BlackRock Municipal Income Trust II

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: 08/31/2014

Date of reporting period: 02/28/2014


Item 1 – Report to Stockholders

 


FEBRUARY 28, 2014

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

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 • May Lose Value • No Bank Guarantee


Table of Contents     

 

      Page  

Dear Shareholder

     3   

Semi-Annual Report:

  

Municipal Market Overview

     4   

The Benefits and Risks of Leveraging

     5   

Derivative Financial Instruments

     5   

Trust Summaries

     6   
Financial Statements:   

Schedules of Investments

     20   

Statements of Assets and Liabilities

     57   

Statements of Operations

     58   

Statements of Changes in Net Assets

     59   

Statements of Cash Flows

     63   

Financial Highlights

     64   

Notes to Financial Statements

     71   

Officers and Trustees

     80   

Additional Information

     81   

 

                
2    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Dear Shareholder

 

One year ago, US financial markets were improving despite a sluggish global economy, as easy monetary policy gave investors enough conviction to take on more risk in their portfolios. Slow but positive growth in the US was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced expectations that the Federal Reserve would continue its aggressive monetary stimulus programs. International markets were more volatile given uneven growth rates and more direct exposure to macro risks such as the banking crisis in Cyprus and a generally poor outlook for European economies. Emerging markets significantly lagged the rest of the world amid fears over slowing growth and debt problems.

Global financial markets were rattled in May when then-Fed Chairman Bernanke mentioned the possibility of reducing (or “tapering”) the central bank’s asset purchase programs — comments that were widely misinterpreted as signaling an end to the Fed’s zero-interest-rate policy. US Treasury yields rose sharply, triggering a steep sell-off across fixed income markets. (Bond prices move in the opposite direction of yields.) Equity prices also suffered as investors feared the implications of a potential end of a program that had greatly supported the markets. Markets rebounded in late June, however, when the Fed’s tone turned more dovish, and improving economic indicators and better corporate earnings helped extend gains through most of the summer.

Although autumn brought mixed events, it was a surprisingly positive period for most asset classes. Early on, the Fed defied market expectations with its decision to delay tapering, but higher volatility returned in late September when the US Treasury Department warned that the national debt would soon breach its statutory maximum. The ensuing political brinksmanship led to a partial government shutdown, roiling global financial markets through the first half of October. Equities and other so-called “risk assets” managed to resume their rally when politicians engineered a compromise to reopen the government and extend the debt ceiling, at least temporarily.

The remainder of 2013 was generally positive for stock markets in the developed world, although investors continued to grapple with uncertainty about when and how much the Fed would scale back on stimulus. When the long-awaited taper announcement ultimately came in mid-December, the Fed reduced the amount of its monthly asset purchases but at the same time reaffirmed its commitment to maintaining low short-term interest rates. Markets reacted positively, as the taper signaled the Fed’s perception of real improvement in the economy, and investors were finally relieved from the anxiety that had gripped them for quite some time.

The start of the new year brought another turn in sentiment, as heightened volatility in emerging markets and mixed US economic data caused global equities to weaken in January while bond markets found renewed strength. Although these headwinds persisted, equities were back on the rise in February thanks to positive developments in Washington, DC. For one, Congress extended the nation’s debt ceiling through mid-March 2015, thereby reducing some degree of fiscal uncertainty for the next year. Additionally, investors were encouraged by market-friendly comments in new Fed Chair Janet Yellen’s Congressional testimony, giving further assurance that short-term rates would remain low for a prolonged period.

While accommodative monetary policy was the main driver behind positive market performance over the period, it was also a key cause of investor uncertainty. Developed market stocks were the strongest performers for the six- and 12-month periods ended February 28. In contrast, emerging markets were weighed down by uneven growth, high levels of debt and severe currency weakness, in addition to the broader concern about reduced global liquidity. The anticipation of Fed tapering during 2013 pressured US Treasury bonds and other high-quality fixed income sectors, including tax-exempt municipals and investment grade corporate bonds. High yield bonds, to the contrary, benefited from income-oriented investors’ search for yield in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic lows.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

“While accommodative monetary policy was the main driver behind positive market performance over the period, it was also a key cause of investor uncertainty.”

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2014  
    6-month     12-month  

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

    15.07     25.37

US small cap equities
(Russell 2000® Index)

    17.75        31.56   

International equities
(MSCI Europe, Australasia,

Far East Index)

    15.01        19.28   

Emerging market equities
(MSCI Emerging Markets Index)

    4.77        (6.01

3-month Treasury bill
(BofA Merrill Lynch

3-Month US Treasury

Bill Index)

    0.03        0.08   

US Treasury securities
(BofA Merrill Lynch

10-Year US Treasury Index)

    2.61        (3.65

US investment grade

bonds (Barclays US

Aggregate Bond Index)

    2.84        0.15   

Tax-exempt municipal

bonds (S&P Municipal

Bond Index)

    6.08        (0.27

US high yield bonds

(Barclays US Corporate

High Yield 2% Issuer

Capped Index)

    7.46        8.36   
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 Reporting Period Ended February 28, 2014

     

Municipal Market Conditions

In the earlier months of 2013, municipal bond supply was met with robust demand as investors were starved for yield in the low-rate, low-return environment and seeking tax-exempt investments in light of higher US tax rates that became effective at the turn of the year. Investors moved into municipal bond mutual funds, favoring long-duration and high-yield funds as they tend to provide higher levels of income.

However, market conditions turned less favorable in May when the US Federal Reserve initially mentioned the eventual reduction of its bond-buying stimulus program (which ultimately took effect in January 2014). Further signals from the Fed alluding to a retrenchment of asset purchases led to rising interest rates and waning municipal bond performance in June. (Bond prices fall as rates rise.) Municipal bond mutual funds saw strong outflows in the last six months of 2013, before investors again sought the relative safety of the asset class in the new year. For the 12-month period ended February 28, 2014, net outflows were approximately $64 billion (based on data from the Investment Company Institute).

High levels of interest rate volatility resulted in a sharp curtailment of tax-exempt issuance in May through the end of the period. However, from a historical perspective, total new issuance for the 12 months ended February 28, 2014 remained relatively strong at $315 billion (but meaningfully lower than the $387 billion issued in the prior 12-month period). A significant portion of new supply during this period was attributable to refinancing activity (roughly 40%) as issuers took advantage of lower interest rates to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of February 28, 2014

  6 months :    6.08%

12 months :   (0.27)%

A Closer Look at Yields

LOGO

From February 28, 2013 to February 28, 2014, muni yields increased by 81 basis points (“bps”) from 2.91% to 3.72% on AAA-rated 30-year municipal bonds, while increasing 59 bps from 1.81% to 2.40% on 10-year bonds and rising another 23 bps from 0.77% to 1.00% on 5-year issues (as measured by Thomson Municipal Market Data). Overall, the municipal yield curve remained relatively steep over the 12-month period as the spread between 2- and 30-year maturities widened by 86 bps and the spread between 2- and 10-year maturities widened by 64 bps.

During the same time period, US Treasury rates rose by 49 bps on 30-year and 77 bps on 10-year bonds, while moving up 74 bps in 5-years. Accordingly, tax-exempt municipal bonds underperformed Treasuries on the long end of the yield curve as investors sought to reduce interest rate risk later in the period. On the short end of the curve, the outperformance of municipal bonds versus Treasuries was driven largely by a supply/demand imbalance within the municipal market and a rotation from long-duration assets (which are more sensitive to interest rate movements) into short- and intermediate-duration investments (which are less sensitive to interest rate movements). Additionally, municipal bonds benefited from the increased appeal of tax-exempt investing in the new higher tax rate environment. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise. The municipal market continues to be an attractive avenue for investors seeking yield in today’s environment, particularly as the recent correction has restored value in the market and placed yields at levels not obtainable since early 2011. However, opportunities have not been as broad-based as in 2011 and 2012, warranting a more tactical approach going forward.

Financial Conditions of Municipal Issuers Continue to Improve

Following an extended period of nation-wide austerity and de-leveraging as states sought to balance their budgets, 15 consecutive quarters of positive revenue growth coupled with the elimination of more than 750,000 jobs in recent years have put state and local governments in a better financial position. Many local municipalities, however, continue to face increased health care and pension costs passed down from the state level. BlackRock maintains the view that municipal bond defaults will be minimal and remain in the periphery, and that the overall market is fundamentally sound. We continue to recognize that careful credit research, appropriate structure and security selection remain imperative amid uncertainty in this tepid economic environment.

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. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


The Benefits and Risks of Leveraging     

 

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

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which will be based on short-term interest rates, will normally be lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trust’s shareholders will benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Trust’s costs of leverage are significantly lower than the income earned on the Trust’s longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trust’s return on assets purchased with leverage proceeds, income to

shareholders will be lower than if the Trust had not used leverage. Furthermore, the value of the Trust’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trust’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trust’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, the Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit the Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. The Trust will incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares.

To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOBs”) as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940 (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets or equity securities (e.g., Preferred Shares) up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by the Preferred Shares’ governing instrument or by rating agencies rating the Preferred Shares, which may be more stringent than those imposed by the 1940 Act.

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments, including financial futures contracts, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or 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 and/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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    5


Trust Summary as of February 28, 2014    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. Effective January 1, 2007, the Florida intangible personal property tax was repealed.

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

 

Performance      
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 9.84% based on market price and 11.95% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

The Trust benefited from its holdings in the State of California. The continued improvement in the state’s economy was the catalyst for the price appreciation in these bonds. Additionally, as the municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities), the Trust’s longer-dated holdings in health, transportation and education experienced the strongest price appreciation. (Bond prices rise when rates fall.)

 

Ÿ  

Conversely, the use of US Treasury futures to protect the Trust against interest rate increases detracted from returns, although the impact was minimal.

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 28, 2014 ($13.96)1

   6.53%

Tax Equivalent Yield2

   11.54%

Current Monthly Distribution per Common Share3

   $0.076

Current Annualized Distribution per Common Share3

   $0.912

Economic Leverage as of February 28, 20144

   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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  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 5.

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock Municipal Bond Investment Trust

 

Market Price and Net Asset Value Per Share Summary      
      2/28/14      8/31/13      Change      High      Low  

Market Price

   $ 13.96       $ 13.14         6.24    $ 14.01       $ 12.85   

Net Asset Value

   $ 15.45       $ 14.27         8.27    $ 15.45       $ 14.14   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation    2/28/14     8/31/13  

Transportation

     24     21

County/City/Special District/School District

     23        22   

Utilities

     17        17   

Health

     14        15   

State

     9        8   

Education

     7        10   

Housing

     4        5   

Tobacco

     1        1   

Corporate

     1        1   
Credit Quality Allocation1    2/28/14     8/31/13  

AAA/Aaa

     10     10

AA/Aa

     58        60   

A

     29        26   

BBB/Baa

     2        4   

BB/Ba2

     1          

 

  1   

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

   
Call/Maturity Schedule2        

Calendar Year Ended December 31,

  

2014

     4

2015

       

2016

     2   

2017

     1   

2018

     19   

 

 

  2   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    7


Trust Summary as of February 28, 2014    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
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 12.12% based on market price and 13.42% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

As tax-exempt rates declined over the period, the Trust’s longer-duration (higher sensitivity to interest rate movements) and longer-dated bond holdings tended to provide the largest returns. (Bond prices rise when rates fall.) In this environment, the Trust’s transportation, health and corporate holdings contributed positively to performance as these were among the better performing sectors. Exposure to lower-coupon and zero-coupon bonds also drove returns as they had strong price performance due to their relatively long durations for their respective maturities. The Trust’s significant exposure to high-quality issues had a positive impact on results as the market’s strongest performance during the period was concentrated in this quality segment. Additionally, the Trust benefited from the accrual of income generated from coupon payments on its municipal bond holdings. The use of leverage allowed the Trust to enhance its level of income.

 

Ÿ  

The Trust’s exposure to Puerto Rico government-related credits, although limited, was a detractor from results as credit spreads on these bonds widened materially due to investors’ lack of confidence and a weak local economy. The Trust sold its exposure to these deteriorating securities early in 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 28, 2014 ($14.54)1

   6.48%

Tax Equivalent Yield2

   11.45%

Current Monthly Distribution per Common Share3

   $0.0785

Current Annualized Distribution per Common Share3

   $0.9420

Economic Leverage as of February 28, 20144

   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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The monthly distribution per common share, declared on March 3, 2014, was increased to $0.0820 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 5.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/14      8/31/13      Change      High      Low  

Market Price

   $ 14.54       $ 13.49         7.78    $ 14.54       $ 13.21   

Net Asset Value

   $ 15.46       $ 14.18         9.03    $ 15.46       $ 14.06   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments

 

Sector Allocation   2/28/14     8/31/13  

Health

    23     24

County/City/Special District/School District

    16        13   

Transportation

    16        14   

Utilities

    13        13   

Education

    11        10   

Corporate

    7        7   

State

    7        12   

Housing

    6        6   

Tobacco

    1        1   
Credit Quality Allocation1   2/28/14     8/31/13  

AAA/Aaa

    7     7

AA/Aa

    36        37   

A

    37        33   

BBB/Baa

    8        11   

BB/Ba

    5        5   

B

    1        1   

Not Rated2

    6        6   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2014 and August 31, 2013, the market value of these securities was $5,720,442 and $4,866,578, each representing 2%, respectively, of the Trust’s long-term investments.

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    12

2015

    2   

2016

    3   

2017

    3   

2018

    11   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    9


Trust Summary as of February 28, 2014    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. Effective January 1, 2007, the Florida intangible property tax was repealed.

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

 

Performance
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 9.77% based on market price and 12.05% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

The Trust benefited from its holdings in the State of California. The continued improvement in the state’s economy was the catalyst for the price appreciation in these bonds. Additionally, as the municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities), the Trust’s longer-dated holdings in health, transportation and education experienced the strongest price appreciation. (Bond prices rise when rates fall.)

 

Ÿ  

Conversely, the use of US Treasury futures to protect the Trust against interest rate increases detracted from returns, although the impact was minimal.

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 28, 2014 ($13.64)1

  6.03%

Tax Equivalent Yield2

  10.65%

Current Monthly Distribution per Common Share3

  $0.0685

Current Annualized Distribution per Common Share3

  $0.8220

Economic Leverage as of February 28, 20144

  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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  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 5.

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock Municipal Income Investment Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/14      8/31/13      Change      High      Low  

Market Price

   $ 13.64       $ 12.82         6.40    $ 13.70       $ 12.44   

Net Asset Value

   $ 15.02       $ 13.83         8.60    $ 15.02       $ 13.69   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation    2/28/14     8/31/13  

County/City/Special District/School District

     30     28

Transportation

     27        24   

Utilities

     20        20   

Health

     12        12   

State

     6        7   

Education

     2        7   

Tobacco

     2        1   

Housing

     1        1   
Credit Quality Allocation1    2/28/14     8/31/13  

AAA/Aaa

     3     5

AA/Aa

     76        74   

A

     21        21   

 

  1   

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

   
Call/Maturity Schedule2        

Calendar Year Ended December 31,

  

2014

       

2015

       

2016

     1

2017

     1   

2018

     16   

 

  2   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    11


Trust Summary as of February 28, 2014    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
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 11.82% based on market price and 12.90% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

The Trust’s duration exposure (sensitivity to interest rate movements) was the largest contributor to performance as long-term municipal interest rates fell significantly during the period. (Bond prices rise as rates fall.) The Trust also benefited from income generated in the form of coupon payments from its portfolio of municipal bond holdings. Exposure to longer-dated bonds had a positive impact as the municipal yield curve flattened during the period (i.e., longer-term rates fell more than shorter-term rates).

 

Ÿ  

Conversely, the use of US Treasury futures to protect the Trust against interest rate increases detracted from returns, although the impact was minimal.

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 28, 2014 ($13.59)1

   6.80%

Tax Equivalent Yield2

   12.01%

Current Monthly Distribution per Common Share3

   $0.077

Current Annualized Distribution per Common Share3

   $0.924

Economic Leverage as of February 28, 20144

   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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  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 5.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock Municipal Income Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary      
           
      2/28/14      8/31/13      Change      High      Low  

Market Price

   $ 13.59       $ 12.59         7.94    $ 13.69       $ 12.18   

Net Asset Value

   $ 14.67       $ 13.46         8.99    $ 14.67       $ 13.33   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation   2/28/14     8/31/13  

County/City/Special District/School District

    32     29

Transportation

    23        21   

Utilities

    17        20   

State

    10        13   

Health

    8        8   

Education

    7        6   

Tobacco

    2        2   

Corporate

    1        1   
Credit Quality Allocation1   2/28/14     8/31/13  

AAA/Aaa

    21     20

AA/Aa

    53        54   

A

    24        24   

BBB/Baa

    2        2   

 

  1   

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

   
Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2014

    8

2015

    4   

2016

    5   

2017

    9   

2018

    17   

 

  2   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    13


Trust Summary as of February 28, 2014    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
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 9.08% based on market price and 12.85% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

The Trust’s duration positioning (sensitivity to interest rate movements) drove positive performance as long-term municipal interest rates fell significantly during the period. (Bond prices rise as rates fall.) Exposure to longer-dated bonds had a positive impact as the municipal yield curve flattened (i.e., longer-term rates fell more than shorter-term rates). The Trust also benefited from maintaining concentrations in low investment grade bonds as well as non-investment grade and non-rated securities as credit spreads tightened during the period.

 

Ÿ  

Conversely, the use of US Treasury futures to protect the Trust against interest rate increases detracted from returns, although the impact was minimal. The Trust’s exposure to Puerto Rico government-related credits, although limited, was a detractor from results as credit spreads on these bonds widened materially due to investors’ lack of confidence and a weak local economy. The Trust sold its exposure to these deteriorating securities 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 MKT

  BLE

Initial Offering Date

  July 30, 2002

Yield on Closing Market Price as of February 28, 2014 ($13.88)1

  7.09%

Tax Equivalent Yield2

  12.53%

Current Monthly Distribution per Common Share3

  $0.082

Current Annualized Distribution per Common Share3

  $0.984

Economic Leverage as of February 28, 20144

  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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  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 5.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock Municipal Income Trust II

 

 

Market Price and Net Asset Value Per Share Summary      

 

       

2/28/14

       8/31/13        Change      High        Low  

Market Price

     $ 13.88         $ 13.20           5.15    $ 14.20         $ 12.59   

Net Asset Value

     $ 14.49         $ 13.32           8.78    $ 14.49         $ 13.18   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation   2/28/14     8/31/13  

Utilities

    18     18

Transportation

    18        21   

Health

    15        16   

State

    15        12   

County/City/Special District/School District

    10        11   

Education

    9        9   

Corporate

    8        6   

Tobacco

    4        4   

Housing

    3        3   
Credit Quality Allocation1   2/28/14     8/31/13  

AAA/Aaa

    11     10

AA/Aa

    35        36   

A

    28        31   

BBB/Baa

    14        13   

BB/Ba

    4        3   

B

    1        1   

Not Rated2

    7        6   

 

  1  

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

 

  2  

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2014 and August 31, 2013, the market value of these securities was $8,227,306, representing 1%, and $10,339,771, representing 2%, respectively, of the Trust’s long-term investments.

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    6

2015

    5   

2016

    5   

2017

    4   

2018

    6   

 

  3  

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    15


Trust Summary as of February 28, 2014    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. Effective January 1, 2007, the Florida intangible personal property tax was repealed.

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

 

Performance
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 9.53% based on market price and 12.95% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

The Trust benefited from its holdings in the State of California. The continued improvement in the state’s economy was the catalyst for the price appreciation in these bonds. Additionally, as the municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities), the Trust’s longer-dated holdings in health, transportation and education experienced the strongest price appreciation. (Bond prices rise when rates fall.)

 

Ÿ  

Conversely, the use of US Treasury futures to protect the Trust against interest rate increases detracted from returns, although the impact was minimal.

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 28, 2014 ($13.34)1

  6.43%

Tax Equivalent Yield2

  11.36%

Current Monthly Distribution per Common Share3

  $0.0715

Current Annualized Distribution per Common Share3

  $0.8580

Economic Leverage as of February 28, 20144

  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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  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 5.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary      

 

      2/28/14      8/31/13      Change      High      Low  

Market Price

   $ 13.34       $ 12.59         5.96    $ 13.42       $ 12.15   

Net Asset Value

   $ 14.50       $ 13.27         9.27    $ 14.50       $ 13.14   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation   2/28/14     8/31/13  

Transportation

    33     28

Utilities

    19        21   

County/City/Special District/School District

    17        17   

Health

    11        11   

State

    10        10   

Education

    6        9   

Housing

    2        2   

Tobacco

    1        2   

Corporate

    1          
Credit Quality Allocation1   2/28/14     8/31/13  

AAA/Aaa

    5     4

AA/Aa

    66        70   

A

    28        25   

BBB/Baa

    1        1   

 

  1   

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

   
Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2014

    1

2015

      

2016

    1   

2017

    3   

2018

    15   

 

  2   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    17


Trust Summary as of February 28, 2014    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). Under normal market conditions, the Trust primarily invests in long term municipal obligations rated investment grade at the time of investment and in long term municipal obligations with maturities of more than ten years at the time of investment. The Trust may invest up to 20% of its total assets in securities rated below investment grade or deemed equivalent at the time of purchase. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six month period ended February 28, 2014, the Trust returned 10.67% based on market price and 11.07% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.26% based on market price and 11.83% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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.

 

Ÿ  

The Trust’s duration exposure (sensitivity to interest rate movements) was the largest contributor to performance as municipal interest rates fell significantly during the period. (Bond prices rise as rates fall.) Additionally, the Trust’s credit exposure had a positive impact on results as spreads tightened during the period. Especially beneficial was the Trust’s exposure to tobacco as it was the best performing sector for the period. Exposure to zero-coupon bonds also boosted returns as this sector benefited significantly from the decline in interest rates and spread tightening during the period.

 

Ÿ  

Conversely, the use of US Treasury futures to protect the Trust against interest rate increases detracted from returns, although the impact was minimal. The persistently low interest rate environment exposed the Trust to reinvestment rate risk as it had to reinvest cash that resulted from bond redemptions at yields well below where maturing bonds were originally held. This, combined with a lower amount of leverage, resulted in a reduction to the income component of the Trust.

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 MKT

  MVF

Initial Offering Date

  September 29, 1988

Yield on Closing Market Price as of February 28, 2014 ($9.50)1

  7.14%

Tax Equivalent Yield2

  12.61%

Current Monthly Distribution per Common Share3

  $0.0565

Current Annualized Distribution per Common Share3

  $0.6780

Economic Leverage as of February 28, 20144

  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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  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 5.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


     BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary      

 

      2/28/14      8/31/13      Change      High      Low  

Market Price

   $ 9.50       $ 8.91         6.62    $ 9.70       $ 8.62   

Net Asset Value

   $ 9.78       $ 9.14         7.00    $ 9.78       $ 9.07   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation   2/28/14     8/31/13  

Health

    23     22

Transportation

    20        20   

County/City/Special District/School District

    13        14   

Utilities

    11        11   

Corporate

    10        9   

Education

    10        9   

State

    6        7   

Housing

    5        6   

Tobacco

    2        2   
Credit Quality Allocation1   2/28/14     8/31/13  

AAA/Aaa

    11     11

AA/Aa

    47        48   

A

    26        27   

BBB/Baa

    12        11   

BB/Ba

    1          

B

    1        1   

Not Rated2

    2        2   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2014 and August 31, 2013, the market value of these securities was $13,860,261, representing 1%, and $18,941,672, representing 2%, respectively, of the Trust’s long-term investments.

