BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21179

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock New York

            Municipal Income Quality Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2015

Date of reporting period: 11/30/2014

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2014 (Unaudited)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)		     Value  

New York — 119.9%

                 

Corporate — 1.1%

     

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

    $ 165      $ 180,392   

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

      750        895,897   
    

 

 

  
               1,076,289   

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

     

City of New York New York, GO, Refunding, Series E:

     

5.50%, 8/01/25

      830        1,028,254   

5.00%, 8/01/30

      1,000        1,151,830   

City of New York New York, GO:

     

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

      200        226,424   

Sub-Series A-1, 5.00%, 10/01/34

      330        373,339   

Sub-Series D-1, Fiscal 2014, 5.00%, 8/01/31

      440        508,213   

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

     

5.00%, 11/15/44

      2,710        2,805,175   

4.75%, 11/15/45

      500        504,730   

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

     

5.25%, 7/01/32

      915        1,057,877   

5.00%, 7/01/33

      400        449,864   

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

     

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

      1,000        339,430   

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

      150        174,117   

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

      160        163,290   

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

      425        489,800   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

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

     

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

     

5.25%, 5/01/31

    $ 200      $ 234,112   

(AGM), 5.75%, 5/01/25

      1,000        1,112,100   

Hudson Yards Infrastructure Corp., RB, Series A:

     

5.00%, 2/15/47

      500        532,805   

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

      1,250        1,334,262   

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

      750        800,558   

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

      1,000        1,042,070   

Senior, Fiscal 2012, 5.75%, 2/15/47

      1,000        1,149,750   

New York Liberty Development Corp., Refunding RB:

     

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

      1,000        1,121,500   

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

      1,250        1,389,450   

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

      670        785,287   

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

      1,100        1,191,828   
    

 

 

  
               19,966,065   

Education — 28.8%

     

Albany Capital Resource Corp., Refunding RB:

     

5.00%, 12/01/33

      175        195,904   

Series A, 4.00%, 12/01/34

      130        130,426   

Build NYC Resource Corp., Refunding RB, City University New York Queens, Series A, 5.00%, 6/01/38

      250        284,225   

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

     

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

      440        508,895   

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

      500        572,485   

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

      700        781,389   

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

      410        456,949   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014    1

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (continued)

     

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 9/01/40

    $ 1,645      $ 1,791,290   

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

      1,600        1,747,584   

County of Madison New York Industrial Development Agency, RB, Colgate University Project, Series A (AMBAC), 5.00%, 7/01/30

      1,000        1,014,150   

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

      500        564,175   

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

      400        451,456   

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

     

5.00%, 7/01/37

      180        191,921   

5.00%, 7/01/42

      115        121,076   

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

      940        1,056,579   

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

      250        281,000   

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

      1,000        1,133,890   

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

     

5.00%, 7/01/39

      1,000        1,118,700   

5.00%, 7/01/44

      500        555,480   

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

      600        696,648   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (continued)

     

State of New York Dormitory Authority, RB:

     

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

    $ 300      $ 346,416   

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

      500        576,450   

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

      500        565,980   

New York University, Series C, 5.00%, 7/01/38

      1,000        1,111,920   

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

      550        622,100   

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

      600        668,766   

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

      1,000        1,127,370   

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

      500        548,560   

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

      350        401,814   

State of New York Dormitory Authority, Refunding RB:

     

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

      250        284,453   

Fordham University, 4.13%, 7/01/39

      330        343,246   

Fordham University, 5.00%, 7/01/44

      640        718,183   

New York University Mount Sinai School of Medicine (NPFGC), 5.00%, 7/01/35

      2,000        2,146,840   

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

      745        843,310   

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

      395        410,464   

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

      1,500        1,785,180   

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

      600        710,544   

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

      450        500,670   

 

                
2    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (concluded)

     

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphini University Project:

     

5.00%, 10/01/34

    $ 310      $ 352,569   

5.00%, 10/01/35

      310        351,456   
    

 

 

  
               28,070,513   

Health — 16.5%

     

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

      500        580,745   

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

      850        923,525   

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

      725        851,984   

County of Suffolk New York Economic Development Corp., RB, Catholic Health Services, Series C, 5.00%, 7/01/32

      150        168,584   

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

      1,000        1,099,250   

State of New York Dormitory Authority, RB:

     

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

      1,250        1,360,637   

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

      5        5,752   

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

      5        5,752   

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

      985        1,116,517   

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

      5        5,762   

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

      250        287,227   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

      350        387,989   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Health (concluded)

     

State of New York Dormitory Authority, RB (concluded):

     

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

    $ 500      $ 519,345   

St. Joachim & Anne Residence, 5.25%, 7/01/27

      3,000        3,000,570   

State of New York Dormitory Authority, Refunding RB:

