,232,830

 

$

251,351,552

 

$

220,551,298

 

$

623,127,097

 

$

568,269,765

 

$

924,353,655

 

$

1,034,160,439

 

Investments at value — affiliated2

 

 

3,025,425

 

 

4,946,999

 

 

3,259,592

 

 

13,815,497

 

 

12,802,513

 

 

30,313,901

 

 

35,889,619

 

Cash pledged as collateral for financial futures contracts

 

 

35,000

 

 

63,000

 

 

91,000

 

 

96,000

 

 

152,000

 

 

305,000

 

 

 

Interest receivable

 

 

908,804

 

 

3,098,952

 

 

2,320,940

 

 

5,994,929

 

 

7,138,538

 

 

10,931,799

 

 

13,392,230

 

Investments sold receivable

 

 

 

 

25,000

 

 

 

 

1,123,630

 

 

 

 

14,435,178

 

 

 

Margin variation receivable

 

 

7,313

 

 

16,801

 

 

19,094

 

 

20,313

 

 

32,094

 

 

79,217

 

 

 

Deferred offering costs

 

 

183,387

 

 

134,969

 

 

117,248

 

 

175,364

 

 

192,345

 

 

713,028

 

 

289,514

 

Prepaid expenses

 

 

1,912

 

 

5,806

 

 

22,261

 

 

14,341

 

 

7,612

 

 

15,487

 

 

15,487

 

Other assets

 

 

4,352

 

 

20,829

 

 

13,573

 

 

53,837

 

 

48,827

 

 

118,032

 

 

121,235

 

Total assets

 

 

91,399,023

 

 

259,663,908

 

 

226,395,006

 

 

644,421,008

 

 

588,643,694

 

 

981,265,297

 

 

1,083,868,524

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

 

 

1,128

 

 

1,082

 

 

11,148

 

 

9,832

 

 

466

 

 

480

 

Investments purchased payable

 

 

3,166,722

 

 

 

 

11,254,094

 

 

1,085,050

 

 

3,809,821

 

 

24,180,929

 

 

 

TOB trust payable

 

 

445,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Income dividends payable — Common Shares

 

 

270,295

 

 

927,809

 

 

651,516

 

 

2,029,506

 

 

1,951,971

 

 

2,886,731

 

 

3,739,532

 

Investment advisory fees payable

 

 

41,572

 

 

123,113

 

 

92,714

 

 

278,398

 

 

229,643

 

 

385,813

 

 

426,043

 

Officer’s and Trustees’ fees payable

 

 

2,893

 

 

29,729

 

 

15,569

 

 

74,481

 

 

19,481

 

 

129,980

 

 

159,021

 

Interest expense and fees payable

 

 

4,589

 

 

3,484

 

 

13,811

 

 

37,326

 

 

26,574

 

 

50,644

 

 

72,624

 

Other accrued expenses payable

 

 

22,890

 

 

4,286

 

 

13,681

 

 

92,463

 

 

126,033

 

 

232,013

 

 

26,511

 

Total accrued liabilities

 

 

3,953,961

 

 

1,089,549

 

 

12,042,467

 

 

3,608,372

 

 

6,173,355

 

 

27,866,576

 

 

4,424,211

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust certificates

 

 

15,821,025

 

 

10,318,936

 

 

32,574,167

 

 

95,834,090

 

 

71,697,892

 

 

100,454,277

 

 

183,412,246

 

VRDP Shares, at liquidation value of $100,000 per share3,4

 

 

17,800,000

 

 

 

 

 

 

 

 

 

 

274,600,000

 

 

 

VMTP Shares, at liquidation value of $100,000 per share3,4

 

 

 

 

79,900,000

 

 

42,200,000

 

 

137,200,000

 

 

151,300,000

 

 

 

 

243,800,000

 

Total other liabilities

 

 

33,621,025

 

 

90,218,936

 

 

74,774,167

 

 

233,034,090

 

 

222,997,892

 

 

375,054,277

 

 

427,212,246

 

Total liabilities

 

 

37,574,986

 

 

91,308,485

 

 

86,816,634

 

 

236,642,462

 

 

229,171,247

 

 

402,920,853

 

 

431,636,457

 

Net Assets Applicable to Common Shareholders

 

$

53,824,037

 

$

168,355,423

 

$

139,578,372

 

$

407,778,546

 

$

359,472,447

 

$

578,344,444

 

$

652,232,067

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5,6,7

 

$

47,293,704

 

$

149,062,293

 

$

124,088,714

 

$

374,096,628

 

$

332,146,400

 

$

525,381,411

 

$

575,632,419

 

Undistributed net investment income

 

 

882,384

 

 

3,478,050

 

 

2,044,922

 

 

7,402,223

 

 

7,433,826

 

 

8,883,415

 

 

14,551,364

 

Accumulated net realized loss

 

 

(2,866,018

)

 

(1,155,573

)

 

(4,340,336

)

 

(17,192,922

)

 

(16,846,162

)

 

(35,886,764

)

 

(27,353,261

)

Net unrealized appreciation/depreciation

 

 

8,513,967

 

 

16,970,653

 

 

17,785,072

 

 

43,472,617

 

 

36,738,383

 

 

79,966,382

 

 

89,401,545

 

Net Assets Applicable to Common Shareholders

 

$

53,824,037

 

$

168,355,423

 

$

139,578,372

 

$

407,778,546

 

$

359,472,447

 

$

578,344,444

 

$

652,232,067

 

Net asset value per Common Share

 

$

16.13

 

$

16.06

 

$

15.96

 

$

15.47

 

$

15.38

 

$

15.33

 

$

10.29

 

1

Investments at cost — unaffiliated

 

$

78,705,048

 

$

234,380,899

 

$

202,730,152

 

$

579,616,104

 

$

531,470,748

 

$

844,237,606

 

$

944,758,894

 

2

Investments at cost — affiliated

 

$

3,025,425

 

$

4,946,999

 

$

3,259,592

 

$

13,815,497

 

$

12,802,513

 

$

30,313,901

 

$

35,889,619

 

3

VRDP/VMTP Shares outstanding, par value $0.10 per share

 

 

178

 

 

799

 

 

422

 

 

1,372

 

 

1,513

 

 

2,746

 

 

2,438

 

4

Preferred Shares authorized

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

1 million

 

 

10 million

 

5

Common Shares outstanding

 

 

3,336,978

 

 

10,483,719

 

 

8,745,184

 

 

26,357,225

 

 

23,376,530

 

 

37,735,050

 

 

63,384,324

 

6

Par value per Common Share

 

$

0.001

 

$

0.001

 

$

0.001

 

$

0.001

 

$

0.001

 

$

0.10

 

$

0.10

 

7

Common Shares authorized

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

unlimited

 

 

150 million

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

43




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 29, 2012 (Unaudited)

 

BlackRock
Municipal Bond
Investment Trust
(BIE)

 

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)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

2,053,293

 

$

6,579,594

 

$

4,658,803

 

$

15,045,862

 

$

14,165,587

 

$

21,284,819

 

$

26,353,414

 

Income — affiliated

 

 

400

 

 

1,214

 

 

691

 

 

2,856

 

 

2,760

 

 

6,329

 

 

4,904

 

Total income

 

 

2,053,693

 

 

6,580,808

 

 

4,659,494

 

 

15,048,718

 

 

14,168,347

 

 

21,291,148

 

 

26,358,318

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

274,100

 

 

800,193

 

 

548,932

 

 

1,680,657

 

 

1,503,163

 

 

2,490,343

 

 

2,604,182

 

Professional

 

 

36,933

 

 

63,916

 

 

52,259

 

 

83,734

 

 

60,346

 

 

79,493

 

 

139,280

 

Accounting services

 

 

12,968

 

 

27,267

 

 

22,077

 

 

45,781

 

 

47,408

 

 

59,243

 

 

68,709

 

Liquidity fees

 

 

67,682

 

 

 

 

 

 

 

 

 

 

976,199

 

 

 

Transfer agent

 

 

10,002

 

 

16,937

 

 

8,698

 

 

23,547

 

 

37,729

 

 

20,393

 

 

82,538

 

Printing

 

 

4,914

 

 

13,375

 

 

7,368

 

 

31,733

 

 

24,320

 

 

17,273

 

 

14,910

 

Remarketing fees on Preferred Shares

 

 

9,708

 

 

14,837

 

 

6,042

 

 

30,461

 

 

47,953

 

 

149,401

 

 

54,950

 

Officer and Trustees

 

 

2,903

 

 

8,394

 

 

6,543

 

 

27,455

 

 

27,234

 

 

23,227

 

 

37,938

 

Custodian

 

 

4,458

 

 

8,326

 

 

6,619

 

 

19,174

 

 

18,109

 

 

19,164

 

 

27,173

 

Registration

 

 

4,491

 

 

4,532

 

 

4,258

 

 

5,670

 

 

6,055

 

 

5,776

 

 

12,502

 

Miscellaneous

 

 

14,662

 

 

24,190

 

 

17,703

 

 

39,467

 

 

42,622

 

 

47,688

 

 

48,329

 

Total expenses excluding interest expense, fees and amortization of offering costs

 

 

442,821

 

 

981,967

 

 

680,499

 

 

1,987,679

 

 

1,814,939

 

 

3,888,200

 

 

3,090,511

 

Interest expense, fees and amortization of offering costs1

 

 

97,136

 

 

219,499

 

 

189,937

 

 

624,080

 

 

556,242

 

 

1,111,924

 

 

1,187,149

 

Total expenses

 

 

539,957

 

 

1,201,466

 

 

870,436

 

 

2,611,759

 

 

2,371,181

 

 

5,000,124

 

 

4,277,660

 

Less fees waived by advisor

 

 

(21,763

)

 

(62,872

)

 

(1,248

)

 

(2,125

)

 

(138,957

)

 

(189,153

)

 

(8,323

)

Total expenses after fees waived

 