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    6

2015

    1   

2016

    6   

2017

    8   

2018

    16   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    19


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 0.3%

    

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

   $ 145      $ 149,673   

Alaska — 0.2%

    

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

     180        126,706   

California — 13.7%

    

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

     700        784,777   

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

     120        131,796   

Kern Community College District, GO, Safety, Repair & Improvement, Election of 2002, Series C, 5.50%, 11/01/33

     410        470,979   

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

     1,660        1,852,477   

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

     850        952,961   

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

     685        816,719   

State of California Public Works Board, LRB:

    

Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     210        228,858   

Various Capital Projects, Series I, 5.50%, 11/01/31

     500        576,125   

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

     160        178,555   

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

     1,000        1,076,310   
    

 

 

 
               7,069,557   

Colorado — 2.8%

    

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

     750        816,607   

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

     580        646,967   
    

 

 

 
               1,463,574   

Florida — 6.6%

    

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

     105        115,455   
Municipal Bonds    Par  
(000)
    Value  

Florida (concluded)

    

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

   1,875      2,115,431   

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series B, 5.25%, 10/01/29

     740        828,075   

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/32

     305        335,976   
    

 

 

 
               3,394,937   

Georgia — 1.3%

    

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

     555        653,174   

Illinois — 16.5%

    

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien, Series C, 6.50%, 1/01/41

     1,590        1,825,765   

City of Chicago Illinois, Refunding RB, Sales Tax, Series A, 5.25%, 1/01/38

     205        215,883   

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

    

5.25%, 12/01/36

     500        527,980   

5.25%, 12/01/40

     750        785,940   

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

    

5.50%, 12/01/38

     250        271,195   

5.25%, 12/01/43

     1,000        1,044,170   

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

     750        829,140   

Illinois Finance Authority, Refunding RB, Northwestern Memorial Hospital, Series A, 6.00%, 8/15/39

     1,000        1,133,520   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     365        421,320   

6.00%, 6/01/28

     105        120,028   

State of Illinois, GO:

    

5.25%, 2/01/31

     255        269,956   

5.25%, 2/01/32

     395        416,871   

5.50%, 7/01/33

     500        536,970   

5.50%, 7/01/38

     110        116,841   
    

 

 

 
               8,515,579   

Indiana — 2.6%

    

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

     1,190        1,316,914   

Kansas — 1.9%

    

Kansas Development Finance Authority, Refunding RB, Adventist Health System/Sunbelt Obligated Group, Series C, 5.50%, 11/15/29

     900        1,001,799   

 

Portfolio Abbreviations      

 

     AGC    Assured Guarantee Corp.    HDA    Housing Development Authority
     AGM    Assured Guaranty Municipal Corp.    HFA    Housing Finance Agency
     AMBAC    American Municipal Bond Assurance Corp.    HRB    Housing Revenue Bonds
     AMT    Alternative Minimum Tax (subject to)    IDA    Industrial Development Authority
     ARB    Airport Revenue Bonds    IDB    Industrial Development Board
     BARB    Building Aid Revenue Bonds    IDRB    Industrial Development Revenue Bonds
     BHAC    Berkshire Hathaway Assurance Corp.    ISD    Independent School District
     CAB    Capital Appreciation Bonds    LRB    Lease Revenue Bonds
     COP    Certificates of Participation    M/F    Multi-Family
     EDA    Economic Development Authority    MRB    Mortgage Revenue Bonds
     EDC    Economic Development Corp.    NPFGC    National Public Finance Guarantee Corp.
     ERB    Education Revenue Bonds    PILOT    Payment in Lieu of Taxes
     Fannie Mae    Federal National Mortgage Association    PSF-GTD    Permanent School Fund Guaranteed
     Freddie Mac    Federal Home Loan Mortgage Corporation    Q-SBLF    Qualified School Bond Loan Fund
     GARB    General Airport Revenue Bonds    RB    Revenue Bonds
     Ginnie Mae    Government National Mortgage Association    S/F    Single Family
     GO    General Obligation Bonds    VRDN    Variable Rate Demand Notes

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Investment Trust (BIE)

(Percentages shown are based on Net Assets)

 

 

Municipal Bonds   Par  
(000)
    Value  

Kentucky — 1.8%

   

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

  $ 800      $ 922,784   

Louisiana — 2.0%

   

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

    380        416,492   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

   

5.50%, 5/15/28

    295        308,723   

5.50%, 5/15/29

    315        328,967   
   

 

 

 
              1,054,182   

Maine — 1.5%

   

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

    675        770,891   

Massachusetts — 1.4%

   

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

    375        405,551   

Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 7/01/36

    300        326,223   
   

 

 

 
              731,774   

Michigan — 3.4%

   

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

    485        532,477   

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

    500        564,405   

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

    530        646,345   
   

 

 

 
              1,743,227   

Mississippi — 3.0%

   

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

    1,000        1,271,190   

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

    250        275,775   
   

 

 

 
              1,546,965   

Multi-State — 6.0%

   

Centerline Equity Issuer Trust, Series B-2,
7.20%, 11/15/14 (a)(b)

    3,000        3,118,590   

Nevada — 5.4%

   

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

    1,000        1,137,250   

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/38

    500        523,765   

County of Clark Nevada Airport System, ARB, Series B, 5.75%, 7/01/42

    1,000        1,127,740   
   

 

 

 
              2,788,755   

New Jersey — 6.0%

   

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

    750        824,198   

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

    610        644,788   

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program, Series AA, 5.50%, 6/15/39

    760        839,663   

Transportation System, Series A, 5.88%, 12/15/38

    695        786,094   
   

 

 

 
              3,094,743   

New York — 3.4%

   

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

    620        676,494   
Municipal Bonds   Par  
(000)
    Value  

New York (concluded)

   

Metropolitan Transportation Authority, RB, Series A, 5.25%, 11/15/38

  $ 500      $ 534,595   

New York Liberty Development Corp., Refunding RB, 2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

    500        536,460   
   

 

 

 
              1,747,549   

Ohio — 3.3%

   

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

    840        885,209   

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

   

5.25%, 2/15/30

    250        278,522   

5.25%, 2/15/31

    500        553,835   
   

 

 

 
              1,717,566   

Pennsylvania — 7.6%

   

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

    300        336,615   

Pennsylvania Turnpike Commission, RB:

   

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

    750        820,110   

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

    1,500        1,634,685   

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

    500        566,155   

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/37

    530        567,248   
   

 

 

 
              3,924,813   

South Carolina — 1.4%

   

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

    635        702,354   

Texas — 9.1%

   

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

    890        940,961   

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

    395        438,663   

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

    470        529,145   

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

    1,020        1,188,066   

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

    500        549,930   

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

    250        279,085   

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

    180        199,094   

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        555,600   
   

 

 

 
              4,680,544   

Virginia — 0.8%

   

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

    145        155,882   

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

    200        251,248   
   

 

 

 
              407,130   

Wisconsin — 1.8%

   

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Series C, 5.25%, 4/01/39

    890        929,089   
Total Municipal Bonds — 103.8%             53,572,869   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    21


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 — 19.8%

   

California Educational Facilities Authority, RB, University of Southern California, Series B,
5.25%, 10/01/39 (e)

  $ 1,005      $ 1,126,716   

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

    1,300        1,377,506   

Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 8/01/39 (e)

    1,410        1,578,361   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/33

    2,079        2,426,093   

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

    200        218,550   

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

    2,234        2,539,005   

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

    810        928,098   
   

 

 

 
              10,194,329   

District of Columbia — 3.6%

   

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

    735        835,555   

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

    899        995,757   
   

 

 

 
              1,831,312   

Illinois — 7.5%

   

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

    1,500        1,706,175   

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

    2,000        2,187,333   
   

 

 

 
              3,893,508   

Nevada — 3.3%

   

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

    1,500        1,717,350   

New Hampshire — 1.3%

   

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

    585        652,603   

New Jersey — 3.8%

   

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

   

Series A (AGM), 5.00%, 12/15/32

    1,000        1,079,180   

Series B, 5.25%, 6/15/36 (e)

    840        897,801   
   

 

 

 
              1,976,981   

New York — 13.9%

   

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

    750        842,804   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  Par  
(000)
    Value  

New York (concluded)

   

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

   

Series FF, 5.00%, 6/15/45

  $ 1,000      $ 1,055,170   

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

    990        1,072,816   

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

    1,000        1,087,632   

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

    1,170        1,246,085   

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

    680        739,915   

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

    1,000        1,117,950   
   

 

 

 
              7,162,372   

Texas — 5.4%

   

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/31 (e)

    1,050        1,172,443   

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

    1,450        1,625,581   
   

 

 

 
              2,798,024   

Virginia — 1.0%

   

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

    460        497,435   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 59.6%
        30,723,914   
Total Long-Term Investments
(Cost — $77,702,807) — 163.4%
        84,296,783   
   
   
Short-Term Securities   Shares         

Money Market Funds — 0.8%

   

FFI Institutional Tax-Exempt Fund, 0.03% (f)(g)

    412,295        412,295   
Total Short-Term Securities
(Cost — $412,295) — 0.8%
        412,295   
Total Investments (Cost — $78,115,102) — 164.2%        84,709,078   
Other Assets Less Liabilities — 1.8%        915,166   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (31.5)%

   

    (16,238,202
VRDP Shares, at Liquidation Value — (34.5)%        (17,800,000
   

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 51,586,042   
   

 

 

 

 

 

Notes to Schedule of investments

 

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

 

(b)   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.

 

(c)   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.

 

(d)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(e)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from October 1, 2016 to November 15, 2019 is $4,097,449.

 

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (concluded)

  

BlackRock Municipal Bond Investment Trust (BIE)

 

 

(f)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       1,380,043           (967,748        412,295         $ 144   

 

(g)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (47   10-Year US Treasury Note   Chicago Board of Trade   June 2014   $ 5,852,969      $ (10,524

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 84,296,783              $ 84,296,783   

Short-Term Securities

  $ 412,295                          412,295   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 412,295         $ 84,296,783              $ 84,709,078   
 

 

 

      

 

 

      

 

    

 

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (10,524                     $ (10,524

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

      

 

The carrying amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 73,000                        $ 73,000   

Liabilities:

                

TOB trust certificates

            $ (16,235,837             (16,235,837

VRDP Shares

              (17,800,000             (17,800,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 73,000         $ (34,035,837           $ (33,962,837
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    23


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 1.9%

    

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

    

6.00%, 6/01/34

   $ 1,150      $ 1,306,089   

6.00%, 6/01/39

     450        511,079   

City of Hoover Alabama Board of Education, Refunding, Special Tax, Capital Outlay Warrants, 4.25%, 2/15/40

     1,275        1,270,996   
    

 

 

 
               3,088,164   

Arizona — 8.7%

    

Arizona Board of Regents, RB, Arizona State University, Series C, 5.50%, 7/01/26

     200        229,482   

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A, 5.00%, 2/01/42

     2,200        2,193,334   

County of Pima Arizona IDA, Refunding, IDRB, Tucson Electric Power Co. Project, Remarketing, Series B, 5.75%, 9/01/29

     900        919,584   

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

     3,750        3,924,787   

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     1,500        1,586,400   

5.00%, 12/01/37

     2,065        2,165,091   

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

    

6.25%, 5/01/15

     125        122,636   

7.00%, 5/01/20

     300        271,269   

7.25%, 5/01/27

     600        453,138   

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

     750        810,615   

University Medical Center Corp., RB, 6.50%, 7/01/39

     500        545,490   

University Medical Center Corp., Refunding RB, 6.00%, 7/01/39

     900        952,407   
    

 

 

 
               14,174,233   

Arkansas — 2.3%

    

Arkansas State University, RB, Jonesboro Campus, Series B:

    

4.00%, 12/01/28

     400        410,728   

4.88%, 12/01/43

     690        710,755   

City of Benton Arkansas, RB (a):

    

4.00%, 6/01/39

     905        896,430   

4.38%, 6/01/44

     490        491,421   

City of Hot Springs Arkansas, RB, Wastewater, 5.00%, 12/01/38

     1,200        1,271,208   
    

 

 

 
               3,780,542   

California — 18.7%

    

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

     1,900        2,241,601   

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

     2,285        2,277,597   

Carlsbad California Unified School District, GO, Election of 2006, Series B, 6.00%, 5/01/34 (b)

     1,000        816,730   

City of San Jose California, Refunding ARB, Series A-1, AMT, 5.75%, 3/01/34

     2,000        2,176,600   

County of Stanislaus California Tobacco Securitization Agency, RB, CAB, Sub-Series C, 0.00%, 6/01/55 (c)

     4,500        55,125   

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

    

5.63%, 8/01/31

     250        269,628   

5.75%, 8/01/33

     500        539,245   

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 7.00%, 8/01/34 (b)

     1,650        1,199,979   

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 8/01/38 (c)

     8,000        2,156,480   
Municipal Bonds   

Par  

(000)

    Value  

California (concluded)

    

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

    

0.00%, 8/01/30 (c)

   $ 1,500      $ 690,450   

0.00%, 8/01/33 (c)

     4,000        1,329,120   

6.20%, 8/01/39 (b)

     2,000        1,169,760   

San Diego Community College District, GO, CAB, Election of 2002, 6.00%, 8/01/33 (b)

     2,800        2,308,516   

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

     1,200        1,109,460   

State of California, GO, Refunding:

    

Various Purposes, 5.00%, 2/01/38

     3,000        3,206,970   

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

     305        306,674   

State of California, GO, Various Purposes:

    

5.75%, 4/01/31

     2,000        2,305,800   

6.00%, 3/01/33

     1,000        1,192,290   

6.50%, 4/01/33

     1,950        2,382,257   

5.50%, 3/01/40

     2,350        2,622,905   
    

 

 

 
               30,357,187   

Colorado — 1.3%

    

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

     1,070        1,210,491   

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

     750        819,435   
    

 

 

 
               2,029,926   

Connecticut — 1.2%

    

Connecticut State Health & Educational Facility Authority, Refunding RB:

    

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

     1,250        1,295,750   

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

     550        573,287   
    

 

 

 
               1,869,037   

Delaware — 0.8%

    

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

     1,200        1,283,868   

District of Columbia — 0.5%

    

Metropolitan Washington Airports Authority, Refunding RB, Series A, 5.00%, 10/01/35

     750        800,663   

Florida — 4.6%

    

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

     2,000        2,126,600   

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

     4,135        4,600,022   

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center, Inc. Project, 5.00%, 6/01/36

     125        125,823   

Stevens Plantation Community Development District, Special Assessment, Series A, 7.10%, 5/01/35 (d)(e)

     910        678,077   
    

 

 

 
               7,530,522   

Hawaii — 0.3%

    

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

     400        412,092   

Idaho — 1.2%

    

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

     1,750        2,007,740   

Illinois — 7.0%

    

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT, 4.00%, 1/01/29

     4,000        3,777,520   

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (concluded)

    

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

   $ 665      $ 696,867   

Illinois Finance Authority, RB:

    

Memorial Health System, Series A, 5.00%, 7/01/35

     800        813,088   

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

     650        728,676   

Illinois Finance Authority, Refunding RB:

    

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

     210        186,520   

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

     1,010        1,109,606   

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

     1,000        1,023,860   

Railsplitter Tobacco Settlement Authority, RB:

    

6.25%, 6/01/24

     1,000        1,107,750   

6.00%, 6/01/28

     1,150        1,314,588   

State of Illinois, GO, 5.00%, 2/01/39

     665        676,957   
    

 

 

 
               11,435,432   

Indiana — 0.6%

    

Indiana Finance Authority, Refunding RB, US Steel Corp. Project, 6.00%, 12/01/26

     1,000        1,017,080   

Iowa — 0.9%

    

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

    

5.75%, 9/01/30

     500        501,340   

6.00%, 9/01/39

     1,000        1,005,330   
    

 

 

 
               1,506,670   

Kentucky — 1.8%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 1/01/40

     1,830        1,930,595   

Kentucky Public Transportation Infrastructure Authority, RB, Convertible CAB, 1st Tier (b):

    

6.45%, 7/01/34

     500        297,775   

Downtown Crossing Project, Series C, 6.75%, 7/01/43

     270        155,482   

Series C, 6.60%, 7/01/39

     830        488,289   
    

 

 

 
               2,872,141   

Louisiana — 3.4%

    

City of Alexandria Louisiana Utilities, RB, 5.00%, 5/01/39

     1,860        1,959,994   

Louisiana Local Government Environmental Facilities & Community Development Authority, RB:

    

Parish of Plaquemines Project (AGM), 4.00%, 9/01/42

     280        254,540   

Westlake Chemical Corp. Project, Series A-1, 6.50%, 11/01/35

     1,050        1,150,831   

Louisiana Public Facilities Authority, RB:

    

Belle Chasse Educational Foundation Project, 6.50%, 5/01/31

     400        424,628   

Cleco Power LLC Project, Series B, 4.25%, 12/01/38

     1,400        1,264,074   

Terrebonne Levee & Conservation District, RB, Sales Tax, 4.25%, 7/01/32

     385        389,939   
    

 

 

 
               5,444,006   

Maryland — 0.4%

    

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

     580        611,813   

Massachusetts — 1.1%

    

Massachusetts Development Finance Agency, Refunding RB, Series A, 5.00%, 9/01/43

     1,600        1,757,376   
Municipal Bonds   

Par  

(000)

    Value  

Michigan — 3.9%

    

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

   2,600      2,477,826   

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

     1,950        2,378,064   

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

     1,250        1,432,575   
    

 

 

 
               6,288,465   

Minnesota — 3.3%

    

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

     4,600        5,327,214   

Mississippi — 3.4%

    

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

     400        412,892   

Mississippi Development Bank, RB, Special Obligation:

    

CAB, Hinds Community College District (AGM), 5.00%, 4/01/36

     845        888,171   

County of Jackson Limited Tax Note (AGC), 5.50%, 7/01/32

     1,750        1,882,878   

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

     2,100        2,254,350   
    

 

 

 
               5,438,291   

Missouri — 3.4%

    

Missouri Development Finance Board, RB:

    

Annual Appropriation Sewer System, Series B, 5.00%, 11/01/41

     900        925,344   

St. Joseph Sewage System Improvements, Series E, 5.25%, 5/01/31

     580        598,769   

Missouri Development Finance Board, Refunding RB, Electric System Projects, Series F, 4.00%, 6/01/32

     500        491,695   

Missouri State Health & Educational Facilities Authority, RB:

    

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

     500        537,170   

Heartland Regional Medical Center, 4.13%, 2/15/43

     770        695,803   

University of Central Missouri, Series C-2, 4.00%, 10/01/28

     400        408,308   

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

     1,000        1,066,660   

Missouri State Health & Educational Facilities Authority, Refunding RB, CoxHealth, Series A, 5.00%, 11/15/38

     800        823,520   
    

 

 

 
               5,547,269   

Montana — 2.5%

    

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

     450        460,107   

State of Montana Board of Regents, RB, 5.00%, 11/15/43

     2,230        2,406,036   

Yellowstone County School District No. 2 Billings, GO:

    

4.50%, 6/15/33

     670        715,520   

4.00%, 6/15/34

     400        406,404   
    

 

 

 
               3,988,067   

Multi-State — 6.7%

    

Centerline Equity Issuer Trust, Series B-2, 7.20%, 10/31/14 (f)(g)

     10,500        10,915,065   

Nebraska — 1.5%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.00%, 9/01/42

     600        606,630   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    25


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Nebraska (concluded)

    

City of Omaha Nebraska, RB, Sanitary Sewerage System, 4.00%, 11/15/42

   $ 1,050      $ 1,048,173   

Nebraska Public Power District, Refunding RB, Series A:

    

5.00%, 1/01/32

     250        272,468   

5.00%, 1/01/33

     500        542,805   
    

 

 

 
               2,470,076   

Nevada — 1.1%

    

City of Las Vegas Nevada, Special Assessment, No. 809 Summerlin Area, 5.65%, 6/01/23

     1,240        1,238,586   

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

     575        611,622   
    

 

 

 
               1,850,208   

New Jersey — 12.0%

    

County of Middlesex New Jersey Improvement Authority, RB, Heldrich Center Hotel, Sub-Series B, 6.25%, 1/01/37 (d)(e)

     915        63,538   

New Jersey EDA, RB:

    

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

     660        659,940   

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

     3,000        3,000,480   

Goethals Bridge Replacement Project, AMT (AGM), 5.13%, 7/01/42

     200        201,896   

Rutgers-The State University of New Jersey, College Avenue Redevelopment Project, 5.00%, 6/15/38

     450        489,366   

New Jersey EDA, Refunding RB:

    

1st Mortgage, Winchester, Series A, 5.80%, 11/01/31

     1,500        1,505,610   

Special Assessment, Kapkowski Road Landfill Project, 6.50%, 4/01/28

     7,500        8,521,425   

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

    

7.13%, 6/01/19

     630        817,778   

7.50%, 6/01/19

     800        1,053,664   

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

    

4.63%, 7/01/23

     510        541,416   

5.00%, 7/01/25

     500        540,670   

5.63%, 7/01/37

     1,700        1,787,941   

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

     325        326,290   
    

 

 

 
               19,510,014   

New York — 7.0%

    

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

     455        68,273   

City of New York New York, GO, Fiscal 2014, Sub-Series A-1:

    

5.00%, 8/01/29

     400        445,428   

5.00%, 8/01/35

     1,580        1,705,578   

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport, AMT, 7.75%, 8/01/31 (h)

     3,165        3,468,017   

City of New York New York Industrial Development Agency, RB, PILOT, Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

     1,500        1,372,425   

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

     1,500        1,571,925   

Hudson Yards Infrastructure Corp., RB, Series A (NPFGC), 5.00%, 2/15/47

     750        759,128   
Municipal Bonds   

Par  

(000)

    Value  

New York (concluded)

    

New York Liberty Development Corp., Refunding RB, 2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

   800      858,336   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42

     400        383,952   

State of New York Dormitory Authority, Refunding RB, State University Dormitory Facilities, Series A, 5.00%, 7/01/42

     750        797,242   
    

 

 

 
               11,430,304   

North Carolina — 2.5%

    

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

     2,695        2,434,097   

North Carolina Medical Care Commission, Refunding RB:

    

Health Care Facilities, Novant Health Obligated Group, Series A, 4.00%, 11/01/46

     900        788,220   

University Health System, Series D, 6.25%, 12/01/33

     800        908,680   
    

 

 

 
               4,130,997   

North Dakota — 0.2%

    

City of Fargo North Dakota, Refunding RB, University Facilities Development Foundation Project, 3.00%, 12/01/30

     400        357,992   

Oklahoma — 0.7%

    

Oklahoma Municipal Power Authority, RB, Power Supply System, Series A, 4.00%, 1/01/38

     1,140        1,114,225   

Oregon — 2.7%

    

City of Madras Oregon, GO, Refunding, 4.00%, 2/15/33

     500        452,060   

County of Clackamas Oregon Housing Authority, HRB, M/F, Easton Ridge Apartments Project, Series A:

    

3.50%, 9/01/33

     755        674,864   

4.00%, 9/01/49

     750        673,335   

County of Umatilla Pendleton School District No. 16R, GO, Series A:

    

5.00%, 6/15/37

     745        822,562   

4.00%, 6/15/38

     415        414,979   

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

     750        840,653   

Oregon State Facilities Authority, Refunding RB, Linfield College Project, Series A, 5.25%, 10/01/40

     500        513,985   
    

 

 

 
               4,392,438   

Pennsylvania — 3.7%

    

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

     1,695        1,757,274   

Delaware River Port Authority, RB:

    

4.50%, 1/01/32

     1,500        1,549,350   

Series D (AGM), 5.00%, 1/01/40

     2,600        2,721,706   
    

 

 

 
               6,028,330   

Rhode Island — 2.4%

    

Rhode Island Health & Educational Building Corp., RB:

    

City of Newport Issue, Series C, 4.00%, 5/15/33

     980        977,246   

Hospital Financing, LifeSpan Obligation, Series A (AGC), 7.00%, 5/15/39

     1,000        1,126,810   

Rhode Island Health & Educational Building Corp., Refunding RB, Brown University, 4.50%, 9/01/32

     800        856,872   

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

     900        971,946   
    

 

 

 
               3,932,874   

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Tennessee — 1.9%

    

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/40

   $ 1,950      $ 2,039,661   

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

     275        296,763   

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, Series A, 5.00%, 8/15/42

     800        798,776   
    

 

 

 
               3,135,200   

Texas — 17.6%

    

County of Harris Texas Health Facilities Development Corp., Refunding RB, Memorial Hermann Healthcare System, Series B (i):

    

7.13%, 12/01/18

     500        641,005   

7.25%, 12/01/18

     1,750        2,253,632   

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

     11,690        2,061,765   

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

     1,500        1,687,860   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A (c):

    

0.00%, 9/15/36

     4,900        1,660,071   

0.00%, 9/15/38

     10,760        3,271,363   

County of Midland Texas Fresh Water Supply District No. 1, Refunding RB, City of Midland Project, 3.38%, 9/15/32

     1,575        1,432,258   

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     760        840,621   

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        2,258,600   

Texas State Turnpike Authority, RB, CAB (AMBAC), 0.00%, 8/15/35 (c)

     45,000        12,434,850   
    

 

 

 
               28,542,025   

Vermont — 2.0%

    

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

     800        797,736   

Vermont Educational & Health Buildings Financing Agency, Refunding RB, Fletcher Allen Health Hospital, Series B (AGM), 5.00%, 12/01/34

     2,400        2,463,648   
    

 

 

 
               3,261,384   

Virginia — 1.2%

    

County of Prince William Virginia IDA, Refunding RB, Novant Health Obligation Group, Series B, 4.00%, 11/01/46

     1,200        1,055,988   

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

     880        935,651   
    

 

 

 
               1,991,639   

Washington — 0.9%

    

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

     1,400        1,526,140   

West Virginia — 1.3%

    

City of Wheeling West Virginia Waterworks & Sewerage System, RB, 5.00%, 6/01/38

     2,000        2,087,220   
Municipal Bonds   

Par  

(000)

    Value  

Wyoming — 0.8%

    

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

   1,200      1,301,556   
Total Municipal Bonds — 139.4%              226,545,485   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (j)
 

Colorado — 2.4%

    

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

     3,750        3,853,462   

Massachusetts — 1.0%

    

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

     1,450        1,550,789   

New Jersey — 0.9%

    

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

     1,400        1,496,335   

New York — 12.3%

    

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

     450        505,682   

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

    

2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 6/15/47

     6,000        6,360,915   

2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     405        438,880   

Series A, 4.75%, 6/15/30

     3,000        3,204,120   

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

     2,500        2,727,580   

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

     2,505        2,667,900   

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

     2,199        2,350,777   

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

     1,560        1,730,368   
    

 

 

 
               19,986,222   

Ohio — 2.1%

    

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

     1,260        1,283,134   

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

     2,000        2,172,660   
    

 

 

 
               3,455,794   

Texas — 1.0%

    

City of San Antonio Texas, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

     1,580        1,681,689   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 19.7%
             32,024,291   

Total Long-Term Investments

(Cost — $246,589,385) — 159.1%

             258,569,776   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    27


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Short-Term Securities    Shares     Value  

FFI Institutional Tax-Exempt Fund, 0.03% (l)(m)

     602,767      $ 602,767   

Total Short-Term Securities

(Cost — $602,767) — 0.4%

             602,767   
Total Investments (Cost — $247,192,152) — 159.5%        259,172,543   
Other Assets Less Liabilities — 0.9%        1,414,539   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.2)%

   

    (18,229,112
VMTP Shares, at Liquidation Value — (49.2)%        (79,900,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 162,457,970   
    

 

 

 

 

Notes to Schedule of investments

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Stephens, Inc.