     

New York University Hospitals Center, Series A, 5.00%, 7/01/36

      500        522,070   

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

      750        830,115   

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

      1,840        2,056,310   

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

      750        819,172   

St. Luke’s Roosevelt Hospital (FHA), 4.90%, 8/15/15 (b)

      1,500        1,546,200   
    

 

 

  
               16,087,506   

Housing — 2.9%

     

City of New York New York Housing Development Corp., RB, M/F Housing:

     

Class F, 4.50%, 11/15/24 (c)

      500        509,925   

Series B1, 5.25%, 7/01/30

      750        870,788   

State of New York Mortgage Agency, Refunding RB, 48th Series, 3.70%, 10/01/38

      1,425        1,443,368   
    

 

 

  
               2,824,081   

State — 15.4%

     

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

     

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

      1,000        1,144,710   

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

      850        910,562   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

     

Series B, 5.00%, 11/15/34

      540        608,159   

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

      750        869,040   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014    3

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

State (concluded)

     

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

     

5.00%, 10/15/31

    $ 750      $ 901,582   

4.00%, 10/15/32

      1,800        1,959,318   

State of New York Dormitory Authority, RB:

     

General Purpose, Series B, 5.00%, 3/15/37

      1,000        1,121,800   

General Purpose, Series B, 5.00%, 3/15/42

      1,500        1,671,300   

Series A, 5.00%, 3/15/44

      545        628,538   

Series C, 5.00%, 12/15/31

      1,500        1,625,985   

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

      1,000        1,108,810   

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

      320        368,973   

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

      250        284,305   

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

     

Series A, 3.50%, 3/15/28

      1,200        1,246,740   

Series C, 5.00%, 3/15/30

      500        584,145   
    

 

 

  
               15,033,967   

Tobacco — 0.4%

     

Niagara Tobacco Asset Securitization Corp., Refunding RB, 5.25%, 5/15/40

      290        324,382   

Transportation — 23.3%

     

Metropolitan Transportation Authority, RB:

     

Series A, 5.00%, 11/15/27

      575        669,501   

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

      270        311,016   

Series C, 6.50%, 11/15/28

      750        904,477   

Series D, 5.25%, 11/15/41

      2,000        2,260,760   

Series E, 5.00%, 11/15/38

      650        727,636   

Series H, 5.00%, 11/15/25

      1,500        1,768,245   

Series H, 5.00%, 11/15/30

      500        575,720   

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

      750        873,435   

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

      2,500        2,561,850   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Transportation (concluded)

     

Port Authority of New York & New Jersey, Refunding ARB, 179th Series, 5.00%, 12/01/38

    $ 245      $ 279,484   

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

     

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

      4,000        4,376,840   

Series I, 5.00%, 1/01/37

      2,000        2,226,740   

Series I, 5.00%, 1/01/42

      425        468,928   

Triborough Bridge & Tunnel Authority, Refunding RB:

     

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

      1,250        664,088   

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

      1,000        1,153,750   

Series C, 5.00%, 11/15/38

      1,000        1,111,560   

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

      1,485        1,734,539   
    

 

 

  
               22,668,569   

Utilities — 11.0%

     

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

      1,000        1,148,150   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 6/15/32

      1,100        1,215,852   

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

     

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

      500        552,800   

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

      1,000        1,223,690   

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

     

5.75%, 4/01/39

      1,690        1,950,750   

General, 6.00%, 5/01/33

      2,000        2,345,520   

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

      1,000        1,136,280   

 

                
4    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)		     Value  

New York (concluded)

                 

Utilities (concluded)

     

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

    $ 1,000      $ 1,153,140   
    

 

 

  
       10,726,182   

Total Municipal Bonds in New York

              116,777,554   
    

Puerto Rico — 0.9%

                 

Housing — 0.9%

     

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

      855        914,132   

US Virgin Islands — 1.0%

                 

State — 1.0%

     

Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39

      890        947,601   
Total Municipal Bonds — 121.8%              118,639,287   
    
                  

Municipal Bonds Transferred to

Tender Option Bond (TOB)Trusts (d)

             

New York — 34.7%

                 

County/City/Special District/School District — 12.0%

     

City of New York New York, GO:

     

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

      1,790        1,900,622   

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

      1,000        1,167,220   

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

      1,000        1,148,620   

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

      250        285,800   

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

      2,475        2,792,295   

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

      1,800        2,069,383   

Municipal Bonds Transferred to

Tender Option Bond (TOB)Trusts (d)

   

Par  

(000)

     Value  

New York (continued)

                 

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

     

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

    $ 2,085      $ 2,365,140   
    

 

 

  
               11,729,080   

Education — 5.1%

     