 

518,194

 

 

1,138,594

 

 

869,188

 

 

2,609,634

 

 

2,232,224

 

 

4,810,971

 

 

4,269,337

 

Net investment income

 

 

1,535,499

 

 

5,442,214

 

 

3,790,306

 

 

12,439,084

 

 

11,936,123

 

 

16,480,177

 

 

22,088,981

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

288,069

 

 

1,618,079

 

 

2,102,855

 

 

1,015,493

 

 

1,525,353

 

 

6,967,084

 

 

1,008,147

 

Financial futures contracts

 

 

33,688

 

 

94,397

 

 

86,672

 

 

124,284

 

 

100,893

 

 

353,627

 

 

(201,539

)

 

 

 

321,757

 

 

1,712,476

 

 

2,189,527

 

 

1,139,777

 

 

1,626,246

 

 

7,320,711

 

 

806,608

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

4,639,618

 

 

15,087,335

 

 

10,760,998

 

 

35,173,040

 

 

31,554,971

 

 

43,601,309

 

 

46,896,955

 

Financial futures contracts

 

 

(18,820

)

 

 

 

(47,513

)

 

(72,336

)

 

(133,275

)

 

(194,351

)

 

 

 

 

 

4,620,798

 

 

15,087,355

 

 

10,713,485

 

 

35,100,704

 

 

31,421,696

 

 

43,406,958

 

 

46,896,955

 

Total realized and unrealized gain

 

 

4,942,555

 

 

16,799,811

 

 

12,903,012

 

 

36,240,481

 

 

33,047,942

 

 

50,727,669

 

 

47,703,563

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to AMPS Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(4,325

)

 

(62,496

)

 

(33,384

)

 

(107,278

)

 

(117,967

)

 

 

 

(328,993

)

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

 

$

6,473,729

 

$

22,179,529

 

$

16,659,934

 

$

48,572,287

 

$

44,866,098

 

$

67,207,846

 

$

69,463,551

 


 

 

1

Related to TOBs, VRDP Shares and/or VMTP Shares.


 

 

 

See Notes to Financial Statements.

 

 

 

44

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Municipal Bond
Investment Trust (BIE)

 

 

BlackRock Municipal
Bond Trust (BBK)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

1,535,499

 

$

3,434,053

 

$

5,422,214

 

$

11,953,029

 

Net realized gain (loss)

 

 

321,757

 

 

(1,056,667

)

 

 

1,712,476

 

 

(19,199

)

Net change in unrealized appreciation/depreciation

 

 

4,620,798

 

 

(1,898,672

)

 

15,087,335

 

 

(9,146,768

)

Dividends to AMPS Shareholders from net investment income

 

 

(4,325

)

 

(63,456

)

 

 

(62,496

)

 

(283,174

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

6,473,729

 

 

415,258

 

 

22,179,529

 

 

2,503,888

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1,621,175

)

 

(3,197,548

)

 

(5,606,223

)

 

(10,954,081

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

30,283

 

 

15,928

 

 

310,922

 

 

705,295

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

4,882,837

 

 

(2,766,362

)

 

16,884,228

 

 

(7,744,898

)

Beginning of period

 

 

48,941,200

 

 

51,707,562

 

 

 

151,471,195

 

 

159,216,093

 

End of period

 

$

53,824,037

 

$

48,941,200

 

$

168,355,423

 

$

151,471,195

 

Undistributed net investment income

 

$

882,384

 

$

972,385

 

 

$

3,478,050

 

$

3,704,555

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Municipal Income
Investment Quality Trust (BAF)

 

 

BlackRock Municipal
Income Quality Trust (BYM)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

3,790,306

 

$

7,967,185

 

$

12,439,084

 

$

25,473,469

 

Net realized gain (loss)

 

 

2,189,527

 

 

(956,695

)

 

 

1,139,777

 

 

(4,079,037

)

Net change in unrealized appreciation/depreciation

 

 

10,713,485

 

 

(4,113,345

)

 

35,100,704

 

 

(10,929,775

)

Dividends to AMPS Shareholders from net investment income

 

 

(33,384

)

 

(151,046

)

 

 

(107,278

)

 

(487,609

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

16,659,934

 

 

2,746,099

 

 

48,572,287

 

 

9,977,048

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(3,908,256

)

 

(7,789,105

)

 

(12,170,214

)

 

(24,311,680

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

44,098

 

 

53,170

 

 

362,166

 

 

786,119

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

12,795,776

 

 

(4,989,836

)

 

36,764,239

 

 

(13,548,513

)

Beginning of period

 

 

126,782,596

 

 

131,772,432

 

 

 

371,014,307

 

 

384,562,820

 

End of period

 

$

139,578,372

 

$

126,782,596

 

$

407,778,546

 

$

371,014,307

 

Undistributed net investment income

 

$

2,044,922

 

$

2,196,256

 

 

$

7,402,223

 

$

7,240,631

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

45




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Municipal
Income Trust II (BLE)

 

BlackRock MuniHoldings
Investment Quality Fund (MFL)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

11,936,123

 

$

25,170,419

 

$

16,480,177

 

$

35,772,211

 

Net realized gain (loss)

 

 

1,626,246

 

 

(1,929,140

)

 

 

7,320,711

 

 

(14,391,578

)

Net change in unrealized appreciation/depreciation

 

 

31,421,696

 

 

(15,031,363

)

 

43,406,958

 

 

(11,924,556

)

Dividends to AMPS Shareholders from net investment income

 

 

(117,967

)

 

(537,485

)

 

 

 

 

(903,388

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

44,866,098

 

 

7,672,431

 

 

67,207,846

 

 

8,552,689

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(11,703,405

)

 

(23,242,731

)

 

(17,315,194

)

 

(34,274,513

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

596,824

 

 

1,014,192

 

 

278,929

 

 

528,154

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

33,759,517

 

 

(14,556,108

)

 

50,171,581

 

 

(25,193,670

)

Beginning of period

 

 

325,712,930

 

 

340,269,038

 

 

 

528,172,863

 

 

553,366,533

 

End of period

 

$

359,472,447

 

$

325,712,930

 

$

578,344,444

 

$

528,172,863

 

Undistributed net investment income

 

$

7,433,826

 

$

7,319,075

 

 

$

8,883,415

 

$

9,718,432

 


 

 

 

 

 

 

 

 

 

 

BlackRock MuniVest
Fund, Inc. (MVF)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

Net investment income

 

$

22,088,981

 

$

46,141,071

 

Net realized gain (loss)

 

 

806,608

 

 

(8,945,246

)

Net change in unrealized appreciation/depreciation

 

 

46,896,955

 

 

(20,763,919

)

Dividends to AMPS Shareholders from net investment income

 

 

(328,993

)

 

(1,048,890

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

69,463,551

 

 

15,383,016

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

Net investment income

 

 

(22,410,721

)

 

(44,113,394

)

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

2,945,206

 

 

5,769,177

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

49,998,036

 

 

(22,961,201

)

Beginning of period

 

 

602,234,031

 

 

625,195,232

 

End of period

 

$

652,232,067

 

$

602,234,031

 

Undistributed net investment income

 

$

14,551,364

 

$

15,202,097

 


 

 

 

See Notes to Financial Statements.

 

 

 

46

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 29, 2012 (Unaudited)

 

BlackRock
Municipal Bond
Investment Trust
(BIE)

 

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)

 

Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations, excluding dividends to AMPS Shareholders

 

$

6,478,054

 

$

22,242,025

 

$

16,693,318

 

$

48,679,565

 

$

44,984,065

 

$

67,207,846

 

$

69,792,544

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

57,616

 

 

(790

)

 

(231,250

)

 

(125,790

)

 

(195,537

)

 

(148,929

)

 

(188,406

)

(Increase) decrease in cash pledged as collateral for financial futures contracts

 

 

3,280

 

 

112,000

 

 

(33,700

)

 

74,000

 

 

53,000

 

 

(104,534

)

 

 

Increase in other assets

 

 

(244

)

 

(1,469

)

 

(919

)

 

(3,360

)

 

(2,760

)

 

(22,934

)

 

(17,584

)

(Increase) decrease in margin variation receivable

 

 

(2,335

)

 

(16,801

)

 

(7,715

)

 

13,467

 

 

(12,953

)

 

(34,772

)

 

 

(Increase) decrease in income receivable — affiliated

 

 

16

 

 

78

 

 

51

 

 

206

 

 

189

 

 

377

 

 

482

 

Increase (decrease) in investment advisory fees payable

 

 

(738

)

 

898

 

 

3,763

 

 

1,190

 

 

8,587

 

 

4,847

 

 

(6,452

)

Decrease in prepaid expenses

 

 

1,887

 

 

23,337

 

 

 

 

33,269

 

 

41,977

 

 

12,442

 

 

44,456

 

Increase (decrease) in interest expense and fees payable

 

 

(4,126

)

 

(1,360

)

 

(1,015

)

 

(9,715

)

 

751

 

 

(7,190

)

 

(39,124

)

Decrease in other accrued expenses payable

 

 

(13,253

)

 

(125,536

)

 

(73,981

)

 

(91,408

)

 

(48,780

)

 

(232,865

)

 

(149,028

)

Increase (decrease) in Officer’s and Trustees’ fees payable

 

 

(2,810

)

 

7,987

 

 

343

 

 

20,908

 

 

(31,292

)

 

29,324

 

 

50,328

 

Net realized and unrealized loss on investments

 

 

(4,927,687

)

 

(16,705,414

)

 

(12,863,853

)

 

(36,188,533

)

 

(33,080,324

)

 

(50,568,393

)

 

(47,905,102

)

Amortization of premium and accretion of discount on investments

 

 

82,127

 

 

(775,034

)

 

228,947

 

 

(1,654,040

)

 

(498,146

)

 

984,659

 

 

709,873

 

Amortization of deferred offering costs

 

 

18,214

 

 

5,159

 