     $ 1,387,851         $ 33,711   

 

(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)   Zero-coupon bond.

 

(d)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(e)   Non-income producing security.

 

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

 

(g)   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.

 

(h)   Variable rate security. Rate shown is as of report date.

 

(i)   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.

 

(j)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(k)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from February 15, 2019 to June 15, 2019 is $2,411,773.

 

(l)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       1,669,953           (1,067,186        602,767         $ 544   

 

(m)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (195   10-Year US Treasury Note   Chicago Board of Trade   June 2014   $ 24,283,594      $ (43,662

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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

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

 

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (concluded)

  

BlackRock Municipal Bond Trust (BBK)

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 258,569,776              $ 258,569,776   

Short-Term Securities

  $ 602,767                          602,767   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 602,767         $ 258,569,776              $ 259,172,543   
 

 

 

      

 

 

      

 

    

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (43,662                     $ (43,662

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

 

The carrying amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 302,000                        $ 302,000   

Liabilities:

                

TOB trust certificates

            $ (18,224,759             (18,224,759

VMTP Shares

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

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 302,000         $ (98,124,759           $ (97,822,759
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    29


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 2.0%

  

 

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

    

6.13%, 6/01/34

   $ 1,000      $ 1,139,660   

6.00%, 6/01/39

     1,000        1,135,730   

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

     335        345,797   
    

 

 

 
               2,621,187   

California — 16.1%

    

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

     2,155        2,415,992   

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

     1,120        1,306,099   

California State Public Works Board, LRB:

    

Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     505        550,349   

Various Capital Projects, Series I, 5.50%, 11/01/30

     1,000        1,160,220   

Various Capital Projects, Series I, 5.50%, 11/01/31

     1,500        1,728,375   

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

     1,400        1,565,018   

Kern Community College District, GO, Safety, Repair & Improvement, Election of 2002, Series C, 5.50%, 11/01/33

     1,025        1,177,448   

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

     1,000        1,093,460   

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

     1,175        1,311,241   

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

     3,210        3,589,903   

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

     1,000        1,088,140   

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

     1,125        1,259,978   

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

     380        424,069   

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

     2,355        2,534,710   
    

 

 

 
               21,205,002   

Colorado — 3.9%

    

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

     3,250        3,538,633   

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

     1,425        1,601,942   
    

 

 

 
               5,140,575   

Florida — 9.8%

    

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

     4,525        4,979,084   

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

     205        225,412   

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

     4,215        4,755,489   

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series B, 5.25%, 10/01/29

     1,845        2,064,592   

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/32

     745        820,662   
    

 

 

 
               12,845,239   

Georgia — 2.2%

    

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 1/01/30

     2,500        2,900,300   
Municipal Bonds    Par  
(000)
    Value  

Illinois — 23.0%

    

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

    

Series A, 5.75%, 1/01/39

   825      881,092   

Series C, 6.50%, 1/01/41

     3,740        4,294,567   

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, 3rd Lien, Series C (AGC), 5.25%, 1/01/30

     1,000        1,060,750   

City of Chicago Illinois, Refunding RB, Sales Tax, Series A, 5.25%, 1/01/38

     515        542,341   

City of Chicago Illinois Transit Authority, RB:

    

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

     1,300        1,427,543   

Sales Tax Receipts, 5.25%, 12/01/36

     3,185        3,363,233   

Sales Tax Receipts, 5.25%, 12/01/40

     3,000        3,143,760   

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

     3,000        3,145,830   

City of Chicago Illinois Wastewater Transmission, RB, 2nd Lien, 5.00%, 1/01/42

     1,480        1,500,986   

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

    

5.50%, 12/01/38

     1,250        1,355,975   

5.25%, 12/01/43

     3,000        3,132,510   

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

     1,885        2,083,905   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     915        1,056,185   

6.00%, 6/01/28

     260        297,211   

State of Illinois, GO:

    

5.25%, 2/01/31

     610        645,777   

5.25%, 2/01/32

     945        997,325   

5.50%, 7/01/33

     1,000        1,073,940   

5.50%, 7/01/38

     270        286,791   
    

 

 

 
               30,289,721   

Indiana — 2.0%

    

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

     2,415        2,579,461   

Louisiana — 1.7%

    

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

    

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

     375        426,960   

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

     150        170,784   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.50%, 5/15/28

     740        774,425   

5.50%, 5/15/29

     790        825,028   
    

 

 

 
               2,197,197   

Michigan — 4.9%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien (AGM):

    

Series B, 7.50%, 7/01/33

     580        619,875   

Series C-1, 7.00%, 7/01/27

     2,495        2,659,670   

City of Detroit Michigan Water Supply System, RB, 2nd Lien, Series B (AGM), 6.25%, 7/01/36

     1,700        1,727,217   

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

     1,205        1,469,522   
    

 

 

 
               6,476,284   

Minnesota — 3.2%

    

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

     3,680        4,261,771   

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Mississippi — 2.3%

    

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

   $ 1,500      $ 1,906,785   

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

     1,000        1,103,100   
    

 

 

 
               3,009,885   

Nevada — 6.0%

    

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/38

     5,410        5,667,137   

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

     2,000        2,247,300   
    

 

 

 
               7,914,437   

New Jersey — 5.8%

    

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

     1,300        1,367,340   

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

     1,540        1,627,826   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.50%, 6/15/39

     1,620        1,789,808   

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

     2,000        2,226,420   

Rutgers - The State University of New Jersey, Refunding RB, Series L, 5.00%, 5/01/32

     510        564,922   
    

 

 

 
               7,576,316   

New York — 5.1%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2014, Series BB, 5.00%, 6/15/46

     1,000        1,060,200   

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

     2,465        2,845,128   

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     1,565        1,673,282   

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

     1,000        1,079,670   
    

 

 

 
               6,658,280   

Ohio — 1.2%

    

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

    

5.25%, 2/15/30

     1,000        1,114,090   

5.25%, 2/15/31

     470        520,605   
    

 

 

 
               1,634,695   

Pennsylvania — 1.2%

    

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/37

     1,500        1,605,420   

South Carolina — 1.3%

    

County of Charleston South Carolina, RB, Special Source, Series 2013, 5.25%, 12/01/38

     1,525        1,686,757   

Texas — 15.5%

    

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

     2,000        2,197,460   

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

     980        1,088,329   

City of Houston Texas Utility System, Refunding RB, Combined 1st Lien, Series A (AGC):

    

6.00%, 11/15/35

     2,600        2,988,570   

6.00%, 11/15/36

     2,215        2,552,987   

5.38%, 11/15/38

     1,000        1,082,160   
Municipal Bonds    Par  
(000)
    Value  

Texas (concluded)

    

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

   1,000      1,109,450   

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

     3,365        3,917,096   

Lower Colorado River Authority, Refunding RB, 5.50%, 5/15/33

     1,000        1,102,430   

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

     1,000        1,099,860   

North Texas Tollway Authority, Refunding RB, 1st Tier:

    

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

     1,500        1,674,510   

(AGM), 6.00%, 1/01/43

     1,000        1,101,020   

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     440        486,675   
    

 

 

 
               20,400,547   

Virginia — 1.3%

    

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

     370        397,769   

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

     1,000        1,256,240   
    

 

 

 
               1,654,009   

Washington — 1.5%

    

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

     1,025        1,123,872   

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

     795        874,746   
    

 

 

 
               1,998,618   
Total Municipal Bonds — 110.0%              144,655,701   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (b)
 

Alabama — 1.2%

    

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

     1,500        1,575,915   

California — 9.0%

    

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

     10,680        11,811,546   

District of Columbia — 0.6%

    

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/35 (c)

     760        859,865   

Illinois — 2.5%

    

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

     2,999        3,281,000   

Kentucky — 0.8%

    

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

     898        1,014,495   

Nevada — 5.2%

    

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

     2,000        2,289,800   

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

     4,100        4,532,468   
    

 

 

 
               6,822,268   

New Jersey — 6.5%

    

New Jersey EDA, RB, School Facilities Construction (AGC):

    

6.00%, 12/15/18 (a)

     329        374,774   

6.00%, 12/15/34

     671        764,246   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    31


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  

New Jersey (concluded)

    

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 1/01/38 (c)

   $ 6,020      $ 6,377,347   

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

     1,000        1,068,811   
    

 

 

 
               8,585,178   

New York — 11.9%

    

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

    

Series BB, 5.25%, 6/15/44

     4,993        5,376,035   

Series FF, 5.00%, 6/15/45

     3,019        3,186,612   

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

     900        978,869   

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

     1,000        1,091,032   

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

     2,955        3,147,164   

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

     1,740        1,893,311   
    

 

 

 
               15,673,023   

Texas — 5.5%

    

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

     4,456        4,660,377   

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

     2,310        2,540,676   
    

 

 

 
               7,201,053   
Municipal Bonds Transferred to
Tender Option Bond Trusts (b)
   Par  
(000)
    Value  

Utah — 0.8%

    

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

   1,004      1,042,730   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 44.0%
        57,867,073   
Total Long-Term Investments
(Cost — $190,732,052) — 154.0%
        202,522,774   
    
   
Short-Term Securities               

California — 0.4%

    

California Pollution Control Financing Authority, RB, VRDN, Air Products & Chemicals, Inc., Series B, 0.03%, 3/03/14 (d)

     500        500,000   
      Shares         

Money Market — 0.5%

    

FFI Institutional Tax-Exempt Fund, 0.03% (e)(f)

     630,953        630,953   
Total Short-Term Securities
(Cost — $1,130,953) — 0.9%
             1,130,953   
Total Investments (Cost — $191,863,005) — 154.9%        203,653,727   
Other Assets Less Liabilities — 1.8%        2,343,957   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (24.6)%

   

    (32,349,550
VMTP Shares, at Liquidation Value — (32.1)%        (42,200,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 131,448,134   
    

 

 

 
Notes to Schedule of investments

 

(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)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(c)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from October 1, 2016 to July 1, 2020 is $7,491,042.

 

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

 

(e)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       452,174           178,779           630,953         $ 341   

 

(f)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (119   10-Year US Treasury Note   Chicago Board of Trade   June 2014   $ 14,819,219      $ (26,645

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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)

 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 202,522,774                   $ 202,522,774   

Short-Term Securities

  $ 630,953           500,000                     1,130,953   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 630,953         $ 203,022,774                   $ 203,653,727   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

      

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (26,645                          $ (26,645

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

 

The carry amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     

   

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 183,000                             $ 183,000   

Liabilities:

                

TOB trust certificates

            $ (32,344,766                  (32,344,766

VMTP Shares

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

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 183,000         $ (74,544,766                $ (74,361,766
 

 

 

      

 

 

      

 

 

      

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    33


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 3.8%

  

City of Birmingham Alabama Airport Authority, ARB (AGM), 5.50%, 7/01/40

   $ 5,800      $ 6,195,676   

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

     1,495        1,697,916   

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

     2,800        2,647,960   

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

     3,800        4,297,458   
    

 

 

 
               14,839,010   

Alaska — 0.3%

  

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

     1,070        1,152,369   

Arizona — 0.4%

  

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

    

5.00%, 10/01/27

     1,250        1,364,325   

5.25%, 10/01/28

     250        274,832   
    

 

 

 
               1,639,157   

California — 14.6%

  

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

     625        705,775   

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

     10,100        12,309,880   

California State Public Works Board, LRB:

    

Various Capital Projects, Series I, 5.50%, 11/01/33

     1,415        1,620,486   

Various Judicial Council Projects, Series A, 5.00%, 3/01/38

     3,080        3,230,212   

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 4/01/42

     1,620        1,674,367   

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

    

5.00%, 8/01/31

     7,450        7,919,946   

0.00%, 8/01/36 (b)

     4,200        1,251,978   

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

     2,500        2,704,650   

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

    

0.00%, 8/01/31

     13,575        5,685,481   

0.00%, 8/01/32

     14,150        5,611,466   

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 0.00%, 8/01/43 (c)

     1,580        809,703   

San Diego California Unified School District, GO, CAB, Election of 2008, Series C, 0.00%, 7/01/38 (b)

     2,000        582,840   

San Diego California Unified School District, GO, Refunding, CAB, Series R-1, 0.00%, 7/01/31 (b)

     1,400        613,984   

San Jose California Unified School District, GO, Election of 2002, Series B (NPFGC), 5.00%, 8/01/15 (a)

     2,350        2,511,586   

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

     1,100        1,158,850   

State of California, GO, Various Purpose, 5.00%, 4/01/42

     5,000        5,271,800   

Yosemite Community College District, GO, CAB, Election of 2004, Series D, 0.00%, 8/01/37 (b)

     10,000        3,025,000   
    

 

 

 
               56,688,004   
Municipal Bonds   

Par  

(000)

    Value  

Colorado — 0.5%

  

Colorado State Board of Governors, Refunding RB, State University System Enterprise, Series A, 5.00%, 3/01/43

   $ 875      $ 983,815   

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

     960        1,038,182   
    

 

 

 
               2,021,997   

District of Columbia — 2.5%

    

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

     9,500        9,498,955   

Florida — 12.4%

    

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

     1,400        1,528,870   

County of Broward Florida Water & Sewer Utility, Refunding RB, Series A, 5.25%, 10/01/34

     6,750        7,477,718   

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

     3,475        3,697,643   

County of Miami-Dade Florida, RB:

    

CAB, Special Obligation, Sub-Series A (NPFGC), 0.00%, 10/01/38 (b)

     22,270        5,836,744   

Seaport, Series A, 6.00%, 10/01/38

     2,770        3,125,197   

Transit System Sales Surtax (AGM), 5.00%, 7/01/35

     1,300        1,375,608   

County of Miami-Dade Florida, Refunding RB, Special Obligation, Sub-Series B, 5.00%, 10/01/37

     780        801,349   

County of Miami-Dade Florida Aviation, Refunding ARB:

    

Miami International Airport, Series A-1, 5.50%, 10/01/41

     5,000        5,314,450   

Series A, 5.50%, 10/01/36

     5,000        5,408,700   

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

     300        312,666   

Florida Housing Finance Corp., RB, Homeowner Mortgage, Series 3 (Ginnie Mae, Fannie Mae & Freddie Mac), 5.45%, 7/01/33

     1,695        1,765,376   

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

     6,150        6,763,094   

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/33

     1,340        1,467,367   

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

     1,000        1,058,690   

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

     2,000        2,175,880   
    

 

 

 
               48,109,352   

Georgia — 2.6%

    

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 1/01/30

     7,500        8,700,900   

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

     1,250        1,319,250   
    

 

 

 
               10,020,150   

Hawaii — 1.4%

    

State of Hawaii Harbor System, RB, Series A, 5.50%, 7/01/35

     5,000        5,480,650   

Illinois — 12.5%

    

City of Chicago Illinois, Refunding RB, Sales Tax Receipts, Series A, 5.00%, 1/01/41

     3,875        3,999,000   

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

     2,430        2,503,994   

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (concluded)

    

City of Chicago Illinois O’Hare International Airport, Refunding GARB, Senior Lien, Series D, 5.25%, 1/01/34

   $ 9,800      $ 10,359,972   

City of Chicago Illinois, O’Hare International Airport, GARB, 3rd Lien, Series A, 5.63%, 1/01/35

     1,525        1,621,273   

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

     600        624,060   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/36

     650        686,374   

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

    

5.13%, 12/01/38

     7,700        8,014,391   

5.50%, 12/01/38

     1,000        1,084,780   

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/37

     310        327,205   

County of Cook Illinois Forest Preserve District, GO, Series C, 5.00%, 12/15/37

     360        381,013   

Metropolitan Pier & Exposition Authority, RB, McCormick Place Expansion Project, Series A, 5.00%, 6/15/42

     4,725        4,834,195   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project, Series B, 4.25%, 6/15/42

     9,000        8,499,420   

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

     710        811,615   

State of Illinois, GO:

    

5.25%, 2/01/33

     935        985,247   

5.50%, 7/01/33

     880        945,067   

5.25%, 2/01/34

     935        982,199   

5.50%, 7/01/38

     475        504,540   

University of Illinois, RB, Auxiliary Facilities System, Series A, 5.00%, 4/01/39

     1,020        1,076,212   
    

 

 

 
               48,240,557   

Indiana — 1.9%

    

Indiana Finance Authority, RB, CWA Authority Project, 1st Lien, Series A, 5.25%, 10/01/38

     1,100        1,181,026   

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

     5,750        6,141,575   
    

 

 

 
               7,322,601   

Iowa — 2.3%

    

Iowa Finance Authority, RB, Iowa Health Facilities:

    

Genesis Health System, 5.50%, 7/01/33

     3,000        3,250,350   

Series A (AGC), 5.63%, 8/15/37

     5,000        5,502,100   
    

 

 

 
               8,752,450   

Kentucky — 0.4%

    

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

     1,500        1,676,835   

Louisiana — 2.8%

    

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, East Baton Rouge Sewerage Commission Projects, Sub-Lien, Series A:

    

5.00%, 2/01/43

     1,550        1,612,170   

4.00%, 2/01/48

     1,550        1,384,646   

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

     7,500        7,957,125   
    

 

 

 
               10,953,941   

Massachusetts — 1.0%

    

Massachusetts School Building Authority, RB, Dedicated Sales Tax Series A:

    

(AGM), 5.00%, 8/15/15 (a)

     1,675        1,792,602   
Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (concluded)

    

Massachusetts School Building Authority, RB, Dedicated Sales Tax Series A (concluded):

    

(AGM), 5.00%, 8/15/30

   595      629,391   

Senior, 5.00%, 5/15/43

     1,395        1,503,782   
    

 

 

 
               3,925,775   

Michigan — 4.8%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, 2nd Lien, Series E (BHAC), 5.75%, 7/01/31

     3,000        3,083,070   

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

     1,100        1,207,679   

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

     9,050        9,295,255   

State of Michigan Building Authority, Refunding RB, Facilities Program:

    

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

     2,000        2,156,020   

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

     800        860,248   

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

     1,500        1,613,970   

Western Michigan University, Refunding RB (AGM), 5.00%, 11/15/39

     430        449,496   
    

 

 

 
               18,665,738   

Nebraska — 2.0%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.25%, 9/01/37

     7,345        7,604,793   

Nevada — 1.9%

    

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport Series A:

    

5.25%, 7/01/42

     3,000        3,148,830   

(AGM), 5.25%, 7/01/39

     4,100        4,333,782   
    

 

 

 
               7,482,612   

New Jersey — 3.5%

    

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series A, 0.00%, 12/15/38 (b)

     5,845        1,529,578   

Transportation Program, Series AA, 5.25%, 6/15/33

     1,660        1,818,331   

Transportation Program, Series AA, 5.50%, 6/15/39

     1,285        1,419,694   

Transportation System, Series A, 5.50%, 6/15/41

     3,000        3,262,380   

Transportation System, Series B, 5.25%, 6/15/36

     5,000        5,342,900   

Rutgers The State University of New Jersey, Refunding RB, Series L, 5.00%, 5/01/43

     165        177,690   
    

 

 

 
               13,550,573   

New York — 5.7%

    

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

     1,950        2,188,154   

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B:

    

5.00%, 11/01/30

     14,250        15,870,510   

5.00%, 11/01/32

     1,650        1,815,561   

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

     770        840,162   

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

     1,300        1,482,468   
    

 

 

 
               22,196,855   

Ohio — 0.7%

    

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

     610        713,407   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    35


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Ohio (concluded)

    

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

    

5.25%, 2/15/32

   $ 780      $ 859,622   

5.25%, 2/15/33

     1,095        1,201,566   
    

 

 

 
               2,774,595   

Pennsylvania — 0.4%

    

Pennsylvania Turnpike Commission, RB:

    

Series C, 5.50%, 12/01/33

     630        707,314   

Subordinate, Special Motor License Fund, 6.00%, 12/01/36

     625        714,637   
    

 

 

 
               1,421,951   

South Carolina — 2.3%

    

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

     260        292,154   

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

     5,000        5,280,800   

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

     610        647,936   

State of South Carolina Public Service Authority, Refunding RB, Santee Cooper, Series B, 5.00%, 12/01/38

     2,360        2,476,938   
    

 

 

 
               8,697,828   

Tennessee — 0.4%

    

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

     1,240        1,369,072   

Texas — 26.4%

    

City of San Antonio Texas Public Service Board, RB, Junior Lien, 5.00%, 2/01/38

     615        659,809   

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

    

5.13%, 5/15/14

     9,250        9,348,882   

5.13%, 5/15/14

     10,000        10,106,900   

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

     2,500        2,650,800   

Coppell Texas ISD, GO, CAB, Refunding (PSF-GTD), 0.00%, 8/15/30 (b)

     10,030        5,610,381   

County of Harris Texas, GO, Refunding (NPFGC) (b):

    

0.00%, 8/15/25

     7,485        5,217,195   

0.00%, 8/15/28

     10,915        6,702,574   

County of Harris Texas Houston Sports Authority, Refunding RB, (NPFGC) (b):

    

3rd Lien, Series A-3 0.00%, 11/15/38

     16,890        3,216,025   

CAB, Junior Lien, Series H, 0.00%, 11/15/38

     5,785        1,101,522   

CAB, Junior Lien, Series H, 0.00%, 11/15/39

     6,160        1,083,236   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/36 (b)

     2,340        792,768   

Dallas-Fort Worth International Airport, Refunding ARB, Series F, 5.25%, 11/01/33

     1,090        1,185,582   

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

     2,980        3,229,426   

North Texas Tollway Authority, RB, Special Projects System, Series A, 6.00%, 9/01/41