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

      1,999        2,265,641   

State of New York Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/37

      2,499        2,726,047   
    

 

 

  
               4,991,688   

State — 2.1%

     

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

      990        1,190,089   

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

      750        826,410   
    

 

 

  
               2,016,499   

Transportation — 5.1%

     

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

      3,495        4,003,068   

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

      800        928,528   
    

 

 

  
               4,931,596   

Utilities — 10.4%

     

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

      495        567,383   

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

     

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

      2,249        2,570,246   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014    5

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to

Tender Option Bond (TOB)Trusts (d)

   

Par  

(000)

     Value  

New York (concluded)

                 

Utilities (concluded)

     

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

     

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

    $ 2,011      $ 2,227,959   

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

      405        466,168   

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

      3,719        4,288,385   
    

 

 

  
               10,120,141   

Total Municipal Bonds Transferred to

Tender Option Bond (TOB)Trusts — 34.7%

              33,789,004   
Total Long-Term Investments
(Cost — $140,950,601) — 156.5%		              152,428,291   
Short-Term Securities   

    

Shares

     Value  

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

      1,913,829      $ 1,913,829   
Total Short-Term Securities
(Cost — $1,913,829) — 1.9%		              1,913,829   
Total Investments
(Cost — $142,864,430 * ) — 158.4%		         154,342,120   
Other Assets Less Liabilities — 1.8%        1,676,929   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (18.6%)

   

     (18,095,509 ) 
VRDP Shares, at Liquidation Value — (41.6%)        (40,500,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 97,423,540   
    

 

 

  

 

  *   As of November 30, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 125,119,440   
 

 

 

  

Gross unrealized appreciation

   $ 11,542,817   

Gross unrealized depreciation

     (411,152 ) 
 

 

 

  

Net unrealized appreciation

   $ 11,131,665   
 

 

 

  

 

Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

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

 

(c)   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.

 

(d)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction.

 

(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 agreement, which expires from February 15, 2017 to February 15, 2019 is $1,482,732.

 

(f)   Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate     

Shares Held

at August 31,

2014

       

Net

Activity

       

Shares Held

at November 30,
2014

        Income  

BIF New York Municipal Money Fund

        2,433,429           (519,600 )         1,913,829           —   

 

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

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.     
AGM    Assured Guaranty Municipal Corp.     
AMBAC    American Municipal Bond Assurance Corp.     
AMT    Alternative Minimum Tax (subject to)     
ARB    Airport Revenue Bonds     

 

                
6    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

    

BARB    Building Aid Revenue Bonds     
BHAC    Berkshire Hathaway Assurance Corp.     
CAB    Capital Appreciation Bonds     
CIFG    CDC IXIS Financial Guaranty     
ERB    Education Revenue Bonds     
FHA    Federal Housing Administration     
GO    General Obligation Bonds     
LRB    Lease Revenue Bonds     
NPFGC    National Public Finance Guarantee Corp.     
PILOT    Payment in Lieu of Taxes     
RB    Revenue Bonds     

 

Ÿ  

Financial futures contracts outstanding as of November 30, 2014 were as follows:

 

Contracts
Sold		     Issue   Exchange   Expiration  

Notional

Value

    

Unrealized

Depreciation

  
  (106 )    10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 13,466,969      $ (40,480 ) 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

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

 

  Ÿ  

Level 1 — unadjusted quoted prices 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)

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014    7

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

    

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. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 
Investments:                 

Long-Term Investments1

     —         $ 152,428,291         —      $ 152,428,291   

Short-Term Securities

   $ 1,913,829              —        1,913,829   
 

 

 

  

Total

   $ 1,913,829         $ 152,428,291         —      $ 154,342,120   
 

 

 

  

 

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

 

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 2             

Liabilities:

                 

Interest rate contracts

   $ (40,480 )         —         —      $ (40,480 ) 

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of November 30, 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

   $ 128,000           —         —      $ 128,000   

Liabilities:

                 

TOB trust certificates

     —         $ (18,091,015 )       —        (18,091,015 ) 

VRDP Shares

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

 

 

  

Total

   $ 128,000         $ (58,591,015 )       —      $ (58,463,015 ) 
 

 

 

  

There were no transfers between levels during the period ended November 30, 2014.

 

                
8    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2014   

Item 2 – Controls and Procedures

 

2(a) –

    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –

    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

      Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock New York Municipal Income Quality Trust

By:    

   /s/ John M. Perlowski                    
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock New York Municipal Income Quality Trust

Date: January 22, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:    

   /s/ John M. Perlowski                    
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock New York Municipal Income Quality Trust

Date: January 22, 2015

By:

   /s/ Neal J. Andrews                        
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock New York Municipal Income Quality Trust
Date: January 22, 2015