 

3,184

 

 

8,169

 

 

8,912

 

 

20,188

 

 

13,868

 

Proceeds from sales of long-term investments

 

 

15,045,336

 

 

65,275,624

 

 

42,695,969

 

 

45,562,687

 

 

48,995,194

 

 

167,772,966

 

 

69,402,877

 

Purchases of long-term investments

 

 

(14,050,927

)

 

(64,764,173

)

 

(53,595,702

)

 

(44,351,872

)

 

(79,670,490

)

 

(185,259,068

)

 

(80,514,603

)

Net proceeds from sales (purchases) of short-term securities

 

 

(826,900

)

 

(2,699,051

)

 

970,257

 

 

(9,695,042

)

 

2,617,952

 

 

(8,191,396

)

 

(1,222,698

)

Cash provided by (used for) operating activities

 

 

1,857,510

 

 

2,577,480

 

 

(6,212,303

)

 

2,273,701

 

 

(16,829,655

)

 

(8,537,432

)

 

9,971,431

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from TOB trust certificates

 

 

1,745,000

 

 

2,919,789

 

 

10,307,901

 

 

9,870,000

 

 

28,247,175

 

 

25,539,218

 

 

10,331,373

 

Cash payments for TOB trust certificates

 

 

(1,754,807

)

 

 

 

 

 

 

 

 

 

(50,000

)

 

(169,974

)

Cash payments on redemption of AMPS

 

 

(17,850,000

)

 

(79,900,000

)

 

(42,275,000

)

 

(137,250,000

)

 

(151,300,000

)

 

 

 

(243,825,000

)

Cash receipts from issuance of VMTP Shares

 

 

 

 

79,900,000

 

 

42,200,000

 

 

137,200,000

 

 

151,300,000

 

 

 

 

243,800,000

 

Cash receipts from issuance of VRDP Shares

 

 

17,800,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash payments for offering costs

 

 

(201,601

)

 

(140,128

)

 

(120,432

)

 

(183,533

)

 

(201,257

)

 

 

 

(303,382

)

Cash dividends paid to Common Shareholders

 

 

(1,590,733

)

 

(5,293,454

)

 

(3,863,942

)

 

(11,806,147

)

 

(11,103,087

)

 

(17,034,779

)

 

(19,447,933

)

Cash dividends paid to AMPS Shareholders

 

 

(5,369

)

 

(64,815

)

 

(34,091

)

 

(111,483

)

 

(123,008

)

 

 

 

(344,333

)

Increase (decrease) in bank overdraft

 

 

 

 

1,128

 

 

(2,133

)

 

7,462

 

 

9,832

 

 

466

 

 

(12,182

)

Cash provided by (used for) financing activities

 

 

(1,857,510

)

 

(2,577,480

)

 

6,212,303

 

 

(2,273,701

)

 

16,829,655

 

 

8,454,905

 

 

(9,971,431

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

47




 

 

Statements of Cash Flows (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended
February 29, 2012 (Unaudited)

 

BlackRock
Municipal Bond
Investment Trust
(BIE)

 

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)

 

Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash

 

 

 

 

 

 

 

 

 

 

 

$

(82,527

)

 

 

Cash at beginning of period

 

 

 

 

 

 

 

 

 

 

 

 

82,527

 

 

 

Cash at end of period

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the year for interest

 

$

83,038

 

$

215,700

 

$

187,768

 

$

625,626

 

$

544,491

 

$

1,098,926

 

$

1,212,405

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends paid to Common Shareholders

 

$

30,283

 

$

310,922

 

$

44,098

 

$

362,166

 

$

596,824

 

$

278,929

 

$

2,945,206

 


 

 

 

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the year, based on the average borrowing outstanding in relation to average total assets.


 

 

 

See Notes to Financial Statements.

 

 

 

48

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock Municipal Bond Investment Trust (BIE)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.67

 

$

15.51

 

$

14.16

 

$

14.86

 

$

15.45

 

$

16.22

 

Net investment income

 

 

0.46

1

 

1.03

1

 

1.02

1

 

1.03

1

 

1.16

1

 

1.15

 

Net realized and unrealized gain (loss)

 

 

1.49

 

 

(0.89

)

 

1.27

 

 

(0.76

)

 

(0.51

)

 

(0.67

)

Dividends to AMPS Shareholders from net investment income

 

 

(0.00

)2

 

(0.02

)

 

(0.02

)

 

(0.13

)

 

(0.30

)

 

(0.32

)

Net increase (decrease) from investment operations

 

 

1.95

 

 

0.12

 

 

2.27

 

 

0.14

 

 

0.35

 

 

0.16

 

Dividends and distributions to Common Shareholders from net investment income

 

 

(0.49

)

 

(0.96

)

 

(0.92

)

 

(0.84

)

 

(0.94

)

 

(0.93

)

Net asset value, end of period

 

$

16.13

 

$

14.67

 

$

15.51

 

$

14.16

 

$

14.86

 

$

15.45

 

Market price, end of period

 

$

16.19

 

$

14.22

 

$

15.60

 

$

13.20

 

$

14.28

 

$

15.82

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.50

%4

 

1.29

%

 

16.80

%

 

2.43

%

 

2.34

%

 

0.95

%

Based on market price

 

 

17.53

%4

 

(2.38

)%

 

26.02

%

 

(0.64

)%

 

(3.95

)%

 

0.40

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

2.13

%6

 

1.81

%

 

1.57

%

 

1.71

%

 

1.54

%

 

1.43

%

Total expenses after fees waived and before paid indirectly5

 

 

2.04

%6

 

1.66

%

 

1.35

%

 

1.36

%

 

1.13

%

 

0.98

%

Total expenses after fees waived and paid indirectly5

 

 

2.04

%6

 

1.66

%

 

1.35

%

 

1.36

%

 

1.13

%

 

0.96

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5,7

 

 

1.66

%6

 

1.39

%

 

1.15

%

 

1.25

%

 

1.09

%

 

0.96

%

Net investment income5

 

 

6.06

%6

 

7.25

%

 

6.92

%

 

7.98

%

 

7.52

%

 

7.22

%

Dividends to AMPS Shareholders

 

 

0.02

%6

 

0.13

%

 

0.15

%

 

1.01

%

 

1.99

%

 

2.01

%

Net investment income to Common Shareholders

 

 

6.04

%6

 

7.12

%

 

6.77

%

 

6.97

%

 

5.53

%

 

5.21

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

53,824

 

$

48,941

 

$

51,708

 

$

47,203

 

$

49,532

 

$

51,384

 

AMPS Shares outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

17,850

 

$

17,850

 

$

17,850

 

$

26,175

 

$

29,775

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

17,800

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

18

%

 

25

%

 

47

%

 

71

%

 

30

%

 

23

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

93,546

 

$

97,421

 

$

91,112

 

$

72,318

 

$

68,149

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

 

$

402,382

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

49




 

 

 

 

Financial Highlights

BlackRock Municipal Bond Trust (BBK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.48

 

$

15.29

 

$

13.23

 

$

13.96

 

$

15.57

 

$

16.35

 

Net investment income

 

 

0.52

1

 

1.14

1

 

1.14

1

 

1.14

1

 

1.23

1

 

1.20

 

Net realized and unrealized gain (loss)

 

 

1.61

 

 

(0.87

)

 

1.97

 

 

(0.83

)

 

(1.48

)

 

(0.63

)

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.01

)

 

(0.03

)

 

(0.03

)

 

(0.13

)

 

(0.28

)

 

(0.32

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.03

)

 

 

Net increase (decrease) from investment operations

 

 

2.12

 

 

0.24

 

 

3.08

 

 

0.18

 

 

(0.56

)

 

0.25

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.54

)

 

(1.05

)

 

(1.02

)

 

(0.91

)

 

(0.95

)

 

(1.03

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.10

)

 

 

Total dividends and distributions to Common Shareholders

 

 

(0.54

)

 

(1.05

)

 

(1.02

)

 

(0.91

)

 

(1.05

)

 

(1.03

)

Net asset value, end of period

 

$

16.06

 

$

14.48

 

$

15.29

 

$

13.23

 

$

13.96

 

$

15.57

 

Market price, end of period

 

$

16.81

 

$

14.86

 

$

15.79

 

$

13.80

 

$

13.89

 

$

16.50

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

14.84

%3

 

2.02

%

 

24.13

%

 

2.52

%

 

(3.77

)%

 

1.09

%

Based on market price

 

 

17.13

%3

 

1.38

%

 

22.90

%

 

7.48

%

 

(9.65

)%

 

(2.09

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.52

%5

 

1.33

%

 

1.29

%

 

1.51

%

 

1.39

%

 

1.28

%

Total expenses after fees waived and before paid indirectly4

 

 

1.44

%5

 

1.19

%

 

1.08

%

 

1.19

%

 

1.01

%

 

0.84

%

Total expenses after fees waived and paid indirectly4

 

 

1.44

%5

 

1.19

%

 

1.08

%

 

1.19

%

 

1.01

%

 

0.83

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization offering costs4,6

 

 

1.16

%5

 

1.16

%

 

1.05

%

 

1.10

%

 

0.98

%

 

0.83

%

Net investment income5

 

 

6.89

%5

 

8.15

%

 

8.08

%

 

9.67

%

 

8.25

%

 

7.36

%

Dividends to AMPS Shareholders

 

 

0.08

%5

 

0.19

%

 

0.22

%

 

1.11

%

 

1.87

%

 

1.94

%

Net investment income to Common Shareholders

 

 

6.81

%5

 

7.96

%

 

7.86

%

 

8.56

%

 

6.38

%

 

5.42

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

168,355

 

$

151,471

 

$

159,216

 

$

137,030

 

$

144,116

 

$

159,900

 

AMPS Shares outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

79,900

 

$

79,900

 

$

79,900

 

$

80,500

 

$

90,500

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

79,900

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

27

%

 

27

%

 

51

%

 

46

%

 

27

%

 

14

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

72,394

 

$

74,819

 

$

67,877

 

$

69,766

 

$

69,176

 

Asset coverage per VMTP at $100,000 liquidation value, end of period

 

$

310,708

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.