     1,000        1,173,650   

North Texas Tollway Authority, Refunding RB, 1st Tier System Series A:

    

6.00%, 1/01/28

     625        719,219   

(NPFGC), 5.75%, 1/01/40

     23,050        25,114,358   

Northside Independent School District, GO, School Building (PSF-GTD), 5.13%, 6/15/29

     9,500        9,623,690   

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, 4.00%, 9/15/42

     2,575        2,323,191   
Municipal Bonds   

Par  

(000)

    Value  

Texas (concluded)

    

Texas Municipal Gas Acquisition & Supply Corp. III, RB:

    

5.00%, 12/15/28

   3,600      3,716,136   

5.00%, 12/15/31

     2,105        2,149,921   

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 8/15/41

     6,250        6,314,312   
    

 

 

 
               102,039,577   

Washington — 2.4%

    

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

     2,200        2,318,294   

Washington Health Care Facilities Authority, RB:

    

MultiCare Health System, Remarketing, Series B, 5.00%, 8/15/44

     2,000        2,048,480   

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

     4,000        4,197,960   

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

     675        708,649   
    

 

 

 
               9,273,383   

Wisconsin — 0.4%

    

State of Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Senior Credit Group, Series E, 5.00%, 11/15/33

     1,500        1,609,485   
Total Municipal Bonds — 110.3%              427,008,265   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
 

Arizona — 2.0%

    

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 7/01/34

     1,300        1,422,486   

Phoenix Civic Improvement Corp., RB, Sub-Civic Plaza Expansion Project, Series A (NPFGC), 5.00%, 7/01/37

     4,490        4,683,878   

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

     1,500        1,611,180   
    

 

 

 
               7,717,544   

California — 8.2%

    

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

     3,379        3,709,095   

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

     8,000        8,702,000   

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

     4,870        5,325,248   

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

     7,500        7,866,975   

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

     5,000        5,467,300   

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

     449        506,930   
    

 

 

 
               31,577,548   

District of Columbia — 0.3%

    

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

     1,080        1,227,755   

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

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  

Florida — 10.1%

    

City of Tallahassee Florida, RB, Energy System (NPFGC):

    

5.00%, 10/01/32 (e)

   $ 3,000      $ 3,211,020   

5.00%, 10/01/37

     5,000        5,234,200   

County of Highlands Florida Health Facilities Authority, RB, Adventist, Series C, 5.25%, 11/15/16

     1,800        1,900,890   

County of Miami-Dade Florida, Refunding RB, Transit System Sales Surtax, 5.00%, 7/01/42

     1,950        2,029,463   

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/39

     10,101        10,603,573   

County of Orange Florida School Board, COP, Series A:

    

(AGC), 5.50%, 8/01/34

     6,096        6,622,024   

(NPFGC), 5.00%, 8/01/30

     6,000        6,367,200   

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

     2,999        3,254,295   
    

 

 

 
               39,222,665   

Hawaii — 2.6%

    

Honolulu City & County Board of Water Supply, RB, Series A (NPFGC), 5.00%, 7/01/14 (a)

     10,000        10,165,900   

Illinois — 8.4%

    

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

     8,310        8,358,448   

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

     2,400        2,662,944   

Metropolitan Pier & Exposition Authority, RB, McCormick Place Expansion Project, Series A, 5.00%, 6/15/42

     7,020        7,182,267   

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

     1,400        1,518,663   

State of Illinois Toll Highway Authority, RB:

    

Senior Priority, Series B, 5.50%, 1/01/33

     4,499        4,921,499   

Series A, 5.00%, 1/01/38

     7,714        8,021,435   
    

 

 

 
               32,665,256   

Nevada — 1.8%

    

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

     4,197        4,759,045   

County of Clark Nevada Water Reclamation District, GO, Limited Tax, Series B, 5.75%, 7/01/34

     2,024        2,325,750   
    

 

 

 
               7,084,795   

New Jersey — 0.6%

    

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

     2,000        2,137,621   

New York — 7.8%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 6/15/47

     6,240        6,615,352   

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

     4,494        5,012,376   

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

     7,002        7,529,753   

New York State Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 3/15/43

     5,720        6,092,372   

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

     4,500        5,000,850   
    

 

 

 
               30,250,703   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

Ohio — 0.2%

  

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

   620      669,594   

South Carolina — 0.2%

  

State of South Carolina Public Service Authority, Refunding RB, Santee Cooper, Series A, 5.50%, 1/01/38 (e)

     600        664,254   

Texas — 1.8%

  

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

     4,167        4,630,661   

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

     719        752,348   

North East Texas ISD, GO, School Building, Series A (PSF-GTD), 5.00%, 8/01/37 (e)

     1,500        1,614,660   
    

 

 

 
               6,997,669   

Utah — 1.4%

  

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

     5,000        5,438,100   

Virginia — 0.1%

  

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

     400        432,552   

Washington — 1.0%

  

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

     3,494        3,791,896   

Wisconsin — 1.6%

  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health Inc. Obligated Group:

    

Series A, 5.00%, 4/01/42

     3,520        3,633,978   

Series C, 5.25%, 4/01/39

     2,500        2,609,800   
    

 

 

 
               6,243,778   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 48.1%
             186,287,630   

Total Long-Term Investments

(Cost — $584,495,490) — 158.4%

             613,295,895   
    
                  
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (f)(g)

     6,139,479        6,139,479   
Total Short-Term Securities
(Cost — $6,139,479) — 1.6%
             6,139,479   
Total Investments (Cost — $590,634,969) — 160.0%        619,435,374   
Other Assets Less Liabilities — 1.2%        4,866,660   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (25.8)%

   

    (99,851,276
VMTP Shares, at Liquidation Value — (35.4)%        (137,200,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 387,250,758   
    

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    37


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

 

Notes to Schedule of investments

 

(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)   Zero-coupon bond.

 

(c)   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.

 

(d)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(e)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from February 1, 2016 to December 1, 2029 is $14,474,164.

 

(f)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       5,187,077           952,402           6,139,479         $ 1,178   

 

(g)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (340   10-Year US Treasury Note   Chicago Board of Trade   June 2014   $ 42,340,625      $ (76,129

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 613,295,895              $ 613,295,895   

Short-Term Securities

  $ 6,139,479                          6,139,479   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 6,139,479         $ 613,295,895              $ 619,435,374   
 

 

 

      

 

 

      

 

    

 

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 2             

Liabilities:

                

Interest rate contracts

  $ (76,129                     $ (76,129

 

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

    

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Quality Trust (BYM)

 

The carry amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 549,000                             $ 549,000   

Liabilities:

                

TOB trust certificates

            $ (99,830,779                  (99,830,779

VMTP Shares

              (137,200,000                  (137,200,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 549,000         $ (237,030,779                $ (236,481,779
 

 

 

      

 

 

      

 

 

      

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    39


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 2.4%

    

County of Jefferson Alabama, RB, Limited Obligation School, Series A, 5.25%, 1/01/19

   $ 1,620      $ 1,628,084   

County of Jefferson Alabama Sewer, Refunding RB:

    

Convertible CAB, Senior Lien, Series C (AGM), 0.00%, 10/01/38 (a)

     630        356,700   

Convertible CAB, Senior Lien, Series C (AGM), 0.00%, 10/01/42 (a)

     545        304,045   

Senior Lien, Series A (AGM), 5.00%, 10/01/44

     860        846,713   

Senior Lien, Series A (AGM), 5.25%, 10/01/48

     1,635        1,637,730   

Sub-Lien, Series D, 7.00%, 10/01/51

     3,220        3,497,145   
    

 

 

 
               8,270,417   

Arizona — 2.1%

    

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     5,635        5,959,576   

5.00%, 12/01/37

     1,000        1,048,470   
    

 

 

 
               7,008,046   

California — 12.6%

    

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

     2,480        2,694,818   

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

     3,500        4,081,560   

California Health Facilities Financing Authority, Refunding RB, St. Joseph Health System, Series A, 5.00%, 7/01/33

     1,365        1,455,104   

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

     855        874,349   

California Pollution Control Financing Authority, RB (b):

    

County of San Diego California Water Authority Desalination Project Pipeline, 5.00%, 11/21/45

     1,340        1,329,360   

Poseidon Resources (Channel Side) LP Desalination Project, AMT, 5.00%, 7/01/37

     1,120        1,104,746   

Poseidon Resources (Channel Side) LP Desalination Project, AMT, 5.00%, 11/21/45

     2,795        2,646,166   

California State Public Works Board, RB, Various Capital Projects:

    

Series I, 5.00%, 11/01/38

     825        867,595   

Sub-Series I-1, 6.38%, 11/01/34

     1,280        1,494,234   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A:

    

Senior, 5.00%, 5/15/40

     6,500        6,854,120   

5.25%, 5/15/39

     860        949,689   

City of Stockton California Public Financing Authority, RB, Delta Water Supply Project, Series A, 6.25%, 10/01/38

     380        415,823   

County of Stanislaus California Tobacco Securitization Agency, RB, CAB, Sub-Series C, 0.00%, 6/01/55 (c)

     9,710        118,947   

San Diego Community College District California, GO, Election of 2006, 5.00%, 8/01/43

     1,170        1,263,951   

San Marcos Unified School District, GO, CAB, Election of 2010, Series B (c):

    

0.00%, 8/01/33

     3,000        1,151,640   

0.00%, 8/01/43

     2,500        536,375   

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     1,760        2,098,430   

6.50%, 4/01/33

     10,645        13,004,677   
    

 

 

 
               42,941,584   

Colorado — 2.1%

    

Colorado Health Facilities Authority, Refunding RB:

    

Catholic Health Initiative, Series A, 5.50%, 7/01/34

     2,330        2,599,022   
Municipal Bonds   

Par  

(000)

    Value  

Colorado (concluded)

    

Evangelical Lutheran Good Samaritan Society Project, 5.00%, 12/01/42

   1,850      1,835,903   

Colorado State Board of Governors, Refunding RB, State University System Enterprise, Series A, 5.00%, 3/01/43

     1,280        1,439,181   

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

     1,375        1,413,431   
    

 

 

 
               7,287,537   

Connecticut — 0.5%

    

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

     1,505        1,579,543   

Delaware — 1.7%

    

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

     1,240        1,326,664   

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

     4,275        4,356,652   
    

 

 

 
               5,683,316   

District of Columbia — 5.4%

    

District of Columbia, Refunding RB, Kipp Charter School, Series A, 6.00%, 7/01/43

     820        872,357   

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

    

6.50%, 5/15/33

     3,250        3,473,925   

6.75%, 5/15/40

     11,500        11,498,735   

Metropolitan Washington Airports Authority, Refunding RB, 1st Senior Lien, Series A:

    

5.00%, 10/01/39

     550        567,281   

5.25%, 10/01/44

     2,000        2,067,360   
    

 

 

 
               18,479,658   

Florida — 7.1%

    

City of Atlantic Beach Florida, RB, Health Care Facilities, Fleet Landing Project, Series B, 5.63%, 11/15/43

     1,445        1,480,171   

City of Jacksonville Florida Port Authority, Refunding RB, AMT, 5.00%, 11/01/38

     1,665        1,694,204   

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

     1,000        1,000,170   

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport:

    

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

     2,855        2,938,052   

Series A-1, 5.38%, 10/01/41

     1,255        1,319,909   

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/39

     5,000        5,248,600   

County of Tampa-Hillsborough Florida Expressway Authority, Refunding RB, Series A, 5.00%, 7/01/37

     2,175        2,283,772   

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

     3,085        3,205,099   

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

     3,300        3,708,672   

Stevens Plantation Community Development District, Special Assessment, Series A,
7.10%, 5/01/35 (d)(e)

     1,895        1,412,040   
    

 

 

 
               24,290,689   

Georgia — 0.3%

    

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

     915        959,506   

Hawaii — 0.5%

    

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

     1,480        1,619,919   

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois — 19.3%

    

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

    

Series A, 5.75%, 1/01/39

   $ 5,000      $ 5,339,950   

Series C, 6.50%, 1/01/41

     6,430        7,383,440   

City of Chicago Illinois, GO, Project, Series A, 5.00%, 1/01/33

     4,940        4,993,945   

City of Chicago Illinois, Refunding RB, Sales Tax, Series A, 5.25%, 1/01/38

     895        942,516   

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

     1,150        1,205,108   

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien Project, 5.00%, 11/01/42

     3,130        3,178,233   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.50%, 12/01/38

     845        916,639   

Illinois Finance Authority, Refunding RB:

    

Ascension Health, Series A, 5.00%, 11/15/37

     1,060        1,101,149   

Ascension Health, Series A, 5.00%, 11/15/42

     1,925        1,983,212   

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

     1,750        1,902,320   

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

     455        404,126   

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

     10,500        11,091,150   

Illinois State Toll Highway Authority, RB, Series A, 5.00%, 1/01/38

     2,520        2,620,246   

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

    

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

     6,725        6,729,707   

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

     2,725        2,726,253   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     520        600,236   

6.00%, 6/01/28

     1,255        1,434,616   

State of Illinois, GO:

    

5.00%, 2/01/39

     1,640        1,669,487   

Series A, 5.00%, 4/01/35

     2,500        2,562,300   

Series A, 5.00%, 4/01/38

     3,885        3,952,987   

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

     685        743,287   

University of Illinois, RB, Auxiliary Facilities System, Series A:

    

5.00%, 4/01/39

     860        907,395   

5.00%, 4/01/44

     1,050        1,099,109   
    

 

 

 
               65,487,411   

Indiana — 6.4%

    

Carmel Redevelopment Authority, Refunding RB, Multipurpose, Series A, 4.00%, 2/01/38

     1,975        1,892,642   

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT:

    

6.75%, 1/01/34

     845        888,298   

7.00%, 1/01/44

     3,535        3,740,631   

Indiana Finance Authority, RB, Series A:

    

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

     3,510        3,768,547   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

     485        480,776   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/48

     1,610        1,583,660   

Sisters of St. Francis Health Services, 5.25%, 11/01/39

     915        952,689   

Indiana Finance Authority, Refunding RB, Community Health Network Project, Series A, 5.00%, 5/01/42

     1,835        1,861,864   

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

     3,675        3,679,594   
Municipal Bonds   

Par  

(000)

    Value  

Indiana (concluded)

    

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

   1,200      1,327,980   

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

     1,380        1,468,430   
    

 

 

 
               21,645,111   

Iowa — 2.1%

    

Iowa Finance Authority, RB, Midwestern Disaster Area, Alcoa, Inc. Project, 4.75%, 8/01/42

     1,255        1,118,770   

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.00%, 12/01/19

     1,040        1,041,986   

5.50%, 12/01/22

     2,550        2,542,758   

5.25%, 12/01/25

     500        483,360   

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

     1,765        1,874,924   
    

 

 

 
               7,061,798   

Kentucky — 0.5%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     1,060        1,106,396   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (a)

     1,280        737,101   
    

 

 

 
               1,843,497   

Louisiana — 2.7%

    

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

     3,650        4,000,509   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.50%, 5/15/30

     1,100        1,131,636   

5.25%, 5/15/31

     935        945,837   

5.25%, 5/15/32

     1,195        1,207,213   

5.25%, 5/15/33

     1,300        1,310,673   

5.25%, 5/15/35

     545        548,717   
    

 

 

 
               9,144,585   

Maryland — 1.3%

    

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

     475        487,816   

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

     1,240        1,308,014   

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

     2,400        2,568,960   
    

 

 

 
               4,364,790   

Massachusetts — 1.2%

    

Massachusetts Development Finance Agency, Refunding RB, Covanta Energy Project, Series C, AMT, 5.25%, 11/01/42

     1,530        1,468,616   

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

     955        1,001,480   

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior, Series A, 5.00%, 5/15/43

     1,540        1,660,089   
    

 

 

 
               4,130,185   

Michigan — 3.0%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A:

    

5.00%, 7/01/32

     1,705        1,641,472   

5.25%, 7/01/39

     4,825        4,673,591   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    41


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Michigan (concluded)

    

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

   $ 1,500      $ 1,563,900   

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

     2,305        2,305,254   
    

 

 

 
               10,184,217   

Missouri — 2.3%

    

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

     6,000        6,003,480   

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

     275        291,739   

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

     1,135        1,159,663   

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

     265        275,823   
    

 

 

 
               7,730,705   

Multi-State — 4.1%

    

Centerline Equity Issuer Trust (b)(f):

    

Series A-4-1, 5.75%, 5/15/15

     1,000        1,052,110   

Series A-4-2, 6.00%, 5/15/19

     3,500        4,071,970   

Series B-3-1, 6.00%, 5/15/15

     5,000        5,261,550   

Series B-3-2, 6.30%, 5/15/19

     3,000        3,528,900   
    

 

 

 
               13,914,530   

Nebraska — 1.6%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

    

5.25%, 9/01/37

     895        926,656   

5.00%, 9/01/42

     1,570        1,587,349   

County of Lancaster Nebraska Hospital Authority No. 1, Refunding RB, Immanuel Obligation Group, Health Facilities, 5.63%, 1/01/40

     1,245        1,312,242   

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

     1,635        1,706,270   
    

 

 

 
               5,532,517   

Nevada — 0.8%

    

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

     2,465        2,621,996   

New Jersey — 6.0%

    

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT:

    

5.13%, 9/15/23

     2,130        2,094,472   

5.25%, 9/15/29

     2,130        2,076,281   

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

     7,475        8,493,020   

New Jersey State Turnpike Authority, RB, Series A:

    

5.00%, 1/01/38

     1,405        1,488,401   

5.00%, 1/01/43

     2,160        2,275,755   

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

     2,690        2,874,480   

Rutgers - The State University of New Jersey, Refunding RB, Series L:

    

5.00%, 5/01/38

     545        592,153   

5.00%, 5/01/43

     570        613,839   
    

 

 

 
               20,508,401   

New York — 6.9%

    

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

     985        147,799   
Municipal Bonds   

Par  

(000)

    Value  

New York (concluded)

    

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

   6,700      7,341,458   

City of New York New York Transitional Finance Authority, Future Tax Secured Bonds, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     2,680        2,852,914   

New York Liberty Development Corp., Refunding RB, 2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     1,335        1,432,348   

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

     3,625        3,756,914   

New York State Dormitory Authority, Refunding RB, General Purpose, Series A, 5.00%, 6/15/31

     1,930        2,135,159   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42

     1,145        1,099,063   

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC Project Special Project, Series 8:

    

6.00%, 12/01/36

     1,410        1,537,097   

6.00%, 12/01/42

     1,635        1,779,403   

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

     1,135        1,238,694   
    

 

 

 
               23,320,849   

North Carolina — 4.2%

    

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

     6,500        5,870,735   

North Carolina Capital Facilities Finance Agency, Refunding RB, Solid Waste Disposal Facility, Duke Energy Carolinas Project, Series B, 4.63%, 11/01/40

     4,465        4,559,881   

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

     1,525        1,623,332   

North Carolina Medical Care Commission, Refunding RB:

    

1st Mortage, Aldersgate, 6.25%, 7/01/35

     1,530        1,541,139   

Retirement Facilities, First Mortgage, Whitestone Project, Series A, 7.75%, 3/01/41

     625        667,331   
    

 

 

 
               14,262,418   

Ohio — 2.4%

    

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

     3,405        3,588,257   

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     710        721,623   

County of Hamilton Ohio, RB, Christ Hospital Project, 5.00%, 6/01/42

     815        820,420   

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

     3,025        3,074,398   
    

 

 

 
               8,204,698   

Pennsylvania — 1.3%

    

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A, 5.00%, 5/01/42

     2,500        2,345,600   

Pennsylvania Economic Development Financing Authority, RB, Aqua Pennsylvania, Inc. Project, Series B, 5.00%, 11/15/40

     2,065        2,172,669   
    

 

 

 
               4,518,269   

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

South Carolina — 1.1%

    

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

   $ 3,595      $ 3,796,895   

Tennessee — 1.1%

    

City of Chattanooga Tennessee Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     1,470        1,534,342   

Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Refunding RB, Vanderbilt University, Series D, 3.25%, 10/01/37

     2,505        2,203,673   
    

 

 

 
               3,738,015   

Texas — 17.1%

    

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

     2,400        80,976   

Central Texas Regional Mobility Authority, Refunding RB:

    

Senior Lien, 6.25%, 1/01/46

     2,350        2,483,409   

Sub-Lien, 5.00%, 1/01/33

     390        378,940   

Sub-Lien, 5.00%, 1/01/42

     345        317,317   

City of Dallas Texas Waterworks & Sewer System, Refunding RB, 5.00%, 10/01/35

     1,650        1,811,337   

City of Houston Texas Airport System, RB, Special Facilities, Continental Airlines, Inc., Series E, AMT, 6.75%, 7/01/29

     2,300        2,300,322   

City of Houston Texas Airport System, Refunding ARB, Senior Lien, Series A, 5.50%, 7/01/39

     1,675        1,861,528   

City of Houston Texas Utility System, Refunding RB, Combined 1st Lien, Series A (AGC), 6.00%, 11/15/35

     9,145        10,511,720   

County of Fort Bend Texas Industrial Development Corp., RB, NRG Energy, Inc. Project, Series A, 4.75%, 5/01/38

     1,400        1,317,442   

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/48

     485        496,800   

County of Harris Texas-Houston Sports Authority, Refunding RB, 3rd Lien, Series A-3 (NPFGC), 0.00%, 11/15/36 (c)

     25,375        5,648,475   

County of Matagorda Texas Navigation District No. 1, Refunding RB, AEP Texas Central Co. Project, Series 1, 4.00%, 6/01/30

     1,170        1,080,062   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A, 0.00%, 9/15/37 (c)

     7,605        2,444,095   

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

     4,410        5,136,636   

Dallas-Fort Worth International Airport, Refunding ARB, Joint Improvement, Series E, AMT, 5.00%, 11/01/35

     3,025        3,074,549   

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

     6,790        7,247,850   

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

     3,600        4,072,932   

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

    

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

     3,000        3,387,900   

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

     3,000        3,333,600   

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 8/15/41

     1,310        1,323,480   
    

 

 

 
               58,309,370   
Municipal Bonds   

Par  

(000)

    Value  

Utah — 0.6%

    

Utah State Charter School Finance Authority, RB, Ogden Preparatory Academy, Series A:

    

3.25%, 10/15/36

   1,085      850,857   

3.25%, 10/15/42

     1,660        1,238,426   
    

 

 

 
               2,089,283   

Virginia — 1.5%

    

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

    

5.25%, 1/01/32

     1,755        1,784,502   

6.00%, 1/01/37

     3,180        3,381,103   
    

 

 

 
               5,165,605   

Washington — 2.4%

    

City of Bellingham Washington Water & Sewer, RB, Water & Sewer Systems, 5.00%, 8/01/36

     5,050        5,438,699   

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     2,445        2,650,893   
    

 

 

 
               8,089,592   

Wisconsin — 0.3%

    

State of Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Senior Credit Group, Series E, 5.00%, 11/15/33

     910        976,421   

Wyoming — 1.6%

    

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

     3,355        3,638,934   

Wyoming Municipal Power Agency, Inc., RB, Series A:

    

5.50%, 1/01/33

     800        877,208   

5.50%, 1/01/38

     750        822,382   
    

 

 

 
               5,338,524   
Total Municipal Bonds — 126.5%              430,099,897   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
 

Alabama — 0.7%

    

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

     2,519        2,561,619   

California — 5.6%

    

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%, 10/01/39 (i)

     2,850        3,195,163   

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

     10,335        11,149,398   

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

     2,530        2,766,454   

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

     1,840        2,078,413   
    

 

 

 
               19,189,428   

Colorado — 2.1%

    

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

    

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

     4,230        4,320,395   

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

     2,710        2,784,769   
    

 

 

 
               7,105,164   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    43


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 (h)
  

Par  

(000)

    Value  

Connecticut — 3.3%

    

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

    

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

   $ 5,179      $ 5,628,979   

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

     5,143        5,552,417   
    

 

 

 
               11,181,396   

Georgia — 1.5%

    

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

     4,638        4,959,258   

Massachusetts — 1.8%

    

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

     2,461        2,644,593   

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

     3,150        3,368,957   
    

 

 

 
               6,013,550   

New Hampshire — 0.7%

    

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

     2,219        2,476,543   

New York — 10.0%

    

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

    

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

     1,710        1,853,047   

Series HH, 5.00%, 6/15/31 (i)

     9,149        10,006,913   

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

     1,750        1,909,306   

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

     11,670        12,428,900   

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

     7,040        7,660,294   
    

 

 

 
               33,858,460   

Texas — 3.1%

    

City of San Antonio Texas, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

     2,660        2,831,197   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

Texas (concluded)

    

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

   3,720      3,973,704   

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

     3,346        3,616,273   
    

 

 

 
               10,421,174   

Utah — 1.2%

    

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

     3,957        4,108,668   

Virginia — 1.9%

    

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

     5,909        6,496,162   

Washington — 3.6%

    

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

     3,029        3,287,394   

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

     8,113        8,980,627   
    

 

 

 
               12,268,021   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 35.5%
        120,639,443   

Total Long-Term Investments

(Cost — $532,457,932) — 162.0%

  

  

    550,739,340   
    
                  
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (j)(k)

     5,572,132        5,572,132   
Total Short-Term Securities
(Cost — $5,572,132) — 1.6%
             5,572,132   
Total Investments (Cost — $538,030,064) — 163.6%        556,311,472   
Other Assets Less Liabilities — 1.6%        5,212,857   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (20.7)%

   

    (70,277,025
VMTP Shares, at Liquidation Value — (44.5)%        (151,300,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 339,947,304   
    

 

 

 
Notes to Schedule of investments

 

(a)   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.