 

 

 

See Notes to Financial Statements.

 

 

 

50

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock Municipal Income Investment Quality Trust (BAF)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.50

 

$

15.08

 

$

14.06

 

$

14.23

 

$

14.68

 

$

15.24

 

Net investment income

 

 

0.43

1

 

0.91

1

 

0.94

1

 

0.91

1

 

0.99

1

 

1.01

 

Net realized and unrealized gain (loss)

 

 

1.48

 

 

(0.58

)

 

0.95

 

 

(0.27

)

 

(0.46

)

 

(0.56

)

Dividends to AMPS Shareholders from net investment income

 

 

(0.00

)2

 

(0.02

)

 

(0.02

)

 

(0.09

)

 

(0.28

)

 

(0.31

)

Net increase (decrease) from investment operations

 

 

1.91

 

 

0.31

 

 

1.87

 

 

0.55

 

 

0.25

 

 

0.14

 

Dividends to Common Shareholders from net investment income

 

 

(0.45

)

 

(0.89

)

 

(0.85

)

 

(0.72

)

 

(0.70

)

 

(0.70

)

Net asset value, end of period

 

$

15.96

 

$

14.50

 

$

15.08

 

$

14.06

 

$

14.23

 

$

14.68

 

Market price, end of period

 

$

15.76

 

$

13.92

 

$

15.64

 

$

13.01

 

$

12.42

 

$

13.55

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.40

%4

 

2.62

%

 

13.93

%

 

5.36

%

 

2.22

%

 

1.17

%

Based on market price

 

 

16.65

%4

 

(5.01

)%

 

27.70

%

 

11.70

%

 

(3.35

)%

 

2.54

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.33

%6

 

1.25

%

 

1.23

%

 

1.60

%

 

1.33

%

 

1.19

%

Total expenses after fees waived and before fees paid indirectly5

 

 

1.33

%6

 

1.23

%

 

1.14

%

 

1.40

%

 

1.05

%

 

0.87

%

Total expenses after fees waived and paid indirectly5

 

 

1.33

%6

 

1.23

%

 

1.14

%

 

1.40

%

 

1.05

%

 

0.86

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization offering costs5,7

 

 

1.04

%6

 

1.09

%

 

0.97

%

 

0.98

%

 

0.91

%

 

0.86

%

Net investment income5

 

 

5.79

%6

 

6.51

%

 

6.54

%

 

7.04

%

 

6.71

%

 

6.70

%

Dividends to Preferred Shareholders

 

 

0.05

%6

 

0.12

%

 

0.14

%

 

0.66

%

 

1.92

%

 

2.05

%

Net investment income to Common Shareholders

 

 

5.74

%6

 

6.39

%

 

6.40

%

 

6.38

%

 

4.79

%

 

4.65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

139,578

 

$

126,783

 

$

131,772

 

$

122,825

 

$

124,305

 

$

128,215

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

42,275

 

$

42,275

 

$

42,275

 

$

44,375

 

$

76,000

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

42,200

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

21

%

 

33

%

 

26

%

 

45

%

 

29

%

 

13

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

99,975

 

$

102,926

 

$

97,637

 

$

95,044

 

$

67,187

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

 

$

430,754

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01).

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

51




 

 

 

 

Financial Highlights

BlackRock Municipal Income Quality Trust (BYM)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.09

 

$

14.64

 

$

13.55

 

$

14.04

 

$

14.82

 

$

15.54

 

Net investment income

 

 

0.47

1

 

0.97

1

 

0.96

1

 

0.91

1

 

1.04

1

 

1.03

 

Net realized and unrealized gain (loss)

 

 

1.37

 

 

(0.58

)

 

1.00

 

 

(0.55

)

 

(0.83

)

 

(0.67

)

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.00

)2

 

(0.02

)

 

(0.02

)

 

(0.10

)

 

(0.26

)

 

(0.28

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.02

)

Net increase (decrease) from investment operations

 

 

1.84

 

 

0.37

 

 

1.94

 

 

0.26

 

 

(0.05

)

 

0.06

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.46

)

 

(0.92

)

 

(0.85

)

 

(0.75

)

 

(0.73

)

 

(0.73

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.05

)

Total dividends and distributions to Common Shareholders

 

 

(0.46

)

 

(0.92

)

 

(0.85

)

 

(0.75

)

 

(0.73

)

 

(0.78

)

Net asset value, end of period

 

$

15.47

 

$

14.09

 

$

14.64

 

$

13.55

 

$

14.04

 

$

14.82

 

Market price, end of period

 

$

15.75

 

$

13.85

 

$

15.26

 

$

13.69

 

$

13.19

 

$

14.35

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.28

%4

 

3.09

%

 

14.74

%

 

2.83

%

 

(0.16

)%

 

0.48

%

Based on market price

 

 

17.33

%4

 

(2.79

)%

 

18.42

%

 

10.58

%

 

(3.13

)%

 

3.20

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.36

%6

 

1.25

%

 

1.15

%

 

1.38

%

 

1.24

%

 

1.12

%

Total expenses after fees waived and before fees paid indirectly5

 

 

1.36

%6

 

1.24

%

 

1.06

%

 

1.20

%

 

0.98

%

 

0.80

%

Total expenses after fees waived and paid indirectly5

 

 

1.36

%6

 

1.24

%

 

1.06

%

 

1.20

%

 

0.98

%

 

0.80

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization offering costs5,7

 

 

1.04

%6

 

1.07

%

 

0.92

%

 

0.93

%

 

0.86

%

 

0.80

%

Net investment income5

 

 

6.48

%6

 

7.15

%

 

6.85

%

 

7.23

%

 

7.08

%

 

6.67

%

Dividends to AMPS Shareholders

 

 

0.05

%6

 

0.14

%

 

0.15

%

 

0.76

%

 

1.80

%

 

1.79

%

Net investment income to Common Shareholders

 

 

6.43

%6

 

7.01

%

 

6.70

%

 

6.47

%

 

5.28

%

 

4.88

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

407,779

 

$

371,014

 

$

384,563

 

$

355,334

 

$

368,133

 

$

388,275

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

137,250

 

$

137,250

 

$

137,250

 

$

149,925

 

$

228,975

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

137,200

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

7

%

 

19

%

 

13

%

 

18

%

 

39

%

 

17

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

92,580

 

$

95,049

 

$

89,725

 

$

86,398

 

$

67,402

 

Asset coverage per VMTP at $100,000 liquidation value, end of period

 

$

397,215

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01).

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.


 

 

 

See Notes to Financial Statements.

 

 

 

52

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock Municipal Income Trust II (BLE)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.96

 

$

14.63

 

$

12.78

 

$

13.60

 

$

15.08

 

$

15.82

 

Net investment income

 

 

0.51

1

 

1.08

1

 

1.08

1

 

1.09

1

 

1.17

1

 

1.17

 

Net realized and unrealized gain (loss)

 

 

1.42

 

 

(0.73

)

 

1.77

 

 

(0.95

)

 

(1.50

)

 

(0.66

)

Dividends to AMPS Shareholders from net investment income

 

 

(0.01

)

 

(0.02

)

 

(0.03

)

 

(0.12

)

 

(0.30

)

 

(0.32

)

Net increase (decrease) from investment operations

 

 

1.92

 

 

0.33

 

 

2.82

 

 

0.02

 

 

(0.63

)

 

0.19

 

Dividends to Common Shareholders from net investment income

 

 

(0.50

)

 

(1.00

)

 

(0.97

)

 

(0.84

)

 

(0.85

)

 

(0.93

)

Net asset value, end of period

 

$

15.38

 

$

13.96

 

$

14.63

 

$

12.78

 

$

13.60

 

$

15.08

 

Market price, end of period

 

$

15.77

 

$

14.13

 

$

15.22

 

$

13.45

 

$

13.27

 

$

15.05

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.99

%3

 

2.70

%

 

22.83

%

 

1.54

%

 

(4.15

)%

 

1.02

%

Based on market price

 

 

15.47

%3

 

(0.07

)%

 

21.42

%

 

9.52

%

 

(6.29

)%

 

(7.38

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.40

%5

 

1.18

%

 

1.16

%

 

1.36

%

 

1.24

%

 

1.12

%

Total expenses after fees waived and before paid indirectly4

 

 

1.32

%5

 

1.10

%

 

1.08

%

 

1.19

%

 

1.07

%

 

0.90

%

Total expenses after fees waived and paid indirectly4

 

 

1.32

%5

 

1.10

%

 

1.08

%

 

1.19

%

 

1.07

%

 

0.89

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs4,6

 

 

0.99

%5

 

1.01

%

 

0.99

%

 

1.05

%

 

1.00

%

 

0.89

%

Net investment income4

 

 

7.07

%5

 

7.94

%

 

7.89

%

 

9.69

%

 

8.09

%

 

7.43

%

Dividends to AMPS Shareholders

 

 

0.07

%5

 

0.17

%

 

0.20

%

 

1.07

%

 

2.04

%

 

2.01

%

Net investment income to Common Shareholders

 

 

7.00

%5

 

7.77

%

 

7.69

%

 

8.62

%

 

6.05

%

 

5.42

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

359,472

 

$

325,713

 

$

340,269

 

$

296,070

 

$

314,889

 

$

347,563

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

151,300

 

$

151,300

 

$

151,300

 

$

166,050

 

$

205,550

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

151,300

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

9

%

 

16

%

 

29

%

 

19

%

 

21

%

 

12

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

78,819

 

$

81,226

 

$

73,923

 

$

72,419

 

$

67,279

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

 

$

337,589

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs and/or VMTP Shares. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

53




 

 

 

 