 

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

 

(c)   Zero-coupon bond.

 

(d)   Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.

 

(e)   Non-income producing security.

 

(f)   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.

 

(g)   Variable rate security. Rate shown is as of report date.

 

(h)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(i)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from October 1, 2016 to November 15, 2019 is $14,504,167.

 

(j)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       3,183,216           2,388,916           5,572,132         $ 1,147   

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Trust II (BLE)

 

 

(k)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (361   10-Year US Treasury Note   Chicago Board of Trade   June 2014   $ 44,955,781      $ (80,831

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 550,739,340                   $ 550,739,340   

Short-Term Securities

  $ 5,572,132                               5,572,132   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 5,572,132         $ 550,739,340                   $ 556,311,472   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

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

      

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (80,831                          $ (80,831

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

 

The carrying amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

      

   

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 567,000                             $ 567,000   

Liabilities:

                

TOB trust certificates

            $ (70,266,599                  (70,266,599

VMTP Shares

              (151,300,000                  (151,300,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 567,000         $ (221,566,599                $ (220,999,599
 

 

 

      

 

 

      

 

 

      

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    45


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 4.3%

    

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

    

6.13%, 6/01/34

   $ 4,980      $ 5,675,507   

6.00%, 6/01/39

     10,995        12,487,352   

City of Madison Alabama, GO, Refunding, 5.00%, 4/01/37

     3,370        3,579,715   

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

     1,745        1,801,241   
    

 

 

 
               23,543,815   

California — 23.2%

    

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

     8,920        10,000,301   

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

     5,370        6,262,279   

California State Public Works Board, LRB:

    

Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     2,240        2,441,152   

Various Capital Projects, Series I, 5.50%, 11/01/30

     4,500        5,220,990   

Various Capital Projects, Series I, 5.50%, 11/01/31

     2,615        3,013,134   

Various Capital Projects, Series I, 5.50%, 11/01/33

     2,000        2,290,440   

City & County of San Francisco California Airports Commission, Refunding ARB, 2nd Series A, AMT:

    

5.50%, 5/01/28

     3,330        3,740,189   

5.25%, 5/01/33

     2,600        2,791,594   

City of Manteca California Financing Authority, RB, Manteca Sewer (AGC):

    

5.63%, 12/01/33

     2,450        2,658,054   

5.75%, 12/01/36

     3,285        3,565,539   

City of San Jose California, Refunding ARB, Series A-1, AMT, 5.75%, 3/01/34

     4,450        4,842,935   

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

     5,600        6,260,072   

Kern Community College District, GO, Safety, Repair & Improvement, Election of 2002, Series C, 5.50%, 11/01/33

     4,365        5,014,207   

Los Angeles California Unified School District, GO, Election of 2002, Series D, 5.25%, 7/01/25

     3,485        4,065,531   

Los Angeles Community College District California, GO:

    

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

     10,000        10,934,600   

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

     3,375        3,777,941   

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

     5,000        5,579,750   

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

     2,980        3,332,683   

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

     4,110        4,472,255   

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

     4,690        5,252,706   

State of California, GO, Various Purposes (AGC), 5.50%, 11/01/39

     15,000        16,842,900   

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

     1,685        1,880,410   

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

     12,250        13,184,798   
    

 

 

 
               127,424,460   

Colorado — 2.2%

    

City & County of Denver Colorado Airport System, ARB, Series A, AMT:

    

5.50%, 11/15/28

     2,700        2,984,229   

Colorado (concluded)

    

City & County of Denver Colorado Airport System, ARB, Series A, AMT (concluded):

    

5.50%, 11/15/30

   $ 1,040      $ 1,134,723   

5.50%, 11/15/31

     1,250        1,355,463   

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

     5,925        6,660,707   
    

 

 

 
               12,135,122   

Florida — 9.6%

    

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

     1,250        1,374,462   

County of Hillsborough Florida Aviation Authority, Refunding ARB, Tampa International Airport, Series A, AMT:

    

5.50%, 10/01/29

     5,360        5,878,634   

5.25%, 10/01/30

     3,255        3,477,349   

County of Lee Florida, Refunding ARB, Series A, AMT, 5.38%, 10/01/32

     4,600        4,860,176   

County of Manatee Florida Housing Finance Authority, RB, S/F Housing, Series A, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 5.90%, 9/01/40

     500        510,265   

County of Miami-Dade Florida, RB, Seaport:

    

Series A, 5.38%, 10/01/33

     3,145        3,386,536   

Series B, AMT, 6.25%, 10/01/38

     1,405        1,580,765   

Series B, AMT, 6.00%, 10/01/42

     1,885        2,075,423   

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series B, 5.25%, 10/01/29

     8,745        9,785,830   

County of Miami-Dade Florida Aviation, Refunding ARB, Series A AMT:

    

Miami International Airport (AGM), 5.50%, 10/01/41

     3,500        3,804,500   

5.00%, 10/01/31

     5,465        5,676,441   

County of Miami-Dade Florida Housing Finance Authority, MRB, M/F Housing, Marbrisa Apartments Project, Series 2A, AMT (AGM), 6.00%, 8/01/26

     2,185        2,188,496   

Florida Housing Finance Corp., Refunding RB, S/F Housing, Homeowner Mortgage, Series 2, AMT (NPFGC):

    

5.75%, 7/01/14

     60        60,233   

5.90%, 7/01/29

     4,130        4,159,860   

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/32

     3,225        3,552,531   
    

 

 

 
               52,371,501   

Hawaii — 0.8%

    

State of Hawaii, Department of Transportation, COP, AMT:

    

5.25%, 8/01/25

     1,350        1,484,447   

5.25%, 8/01/26

     2,500        2,739,025   
    

 

 

 
               4,223,472   

Illinois — 22.2%

    

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

    

Series A, 5.75%, 1/01/39

     7,395        7,897,786   

Series C, 6.50%, 1/01/41

     16,800        19,291,104   

City of Chicago Illinois, Refunding RB, Sales Tax, Series A, 5.25%, 1/01/38

     2,445        2,574,805   

City of Chicago Illinois Midway Airport, Refunding ARB, 2nd Lien, Series A, AMT:

    

5.50%, 1/01/30

     6,500        6,920,615   

5.50%, 1/01/32

     1,275        1,339,541   

City of Chicago Illinois Transit Authority, RB:

    

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

     6,315        6,934,565   

Sales Tax Receipts, 5.25%, 12/01/36

     1,960        2,069,682   

Sales Tax Receipts, 5.25%, 12/01/40

     20,000        20,958,400   

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (concluded)

    

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

   $ 7,735      $ 8,110,998   

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

    

5.50%, 12/01/38

     2,895        3,140,438   

5.25%, 12/01/43

     3,305        3,450,982   

Illinois Finance Authority, RB:

    

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

     4,000        4,422,080   

University of Chicago, Series B, 5.50%, 7/01/37

     10,000        11,117,900   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     4,365        5,038,519   

6.00%, 6/01/28

     1,245        1,423,184   

State of Illinois, GO:

    

5.25%, 2/01/31

     2,700        2,858,355   

5.25%, 2/01/32

     4,185        4,416,723   

5.50%, 7/01/33

     7,820        8,398,211   

5.50%, 7/01/38

     1,295        1,375,536   
    

 

 

 
               121,739,424   

Indiana — 4.3%

    

Indiana Finance Authority, RB, Series A:

    

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/40

     1,240        1,234,519   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

     495        490,689   

Wastewater, 1st Lien, 5.25%, 10/01/31

     3,075        3,396,430   

Indiana Municipal Power Agency, Refunding RB, Series A:

    

5.25%, 1/01/32

     1,500        1,651,020   

5.25%, 1/01/33

     1,500        1,643,655   

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

     14,105        15,065,550   
    

 

 

 
               23,481,863   

Louisiana — 1.6%

    

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

    

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

     500        569,280   

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

     720        819,763   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.50%, 5/15/28

     3,500        3,662,820   

5.50%, 5/15/29

     3,735        3,900,610   
    

 

 

 
               8,952,473   

Michigan — 5.9%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien (AGM):

    

Series B, 7.50%, 7/01/33

     2,780        2,971,125   

Series C-1, 7.00%, 7/01/27

     9,055        9,652,630   

City of Detroit Michigan Water Supply System, RB, 2nd Lien, Series B (AGM), 6.25%, 7/01/36

     6,320        6,421,183   

Hudsonville Public Schools, GO, School Building & Site (Q-SBLF), 5.25%, 5/01/41

     6,015        6,345,223   

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

     5,780        7,048,826   
    

 

 

 
               32,438,987   

Minnesota — 2.1%

    

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

     9,900        11,465,091   

Mississippi — 3.4%

    

Mississippi Development Bank, RB, Special Obligation, Jackson Water & Sewer System Project, (AGM):

    

6.75%, 12/01/31

   3,775      4,850,158   

6.75%, 12/01/33

     2,350        3,003,464   

6.88%, 12/01/40

     6,405        8,141,972   

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

     2,300        2,537,130   
    

 

 

 
               18,532,724   

Nevada — 5.5%

    

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

     11,175        11,812,198   

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/38

     11,245        11,779,475   

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

     5,850        6,573,353   
    

 

 

 
               30,165,026   

New Jersey — 10.5%

    

New Jersey EDA, RB:

    

School Facilities Construction (AGC), 6.00%, 12/15/18 (a)

     1,430        1,761,274   

School Facilities Construction (AGC), 6.00%, 12/15/34

     2,920        3,325,938   

The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     7,000        7,145,390   

The Goethals Bridge Replacement Project, AMT, 5.00%, 1/01/31

     2,425        2,483,564   

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

     6,500        6,836,700   

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT, 5.75%, 12/01/28

     4,475        4,837,564   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation System, Series A, 5.50%, 6/15/41

     16,710        18,171,457   

Transportation Program, Series AA, 5.50%, 6/15/39

     8,175        9,031,903   

Rutgers - The State University of New Jersey, Refunding RB:

    

Series J, 5.00%, 5/01/32

     1,630        1,805,535   

Series L, 5.00%, 5/01/32

     1,855        2,054,765   
    

 

 

 
               57,454,090   

New York — 7.5%

    

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

    

Fiscal 2009, Series EE, 5.25%, 6/15/40

     7,500        8,002,125   

Fiscal 2011, Series EE, 5.38%, 6/15/43

     3,475        3,763,147   

Fiscal 2014, Series BB, 5.00%, 6/15/46

     1,760        1,865,952   

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

     4,000        4,335,240   

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

     4,000        4,616,840   

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     4,000        4,276,760   

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

     3,000        3,239,010   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 7/15/36

     10,000        11,048,600   
    

 

 

 
               41,147,674   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    47


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Ohio — 2.0%

    

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

    

5.25%, 2/15/30

   $ 2,645      $ 2,946,768   

5.25%, 2/15/31

     5,145        5,698,962   

5.25%, 2/15/32

     2,250        2,479,680   
    

 

 

 
               11,125,410   

Pennsylvania — 1.6%

    

Pennsylvania Turnpike Commission, RB, Sub-Series A, 6.00%, 12/01/41

     4,945        5,389,012   

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/37

     3,000        3,210,840   
    

 

 

 
               8,599,852   

South Carolina — 4.7%

    

County of Charleston South Carolina, RB, Special Source, Series 2013, 5.25%, 12/01/38

     6,735        7,449,382   

County of Charleston South Carolina Airport District, ARB, Series A, AMT:

    

5.25%, 7/01/25

     4,490        5,005,272   

5.50%, 7/01/38

     3,000        3,202,950   

6.00%, 7/01/38

     5,270        5,816,341   

5.50%, 7/01/41

     4,170        4,455,395   
    

 

 

 
               25,929,340   

Texas — 16.0%

    

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

     4,190        4,653,163   

City of Houston Texas Utility System, Refunding RB, Combined 1st Lien, Series A (AGC):

    

6.00%, 11/15/35

     12,700        14,598,015   

6.00%, 11/15/36

     9,435        10,874,687   

5.38%, 11/15/38

     5,000        5,410,800   

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

     1,770        1,963,726   

Dallas Area Rapid Transit, Refunding RB, Senior Lien, 5.25%, 12/01/38

     9,110        10,007,699   

Dallas-Fort Worth International Airport, ARB, Joint Improvement AMT:

    

Series A, 5.00%, 11/01/38

     4,080        4,130,510   

Series H, 5.00%, 11/01/37

     4,575        4,644,586   

Lower Colorado River Authority, Refunding RB, 5.50%, 5/15/33

     3,735        4,117,576   

North Texas Tollway Authority, Refunding RB, 1st Tier:

    

(AGM), 6.00%, 1/01/43

     5,555        6,116,166   

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

     12,150        13,563,531   

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     7,170        7,930,594   
    

 

 

 
               88,011,053   

Virginia — 1.3%

    

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

     1,750        1,881,337   

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

     4,300        5,401,832   
    

 

 

 
               7,283,169   

Washington — 1.5%

    

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

     4,200        4,605,132   

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

     3,290        3,620,020   
    

 

 

 
               8,225,152   
Total Municipal Bonds — 130.2%              714,249,698   

Alabama — 1.2%

    

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

   6,500      6,828,965   

California — 2.1%

    

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

     7,960        8,658,490   

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

     2,400        2,622,600   
    

 

 

 
               11,281,090   

District of Columbia — 0.7%

    

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/35 (c)

     3,379        3,824,137   

Florida — 2.5%

    

County of Hillsborough Florida Aviation Authority, ARB, Tempa International Airport, Series A, AMT (AGC), 5.50%, 10/01/38

     10,657        11,677,827   

County of Lee Florida Housing Finance Authority, RB, S/F Housing, Multi-County Program, Series A-2, AMT (Ginnie Mae), 6.00%, 9/01/40

     1,965        2,048,729   
    

 

 

 
               13,726,556   

Indiana — 1.9%

    

Indiana Health & Educational Facilities Financing Authority, Refunding RB, St. Francis, Series E (AGM), 5.25%, 5/15/41

     9,850        10,120,186   

Kentucky — 0.1%

    

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

     404        456,523   

Nevada — 2.7%

    

County of Clark Nevada Water Reclamation District, GO:

    

Limited Tax, 6.00%, 7/01/38

     8,000        9,159,200   

Series B, 5.50%, 7/01/29

     5,008        5,848,245   
    

 

 

 
               15,007,445   

New Jersey — 3.6%

    

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

     7,402        7,824,101   

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

    

Series A (AMBAC), 5.00%, 12/15/32

     8,000        8,633,440   

Series B, 5.25%, 6/15/36 (c)

     2,961        3,163,680   
    

 

 

 
               19,621,221   

New York — 11.0%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     4,994        5,412,847   

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

     5,619        6,112,493   

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

     9,249        10,092,046   

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

     13,950        14,857,168   

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

     8,200        8,922,502   

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

     13,500        15,092,325   
    

 

 

 
               60,489,381   

Texas — 4.4%

    

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/31 (c)

     12,027        13,432,850   

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)
  

Par  

(000)

    Value  

Texas (concluded)

    

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

   $ 9,640      $ 10,602,651   
    

 

 

 
               24,035,501   

Utah — 1.2%

    

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

     6,371        6,614,332   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts
31.4%
        172,005,337   
Total Long-Term Investments
(Cost — $829,211,517) — 161.6%
        886,255,035   

FFI Institutional Tax-Exempt Fund,
0.03% (d)(e)

     5,349,443      5,349,443   
Total Short-Term Securities
(Cost — $5,349,443) — 1.0%
        5,349,443   
Total Investments (Cost — $834,560,960) — 162.6%        891,604,478   
Other Assets Less Liabilities — 3.8%        20,781,088   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (16.3)%

   

    (89,476,117
VRDP Shares, at Liquidation Value — (50.1)%        (274,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 548,309,449   
    

 

 

 
Notes to Schedule of investments

 

(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)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(c)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from October 1, 2016 to November 15, 2019 is $22,520,646.

 

(d)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       27,631,574           (22,282,131        5,349,443         $ 1,247   

 

(e)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (493   10-Year US Treasury Note   Chicago Board of Trade   March 2014   $ 61,393,906      $ (110,387

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    49


Schedule of Investments (concluded)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 886,255,035              $ 886,255,035   

Short-Term Securities

  $ 5,349,443                          5,349,443   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 5,349,443         $ 886,255,035              $ 891,604,478   
 

 

 

      

 

 

      

 

    

 

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 2             

Liabilities:

                

Interest rate contracts

  $ (110,387                     $ (110,387

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

      

 

The carrying amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 758,000                        $ 758,000   

Liabilities:

                

TOB trust certificates

            $ (89,456,878             (89,456,878

VRDP Shares

              (274,600,000             (274,600,000
 

 

 

 

Total

  $ 758,000         $ (364,056,878           $ (363,298,878
 

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments February 28, 2014 (Unaudited)

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 3.5%

    

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A:

    

5.80%, 5/01/34

   $ 1,850      $ 1,954,803   

5.38%, 12/01/35

     1,000        1,032,230   

City of Selma Alabama IDB, Refunding RB, International Paper Co. Project, Series B, 5.50%, 5/01/20

     5,000        5,011,900   

County of Jefferson Alabama Sewer, Refunding RB, Senior Lien, Series A (AGM), 5.25%, 10/01/48

     5,000        5,008,350   

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

     7,610        8,606,225   
    

 

 

 
               21,613,508   

Alaska — 0.1%

    

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

     1,250        879,900   

Arizona — 3.2%

    

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Junior Lien, Series A, 5.00%, 7/01/40

     2,000        2,060,080   

City of Phoenix Arizona IDA, RB, Candeo School, Inc. Project:

    

6.63%, 7/01/33

     2,245        2,299,262   

6.88%, 7/01/44

     3,440        3,516,196   

County of Maricopa Arizona IDA, RB, Arizona Charter Schools Project, Series A, 6.75%, 7/01/29

     3,600        3,243,924   

County of Maricopa Arizona Pollution Control Corp., Refunding RB, Southern California Edison Co., Series A, 5.00%, 6/01/35

     3,300        3,458,565   

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

     5,000        5,242,350   
    

 

 

 
               19,820,377   

California — 7.9%

    

California Health Facilities Financing Authority, RB:

    

St. Joseph Health System, Series A, 5.75%, 7/01/39

     5,000        5,646,200   

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

     5,600        6,530,496   

California Health Facilities Financing Authority, Refunding RB, Catholic Healthcare West, Series A, 6.00%, 7/01/34

     1,055        1,177,528   

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

     1,120        1,145,346   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A, 5.25%, 5/15/39

     1,200        1,325,148   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/33

     9,585        11,184,736   

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement District No. 2007-1, Election of 2008, Series B, 0.00%, 8/01/46 (a)

     10,000        1,815,200   

San Diego Community College District California, GO, Election of 2006, 5.00%, 8/01/43

     4,285        4,629,086   

State of California, GO, Various Purposes, 6.50%, 4/01/33

     9,675        11,819,657   

State of California Public Works Board, LRB, Department of Mental Health, Coalinga, Series A, 5.13%, 6/01/14 (b)

     4,000        4,051,320   
    

 

 

 
               49,324,717   

Colorado — 1.0%

    

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

     2,500        2,828,250   

Colorado Health Facilities Authority, Refunding RB, Evangelical Lutheran, Series A, 5.25%, 6/01/34

     3,000        3,003,210   
Municipal Bonds    Par  
(000)
    Value  

Colorado (concluded)

    

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

   385      416,354   
    

 

 

 
               6,247,814   

Delaware — 0.4%

    

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

     2,500        2,674,725   

District of Columbia — 0.2%

    

Metropolitan Washington Airports Authority, Refunding RB, 1st Senior Lien, Series A:

    

5.00%, 10/01/39

     415        428,039   

5.25%, 10/01/44

     650        671,892   
    

 

 

 
               1,099,931   

Florida — 7.2%

    

County of Miami-Dade Florida, GO, Building Better Communities Program:

    

Series B, 6.38%, 7/01/28

     4,630        5,406,219   

Series B-1, 5.63%, 7/01/38

     5,000        5,573,550   

County of Miami-Dade Florida, Refunding RB, Transit System Sales Surtax, 5.00%, 7/01/42

     3,750        3,902,813   

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport:

    

Series A, AMT (AGC), 5.00%, 10/01/40

     10,000        10,064,800   

Series A-1, 5.38%, 10/01/41

     10,290        10,822,199   

County of Miami-Dade Florida Expressway Authority, RB, Toll System, Series A (AGM), 5.00%, 7/01/35

     8,900        9,317,499   
    

 

 

 
               45,087,080   

Georgia — 1.8%

    

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series B, AMT, 5.00%, 1/01/29

     1,070        1,133,440   

County of DeKalb Georgia Hospital Authority, Refunding RB, DeKalb Medical Center, Inc. Project, 6.13%, 9/01/40

     3,570        3,606,628   

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

     3,335        3,497,215   

Municipal Electric Authority of Georgia, Refunding RB, Series W, 6.60%, 1/01/18

     2,510        2,769,634   
    

 

 

 
               11,006,917   

Hawaii — 0.9%

    

State of Hawaii Harbor System, RB, Series A, 5.50%, 7/01/35

     5,000        5,480,650   

Illinois — 11.5%

    

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien, Series B-2, AMT (NPFGC), 6.00%, 1/01/27

     605        607,662   

City of Chicago Illinois, Refunding RB, Sales Tax Receipts, Series A, 5.00%, 1/01/41

     4,640        4,788,480   

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

     6,240        6,430,008   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/36

     2,110        2,228,076   

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien, Water Project (AGM), 5.25%, 11/01/33

     1,330        1,386,924   

County of Cook Illinois Community College District No. 508, GO, University & College Improvements, 5.25%, 12/01/31

     5,000        5,366,750   

Illinois Finance Authority, RB:

    

Advocate Health Care Network, Series D, 6.50%, 11/01/38

     9,700        11,064,014   

Community Rehabilitation Providers Facilities, Series A, 6.50%, 7/01/22

     615        602,946   

Disposal Waste Management, Inc., Series A, AMT, 5.05%, 8/01/29

     1,000        1,030,150   

Memorial Health System, Series A, 5.25%, 7/01/44

     1,785        1,821,860   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    51


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, Series A:

    

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

   $ 9,000      $ 10,201,680   

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

     4,990        5,482,114   

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

     2,645        3,023,552   

Regional Transportation Authority, RB:

    

Series A (AMBAC), 7.20%, 11/01/20

     2,500        2,941,600   

Series C (NPFGC), 7.75%, 6/01/20

     4,000        4,885,720   

Village of Hodgkins Illinois, RB, Metropolitan Biosolids Management LLC Project, AMT, 6.00%, 11/01/23

     10,000        10,009,100   
    

 

 

 
               71,870,636   

Indiana — 2.5%

    

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT, 6.75%, 1/01/34

     2,250        2,365,290   

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges East End Crossing Project, Series A, AMT:

    