Financial Highlights

BlackRock MuniHoldings Investment Quality Fund (MFL)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.00

 

$

14.69

 

$

13.57

 

$

13.50

 

$

14.09

 

$

14.75

 

Net investment income1

 

 

0.44

 

 

0.95

 

 

0.96

 

 

0.94

 

 

1.01

 

 

1.07

 

Net realized and unrealized gain (loss)

 

 

1.35

 

 

(0.71

)

 

1.04

 

 

(0.03

)

 

(0.61

)

 

(0.66

)

Dividends to AMPS Shareholders from net investment income

 

 

 

 

(0.02

)

 

(0.03

)

 

(0.13

)

 

(0.32

)

 

(0.35

)

Net increase (decrease) from investment operations

 

 

1.79

 

 

0.22

 

 

1.97

 

 

0.78

 

 

0.08

 

 

0.06

 

Dividends to Common Shareholders from net investment income

 

 

(0.46

)

 

(0.91

)

 

(0.85

)

 

(0.71

)

 

(0.67

)

 

(0.72

)

Net asset value, end of period

 

$

15.33

 

$

14.00

 

$

14.69

 

$

13.57

 

$

13.50

 

$

14.09

 

Market price, end of period

 

$

15.31

 

$

13.84

 

$

14.65

 

$

12.63

 

$

11.61

 

$

12.86

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.02

%3

 

2.01

%

 

15.22

%

 

7.36

%

 

1.16

%

 

0.59

%

Based on market price

 

 

14.18

%3

 

1.12

%

 

23.46

%

 

16.19

%

 

(4.68

)%

 

(5.76

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.82

%4

 

1.37

%5

 

1.17

%5

 

1.32

%5

 

1.54

%5

 

1.54

%5

Total expenses after fees waived and before fees paid indirectly

 

 

1.75

%4

 

1.30

%5

 

1.09

%5

 

1.20

%5

 

1.42

%5

 

1.46

%5

Total expenses after fees waived and paid indirectly

 

 

1.75

%4

 

1.30

%5

 

1.09

%5

 

1.20

%5

 

1.42

%5

 

1.46

%5

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

 

 

1.35

%4

 

1.14

%5

 

1.01

%5

 

1.07

%5

 

1.13

%5

 

1.12

%5

Net investment income

 

 

6.00

%4

 

7.03

%5

 

6.85

%5

 

7.48

%5

 

7.23

%5

 

7.30

%5

Dividends to AMPS Shareholders

 

 

 

 

0.18

%

 

0.21

%

 

1.05

%

 

2.31

%

 

2.40

%

Net investment income to Common Shareholders

 

 

6.00

%5

 

6.85

%

 

6.64

%

 

6.43

%

 

4.92

%

 

4.90

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to common shareholders, end of period (000)

 

$

578,344

 

$

528,173

 

$

553,367

 

$

511,013

 

$

508,698

 

$

530,903

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

 

 

$

274,650

 

$

274,650

 

$

296,125

 

$

363,250

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

274,600

 

$

274,600

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

20

%

 

32

%

 

38

%

 

40

%

 

25

%

 

22

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

 

 

$

75,371

 

$

71,516

 

$

67,958

 

$

61,555

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

 

$

310,613

 

$

292,343

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

See Notes to Financial Statements.

 

 

 

54

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock MuniVest Fund, Inc. (MVF)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

9.55

 

$

10.01

 

$

8.98

 

$

8.91

 

$

9.39

 

$

9.93

 

Net investment income1

 

 

0.35

 

 

0.73

 

 

0.73

 

 

0.70

 

 

0.67

 

 

0.73

 

Net realized and unrealized gain (loss)

 

 

0.75

 

 

(0.47

)

 

0.97

 

 

(0.03

)

 

(0.45

)

 

(0.55

)

Dividends to AMPS Shareholders from net investment income

 

 

(0.01

)

 

(0.02

)

 

(0.02

)

 

(0.06

)

 

(0.18

)

 

(0.20

)

Net increase (decrease) from investment operations

 

 

1.09

 

 

0.24

 

 

1.68

 

 

0.61

 

 

0.04

 

 

(0.02

)

Dividends to Common Shareholders from net investment income

 

 

(0.35

)

 

(0.70

)

 

(0.65

)

 

(0.54

)

 

(0.52

)

 

(0.52

)

Net asset value, end of period

 

$

10.29

 

$

9.55

 

$

10.01

 

$

8.98

 

$

8.91

 

$

9.39

 

Market price, end of period

 

$

10.73

 

$

9.73

 

$

10.38

 

$

8.91

 

$

8.33

 

$

9.35

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

11.65

%3

 

2.90

%

 

19.31

%

 

8.18

%

 

0.51

%

 

(0.30

)%

Based on market price

 

 

14.27

%3

 

1.11

%

 

24.69

%

 

14.81

%

 

(5.63

)%

 

2.05

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.38

%5

 

1.28

%

 

1.22

%

 

1.53

%

 

1.58

%

 

1.66

%

Total expenses after fees waived and before fee paid indirectly4

 

 

1.38

%5

 

1.28

%

 

1.22

%

 

1.50

%

 

1.58

%

 

1.66

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs4,6

 

 

0.99

%5

 

1.05

%

 

1.03

%

 

1.14

%

 

1.10

%

 

1.02

%

Net investment income4

 

 

7.13

%5

 

7.93

%

 

7.71

%

 

8.74

%

 

7.34

%

 

7.33

%

Dividends to AMPS Shareholders

 

 

0.11

%5

 

0.18

%

 

0.19

%

 

0.78

%

 

1.94

%

 

1.98

%

Net investment income to Common Shareholders

 

 

7.02

%5

 

7.75

%

 

7.52

%

 

7.96

%

 

5.40

%

 

5.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

652,232

 

$

602,234

 

$

625,195

 

$

555,889

 

$

551,027

 

$

579,079

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

243,825

 

$

243,825

 

$

243,825

 

$

275,700

 

$

334,000

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

243,800

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

7

%

 

10

%

 

25

%

 

31

%

 

41

%

 

39

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

86,749

 

$

89,106

 

$

81,999

 

$

74,993

 

$

68,380

 

Asset coverage per VRDP Share at $100,000 liquidation value, end of period

 

$

367,528

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

55




 

 

Notes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock Municipal Bond Investment Trust (“BIE”) and BlackRock Municipal Bond Trust (“BBK”) (collectively the “Bond Trusts”), BlackRock Municipal Income Investment Quality Trust (“BAF”), BlackRock Municipal Income Quality Trust (“BYM”) and BlackRock Municipal Income Trust II (“BLE”) are organized as Delaware statutory trusts. BlackRock MuniHoldings Investment Quality Fund (“MFL”) and BlackRock MuniVest Fund, Inc. (“MVF”) are organized as a Massachusetts business trust and as a Maryland corporation, respectively. BIE, BBK, BAF, BYM, BLE, MFL and MVF are referred to herein collectively as the “Trusts.” BBK, BYM and BLE are registered under the 1940 Act, as diversified, closed-end management investment companies. BAF, BIE, MFL and MVF are registered under the 1940 Act as non-diversified, closed-end management investment companies. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees are referred to throughout this report as the “Board of Trustees” or the “Board” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. Financial futures contracts traded on exchanges are valued at their last sale price. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Zero-Coupon Bonds: The Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Municipal Bonds Transferred to TOBs: The Trusts leverage their assets through the use of TOBs. A TOB is established by a third party sponsor forming a special purpose entity, into which one or more funds, or an agent on behalf of the funds, transfers municipal bonds. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB into which a Trust has contributed bonds. A TOB typically issues two classes of beneficial interests: short-term floating rate certificates, which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating funds that made the transfer. The TOB Residuals held by a Trust include the right of a Trust (1) to cause the holders of a proportional share of the short-term floating rate certificates to tender their certificates at par, including during instances of a rise in short-term interest rates, and (2) to transfer, within seven days, a corresponding share of the municipal bonds from the TOB to a Trust. The TOB may also be terminated without the consent of a Trust upon the occurrence of certain events as defined in the TOB agreements. Such termination events may include the bankruptcy or default of the municipal bond, a substantial downgrade in credit quality of the municipal bond, the inability of the TOB to obtain quarterly or annual renewal of the liquidity support agreement, a substantial decline in market value of the municipal bond or the inability to remarket the short-term floating rate certificates to third party investors. During the six months ended February 29, 2012, no TOBs that the Trusts participated in were terminated without the consent of the Trusts.