5.00%, 7/01/40

     2,640        2,628,331   

5.00%, 7/01/44

     1,525        1,511,717   

Indiana Health & Educational Facilities Financing Authority, RB, Clarian Health Obligation, Series A, 5.25%, 2/15/40

     8,980        9,101,679   
    

 

 

 
               15,607,017   

Iowa — 0.1%

    

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

     1,000        796,720   

Kentucky — 2.8%

    

County of Owen Kentucky, RB, Kentucky American Water Co. Project, Series B, 5.63%, 9/01/39

     1,000        1,038,530   

Kentucky Economic Development Finance Authority, Refunding RB, Hospital Facilities, St. Elizabeth Medical Center, Inc., Series A, 5.50%, 5/01/39

     8,000        8,713,840   

Lexington-Fayette Urban County Airport Board, Refunding GARB, Series A, 5.00%, 7/01/27

     7,000        7,786,940   
    

 

 

 
               17,539,310   

Louisiana — 3.1%

    

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

     2,615        2,866,118   

Parish of St. Charles Louisiana, RB, Valero Energy Corp., 4.00%, 12/01/40 (c)

     2,210        2,245,692   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.25%, 5/15/31

     3,420        3,459,638   

5.25%, 5/15/32

     4,375        4,419,713   

5.25%, 5/15/33

     4,750        4,788,997   

5.25%, 5/15/35

     1,500        1,510,230   
    

 

 

 
               19,290,388   

Maine — 1.4%

    

Maine Health & Higher Educational Facilities Authority, RB:

    

Eastern Maine Medical Center, 5.00%, 7/01/43

     2,500        2,492,200   

Series A, 5.00%, 7/01/39

     5,000        5,189,350   

Portland Housing Development Corp., Refunding RB, Senior Living, Retirement Facilities, Series A, 6.00%, 2/01/34

     1,190        1,199,806   
    

 

 

 
               8,881,356   

Maryland — 1.8%

    

Maryland Community Development Administration, HRB, Residential, Series H, AMT, 5.10%, 9/01/37

     1,835        1,857,919   

Maryland Community Development Administration, Refunding, HRB, Residential, Series D, AMT, 4.90%, 9/01/42

     3,250        3,261,700   
Municipal Bonds    Par  
(000)
    Value  

Maryland (concluded)

    

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Charlestown Community Project, 6.25%, 1/01/41

   2,000      2,140,800   

University of Maryland Medical System, 5.00%, 7/01/34

     2,100        2,160,291   

University of Maryland Medical System, 5.13%, 7/01/39

     2,100        2,155,566   
    

 

 

 
               11,576,276   

Massachusetts — 5.8%

    

Massachusetts Bay Transportation Authority, Refunding RB, General Transportation System, Series A, 7.00%, 3/01/19

     3,010        3,391,849   

Massachusetts HFA, RB, AMT:

    

M/F Housing, Series A, 5.20%, 12/01/37

     2,865        2,889,524   

S/F Housing, Series 130, 5.00%, 12/01/32

     2,500        2,551,425   

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

     6,550        6,646,743   

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior, Series A, 5.00%, 5/15/43

     4,500        4,850,910   

Massachusetts Water Resources Authority, RB, Series A, 6.50%, 7/15/19 (d)

     13,855        15,894,456   
    

 

 

 
               36,224,907   

Michigan — 4.0%

    

City of Detroit Michigan Water Supply System, RB, 2nd Lien, Series B (AGM):

    

6.25%, 7/01/36

     2,500        2,540,025   

7.00%, 7/01/36

     1,250        1,316,288   

Michigan State Hospital Finance Authority, Refunding RB, Series A:

    

Henry Ford Health System, 5.25%, 11/15/46

     7,950        7,950,874   

McLaren Health Care, 5.75%, 5/15/38

     7,285        8,063,985   

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

     4,100        5,000,032   
    

 

 

 
               24,871,204   

Mississippi — 4.9%

    

County of Lowndes Mississippi, Refunding RB, Solid Waste Disposal & Pollution Control Weyerhaeuser Co. Project:

    

Series A, 6.80%, 4/01/22

     9,160        10,602,059   

Series B, 6.70%, 4/01/22

     4,500        5,161,725   

Mississippi Business Finance Corp., Refunding RB, System Energy Resource, Inc. Project, 5.88%, 4/01/22

     15,000        15,001,950   
    

 

 

 
               30,765,734   

Missouri — 1.7%

    

City of Kansas City Missouri, Refunding ARB, General Improvement, Series A, AMT, 5.25%, 9/01/25

     10,000        10,962,200   

Montana — 0.2%

    

State of Montana Board of Regents, RB, 5.00%, 11/15/43

     1,430        1,542,884   

Nebraska — 1.0%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.00%, 9/01/42

     6,200        6,268,510   

Nevada — 0.9%

    

County of Clark Nevada Airport System, ARB, Series B, 5.75%, 7/01/42

     5,000        5,638,700   

New Hampshire — 0.9%

    

New Hampshire Housing Finance Authority, Refunding RB, S/F Housing, Acquisition, Series H, AMT, 5.15%, 1/01/40

     5,445        5,494,495   

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New Jersey — 8.0%

    

New Jersey EDA, RB:

    

Cigarette Tax, 5.75%, 6/15/14 (b)

   $ 3,695      $ 3,756,817   

Continental Airlines Project, Series A, AMT, 5.63%, 11/15/30

     1,530        1,529,862   

The Goethals Bridge Replacement Project, AMT, 5.13%, 1/01/34

     1,050        1,067,955   

The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     11,355        11,590,844   

The Goethals Bridge Replacement Project, AMT, 5.63%, 1/01/52

     2,000        2,041,340   

New Jersey EDA, Refunding RB, School Facilities Construction, Series AA, 5.25%, 12/15/33

     10,000        10,738,900   

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series AA, 6.38%, 10/01/28

     795        834,790   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.25%, 6/15/33

     8,750        9,584,575   

Transportation System, Series B, 5.50%, 6/15/31

     8,000        8,961,920   
    

 

 

 
               50,107,003   

New York — 6.4%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     4,150        4,497,812   

City of New York New York Transitional Finance Authority, Future Tax Secured Bonds, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     8,900        9,474,228   

Metropolitan Transportation Authority, RB, Series C:

    

6.25%, 11/15/23

     3,245        3,853,697   

6.50%, 11/15/28

     14,925        17,785,973   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8, 6.00%, 12/01/36

     3,165        3,450,293   

Rochester Housing Authority, RB, Andrews Terrace Apartments, M/F Housing, AMT (Ginnie Mae), 4.70%, 12/20/38

     1,000        1,001,760   
    

 

 

 
               40,063,763   

North Carolina — 0.6%

    

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

     4,105        3,707,595   

Ohio — 3.8%

    

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 6.50%, 6/01/47

     1,125        1,000,215   

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

     2,875        3,029,732   

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     1,690        1,717,665   

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

     1,915        2,239,631   

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

     9,230        9,823,120   

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.50%, 5/01/34

     5,470        6,096,753   
    

 

 

 
               23,907,116   

Pennsylvania — 0.4%

    

City of Philadelphia Pennsylvania IDA, RB:

    

Arbor House, Inc. Project, Series E, 6.10%, 7/01/33

     980        984,155   

Rieder House Project, Series A, 6.10%, 7/01/33

     1,335        1,340,661   
Municipal Bonds    Par  
(000)
    Value  

Pennsylvania (concluded)

    

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

   195      204,128   
    

 

 

 
               2,528,944   

South Carolina — 1.0%

    

County of Georgetown South Carolina, Refunding RB, International Paper Co. Project, Series A, AMT, 5.55%, 12/01/29

     1,000        1,019,690   

County of Richland South Carolina, Refunding RB, International Paper Co. Project, AMT, 6.10%, 4/01/23

     5,000        5,060,300   
    

 

 

 
               6,079,990   

Texas — 13.0%

    

Brazos River Authority, Refunding RB, Texas Utility Co., Series A, AMT, 7.70%, 4/01/33

     3,055        83,982   

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien:

    

5.75%, 1/01/31

     1,000        1,071,440   

6.00%, 1/01/41

     4,300        4,546,218   

Series A, 5.00%, 1/01/43

     6,925        6,872,231   

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/43

     850        876,410   

County of Harris Texas Health Facilities Development Corp., Refunding RB, Memorial Hermann Healthcare System, Series B (b):

    

7.13%, 12/01/18

     3,500        4,487,035   

7.25%, 12/01/18

     5,400        6,954,066   

County of Matagorda Texas Navigation District No. 1, Refunding RB, CenterPoint Energy Project, 5.60%, 3/01/27 (c)

     9,355        9,452,011   

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

     5,000        5,823,850   

La Vernia Higher Education Finance Corp., RB, KIPP, Inc., Series A, 6.25%, 8/15/39

     925        1,012,931   

Love Field Airport Modernization Corp., RB, Southwest Airlines Co. Project, 5.25%, 11/01/40

     3,600        3,662,532   

New Hope Cultural Education Facilities Corp., Refunding RB, 1st Mortgage, Morningside Ministries Project, 6.25%, 1/01/33

     1,600        1,653,008   

North Texas Education Finance Corp., ERB, Uplift Education, Series A, 5.13%, 12/01/42

     1,000        993,220   

North Texas Tollway Authority, Refunding RB, 1st Tier, Series A, 6.25%, 1/01/39

     3,500        3,920,105   

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, 4.00%, 9/15/42

     5,575        5,029,821   

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        11,293,000   

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

     4,710        5,233,752   

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 4.00%, 8/15/38

     9,375        8,240,531   
    

 

 

 
               81,206,143   

Vermont — 0.0%

    

Vermont Educational & Health Buildings Financing Agency, RB, Developmental & Mental Health, Series A, 6.38%, 6/15/22

     30        30,394   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    53


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Virginia — 3.9%

    

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

   $ 3,105      $ 3,389,045   

County of Fairfax Virginia EDA, Refunding RB, Goodwin House, Inc.:

    

5.13%, 10/01/37

     2,000        2,028,360   

5.13%, 10/01/42

     6,015        6,084,473   

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

     8,000        8,796,240   

Virginia HDA, Refunding RB, S/F Housing, Sub-Series A-3, AMT, 5.05%, 7/01/26

     1,325        1,369,096   

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

     2,620        2,785,689   
    

 

 

 
               24,452,903   

Washington — 4.6%

    

Energy Northwest, Refunding RB, Series B, 7.13%, 7/01/16

     14,320        16,562,226   

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     4,010        4,347,682   

Washington Health Care Facilities Authority, Refunding RB, Catholic Health Initiatives, Series D, 6.38%, 10/01/36

     7,000        7,956,200   
    

 

 

 
               28,866,108   

West Virginia — 0.4%

    

West Virginia Hospital Finance Authority, Refunding RB, Improvement, Charleston Area Medical Center, Inc., Series A, 5.63%, 9/01/32

     2,500        2,622,200   

Wisconsin — 1.0%

    

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Series C, 5.25%, 4/01/39

     6,100        6,367,912   

Wyoming — 1.3%

    

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

     4,500        4,880,835   

Wyoming Community Development Authority, Refunding RB, Series 2 & 3, 4.05%, 12/01/38

     3,250        3,051,295   
    

 

 

 
               7,932,130   
Total Municipal Bonds — 113.2%              708,438,157   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
              

Arizona — 0.6%

  

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 7/01/34

     3,500        3,829,770   

California — 3.6%

  

University of California, RB, General, Series O, 5.25%, 5/15/39

     20,000        22,401,600   

Connecticut — 2.1%

  

Connecticut State Health & Educational Facility Authority, RB, Yale University, Series Z-3, 5.05%, 7/01/42

     12,000        13,093,800   

District of Columbia — 1.3%

  

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

     7,495        8,297,970   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

Florida — 2.5%

  

County of Miami-Dade Florida Water & Sewer System, RB (AGM), 5.00%, 10/01/39

   14,747      15,480,007   

Illinois — 3.0%

  

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

     10,000        11,374,500   

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

     6,999        7,655,665   
    

 

 

 
               19,030,165   

Kentucky — 1.7%

  

County of Louisville & Jefferson Kentucky Metropolitan Government Parking Authority, RB, River City, Inc., 1st Mortgage, Series A, 5.38%, 12/01/39

     9,195        10,293,251   

Maryland — 0.8%

  

State of Maryland Transportation Authority, RB, Transportation Facilities Project (AGM), 5.00%, 7/01/41

     4,710        5,047,095   

Nevada — 2.9%

  

County of Clark Nevada Water Reclamation District, GO, Limited Tax, Series B, 5.75%, 7/01/34

     15,789        18,140,852   

New York — 5.8%

  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 6/15/37

     24,199        25,554,855   

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

     10,000        10,881,100   
    

 

 

 
               36,435,955   

North Carolina — 3.0%

  

North Carolina Capital Facilities Finance Agency, Refunding RB:

    

Duke University Project, Series A, 5.00%, 10/01/41

     12,678        13,384,089   

Wake Forest University, 5.00%, 1/01/38

     5,000        5,321,950   
    

 

 

 
               18,706,039   

Ohio — 2.2%

  

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

     4,400        4,779,852   

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

     8,500        9,179,915   
    

 

 

 
               13,959,767   

Oregon — 2.1%

  

State of Oregon Housing & Community Services Department, HRB, M/F Housing, Series A, AMT, 4.95%, 7/01/30

     13,000        13,330,324   

South Carolina — 0.4%

  

State of South Carolina Housing Finance & Development Authority, Refunding RB, S/F Housing, Series B-1, 5.55%, 7/01/39

     2,359        2,431,689   

Texas — 9.0%

  

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

     8,333        9,261,323   

City of Houston Texas Higher Education Finance Corp., RB, Rice University Project, Series A, 5.00%, 5/15/40

     10,000        11,043,286   

County of Harris Texas Health Facilities Development Corp., Refunding RB, School Health Care System, Series B, 5.75%, 7/01/27 (d)

     20,970        26,318,818   

Texas Department of Housing & Community Affairs, RB, S/F Mortgage, Series B, AMT (Ginnie Mae), 5.25%, 9/01/32

     3,527        3,601,918   

 

See Notes to Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

Texas (concluded)

  

Texas State University, Refunding RB (AGM), 5.00%, 3/15/30

   $ 5,667      $ 6,029,623   
    

 

 

 
               56,254,968   

Virginia — 1.2%

  

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

     2,099        2,270,900   

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

     5,002        5,214,583   
    

 

 

 
               7,485,483   

Washington — 4.3%

  

Central Puget Sound Regional Transit Authority, RB, Series A:

    

5.00%, 11/01/34

     5,000        5,374,925   

5.00%, 11/01/36

     6,000        6,449,910   

(AGM), 5.00%, 11/01/32

     14,007        15,200,131   
    

 

 

 
               27,024,966   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 46.5%
             291,243,701   
Total Long-Term Investments
(Cost — $933,378,651) — 159.7%
             999,681,858   
    
Short-Term Securities
   Shares     Value  

FFI Institutional Tax-Exempt Fund, 0.03% (g)(h)

     9,971,185      9,971,185   
Total Short-Term Securities
(Cost — $9,971,185) — 1.6%
             9,971,185   
Total Investments (Cost — $943,349,836) — 161.3%        1,009,653,043   
Other Assets Less Liabilities — 1.4%        9,325,061   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (23.8)%

   

    (149,203,622
VMTP Shares, at Liquidation Value — (38.9)%        (243,800,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 625,974,482   
    

 

 

 

 

Notes to Schedule of investments

 

(a)   Zero-coupon bond.

 

(b)   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.

 

(c)   Variable rate security. Rate shown is as of report date.

 

(d)   Security is collateralized by municipal or US Treasury obligations.

 

(e)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(f)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on November 15, 2019 is $5,295,486.

 

(g)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at February 28,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       6,144,050           3,827,135           9,971,185         $ 1,482   

 

(h)   Represents the current yield as of report date.

 

Ÿ  

Financial futures contracts outstanding as of February 28, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (760   10-Year US Treasury Note   Chicago Board of Trade   June 2014   $ 94,643,750      $ (170,170

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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)

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    55


Schedule of Investments (concluded)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to Note 2 of the Notes to Financial Statements. The following tables summarize the Trust ‘s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 999,681,858              $ 999,681,858   

Short-Term Securities

  $ 9,971,185                          9,971,185   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 9,971,185         $ 999,681,858              $ 1,009,653,043   
 

 

 

      

 

 

      

 

    

 

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (170,170                     $ (170,170

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

      

The carrying amount for certain of the Trust’s assets and/or liabilities approximates fair value for financial statement purposes. As of February 28, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 1,221,000                        $ 1,221,000   

Liabilities:

                

TOB trust certificates

            $ (149,177,344             (149,177,344

VMTP Shares

              (243,800,000             (243,800,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 1,221,000         $ (392,977,344           $ (391,756,344
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2014.

 

See Notes to Financial Statements.

 

                
56    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Statements of Assets and Liabilities     

 

February 28, 2014 (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

  $ 84,296,783      $ 258,569,776      $ 203,022,774      $ 613,295,895      $ 550,739,340      $ 886,255,035      $ 999,681,858   

Investments at value — affiliated2

    412,295        602,767        630,953        6,139,479        5,572,132        5,349,443        9,971,185   

Cash pledged for financial futures contracts

    73,000        302,000        183,000        549,000        567,000        758,000        1,221,000   

Interest receivable

    950,098        2,897,692        2,305,423        6,584,380        6,769,476        10,833,591        13,090,938   

Investments sold receivable

           2,129,027        1,058,731                      15,315,703        505,062   

Variation margin receivable on financial futures contracts

    9,715        40,307        24,597        70,278        74,619        101,903        157,092   

Deferred offering costs

    137,437        48,720        39,523        66,530        71,018        463,181        107,337   

Prepaid expenses

    68,042        36,862        35,509        46,397        34,857        85,610        41,100   
 

 

 

 

Total assets

    85,947,370        264,627,151        207,300,510        626,751,959        563,828,442        919,162,466        1,024,775,572   
 

 

 

 
             
Accrued Liabilities                                                        

Income dividends payable — Common Shares

    253,740        825,102        599,335        2,033,283        1,923,147        2,703,256        3,614,996   

Investments purchased payable

           2,991,313        537,270                      3,223,618        1,530,000   

Investment advisory fees payable

    37,089        128,494        86,237        262,608        234,204        381,665        387,806   

Officer’s and Trustees’ fees payable

    8,143        28,809        21,451        66,463        60,592        199,633        155,179   

Interest expense and fees payable

    2,365        4,353        4,784        20,497        10,426        19,239        26,278   

Other accrued expenses payable

    24,154        66,351        58,533        87,571        86,170        268,728        109,487   
 

 

 

 

Total accrued liabilities

    325,491        4,044,422        1,307,610        2,470,422        2,314,539        6,796,139        5,823,746   
 

 

 

 
             
Other Liabilities                                                        

TOB trust certificates

    16,235,837        18,224,759        32,344,766        99,830,779        70,266,599        89,456,878        149,177,344   

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

    34,035,837        98,124,759        74,544,766        237,030,779        221,566,599        364,056,878        392,977,344   
 

 

 

 

Total liabilities

    34,361,328        102,169,181        75,852,376        239,501,201        223,881,138        370,853,017        398,801,090   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 51,586,042      $ 162,457,970      $ 131,448,134      $ 387,250,758      $ 339,947,304      $ 548,309,449      $ 625,974,482   
 

 

 

 
             
Net Assets Applicable to Common Shareholders Consist of           

Paid-in capital5,6,7

  $ 47,273,688      $ 149,422,659      $ 124,083,751      $ 374,758,607      $ 332,752,122      $ 525,940,982      $ 581,767,155   

Undistributed net investment income

    720,925        3,232,775        1,481,396        5,079,468        5,223,479        6,759,090        9,800,487   

Accumulated net realized loss

    (2,992,023     (2,134,193     (5,881,090     (21,311,593     (16,228,874     (41,323,754     (31,726,197

Net unrealized appreciation/depreciation

    6,583,452        11,936,729        11,764,077        28,724,276        18,200,577        56,933,131        66,133,037   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 51,586,042      $ 162,457,970      $ 131,448,134      $ 387,250,758      $ 339,947,304      $ 548,309,449      $ 625,974,482   
 

 

 

 

Net asset value per Common Share

  $ 15.45      $ 15.46      $ 15.02      $ 14.67      $ 14.49      $ 14.50      $ 9.78   
 

 

 

 

1 Investments at cost — unaffiliated

  $ 77,702,807      $ 246,589,385      $ 191,232,052      $ 584,495,490      $ 532,457,932      $ 829,211,517      $ 933,378,651   

2 Investments at cost — affiliated

  $ 412,295      $ 602,767      $ 630,953      $ 6,139,479      $ 5,572,132      $ 5,349,443      $ 9,971,185   

3 Preferred Shares outstanding:

           

Par value $0.001 per share

    178        799        422        1,372        1,513                 

Par value $0.10 per share

                                       2,746        2,438   

4 Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        unlimited        unlimited        unlimited        unlimited        1 million        10 million   

5 Common Shares outstanding

    3,338,684        10,510,852        8,749,418        26,406,273        23,453,016        37,807,776        63,982,238   

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 28, 2014    57


Statements of Operations     

 

Six Months Ended February 28, 2014
(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

  $ 2,030,490      $ 6,522,563      $ 4,605,056      $ 14,387,884      $ 13,596,511      $ 20,917,843      $ 25,036,124   

Income — affiliated

    144        544        341        1,178        1,147        1,247        1,482   
 

 

 

   

 

 

 

Total income

    2,030,634        6,523,107        4,605,397        14,389,062        13,597,658        20,919,090        25,037,606   
 

 

 

   

 

 

 
             
Expenses                                                        

Investment advisory

    269,196        813,275        548,048        1,680,752        1,482,968        2,423,613        2,468,792   

Liquidity fees

    82,035                                    901,488          

Professional

    23,648        36,764        31,787        43,900        42,749        56,809        59,154   

Accounting services

    7,851        20,915        18,566        29,844        29,845        58,081        63,746   

Remarketing fees on Preferred Shares

    8,949                                    136,172          

Officer and Trustees

    2,903        9,479        7,431        22,275        19,700        38,812        39,789   

Transfer agent

    8,187        12,399        10,936        19,458        17,519        24,170        28,391   

Custodian

    4,777        8,036        7,646        14,521        15,831        20,745        19,984   

Printing

    2,947        4,162        3,661        6,028        5,499        7,819        8,172   

Registration

    1,943        1,899        1,956        1,997        2,244        2,745        6,110   

Miscellaneous

    27,148        32,454        28,731        39,009        40,283        45,373        44,658   
 

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    439,584        939,383        658,762        1,857,784        1,656,638        3,715,827        2,738,796   

Interest expense, fees and amortization of offering costs1

    78,704        535,243        358,490        1,096,095        1,046,857        676,629        1,803,378   
 

 

 

   

 

 

 

Total expenses

    518,288        1,474,626        1,017,252        2,953,879        2,703,495        4,392,456        4,542,174   

Less fees waived by Manager

    (33,213     (305     (220     (681     (625     (230,089     (815
 

 

 

   

 

 

 

Total expenses after fees waived

    485,075        1,474,321        1,017,032        2,953,198        2,702,870        4,162,367        4,541,359   
 

 

 

   

 

 

 

Net investment income

    1,545,559        5,048,786        3,588,365        11,435,864        10,894,788        16,756,723        20,496,247   
 

 

 

   

 

 

 
             
Realized and Unrealized Gain (Loss)                                                        
Net realized loss from:              

Investments

    (652,598     (2,005,154     (3,352,220     (5,216,748     (4,768,784     (9,528,832     (921,864

Financial futures contracts

    (4,082     (180,608     (10,577     (258,706     (491,595     (43,891     (329,447
 

 

 

   

 

 

 
    (656,680     (2,185,762     (3,362,797     (5,475,454     (5,260,379     (9,572,723     (1,251,311
 

 

 

   

 

 

 
Net change in unrealized appreciation/depreciation on:              

Investments

    4,583,349        16,472,366        13,883,558        38,273,088        33,673,406        55,645,517        44,384,327   

Financial futures contracts

    (10,524     (43,662     (26,645     (76,129     (80,831     (110,387     (170,170
 

 

 

   

 

 

 
    4,572,825        16,428,704        13,856,913        38,196,959        33,592,575        55,535,130        44,214,157   
 