The cash received by the TOB from the sale of the short-term floating rate certificates, less transaction expenses, is paid to a Trust, in exchange for TOB trust certificates. The Trusts typically invests the cash in additional municipal bonds. Each Trust’s transfer of the municipal bonds to a TOB is accounted for as a secured borrowing; therefore, the municipal bonds deposited into a TOB are presented in the Trusts’ Schedules of Investments and TOB trust certificates are shown in other liabilities in the Statements of Assets and Liabilities.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Trusts on an accrual basis. Interest expense incurred on the secured borrowing and other

 

 

 

     

 

56

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

expenses related to remarketing, administration and trustee services to a TOB are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. The short-term floating rate certificates have interest rates that generally reset weekly and their holders have the option to tender certificates to the TOB for redemption at par at each reset date. At February 29, 2012, the aggregate value of the underlying municipal bonds transferred to TOBs, the related liability for TOB trust certificates and the range of interest rates on the liability for trust certificates were as follows:

 

 

 

 

 

 

 

 

 

 

 

               

 

 

Underlying
Municipal
Bonds
Transferred to
TOBs

 

Liability for
TOB Trust
Certificates

 

Range of
Interest
Rates

 

BIE

 

$

31,714,070

 

$

15,821,025

 

 

0.15% – 0.26%

 

BBK

 

$

21,298,995

 

$

10,318,936

 

 

0.13% – 0.26%

 

BAF

 

$

65.645,640

 

$

32,574,167

 

 

0.13% – 0.54%

 

BYM

 

$

192,901,835

 

$

95,834,090

 

 

0.16% – 0.36%

 

BLE

 

$

134,871,884

 

$

71,697,892

 

 

0.13% – 0.26%

 

MFL

 

$

208,285,285

 

$

100,454,277

 

 

0.15% – 0.54%

 

MVF

 

$

367,079,848

 

$

183,412,246

 

 

0.13% – 0.33%

 

For the six months ended February 29, 2012, the Trusts’ average TOB trust certificates outstanding and the daily weighted average interest rate, including fees, were as follows:

 

 

 

 

 

 

 

 

           

 

 

Average TOB
Trust Certificates
Outstanding

 

Daily Weighted
Average
Interest Rate

 

BIE

 

$

16,028,112

 

 

0.70%

 

BBK

 

$

8,874,846

 

 

0.68%

 

BAF

 

$

26,617,818

 

 

0.67%

 

BYM

 

$

91,099,475

 

 

0.66%

 

BLE

 

$

58,395,942

 

 

0.68%

 

MFL

 

$

87,237,782

 

 

0.77%

 

MVF

 

$

180,330,114

 

 

0.68%

 

Should short-term interest rates rise, the Trusts’ investments in TOBs may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market values of municipal bonds deposited into the TOB may adversely affect the Trusts’ NAVs per share.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g. financial futures contracts), the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP. Dividends and distributions to Preferred Shareholders are accrued and determined as described in Note 7.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ US federal tax returns remains open for each of the four years ended August 31, 2011. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements, which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts’ financial statement disclosures.

In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financials instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trust’s financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

57




 

 

Notes to Financial Statements (continued)

had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Each Trust may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each Trust’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in income — affiliated in the Statements of Operations.

Offering Costs: The Trusts incurred costs in connection with their issuance of VRDP Shares or VMTP Shares. For VRDP Shares, these costs were recorded as a deferred charge and will be amortized over the 30-year life of the VRDP Shares with the exception of upfront fees paid to the liquidity provider which are amortized over the life of the liquidity agreement. For VMTP Shares, these costs were recorded as a deferred charge and will be amortized over the 3-year life of the VMTP Shares. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodians whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodians impose fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Trusts purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Trusts and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure:

 

Fair Values of Derivative Financial Instruments as of February 29, 2012

 

 

Liability Derivatives

 

 

 

 

 

BIE

 

BAF

 

BYM

 

BLE

 

MFL

 

 

 

Statements of Assets and
Liabilities Location

 

 

 

 

 

Value

 

 

 

 

 

Interest rate contracts

 

Net unrealized appreciation/depreciation1

 

$

13,815

 

$

36,074

 

$

38,376

 

$

60,634

 

$

149,667

 


 

 

1

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended February 29, 2012

 

 

 

Net Realized Gain (Loss) from

 

 

 

BYM

 

BBK

 

BAF

 

BIE

 

BLE

 

MFL

 

MVF

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

33,688

 

$

94,397

 

$

86,672

 

$

124,284

 

$

100,893

 

$

353,627

 

$

(201,539

)

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 

BYM

 

BAF

 

BIE

 

BLE

 

MFL

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

(18,820

)

$

(47,513

)

$

(72,336

)

$

(133,275

)

$

(194,351

)

 

 

 

 

 

 


 

 

 

     

 

58

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

For the six months ended February 29, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BIE

 

BBK

 

BAF

 

BYM

 

BLE

 

MFL

 

MVF

 

Financial futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts purchased

 

 

 

 

47

 

 

 

 

 

 

 

 

 

 

220

 

Average number of contracts sold

 

 

9

 

 

 

 

24

 

 

25

 

 

40

 

 

98

 

 

 

Average notional value of contracts purchased

 

 

 

$

6,124,532

 

 

 

 

 

 

 

 

 

$

28,816,981

 

Average notional value of contracts sold

 

$

1,181,391

 

 

 

$

3,084,742

 

$

3,281,641

 

$

5,184,992

 

$

12,798,398

 

 

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust pays the Manager a monthly fee based on a percentage of each Trust’s average weekly net assets except MFL and MVF, which are based on average daily net assets at the following annual rates:

 

 

 

 

 

 

 

 

 

 

BIE

 

 

0.65

%

BBK

 

 

0.65

%

BAF

 

 

0.55

%

BYM

 

 

0.55

%

BLE

 

 

0.55

%

MFL

 

 

0.55

%

MVF

 

 

0.50

%

Average weekly net assets and average daily net assets are the average weekly or the average daily value of each Trust’s total assets minus the sum of its accrued liabilities.

The Manager voluntarily agreed to waive a portion of the investment advisory fee with respect to the Bond Trusts at an annual rate, as a percentage of average weekly net assets of 0.05% through April 2012. With respect to BLE, the waiver, as a percentage of average weekly assets, is 0.05% through July 2012. With respect to MFL, the Manager voluntarily agreed to waive its investment advisory fees on the proceeds of Preferred Shares and TOBs that exceed 35% of net assets applicable to Common Shareholders. For the six months ended February 29, 2012, the Manager waived the following amounts, which are included in fees waived by advisor in the Statements of Operations:

 

 

 

 

 

 

 

 

 

 

BIE

 

$

21,089

 

BBK

 

$

61,554

 

BLE

 

$

136,529

 

MFL

 

$

181,844

 


The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended February 29, 2012, the amounts waived were as follows:

 

 

 

 

 

 

 

 

 

 

BIE

 

$

674

 

BBK

 

$

1,318

 

BAF

 

$

1,248

 

BYM

 

$

2,125

 

BLE

 

$

2,428

 

MFL

 

$

7,309

 

MVF

 

$

8,323

 

The Manager entered into sub-advisory agreements with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, with respect to BAF, BYM, the Bond Trusts and BLE, and BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, with respect to MFL and MVF. The Manager pays BFM and BIM, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments excluding short-term securities, for the six months ended February 29, 2012, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BIE

 

$

16,370,282

 

$

14,677,407

 

BBK

 

$

64,764,173

 

$

64,859,420

 

BAF

 

$

62,690,900

 

$

40,985,509

 

BYM

 

$

44,468,504

 

$

45,598,393

 

BLE

 

$

83,480,311

 

$

48,995,194

 

MFL

 

$

209,439,997

 

$

176,333,386

 

MVF

 

$

80,514,603

 

$

69,389,877

 


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

59




 

 

Notes to Financial Statements (continued)

5. Income Tax Information:

As of August 31, 2011, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expiration August 31,

 

BIE

 

BBK

 

BAF

 

BYM

 

BLE

 

MFL

 

MVF

 

2012

 

 

 

 

 

 

 

 

 

$

5,097,889

 

$

1,643,296

 

 

 

2013

 

 

 

 

 

$

178,996

 

 

 

 

 

 

7,986,138

 

 

 

2015

 

$

30,026

 

 

 

 

 

$

1,522,202

 

 

 

 

 

 

 

2016

 

 

 

$

180,076

 

 

250,838

 

 

3,217,765

 

 

1,648,836

 

 

 

 

 

2017

 

 

 

 

2,225,455

 

 

 

 

6,430,212

 

 

3,397,830

 

 

6,481,433

 

$

7,618,622

 

2018

 

 

1,329,063

 

 

 

 

1,516,661

 

 

2,209,430

 

 

4,366,226

 

 

11,734,707

 

 

 

2019

 

 

718,157

 

 

 

 

2,950,154

 

 

 

 

2,448,693

 

 

 

 

5,276,524

 

Total

 

$

2,077,246

 

$

2,405,531

 

$

4,896,649

 

$

13,379,609

 

$

16,959,474

 

$

27,845,574

 

$

12,895,146

 

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Trusts after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.

As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BIE

 

BBK

 

BAF

 

BYM

 

BLE

 

MFL

 

MVF

 

Tax cost

 

$

66,060,201

 

$

228,175,919

 

$

173,573,143

 

$

497,565,629

 

$

471,632,702

 

$

774,330,691

 

$

799,523,476

 

Gross unrealized appreciation

 

$

8,528,137

 

$

20,235,844

 

$

17,673,691

 

$

51,440,010

 

$

44,980,315

 

$

79,935,270

 

$

92,300,862

 

Gross unrealized depreciation

 

 

(151,108

)

 

(2,432,148

)

 

(10,111

)

 

(7,897,135

)

 

(7,238,631

)

 

(52,682

)

 

(5,186,526

)

Net unrealized appreciation

 

$

8,377,029

 

$

17,803,696

 

$

17,663,580

 

$

43,542,875

 

$

37,741,684

 

$

79,882,588

 

$

87,114,336

 

6. Concentration, Market and Credit Risk:

Each Trust invests a substantial amount of its assets in issuers located in a single state or limited number of states. Please see the Schedules of Investments for concentrations in specific states.

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities, less any collateral held by the Trusts.

As of February 29, 2012, BIE and BYM each invested a significant portion of its assets in securities in the County/City/Special District/School District and Transportation sectors. BBK invested a significant portion of its assets in securities in the Health sector. BAF invested a significant portion of its assets in securities in the County/City/Special District/School District and Utilities sectors. MFL invested a significant portion of its assets in securities in the County/City/Special District/School District, Transportation and Utilities sectors. MVF invested a significant portion of its assets in securities in the Health sector. Changes in economic conditions affecting the County/City/ Special District/School District, Health, Transportation and Utilities sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

 

 

 

 

 

 

60

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

7. Capital Share Transactions:

Each Trust, except MFL and MVF, is authorized to issue an unlimited number of shares, including AMPS and VRDP Shares, par value $0.001 per share, all of which were initially classified as Common Shares. Each Trust’s Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders

MFL is authorized to issue an unlimited number of shares, including 1 million AMPS and VRDP Shares, par value $0.10 per share.