 

 

   

 

 

 

Total realized and unrealized gain

    3,916,145        14,242,942        10,494,116        32,721,505        28,332,196        45,962,407        42,962,846   
 

 

 

   

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 5,461,704      $ 19,291,728      $ 14,082,481      $ 44,157,369      $ 39,226,984      $ 62,719,130      $ 63,459,093   
 

 

 

   

 

 

 

1 Related to TOBs, VRDP Shares and/or VMTP Shares.

  

     

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Statements of Changes in Net Assets     

 

    BlackRock Municipal Bond
Investment Trust (BIE)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 1,545,559      $ 3,009,781   

Net realized loss

    (656,680     (514,362

Net change in unrealized appreciation/depreciation

    4,572,825        (8,100,674
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    5,461,704        (5,605,255
 

 

 

 
   
Dividends to Common Shareholders From                

Net investment income

    (1,522,440     (3,094,784 )1 
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

           16,133   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    3,939,264        (8,683,906

Beginning of period

    47,646,778        56,330,684   
 

 

 

 

End of period

  $ 51,586,042      $ 47,646,778   
 

 

 

 

Undistributed net investment income, end of period

  $ 720,925      $ 697,806   
 

 

 

 

 

    BlackRock Municipal
Bond Trust (BBK)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 5,048,786      $ 10,121,543   

Net realized gain (loss)

    (2,185,762     1,996,264   

Net change in unrealized appreciation/depreciation

    16,428,704        (27,894,939
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    19,291,728        (15,777,132
 

 

 

 
   
Dividends and Distributions to Common Shareholders From                

Net investment income

    (4,969,169     (10,235,733 )1 

Net realized gain

    (867,349     (1,455,701 )1 
 

 

 

 

Decrease in net assets resulting from dividends and distributions to Common Shareholders

    (5,836,518     (11,691,434
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

           255,741   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    13,455,210        (27,212,825

Beginning of period

    149,002,760        176,215,585   
 

 

 

 

End of period

  $ 162,457,970      $ 149,002,760   
 

 

 

 

Undistributed net investment income, end of period

  $ 3,232,775      $ 3,153,158   
 

 

 

 

 

1   

Determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    59


Statements of Changes in Net Assets     

 

    BlackRock Municipal Income
Investment Quality Trust (BAF)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 3,588,365      $ 7,099,697   

Net realized loss

    (3,362,797     (1,504,631

Net change in unrealized appreciation/depreciation

    13,856,913        (22,035,087
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    14,082,481        (16,440,021
 

 

 

 
   
Dividends to Common Shareholders From                

Net investment income

    (3,596,011     (7,226,601 )1 
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

           41,052   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    10,486,470        (23,625,570

Beginning of period

    120,961,664        144,587,234   
 

 

 

 

End of period

  $ 131,448,134      $ 120,961,664   
 

 

 

 

Undistributed net investment income, end of period

  $ 1,481,396      $ 1,489,042   
 

 

 

 

 

    BlackRock Municipal
Income Quality Trust (BYM)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 11,435,864      $ 23,897,300   

Net realized gain (loss)

    (5,475,454     2,074,437   

Net change in unrealized appreciation/depreciation

    38,196,959        (71,172,199
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    44,157,369        (45,200,462
 

 

 

 
   
Dividends to Common Shareholders From                

Net investment income

    (12,278,917     (24,710,368 )1 
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

           498,568   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    31,878,452        (69,412,262

Beginning of period

    355,372,306        424,784,568   
 

 

 

 

End of period

  $ 387,250,758      $ 355,372,306   
 

 

 

 

Undistributed net investment income, end of period

  $ 5,079,468      $ 5,922,521   
 

 

 

 

1   Determined in accordance with federal income tax regulations.

   

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Statements of Changes in Net Assets     

 

    BlackRock Municipal
Income Trust II (BLE)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 10,894,788      $ 22,707,879   

Net realized gain (loss)

    (5,260,379     1,783,167   

Net change in unrealized appreciation/depreciation

    33,592,575        (65,487,095
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    39,226,984        (40,996,049
 

 

 

 
   
Dividends to Common Shareholders From                

Net investment income

    (11,759,411     (24,096,233 )1 
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

    150,439        647,211   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    27,618,012        (64,445,071

Beginning of period

    312,329,292        376,774,363   
 

 

 

 

End of period

  $ 339,947,304      $ 312,329,292   
 

 

 

 

Undistributed net investment income, end of period

  $ 5,223,479      $ 6,088,102   
 

 

 

 

 

    BlackRock MuniHoldings
Investment Quality Fund (MFL)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 16,756,723      $ 32,713,247   

Net realized loss

    (9,572,723     (9,831,710

Net change in unrealized appreciation/depreciation

    55,535,130        (90,463,253
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    62,719,130        (67,581,716
 

 

 

 
   
Dividends to Common Shareholders From                

Net investment income

    (16,219,536     (34,131,947 )1 
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

           743,537   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    46,499,594        (100,970,126

Beginning of period

    501,809,855        602,779,981   
 

 

 

 

End of period

  $ 548,309,449      $ 501,809,855   
 

 

 

 

Undistributed net investment income, end of period

  $ 6,759,090      $ 6,221,903   
 

 

 

 

1   Determined in accordance with federal income tax regulations.

   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    61


Statements of Changes in Net Assets     

 

    BlackRock MuniVest
Fund, Inc. (MVF)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended
August 31,
2013
 
   
Operations                

Net investment income

  $ 20,496,247      $ 42,884,784   

Net realized loss

    (1,251,311     (1,650,054

Net change in unrealized appreciation/depreciation

    44,214,157        (94,389,898
 

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    63,459,093        (53,155,168
 

 

 

 
   
Dividends to Common Shareholders From                

Net investment income

    (22,202,607     (45,202,014 )1 
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common dividends

           3,867,890   
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    41,256,486        (94,489,292

Beginning of period

    584,717,996        679,207,288   
 

 

 

 

End of period

  $ 625,974,482      $ 584,717,996   
 

 

 

 

Undistributed net investment income, end of period

  $ 9,800,487      $ 11,506,847   
 

 

 

 

1   Determined in accordance with federal income tax regulations.

   

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Statements of Cash Flows     

 

Six Months Ended February 28, 2014
(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 Operating Activities   

Net Increase in net assets resulting from operations

  $ 5,461,704      $ 19,291,728      $ 14,082,481      $ 44,157,369      $ 39,226,984      $ 62,719,130      $ 63,459,093   

Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:

             

Increase in interest receivable

    (84,042     (28,748     (89,133     (59,679     (139,590     (604,099     (231,188

Increase in cash pledged for financial futures contracts

    (73,000     (302,000     (183,000     (549,000     (567,000     (758,000     (1,221,000

Increase in prepaid expenses

    (30,789     (32,484     (31,733     (36,751     (25,877     (23,627     (30,254

Increase in variation margin receivable on financial futures contracts

    (9,715     (40,307     (24,597     (70,278     (74,619     (101,903     (157,092

Decrease in investment advisory fees payable

    (3,790     (8,782     (10,136     (26,461     (22,331     (36,872     (41,467

Decrease in interest expense and fees payable

    (2,997     (1,293     (5,320     (21,305     (16,259     (20,460     (32,122

Increase (decrease) in other accrued expenses payable

    (520     8,119        (3,419     (11,762     4,963        (30,111     (1,946

Increase in Officer’s and Trustees’ fees payable

    547        2,091        1,425        4,615        4,238        25,012        11,050   

Net realized loss on investments

    652,598        2,005,154        3,352,220        5,216,748        4,768,784        9,528,832        921,864   

Net unrealized gain on investments

    (4,583,349     (16,472,366     (13,883,558     (38,273,088     (33,673,406     (55,645,517     (44,384,327

Amortization of premium and accretion of discount on investments

    108,198        (720,869     412,908        (569,545     202,251        1,557,466        749,914   

Proceeds from sales of long-term investments

    11,554,850        35,605,551        42,506,203        80,774,557        61,459,557        146,161,840        73,386,020   

Purchases of long-term investments

    (12,426,616     (35,822,445     (41,610,845     (62,321,981     (53,992,811     (171,535,443     (66,393,749

Net proceeds from sales (purchases) of short-term securities

    1,467,748        1,067,186        521,221        (952,402     (2,388,916     31,482,131        (3,827,135
 

 

 

 

Cash provided by operating activities

    2,030,827        4,550,535        5,034,717        27,261,037        14,765,968        22,718,379        22,207,661   
 

 

 

 
             
Cash Used for Financing Activities   

Receipts from TOB trust certificates

           1,185,515                      5,866,524               625,000   

Payments for TOB trust certificates

    (519,986            (1,500,377     (15,116,928     (9,131,070     (6,502,289     (532,310

Cash dividends paid to Common Shareholders

    (1,522,440     (5,836,518     (3,596,011     (12,305,323     (11,678,411     (16,219,536     (22,362,560

Increase in amortization of deferred offering costs

    11,599        28,842        23,841        38,830        41,357        3,446        62,209   
 

 

 

 

Cash used for financing activities

    (2,030,827     (4,622,161     (5,072,547     (27,383,421     (14,901,600     (22,718,379     (22,207,661
 

 

 

 
             
Cash   

Net decrease in cash

           (71,626     (37,830     (122,384     (135,632              

Cash at beginning of period

           71,626        37,830        122,384        135,632                 
 

 

 

 

Cash at end of period

                                                
 

 

 

 
             
Supplemental Disclosure of Cash Flow Information   

Cash paid during the period for interest and fees

  $ 70,102      $ 507,694      $ 339,969      $ 1,078,570      $ 1,021,759      $ 693,643      $ 1,773,291   
 

 

 

 
             
Non-Cash Financing Activities   

Capital Shares issued in reinvestment of dividends paid to Common Shareholders

                              $ 150,439                 
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    63


Financial Highlights    BlackRock Municipal Bond Investment Trust (BIE)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended August 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.27      $ 16.88      $ 14.67      $ 15.51      $ 14.16      $ 14.86   
 

 

 

 

Net investment income1

    0.46        0.90        0.92        1.03        1.02        1.03   

Net realized and unrealized gain (loss)

    1.18        (2.58     2.26        (0.89     1.27        (0.76

Dividends to AMPS Shareholders from net investment income

                  (0.00 )2      (0.02     (0.02     (0.13
 

 

 

 

Net increase (decrease) from investment operations

    1.64        (1.68     3.18        0.12        2.27        0.14   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.46     (0.93 )3      (0.97 )3      (0.96 )3      (0.92 )3      (0.84 )3 
 

 

 

 

Net asset value, end of period

  $ 15.45      $ 14.27      $ 16.88      $ 14.67      $ 15.51      $ 14.16   
 

 

 

 

Market price, end of period

  $ 13.96      $ 13.14      $ 16.61      $ 14.22      $ 15.60      $ 13.20   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                                

Based on net asset value

    11.95% 5      (10.35)%        22.36%        1.29%        16.80%        2.43%   
 

 

 

 

Based on market price

    9.84% 5      (16.10)%        24.21%        (2.38)%        26.02%        (0.64)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    2.12% 6      2.09%        2.21% 7      1.81% 7      1.57% 7      1.71% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.98% 6      1.96%        2.12% 7      1.66% 7      1.35% 7      1.36% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.66% 6,9      1.60% 9      1.72% 7,9      1.39% 7      1.15% 7      1.25% 7 
 

 

 

 

Net investment income

    6.32% 6      5.45%        5.78% 7      7.25% 7      6.92% 7      7.98% 7 
 

 

 

 

Dividends to AMPS Shareholders

                  0.01%        0.13%        0.15%        1.01%   
 

 

 

 

Net investment income to Common Shareholders

    6.32% 6      5.45%        5.77%        7.12%        6.77%        6.97%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 51,586      $ 47,647      $ 56,331      $ 48,941      $ 51,708      $ 47,203   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 17,850      $ 17,850      $ 17,850   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 17,800      $ 17,800      $ 17,800                        
 

 

 

 

Portfolio turnover

    14%        32%        36%        25%        47%        71%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                       $ 93,546      $ 97,421      $ 91,112   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 389,809      $ 367,678      $ 416,465                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Does not reflect the effect of dividends to AMPS shareholders.

 

8   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

9   

For the six months ended February 28, 2014 and the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.29%, 1.27% and 1.42%, respectively.

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Financial Highlights    BlackRock Municipal Bond Trust (BBK)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended August 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.18      $ 16.79      $ 14.48      $ 15.29      $ 13.23      $ 13.96   
 

 

 

 

Net investment income1

    0.48        0.96        1.01        1.14        1.14        1.14   

Net realized and unrealized gain (loss)

    1.35        (2.46     2.37        (0.87     1.97        (0.83

Dividends to AMPS Shareholders from net investment income

                  (0.01     (0.03     (0.03     (0.13
 

 

 

 

Net increase (decrease) from investment operations

    1.83        (1.50     3.37        0.24        3.08        0.18   
 

 

 

 
Dividends and distributions to Common Shareholders from:            

Net investment income

    (0.47     (0.97 )2      (1.06 )2      (1.05 )2      (1.02 )2      (0.91 )2 

Net realized gain

    (0.08     (0.14 )2                             
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.55     (1.11     (1.06     (1.05     (1.02     (0.91
 

 

 

 

Net asset value, end of period

  $ 15.46      $ 14.18      $ 16.79      $ 14.48      $ 15.29      $ 13.23   
 

 

 

 

Market price, end of period

  $ 14.54      $ 13.49      $ 17.16      $ 14.86      $ 15.79      $ 13.80   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders3                                                

Based on net asset value

    13.42% 4      (9.52)%        23.96%        2.02%        24.13%        2.52%   
 

 

 

 

Based on market price

    12.12% 4      (15.78)%        23.45%        1.38%        22.90%        7.48%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.92% 5      1.82%        1.69% 6      1.33% 6      1.29% 6      1.51% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.91% 5      1.82%        1.64% 6      1.19% 6      1.08% 6      1.19% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.22% 5      1.17%        1.18% 6,8      1.16% 6      1.05% 6      1.10% 6 
 

 

 

 

Net investment income

    6.56% 5      5.85%        6.39% 6      8.15% 6      8.08% 6      9.67% 6 
 

 

 

 

Dividends to AMPS Shareholders

                  0.04%        0.19%        0.22%        1.11%   
 

 

 

 

Net investment income to Common Shareholders

    6.56% 5      5.85%        6.35%        7.96%        7.86%        8.56%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 162,458      $ 149,003      $ 176,216      $ 151,471      $ 159,216      $ 137,030   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 79,900      $ 79,900      $ 79,900   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 79,900      $ 79,900      $ 79,900                        
 

 

 

 

Portfolio turnover

    15%        32%        46%        27%        51%        46%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                       $ 72,394      $ 74,819      $ 67,877   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 303,327      $ 286,487      $ 320,545                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Determined in accordance with federal income tax regulations.

 

3   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

4   

Aggregate total investment return.

 

5   

Annualized.

 

6   

Does not reflect the effect of dividends to AMPS shareholders.

 

7   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.

 

8   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.16%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    65


Financial Highlights    BlackRock Municipal Income Investment Quality Trust  (BAF)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended August 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 13.83      $ 16.53      $ 14.50      $ 15.08      $ 14.06      $ 14.23   
 

 

 

 

Net investment income1

    0.41        0.81        0.83        0.91        0.94        0.91   

Net realized and unrealized gain (loss)

    1.19        (2.68     2.09        (0.58     0.95        (0.27

Dividends to AMPS Shareholders from net investment income

                  (0.00 )2      (0.02     (0.02     (0.09
 

 

 

 

Net increase (decrease) from investment operations

    1.60        (1.87     2.92        0.31        1.87        0.55   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.41     (0.83 )3      (0.89 )3      (0.89 )3      (0.85 )3      (0.72 )3 
 

 

 

 

Net asset value, end of period

  $ 15.02      $ 13.83      $ 16.53      $ 14.50      $ 15.08      $ 14.06   
 

 

 

 

Market price, end of period

  $ 13.64      $ 12.82      $ 16.24      $ 13.92      $ 15.64      $ 13.01   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                                

Based on net asset value

    12.05% 5      (11.69)%        20.76%        2.62%        13.93%        5.36%   
 

 

 

 

Based on market price

    9.77% 5      (16.68)%        23.59%        (5.01)%        27.70%        11.70%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.63% 6      1.63%        1.49% 7      1.25% 7      1.23% 7      1.60% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.63% 6      1.63%        1.49% 7      1.23% 7      1.14% 7      1.40% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering cost8

    1.05% 6      1.03%        1.06% 7,9      1.09% 7      0.97% 7      0.98% 7 
 

 

 

 

Net investment income

    5.75% 6      5.02%        5.31% 7      6.51% 7      6.54% 7      7.04% 7 
 

 

 

 

Dividends to AMPS Shareholders

                  0.02%        0.12%        0.14%        0.66%   
 

 

 

 

Net investment income to Common Shareholders

    5.75% 6      5.02%        5.29%        6.39%        6.40%        6.38%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 131,448      $ 120,962      $ 144,587      $ 126,783      $ 131,772      $ 122,825   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 42,275      $ 42,275      $ 42,275   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 42,200      $ 42,200      $ 42,200                        
 

 

 

 

Portfolio turnover

    21%        43%        51%        33%        26%        45%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                       $ 99,975      $ 102,926      $ 97,637   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 411,488      $ 386,639      $ 442,624                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Does not reflect the effect of dividends to AMPS shareholders.

 

8   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.

 

9   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs, liquidity and remarketing fees was 1.05%.

 

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Financial Highlights    BlackRock Municipal Income Quality Trust (BYM)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended July 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 13.46      $ 16.11      $ 14.09      $ 14.64      $ 13.55      $ 14.04   
 

 

 

 

Net investment income1

    0.43        0.91        0.93        0.97        0.96        0.91   

Net realized and unrealized gain (loss)

    1.25        (2.62     2.02        (0.58     1.00        (0.55

Dividends to AMPS shareholders from net investment income

                  (0.00 )2      (0.02     (0.02     (0.10
 

 

 

 

Net increase (decrease) from investment operations

    1.68        (1.71     2.95        0.37        1.94        0.26   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.47     (0.94 )3      (0.93 )3      (0.92 )3      (0.85 )3      (0.75 )3 
 

 

 

 

Net asset value, end of period

  $ 14.67      $ 13.46      $ 16.11      $ 14.09      $ 14.64      $ 13.55   
 

 

 

 

Market price, end of period

  $ 13.59      $ 12.59      $ 16.73      $ 13.85      $ 15.26      $ 13.69   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                                

Based on net asset value

    12.90% 5      (11.13)%        21.54%        3.09%        14.74%        2.83%   
 

 

 

 

Based on market price

    11.82% 5      (19.96)%        28.40%        (2.79)%        18.42%        10.58%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.61% 6      1.55%        1.46% 7      1.25% 7      1.15% 7      1.38% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.61% 6      1.55%        1.46% 7      1.24% 7      1.06% 7      1.20% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense and fees and amortization of offering costs8

    1.01% 6      0.96%        1.00% 7,9      1.07% 7      0.92% 7      0.93% 7 
 

 

 

 

Net investment income

    6.23% 6      5.77%        6.12% 7      7.15% 7      6.85% 7      7.23% 7 
 

 

 

 

Dividends to AMPS Shareholders

                  0.03%        0.14%        0.15%        0.76%   
 

 

 

 

Net investment income to Common Shareholders

    6.23% 6      5.77%        6.09%        7.01%        6.70%        6.47%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of year (000)

  $ 387,251      $ 355,372      $ 424,785      $ 371,014      $ 384,563      $ 355,334   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 137,250      $ 137,250      $ 137,250   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 137,200      $ 137,200      $ 137,200                        
 

 

 

 

Portfolio turnover

    10%        24%        17%        19%        13%        18%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation value, end of period

                       $ 92,580      $ 95,049      $ 89,725   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 382,253      $ 359,018      $ 409,610                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Does not reflect the effect of dividends to AMPS shareholders.

 

8   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP shares, respectively.

 

9   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.99%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    67


Financial Highlights    BlackRock Municipal Income Trust II (BLE)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended August 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 13.32      $ 16.10      $ 13.96      $ 14.63      $ 12.78      $ 13.60   
 

 

 

 

Net investment income1

    0.46        0.97        1.02        1.08        1.08        1.09   

Net realized and unrealized gain (loss)

    1.21        (2.72     2.14        (0.73     1.77        (0.95

Dividends to AMPS shareholders from net investment income

                  (0.01     (0.02     (0.03     (0.12
 

 

 

 

Net increase (decrease) from investment operations

    1.67        (1.75     3.15        0.33        2.82        0.02   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.50     (1.03 )2      (1.01 )2      (1.00 )2      (0.97 )2      (0.84 )2 
 

 

 

 

Net asset value, end of period

  $ 14.49      $ 13.32      $ 16.10      $ 13.96      $ 14.63      $ 12.78   
 

 

 

 

Market price, end of period

  $ 13.88      $ 13.20      $ 16.74      $ 14.13      $ 15.22      $ 13.45   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders3                                                

Based on net asset value

    12.85% 4      (11.60)%        23.25%        2.70%        22.83%        1.54%   
 

 

 

 

Based on market price

    9.08% 4      (15.75)%        26.61%        (0.07)%        21.42%        9.52%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.68% 5      1.67%        1.55% 6      1.18% 6      1.16% 6      1.36% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.68% 5      1.67%        1.48% 6      1.10% 6      1.08% 6      1.19% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.03% 5      1.00%        0.96% 6,8      1.01% 6      0.99% 6      1.05% 6 
 

 

 

 

Net investment income

    6.78% 5      6.17%        6.74% 6      7.94% 6      7.89% 6      9.69% 6 
 

 

 

 

Dividends to AMPS Shareholders

                  0.03%        0.17%        0.20%        1.07%   
 

 

 

 

Net investment income to Common Shareholders

    6.78% 5      6.17%        6.71%        7.77%        7.69%        8.62%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 339,947      $ 312,329      $ 376,774      $ 325,713      $ 340,269      $ 296,070   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 151,300      $ 151,300      $ 151,300   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 151,300      $ 151,300      $ 151,300                        
 

 

 

 

Portfolio turnover

    10%        17%        24%        16%        29%        19%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                       $ 78,819      $ 81,226      $ 73,923   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 324,684      $ 306,430      $ 349,025                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Determined in accordance with federal income tax regulations.

 

3   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

4   

Aggregate total investment return.

 

5   

Annualized.

 

6   

Does not reflect the effect of dividends to AMPS shareholders.

 

7   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.

 

8   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.94%.

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Financial Highlights    BlackRock MuniHoldings Investment Quality Fund (MFL)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended August 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 13.27      $ 15.96      $ 14.00      $ 14.69      $ 13.57      $ 13.50   
 

 

 

 

Net investment income1

    0.44        0.87        0.86        0.95        0.96        0.94   

Net realized and unrealized gain (loss)

    1.22        (2.66     2.02        (0.71     1.04        (0.03

Dividend to AMPS Shareholders from net investment income

                         (0.02     (0.03     (0.13
 

 

 

 

Net increase (decrease) from investment operations

    1.66        (1.79     2.88        0.22        1.97        0.78   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.43     (0.90 )2      (0.92 )2      (0.91 )2      (0.85 )2      (0.71 )2 
 

 

 

 

Net asset value, end of period

  $ 14.50      $ 13.27      $ 15.96      $ 14.00      $ 14.69      $ 13.57   
 

 

 

 

Market price, end of period

  $ 13.34      $ 12.59      $ 16.13      $ 13.84      $ 14.65      $ 12.63   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders3                                                

Based on net asset value

    12.95% 4      (11.70)%        21.22%        2.01%        15.22%        7.36%   
 

 

 

 

Based on market price

    9.53% 4      (17.11)%        23.93%        1.12%        23.46%        16.19%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.69% 5      1.71%        1.87%        1.37% 6      1.17% 6      1.32% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.61% 5      1.62%        1.80%        1.30% 6      1.09% 6      1.20% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.34% 5,8      1.29% 8      1.39% 8      1.14% 6      1.01% 6      1.07% 6 
 

 

 

 

Net investment income

    6.46% 5      5.55%        5.76%        7.03% 6      6.85% 6      7.48% 6 
 

 

 

 

Dividends to AMPS Shareholders

                         0.18%        0.21%        1.05%   
 

 

 

 

Net investment income to Common Shareholders

    6.46%        5.55%        5.76%        6.85%        6.64%        6.43%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 548,309      $ 501,810      $ 602,780      $ 528,173      $ 553,367      $ 511,013   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                              $ 274,650      $ 274,650   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 274,600      $ 274,600      $ 274,600      $ 274,600                 
 

 

 

 

Portfolio turnover

    16%        59%        44%        32%        38%        40%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                              $ 75,371      $ 71,516   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 299,676      $ 282,742      $ 319,152      $ 292,343                 
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Determined in accordance with federal income tax regulations.