MVF is authorized to issue 160 million shares, 150 million of which were initially classified as Common Shares, par value $0.10 per share and 10 million of which were classified as AMPS and VRDP Shares, par value $0.10 per share.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012

 

Year Ended
August 31,
2011

 

BIE

 

1,960

 

 

1,042

 

 

BBK

 

20,737

 

 

50,072

 

 

BAF

 

2,907

 

 

3,544

 

 

BYM

 

24,562

 

 

57,519

 

 

BLE

 

41,400

 

 

74,401

 

 

MFL

 

19,426

 

 

38,214

 

 

MVF

 

300,419

 

 

621,454

 

 

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Fund and distribution of assets upon dissolution or liquidation of the Trust. The 1940 Act prohibits the declaration of any dividend on the Trust’s Common Shares or the repurchase of the Trust’s Common Shares if the Trust fails to maintain the asset coverage of at least 200% of the liquidation preference of the outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instrument, the Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Preferred Shares or repurchasing such shares if the Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares governing instrument or comply with the basic maintenance amount requirement of the rating agencies then rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Directors for each Fund. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Fund’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

BIE and MFL (collectively, the “VRDP Trusts”) have issued Series W-7 VRDP Shares, $100,000 liquidation value per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933 and include a liquidity feature that allows the holders of VRDP Shares to have their shares purchased by the liquidity provider in the event of a failed remarketing. The VRDP Trusts are required to redeem the VRDP Shares owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Upon the occurrence of an unsuccessful remarketing, the VRDP Trusts are required to segregate liquid assets to fund the redemption. The VRDP Shares are subject to certain restrictions on transfer.

The VRDP Shares issued for the six months ended February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issue Date

 

Shares
Issued

 

Aggregate
Principal

 

Maturity
Date

 

BIE

 

9/15/11

 

178

 

$

17,800,000

 

9/16/41

 

 

 

 

 

 

 

 

 

 

 

 

The VRDP Shares issued for the year ended August 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issue Date

 

Shares
Issued

 

Aggregate
Principal

 

Maturity
Date

 

MFL

 

6/30/11

 

2,746

 

$

274,600,000

 

7/01/41

 

The VRDP Trusts entered into a fee agreement with the liquidity provider that required a per annum liquidity fee to be paid to the liquidity provider. These fees are shown as liquidity fees in the Statements of Operations.

The fee agreement between the VRDP Trusts and the liquidity provider is for a one-year term and is scheduled to expire on June 27, 2012 for MFL and September 12, 2012 for BIE unless renewed or terminated in advance. In the event the fee agreement is not renewed or is terminated in advance, and the VRDP Trusts do not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. The VRDP Trusts are required to redeem any VRDP Shares purchased by the liquidity provider six months after the purchase date. Immediately after the purchase of any VRDP Shares by the liquidity provider, the VRDP Trusts are required to begin to segregate liquid assets with the VRDP Trust’s custodian to fund the redemption. There is no assurance the VRDP Trusts will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Each VRDP Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, VRDP Trusts are required to redeem certain of their outstanding VRDP Shares if they fail to maintain certain asset coverage, basic maintenance amount or leverage requirements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

61




 

 

Notes to Financial Statements (continued)

Subject to certain conditions, VRDP Shares may be redeemed, in whole or in part, at any time at the option of VRDP Trusts. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. In the event of an optional redemption of VRDP Shares prior to the initial termination date of the fee agreement, VRDP Trusts must pay the respective liquidity provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to the initial termination date.

Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate as discussed below. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. Moody’s has announced a review of its rating methodologies with respect to investment company securities, and any amendments to its rating methodologies may adversely affect Moody’s current long-term ratings of the VRDP Shares.

The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares. Although not directly correlated, a change in the short-term credit rating of the VRDP Shares may adversely affect the dividend rate paid on such shares. As of February 29, 2012, the short-term ratings of the liquidity provider and the VRDP Shares are P-1/F-1 and P-1/F-1 as rated by Moody’s and Fitch, respectively. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories. Moody’s has placed the liquidity providers and the short-term ratings of the VRDP Shares on review for possible downgrade.

For financial reporting purposes, VRDP Shares are considered debt of the issuer; therefore, the liquidation value of VRDP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

The VRDP Trusts pay commissions of 0.10% on the aggregate principal amount of all VRDP Shares, which are included in remarketing fees on Preferred Shares in the Statements of Operations. All of Trust’s VRDP Shares have successfully remarketed since issuance, with an annualized dividend rate for the six months ended February 29, 2012 as follows:

 

 

 

 

 

 

 

 

 

Rate

 

BIE

 

 

 

0.27

%

 

MFL

 

 

 

0.30

%

 

VRDP Shares issued and outstanding for MFL remained constant during the six months ended February 29, 2012.

VMTP Shares

BBK, BAF, BYM, BLE and MVF (collectively, the “VMTP Trusts”) have issued Series W-7 VMTP Shares, $100,000 liquidation value per share, in a privately negotiated offering and sale of VMTP Shares exempt from registration under the Securities Act of 1933.

The VMTP Shares issued for the six months ended February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issue Date

 

Shares
Issued

 

Aggregate
Principal

 

Term
Date

 

BBK

 

12/16/11

 

 

799

 

$

79,900,000

 

1/02/15

 

BAF

 

12/16/11

 

 

422

 

$

42,200,000

 

1/02/15

 

BYM

 

12/16/11

 

 

1,372

 

$

137,200,000

 

1/02/15

 

BLE

 

12/16/11

 

 

1,513

 

$

151,300,000

 

1/02/15

 

MVF

 

12/16/11

 

 

2,438

 

$

243,800,000

 

1/02/15

 

Each VMTP Trust is required to redeem its VMTP Shares on the term date, unless earlier redeemed, repurchased or extended. There is no assurance that the term of a Trust’s VMTP Shares will be extended or that a Trust’s VMTP Share will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to term date, each VMTP Trusts are required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, each VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, a Trust’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Trust. The redemption price per VMTP Share is equal to the liquidation value per share plus any outstanding unpaid dividends and applicable redemption premium. If the Trust redeems the VMTP Shares on a date that is one year or more prior to the term date and the VMTP Shares are rated above A1/A+ by Moody’s and Fitch, respectively, (the “Rating Agencies”), then such redemption is subject to a scheduled redemption premium based on the time remaining to the term date, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. The VMTP Shares are subject to certain restrictions on transfer, and a Trust may also be required to register the VMTP Shares for sale under the Securities Act of 1933 under certain circumstances. In addition, amendments to the VMTP governing document generally require the consent of the holders of VMTP Shares.

 

 

 

 

 

 

62

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

Dividends on the VMTP Shares are payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association Municipal Swap Index (SIFMA). The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the Rating Agencies. At the date of issuance, the VMTP Shares were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. Moody’s has announced a review of its rating methodologies with respect to investment company securities, and any amendments to its respective rating methodologies may adversely affect the Moody’s current long-term ratings of the VMTP Shares. The dividend rate on the VMTP Shares is subject to a step-up spread if the Trust fails to comply with certain provisions, including, among others, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

The average annualized dividend rates of the VMTP Share for the six months ended February 29, 2012 were follows:

 

 

 

 

 

 

 

 

Rate

 

BBK

 

 

1.11

%

 

BAF

 

 

1.11

%

 

BYM

 

 

1.11

%

 

BLE

 

 

1.11

%

 

MVF

 

 

1.11

%

 

For financial reporting purposes, VMTP Shares are considered debt of the issuer; therefore, the liquidation value of VMTP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends paid on the VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

AMPS

The AMPS are redeemable at the option of each Trust, in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The AMPS are also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of a Trust, as set forth in each Trust’s Articles of Supplementary/Statement of Preferences/Certificate of Designation (the “Governing Instrument”) are not satisfied.

From time to time in the future, each Trust may effect repurchases of its AMPS at prices below their liquidation preference as agreed upon by the Trust and seller. Each Trust also may redeem its AMPS from time to time as provided in the applicable Governing Instrument. Each Trust intends to affect such redemptions and/or repurchases to the extent necessary to maintain applicable asset coverage requirements or for such other reasons as the Board may determine.

Dividends on seven-day and 28-day AMPS are cumulative at a rate, which is reset every seven or 28 days, respectively, based on the results of an auction. If the AMPS fail to clear the auction on an auction date, each Trust is required to pay the maximum applicable rate on the AMPS to holders of such shares for successive dividend periods until such time as the shares are successfully auctioned. The maximum applicable rate on all series of AMPS is the higher of 110% of the AA commercial paper rate or 100% of 90% of the Kenny S&P 30-day High Grade Index divided by 1.00 minus the marginal tax rate. The low, high and average dividend rates on the AMPS for each Trust for the six months ended February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Low

 

High

 

Average

 

BIE1

 

W-7

 

0.24%

 

0.26%

 

0.25%

 

BBK1

 

T-7

 

0.15%

 

0.30%

 

0.22%

 

 

 

R-7

 

0.12%

 

0.30%

 

0.22%

 

BAF1

 

M-7

 

0.16%

 

0.39%

 

0.22%

 

BYM1

 

M-7

 

0.16%

 

0.27%

 

0.22%

 

 

 

F-7

 

0.16%

 

0.27%

 

0.22%

 

 

 

R-7

 

0.15%

 

0.27%

 

0.21%

 

BLE1

 

M-7

 

0.15%

 

0.30%

 

0.23%

 

 

 

T-7

 

0.18%

 

0.30%

 

0.23%

 

 

 

W-7

 

0.16%

 

0.30%

 

0.22%

 

 

 

R-7

 

0.15%

 

0.30%

 

0.22%

 

MVF2

 

A

 

0.12%

 

0.26%

 

0.20%

 

 

 

B

 

0.08%

 

0.13%

 

0.12%

 

 

 

C

 

0.15%

 

0.24%

 

0.20%

 

 

 

D

 

0.09%

 

0.33%

 

0.18%

 

 

 

E

 

0.08%

 

0.33%

 

0.17%

 

 

 

F

 

1.29%

 

1.35%

 

1.31%

 


 

 

 

 

1

The maximum applicable rate on this series of Preferred Shares is the higher of 110% plus or times (i) the Telerate/BAA LIBOR or (ii) 90% of Kenny S&P 30-day High Grade Index rate divided by 1.00 minus the marginal tax rate.

 

 

 

 

2

The maximum applicable rate on series A, B, C, D and E is 110% of the interest equivalent of the 60-day commercial paper rate and for Series F if the higher of 110% plus or times (i) the Telerate/BBA LIBOR or (ii) 90% of the Kenny S&P 30-Day High Grade Index divided by 1.00 minus the marginal tax rate.

Since February 13, 2008, the AMPS of the Trusts failed to clear any of their auctions. As a result, the AMPS dividend rates were reset to the maximum applicable rate, which ranged from 0.08% to 1.35% for the six months ended February 29, 2012. A failed auction is not an event of default for the Trusts but it has a negative impact on the liquidity of AMPS. A failed auction occurs when there are more sellers of a Trust’s AMPS than buyers. A successful auction for the Trusts’ AMPS may not occur for some time, if ever, and even if liquidity does resume, holders of AMPS may not have the ability to sell the AMPS at their liquidation preference.

The Trusts pay commissions of 0.15% on the aggregate principal amount of all shares that fail to clear their auctions and 0.25% on the aggregate principal amount of all shares that successfully clear their auctions. Certain broker dealers have individually agreed to reduce commissions for failed auctions.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

63




 

 

Notes to Financial Statements (concluded)

During the year ended August 31, 2011, MFL announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Redemption
Date

 

Shares
Redeemed

 

Aggregate
Principal

 

MFL

 

A

 

7/20/11

 

1,584

 

$

39,600,000

 

 

 

B

 

7/18/11

 

2,642

 

$

66,050,000

 

 

 

C

 

7/19/11

 

2,601

 

$

65,025,000

 

 

 

D

 

7/21/11

 

1,633

 

$

40,825,000

 

 

 

E

 

7/22/11

 

2,526

 

$

63,150,000

 

MFL financed the AMPS redemptions with the proceeds received from the issuance of VRDP Shares.

During the six months ended February 29, 2012, certain Trusts announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Redemption
Date

 

Shares
Redeemed

 

Aggregate
Principal

 

BIE

 

W-7

 

10/06/11

 

714

 

$

17,850,000

 

BBK

 

T-7

 

1/11/12

 

1,598

 

$

39,950,000

 

 

 

R-7

 

1/13/12

 

1,598

 

$

39,950,000

 

BAF

 

M-7

 

1/10/12

 

1,691

 

$

42,275,000

 

BYM

 

M-7

 

1/10/12

 

1,830

 

$

45,750,000

 

 

 

R-7

 

1/13/12

 

1,830

 

$

45,750,000

 

 

 

F-7

 

1/09/12

 

1,830

 

$

45,750,000

 

BLE

 

M-7

 

1/10/12

 

1,513

 

$

37,825,000

 

 

 

T-7

 

1/11/12

 

1,513

 

$

37,825,000

 

 

 

W-7

 

1/12/12

 

1,513

 

$

37,825,000

 

 

 

R-7

 

1/13/12

 

1,513

 

$

37,825,000

 

MVF

 

A

 

1/09/12

 

1,460

 

$

36,500,000

 

 

 

B

 

1/17/12

 

1,460

 

$

36,500,000

 

 

 

C

 

1/23/12

 

1,460

 

$

36,500,000

 

 

 

D

 

1/03/12

 

1,460

 

$

36,500,000

 

 

 

E

 

1/03/12

 

2,190

 

$

54,750,000

 

 

 

F

 

1/11/12

 

1,723

 

$

43,075,000

 

The Trusts financed the AMPS redemptions with proceeds received from the issuance of VMTP or VRDP Shares.

8. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts will pay a net investment income dividend in the following amounts per share on April 2, 2012 to shareholders of record on March 15, 2012:

 

 

 

 

 

 

 

Common
Dividend
Per Share

 

BIE

 

$

0.0810

 

BBK

 

$

0.0885

 

BAF

 

$

0.0745

 

BYM

 

$

0.0780

 

BLE

 

$

0.0850

 

MFL

 

$

0.0765

 

MVF

 

$

0.0590

 

The dividends declared on VRDP or VMTP Shares for the period March 1, 2012 to March 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

Series

 

VRDP/VMTP
Dividend
Per Share

 

BIE

 

W-7

 

$

236,872

 

BBK

 

W-7

 

$

77,630

 

BAF

 

W-7

 

$

41,001

 

BYM

 

W-7

 

$

133,301

 

BLE

 

W-7

 

$

147,001

 

MFL

 

W-7

 

$

5,252

 

MVF

 

W-7

 

$

236,872

 


 

 

 

 

 

 

64

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Officers and Trustees1


 

Richard E. Cavanagh, Chairman of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the
Audit Committee and Trustee

Paul L. Audet, President2 and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Henry Gabbay, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

John M. Perlowski, President3 and Chief Executive Officer

Anne Ackerley, Vice President

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and
Anti-Money Laundering Officer

Ira P. Shapiro, Secretary


 

 

 

 

1

John F. Powers, who was a Director of the Funds, resigned as of February 21, 2012.

 

2

President for MFL.

 

3

President for all Trusts except MFL.


 

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisors

BlackRock Investment Management, LLC4

Princeton, NJ 08540

 

BlackRock Financial Management, Inc.5

New York, NY 10055

 

Custodians

The Bank of New York Mellon4

New York, NY 10286

 

State Street Bank and Trust Company5

Boston, MA 02110

 

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

 

VRDP Tender and Paying Agent and

VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Liquidity Providers

Bank of America, N.A.6

New York, NY 10036

 

Morgan Stanley & Co. LLC7

New York, NY 10056

 

VRDP Remarketing Agents

Merrill Lynch, Pierce, Fenner & Smith Incorporated6

New York, NY 10036

 

Morgan Stanley & Co. LLC7

New York, NY 10056

 

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02116

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02110

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809


 

 

 

 

4

For MFL and MVF.

 

5

For BYM, BAF, BBK, BIE and BLE.

 

6

For MFL.

 

7

For BIE.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

65




 

 

Additional Information


 

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

On July 29, 2010, the Manager announced that a derivative complaint had been filed by shareholders of BYM, BAF and BIE on July 27, 2010 in the Supreme Court of the State of New York, New York County. The complaint names the Manager, BlackRock, Inc. and certain of the trustees, officers and portfolio managers of BYM, BAF and BIE as defendants. The complaint alleges, among other things, that the parties named in the complaint breached fiduciary duties owed to BYM, BAF and BIE and their Common Shareholders by redeeming auction-market preferred shares, auction rate preferred securities, auction preferred shares and auction rate securities (collectively, “AMPS”) at their liquidation preference. The complaint seeks unspecified damages for losses purportedly suffered by BYM, BAF and BIE as a result of the prior redemptions and injunctive relief preventing BYM, BAF and BIE from redeeming AMPS at their liquidation preference in the future. The Manager, BlackRock, Inc. and the other parties named in the complaint believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.

On August 11, 2010, the Manager announced that a derivative complaint had been filed by shareholders of MFL on August 3, 2010 in the Supreme Court of the State of New York, New York County. The complaint names the Manager, BlackRock, Inc. and certain of the directors, officers and portfolio managers of MFL as defendants. The complaint alleges, among other things, that the parties named in the complaint breached fiduciary duties owed to MFL and its Common Shareholders by redeeming AMPS at their liquidation preference. The complaint seeks unspecified damages for losses purportedly suffered by MFL as a result of the prior redemptions and injunctive relief preventing MFL from redeeming AMPS at their liquidation preference in the future. The Manager, BlackRock, Inc. and the other parties named in the complaint believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.

On March 15, 2012, the Supreme Court of the State of New York ordered that the two actions be consolidated and directed the plaintiffs to file a consolidated complaint within 30 days of the entry of the order.

On April 16, 2012, the plaintiffs filed a consolidated amended complaint. In connection with that filing, BYM and BIE were removed as defendants.

On September 27, 2010, the Manager announced that the directors of MVF had received a demand letter sent on behalf of certain of MVF’s Common Shareholders. The demand letter alleged that the Manager and MVF’s officers and Board breached fiduciary duties owed to MVF and its Common Shareholders by redeeming at par certain of MVF’s Preferred Shares, and demanded that MVF’s Board take action to remedy those alleged breaches. In response to the demand letter, the Board established a Demand Review Committee (the “Committee”) of the independent members of the Board to investigate the claims made in the demand letter with the assistance of independent counsel. Based upon its investigation, the Committee recommended that MVF’s Board reject the demand specified in the demand letter. After reviewing the findings of the Committee, MVF’s Board unanimously adopted the Committee’s recommendation and unanimously voted to reject the demand.

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

 

 

 

 

 

66

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Additional Information (concluded)


 

General Information (concluded)

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ websites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

67



This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares and the risk that fluctuations in the short-term dividend rates of the Preferred Shares, may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

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Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

 

Item 6 –

Investments

 

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

 

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

 

 

(a) 

Not Applicable to this semi-annual report

 

 

 

 

(b) 

As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

 

Item 11 –

Controls and Procedures

 

 

 

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

 

 

 

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

 

 

Item 12 –

Exhibits attached hereto

 

 

 

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

 

 

 

(a)(2) – Certifications – Attached hereto

 

 

 

(a)(3) – Not Applicable

 

 

 

(b) – Certifications – Attached hereto


 

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

 

 

 

BlackRock Municipal Income Trust II

 

 

  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Trust II
   
  Date: May 1, 2012
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Trust II
   
  Date: May 1, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Municipal Income Trust II
     
  Date: May 1, 2012