 

3   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

4   

Aggregate total investment return.

 

5   

Annualized.

 

6   

Does not reflect the effect of dividends to AMPS shareholders.

 

7   

Interest expense and fees relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

8   

For the six months ended February 28, 2014, the year ended August 31, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering cost, liquidity and remarketing fees was 0.94%, 0.92% and 0.99%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    69


Financial Highlights    BlackRock MuniVest Fund, Inc. (MVF)

 

    Six Months Ended
February 28,
2014
(Unaudited)
    Year Ended August 31,  
      2013     2012     2011     2010     2009  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 9.14      $ 10.68      $ 9.55      $ 10.01      $ 8.98      $ 8.91   
 

 

 

 

Net investment income1

    0.32        0.67        0.69        0.73        0.73        0.70   

Net realized and unrealized gain (loss)

    0.67        (1.50     1.16        (0.47     0.97        (0.03

Dividends to AMPS Shareholders from net investment income

                  (0.01     (0.02     (0.02     (0.06
 

 

 

 

Net increase (decrease) from investment operations

    0.99        (0.83     1.84        0.24        1.68        0.61   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.35     (0.71 )2      (0.71 )2      (0.70 )2      (0.65 )2      (0.54 )2 
 

 

 

 

Net asset value, end of period

  $ 9.78      $ 9.14      $ 10.68      $ 9.55      $ 10.01      $ 8.98   
 

 

 

 

Market price, end of period

  $ 9.50      $ 8.91      $ 11.28      $ 9.73      $ 10.38      $ 8.91   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders3                                                

Based on net asset value

    11.07% 4      (8.39)%        19.85%        2.90%        19.31%        8.18%   
 

 

 

 

Based on market price

    10.67% 4      (15.45)%        24.24%        1.11%        24.69%        14.81%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.52% 5      1.54%        1.51% 6      1.28% 6      1.22% 6      1.53% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.52% 5      1.54%        1.51% 6      1.28% 6      1.22% 6      1.50% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.92% 5      0.91%        0.98% 6,8      1.05% 6      1.03% 6      1.14% 6 
 

 

 

 

Net investment income

    6.86% 5      6.43%        6.79% 6      7.93% 6      7.71% 6      8.74% 6 
 

 

 

 

Dividends to AMPS Shareholders

                  0.05%        0.18%        0.19%        0.78%   
 

 

 

 

Net investment income to Common Shareholders

    6.86% 5      6.43%        6.74%        7.75%        7.52%        7.96%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 625,974      $ 584,718      $ 679,207      $ 602,234      $ 625,195      $ 555,889   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 243,825      $ 243,825      $ 243,825   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,800      $ 243,800      $ 243,800                        
 

 

 

 

Portfolio turnover

    7%        11%        11%        10%        25%        31%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                       $ 86,749      $ 89,106      $ 81,999   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 356,757      $ 339,835      $ 378,592                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Determined in accordance with federal income tax regulations.

 

3   

Total investment returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

4   

Aggregate total investment return.

 

5   

Annualized.

 

6   

Does not reflect the effect of dividends to AMPS shareholders.

 

7   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.

 

8   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.96%.

 

 

See Notes to Financial Statements.      
                
70    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Notes to Financial Statements (Unaudited)     

 

1. Organization:

BlackRock Municipal Bond Investment Trust (“BIE”) and BlackRock Municipal Bond Trust (“BBK”), 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 Investment Company Act of 1940, as amended (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 Boards of Directors and Boards of Trustees of the Trusts are collectively 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.

2. Significant Accounting Policies:

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 of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of the 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 determine the fair value of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

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. Investments in open-end registered investment companies are valued at NAV each business day.

In the event that the application of these methods of valuation results in a price for an investment that 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 by the Global Valuation Committee, or its delegate, 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 Global Valuation Committee, or its delegate, 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 Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., financial futures contracts) or certain borrowings (e.g., TOBs) that would be “senior securities” for 1940 Act purposes, the Trust may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Trust’s future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trust may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    71


Notes to Financial Statements (continued)     

 

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character 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 9.

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 their taxable income to their 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, 2013. 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 has analyzed tax laws and regulations and their application to the Trusts’ facts and circumstances and does not believe there are any uncertain tax positions that require recognition of a tax liability.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the 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 the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several trusts are pro rated among those trusts 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.

3. Securities and Other Investments:

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 a special purpose entity established by a third party sponsor, into which a trust, or an agent on behalf of the trusts, transfers municipal bonds into a trust (“TOB Trust”). Other trusts 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 (“TOB Trust Certificates”), which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating trusts that contributed the municipal bonds to the TOB Trust. If multiple trusts participate in the same TOB, the rights and obligations under the TOB Residual will be shared among the trusts ratably in proportion to their participation.

The TOB Residuals held by a Trust include the right of a Trust (1) to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates at par plus accrued interest upon the occurrence of certain mandatory tender events defined in the TOB agreements, and (2) to transfer, subject to a specified number of days’ prior notice, a corresponding share of the municipal bonds from the TOB to a Trust. The TOB may also be collapsed without the consent of a Trust, as the TOB Residual holder, upon the occurrence of certain termination 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 renewal of the liquidity support agreement, a substantial decline in market value of the municipal bond and a judgment or ruling that interest on the municipal bond is subject to federal income taxation. Upon the occurrence of a termination event, the TOB would generally be liquidated in full with the proceeds typically applied first to any accrued fees owed to the trustee, remarketing agent and liquidity provider, and then to the holders of the TOB Trust Certificates up to par plus accrued interest owed on the TOB Trust Certificates, with the balance paid out to the TOB Residual holder. During the six months ended February 28, 2014, no TOBs in which the Trusts participated were terminated without the consent of the Trusts.

 

                
72    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Notes to Financial Statements (continued)     

 

The cash received by the TOB from the sale of the TOB Trust Certificates, less transaction expenses, is paid to a Trust. The Trust typically invests the cash received in additional municipal bonds. Each Trust’s transfer of the municipal bonds to a TOB Trust is accounted for as a secured borrowing; therefore, the municipal bonds deposited into a TOB are presented in the Trusts’ Schedules of Investments and the TOB Trust Certificates are shown in other liabilities in the Statements of Assets and Liabilities. The carrying amount of each Trust’s payable to the holder of the TOB Trust Certificates, as reported in Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

The Trusts may invest in TOBs on either a non-recourse or recourse basis. TOB Trusts are typically supported by a liquidity facility provided by a bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment from the Liquidity Provider of par plus accrued interest on any business day prior to the occurrence of the termination events described above. When a Trust invests in TOBS on a non-recourse basis, and the Liquidity Provider is required to make a payment under the liquidity facility due to a termination event, the Liquidity Provider will typically liquidate all or a portion of the municipal securities held in the TOB Trust and then trust, on a net basis, the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB on a recourse basis, the Trust will typically enter into a reimbursement agreement with the Liquidity Provider where the Trust is required to repay the Liquidity Provider the amount of any Liquidation Shortfall. As a result, a Trust investing in recourse TOB will bear the risk of loss with respect to any Liquidation Shortfall. If multiple trusts participate in any such TOB, these losses will be shared ratably, including the maximum potential amounts owed by Trusts at February 28, 2014, in proportion to their participation. The recourse TOB Trusts are identified in the Schedules of Investments, including the maximum potential amounts owed by the Trusts at February 28, 2014.

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 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 TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB for redemption at par at each reset date. At February 28, 2014, 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 TOB Trust Certificates were as follows:

 

     Underlying
Municipal Bonds
Transferred to TOBs
    Liability
for TOB Trust
Certificates
   

Range of

Interest Rates

 

BIE

  $ 30,723,914      $ 16,235,837        0.03% - 0.28%   

BBK

  $ 32,024,291      $ 18,224,759        0.03% - 0.25%   

BAF

  $ 57,867,073      $ 32,344,766        0.03% - 0.28%   

BYM

  $ 186,287,630      $ 99,830,779        0.03% - 0.31%   

BLE

  $ 120,639,443      $ 70,266,599        0.03% - 0.25%   

MFL

  $ 172,005,337      $ 89,456,878        0.03% - 0.28%   

MVF

  $ 291,243,701      $ 149,177,344        0.03% - 0.13%   

For the six months ended February 28, 2014, 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

  $ 16,363,981        0.65

BBK

  $ 17,168,766        0.65

BAF

  $ 32,825,994        0.69

BYM

  $ 108,687,596        0.62

BLE

  $ 68,297,252        0.61

MFL

  $ 91,019,291        0.69

MVF

  $ 149,243,531        0.61

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 value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

4. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to economically hedge their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

Financial Futures Contracts: The Trusts purchase and/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 a 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, financial 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.

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 variation margin. Variation margin is recorded by the Trusts as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    73


Notes to Financial Statements (continued)     

 

 

The following is a summary of the Trusts’ derivative financial instruments categorized by risk exposure:                          
Fair Values of Derivative Financial Instruments as of February 28, 2014  
Liabilities Derivatives  
     BIE      BBK      BAF      BYM      BLE      MFL      MVF  
      Statements of Assets
and Liabilities
Location
                                                       

Interest rate contracts

   Net unrealized depreciation1    $ (10,524    $ (43,662    $ (26,645    $ (76,129    $ (80,831    $ (110,387    $ (170,170

 

  1   

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended February 28, 2014
 
    Net Realized Gain (Loss) From  
     BIE     BBK     BAF     BYM     BLE     MFL     MVF  
Interest rate contracts:              

Financial futures contracts

  $ (4,082   $ (180,608   $ (10,577   $ (258,706   $ (491,595   $ (43,891   $ (329,447
             
    Net Change in Unrealized Depreciation on  
     BIE     BBK     BAF     BYM     BLE     MFL     MVF  
Interest rate contracts:              

Financial futures contracts

  $ (10,524   $ (43,662   $ (26,645   $ (76,129   $ (80,831   $ (110,387   $ (170,170
             
For the six months ended February 28, 2014, 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 sold

    39        130        99        283        231        408        440   

Average notional value of contracts sold

  $ 4,889,414      $ 16,194,297      $ 12,348,594      $ 35,417,383      $ 28,809,922      $ 51,149,414      $ 54,920,313   

 

Counterparty Credit Risk: A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

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 its total accrued liabilities.

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, with respect to BIE, BBK, BAF, BYM 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.

 

                
74    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Notes to Financial Statements (continued)     

 

The Manager voluntarily agreed to waive a portion of the investment advisory fees or other expenses, with respect to BIE as a percentage of its average weekly net assets of 0.08%. 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 its total assets minus its total accrued liabilities. The amounts waived are included in fees waived by Manager in the Statements of Operations. For the six months ended February 28, 2014, the amounts included in fees waived by Manager were as follows:

 

BIE

  $ 33,132   

MFL

  $ 229,332   

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 Manager in the Statements of Operations. For the six months ended February 28, 2014, the amounts waived were as follows:

 

BIE

  $ 81   

BBK

  $ 305   

BAF

  $ 220   

BYM

  $ 681   

BLE

  $ 625   

MFL

  $ 757   

MVF

  $ 815   

These voluntary waivers may be reduced or discontinued at any time without notice.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in officer and trustees in the Statements of Operations.

6. Purchases and Sales:

Purchases and sales of investments, excluding short-term securities, for the six months ended February 28, 2014, were as follows:

 

     Purchases     Sales  

BIE

  $ 11,604,666      $ 11,554,850   

BBK

  $ 37,443,062      $ 36,219,511   

BAF

  $ 40,925,096      $ 43,564,934   

BYM

  $ 60,936,676      $ 80,774,557   

BLE

  $ 53,992,811      $ 59,559,458   

MFL

  $ 137,118,615      $ 157,515,161   

MVF

  $ 67,923,749      $ 72,320,349   

 

7. Income Tax Information:

As of August 31, 2013, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BIE     BYM     BLE     MFL     MVF  

2016

         $ 3,216,104                        

2017

           6,430,212      $ 2,066,643      $ 1,863,647      $ 7,618,622   

2018

  $ 150,549        2,209,430        4,366,226        11,734,707          

2019

    718,157               2,448,693               5,276,524   

No expiration date1

                                6,692,484   
 

 

 

 

Total

  $ 868,706      $ 11,855,746      $ 8,881,562      $ 13,598,354      $ 19,587,630   
 

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of February 28, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BIE     BBK     BAF     BYM     BLE     MFL     MVF  

Tax cost

  $ 62,075,253      $ 228,356,933      $ 159,871,165      $ 493,218,135      $ 469,052,092      $ 746,515,482      $ 796,782,390   
 

 

 

 

Gross unrealized appreciation

  $ 6,646,045      $ 16,496,957      $ 12,601,262      $ 35,672,345      $ 28,851,567      $ 58,306,315      $ 73,505,834   

Gross unrealized depreciation

    (248,057     (3,906,106     (1,163,466     (9,285,885     (11,858,786     (2,674,197     (9,812,525
 

 

 

 

Net unrealized appreciation

  $ 6,397,988      $ 12,590,851      $ 11,437,796      $ 26,386,460      $ 16,992,781      $ 55,632,118      $ 63,693,309   
 

 

 

 

 

8. Concentration, Market and Credit Risk:

Each Trust invests a substantial amount of their assets in issuers located in a single state or limited number of states. Please see the Schedules of Investments for concentrations in specific states or US territories.

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    75


Notes to Financial Statements (continued)     

 

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 Statements of Assets and Liabilities, less any collateral held by the Trusts.

The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed income markets. See the Schedules of Investments for these securities and/or derivatives. Changes in market interest rates or economic conditions, including the Federal Reserve’s decision in December 2013 to taper its quantitative easing policy, may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

As of February 28, 2014, BIE, BAF and BYM invested a significant portion of their assets in securities in the county/city/special district/school district sector. BIE, BAF, BYM, MFL and MVF invested a significant portion of its assets in securities in the transportation sector. BBK and MVF 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 utilities sector. Changes in economic conditions affecting the county/city/special district/school district, transportation, health 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.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a trust.

On December 10, 2013, regulators published final rules implementing section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”), which prohibit banking entities from engaging in proprietary trading of certain instruments and limit such entities’ investments in, and relationships with, “covered funds, as defined in the rules.” Banking entities subject to the rules are required to fully comply by July 21, 2015. These rules may preclude banking entities and their affiliates from (i) sponsoring TOB trust programs (as such programs are presently structured) and (ii) continuing relationships with or services for existing TOB trust programs. As a result, TOB trusts may need to be restructured or unwound. There can be no assurances that TOB trusts can be restructured, that new sponsors of TOB trusts will develop, or that alternative forms of leverage will be available to the Trust. Any alternative forms of leverage may be more or less advantageous to the Trust than existing TOB leverage.

TOB transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule may adversely impact the municipal market, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. Any such developments could adversely affect the Trust. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

9. Capital Share Transactions:

Each of BIE, BBK, BAF, BYM and BLE is authorized to issue an unlimited number of shares, including Preferred Shares, par value $0.001 per share, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares, including AMPS, without approval of Common Shareholders.

MFL is authorized to issue an unlimited number of shares, including 1 million Preferred Shares, including AMPS, 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 Preferred Shares, including AMPS, 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 28, 2014
   

Year Ended

August 31, 2013

 

BIE

           937   

BBK

           15,055   

BAF

           2,424   

BYM

           30,719   

BLE

    10,827        40,304   

MFL

           45,928   

MVF

           361,054   

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trust 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 Trusts are 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 Trusts fail 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.

 

                
76    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Notes to Financial Statements (continued)     

 

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 Trustees for each Trust. 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 Trust’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, as amended, (the “Securities Act”) and include a liquidity feature, pursuant to a liquidity agreement, 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 the first 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 outstanding as of February 28, 2014 were as follows:

 

    

Issue

Date

   

Shares

Issued

    Aggregate
Principal
   

Maturity

Date

 

BIE

    9/15/11        178      $ 17,800,000        10/01/41   

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 may require an initial commitment and a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The initial fee agreement between BIE and the liquidity provider was for a 364 day term and was scheduled to expire on September 15, 2012 and subsequently extended until March 15, 2013, unless renewed or terminated in advance. On November 29, 2012, BIE entered into a new fee agreement with an alternate liquidity provider. The new fee agreement is for a 2-year term and is scheduled to expire on December 4, 2014, unless renewed or terminated in advance. The change in liquidity provider resulted in a mandatory tender of BIE’s VRDP Shares on November 28, 2012, which were successfully remarketed by the remarketing agent. The fee agreement between MFL and its liquidity provider was renewed for a 364-day term and is scheduled to expire on June 25, 2014, 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 its outstanding VRDP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may be redeemed, in whole or in part, at any time at the option of the 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 the VRDP Shares prior to the initial termination date of the fee agreement, the 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. 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. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of February 28, 2014, the VRDP Shares were assigned a long-term rating of Aa1 from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly related based upon either short-term rating. As of February 28, 2014, the short-term ratings of the liquidity provider and the VRDP Shares for BIE were P1, F1 and A1 and for MFL were P1, F1 and A1 as rated by Moody’s, Fitch and/or S&P, respectively, which is within the two highest rating categories. 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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    77


Notes to Financial Statements (continued)     

 

For financial reporting purposes, the VRDP Shares are considered debt of the issuer; therefore, the liquidation value, which approximates fair value, of the 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 accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

The VRDP Trusts may incur remarketing fees of 0.10% on the aggregate principal amount of all the VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. All of the remarketable VRDP Shares that were tendered for remarketing during the six months ended February 28, 2014, were successfully remarketed.

The annualized dividend rates for the VRDP Shares for the six months ended February 28, 2014 were as follows:

 

BIE

     0.15%   

MFL

     0.26%   

VRDP Shares issued and outstanding remained constant for the six months ended February 28, 2014.

On February 28, 2014, the Board of MFL authorized MFL to designate an approximate three-year period (the “special rate period”), during which the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. The implementation of the special rate period resulted in a mandatory tender of the VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing. The VRDP Shares will remain subject to mandatory redemption by the Trusts on the VRDP Shares’ maturity date. The special rate period commenced on April 17, 2014.

The liquidity and fee agreements remain in effect for the duration of the special rate period and the VRDP Shares are still subject to mandatory redemption by the VRDP Trusts on maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during such time. During the special rate period, MFL is required to maintain the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares. MFL will pay liquidity and remarketing fees during the special rate period and will also pay dividends monthly based on the sum of SIFMA Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to the VRDP Shares. The short-term ratings were withdrawn by Moody’s, Fitch and/or S&P. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

If MFL redeems the VRDP Shares on a date that is one year or more before the end of the special rate period and the VRDP Shares are rated above A1/A+ by Moody’s, Fitch and S&P, then such redemption is subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. After April 19, 2017, the holder of the VRDP Shares and MFL may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert back to remarketable securities and will be remarketed and available for purchase by qualified institutional investors.

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.

The VMTP Shares outstanding as of February 28, 2014 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 or repurchased or unless extended. There is no assurance that the term of a Trust’s VMTP Shares will be extended or that a Trust’s VMTP Shares 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 Trust is 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, then such redemption is subject to a prescribed redemption premium (up to 3% of the liquidation preference) payable to the holder of the VMTP Shares 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 under certain circumstances. In addition, amendments to the VMTP governing document generally require the consent of the holders of VMTP Shares.

Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by Moody’s and Fitch. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Notes to Financial Statements (concluded)     

 

Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of February 28, 2014, the VMTP Shares were assigned a long-term rating of Aa1 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. 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 other things, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

The average annualized dividend rates for the VMTP Shares for the six months ended February 28, 2014 were as follows:

 

BBK

     1.06%   

BAF

     1.06%   

BYM

     1.06%   

BLE

     1.06%   

MVF

     1.06%   

For financial reporting purposes, the VMTP Shares are considered debt of the issuer; therefore the liquidation value, which approximates fair value, of the 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 accrued and paid on the VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

VMTP Shares issued and outstanding remained constant for the six months ended February 28, 2014.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP Shares and/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 were 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.

10. 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:

Each Trust paid a net investment income dividend on April 1, 2014 to Common Shareholders of record on March 14, 2014 as follows:

 

    

Common

Dividend

Per Share

 

BIE

  $ 0.0760   

BBK

  $ 0.0820   

BAF

  $ 0.0685   

BYM

  $ 0.0770   

BLE

  $ 0.0820   

MFL

  $ 0.0715   

MVF

  $ 0.0565   

Additionally, the Trusts declared a net investment income dividend on April 1, 2014 payable to Common Shareholders of record on April 15, 2014 for the same amounts noted above.

The dividends declared on Preferred Shares for the period March 1, 2014 to March 31, 2014 were as follows:

 

     Series     Dividends
Declared
 

BIE VRDP Shares

    W-7      $ 1,975   

BBK VMTP Shares

    W-7      $ 71,144   

BAF VMTP Shares

    W-7      $ 37,575   

BYM VMTP Shares

    W-7      $ 122,164   

BLE VMTP Shares

    W-7      $ 134,719   

MFL VRDP Shares

    W-7      $ 54,168   

MVF VMTP Shares

    W-7      $ 207,082   

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    79


Officers and Trustees     

 

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, President1 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, President2 and Chief Executive Officer

Brendan Kyne, Vice President

Robert W. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Janey Ahn, Secretary

 

1   

For MFL.

 

2   

For all Trusts except MFL.

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisors

BlackRock Investment Management, LLC3

Princeton, NJ 08540

BlackRock Financial Management, Inc.4

New York, NY 10055

Custodians

The Bank of New York Mellon3

New York, NY 10286

State Street Bank and Trust Company4

Boston, MA 02110

Transfer Agent

Common Shares

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.5

New York, NY 10036

Barclays Bank PLC6

New York, NY 10019

VRDP Remarketing Agents

Merrill Lynch, Pierce, Fenner & Smith Incorporated5

New York, NY 10036

Barclays Capital Inc.6

New York, NY 10019

Accounting Agent

State Street Bank and Trust Company

Boston, MA 02116

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

3   

For MFL and MVF.

 

4   

For all Trusts except MFL and MVF.

 

5   

For MFL.

 

6   

For BIE.

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 28, 2014   


Additional Information     

 

Regulation Regarding Derivatives

 

Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subjects registered investment companies and advisers to registered investment companies to regulation by the CFTC if a fund invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps (“CFTC Derivatives”), or if the fund markets itself as providing investment exposure to such instruments. To the extent a Trust uses CFTC-regulated futures, options and swaps, it intends to do so below such prescribed levels and will not market itself as a “commodity pool” or a vehicle for trading such instruments. Accordingly, BlackRock Advisors, LLC has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act (“CEA”) pursuant to Rule 4.5 under the CEA. BlackRock Advisors, LLC is not, therefore, subject to registration or regulation as a “commodity pool operator” under the CEA in respect of each Trust.

 

Dividend Policy

 

Each Trusts’ dividend policy is to distribute all or a portion of their 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

 

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, current net asset value 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 into this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ website 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 (800) 882-0052.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2014    81


Additional Information (continued)     

 

General Information (concluded)

 

Availability of Quarterly Schedule of Investments

Each Trust files its 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, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. Each Trust’s Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

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) 882-0052; (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) 882-0052 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 as well as certain other material information as necessary from time to time. 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 into this report.

 

Shelf Offering Program

 

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. The Trusts have not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Trust Common Shares and is not a solicitation of an offer to buy Trust Common Shares. If a Trust files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Trust and should be read carefully before investing.

 

                
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Additional Information (concluded)     

 

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 28, 2014    83


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

 

2


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, 2014

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, 2014

               By:      

/s/ Neal J. Andrews

     
  Neal J. Andrews      
  Chief Financial Officer (principal financial officer) of   
  BlackRock Municipal Income Trust II   

Date: May 1, 2014

 

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