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: 05/31/2015
Item 1 – Schedule of Investments
| Schedule of Investments May 31, 2015 (Unaudited) |
BlackRock New York Municipal Income Quality Trust (BSE) (Percentages shown are based on Net Assets) |
| Municipal Bonds | Par (000) |
Value | ||||||
| New York — 119.4% |
||||||||
| Corporate — 0.5% |
| |||||||
| City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28 |
$ | 165 | $ | 180,424 | ||||
| New York Liberty Development Corp., RB, Goldman Sachs Headquarters, 5.25%, 10/01/35 |
250 | 294,355 | ||||||
|
|
|
|||||||
| 474,779 | ||||||||
| County/City/Special District/School District — 16.2% |
| |||||||
| City of New York New York, GO: |
||||||||
| Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31 |
440 | 500,267 | ||||||
| Series A-1, 5.00%, 8/01/35 |
200 | 221,902 | ||||||
| City of New York New York, GO, Refunding, Series E: |
||||||||
| Fiscal 2014, 5.50%, 8/01/25 |
830 | 1,021,788 | ||||||
| 5.00%, 8/01/30 |
1,000 | 1,136,850 | ||||||
| City of New York New York Convention Center Development Corp., RB, Hotel Unit Fee Secured (AMBAC), 4.75%, 11/15/45 |
500 | 502,025 | ||||||
| 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 | 349,550 | ||||||
| Queens Baseball Stadium (AGC), 6.38%, 1/01/39 |
150 | 172,053 | ||||||
| City of New York New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series B-1, 5.00%, 11/01/35 |
425 | 480,437 | ||||||
| City of New York New York Transitional Finance Authority Future Tax Secured, Refunding RB, Series C, 5.00%, 11/01/30 |
590 | 690,052 | ||||||
| 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 | $ | 229,738 | ||||
| (AGM), 5.75%, 5/01/25 |
1,000 | 1,090,580 | ||||||
| Hudson Yards Infrastructure Corp., RB: |
||||||||
| Senior, Fiscal 2012, 5.75%, 2/15/47 |
1,000 | 1,141,540 | ||||||
| Series A, 5.00%, 2/15/47 |
500 | 526,700 | ||||||
| Series A (AGC), 5.00%, 2/15/47 |
1,250 | 1,320,225 | ||||||
| Series A (AGM), 5.00%, 2/15/47 |
750 | 792,135 | ||||||
| Series A (NPFGC), 4.50%, 2/15/47 |
1,000 | 1,032,900 | ||||||
| New York Liberty Development Corp., Refunding RB: |
||||||||
| 4 World Trade Center Project, 5.00%, 11/15/31 |
1,000 | 1,129,190 | ||||||
| 4 World Trade Center Project, 5.00%, 11/15/44 |
1,250 | 1,375,162 | ||||||
| 4 World Trade Center Project, 5.75%, 11/15/51 |
545 | 628,625 | ||||||
| 7 World Trade Center Project, Class 1, 4.00%, 9/15/35 |
1,100 | 1,181,125 | ||||||
|
|
|
|||||||
| 15,522,844 | ||||||||
| Education — 31.5% |
| |||||||
| Build NYC Resource Corp., Refunding RB: |
||||||||
| City University New York-Queens, Series A, 5.00%, 6/01/38 |
250 | 279,367 | ||||||
| Ethical Culture Fieldston School Project, 5.00%, 6/01/33 |
300 | 337,710 | ||||||
| Ethical Culture Fieldston School Project, 5.00%, 6/01/35 |
350 | 391,800 | ||||||
| Packer Collegiate Institute Project, 5.00%, 6/01/40 |
690 | 760,801 | ||||||
| City of New York Albany Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A: |
||||||||
| 5.00%, 12/01/33 |
175 | 193,981 | ||||||
| 4.00%, 12/01/34 |
130 | 129,302 | ||||||
| BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 | 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 New York New York Trust for Cultural Resources, Refunding RB: |
||||||||
| American Museum of National History, Series A, 5.00%, 7/01/37 |
$ | 440 | $ | 498,683 | ||||
| American Museum of National History, Series A, 5.00%, 7/01/41 |
500 | 561,255 | ||||||
| Museum of Modern Art, Series 1A, 5.00%, 4/01/31 |
700 | 775,194 | ||||||
| Wildlife Conservation Society, Series A, 5.00%, 8/01/42 |
410 | 451,832 | ||||||
| City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 9/01/40 |
1,645 | 1,783,427 | ||||||
| County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39 |
1,600 | 1,717,664 | ||||||
| County of Madison New York Industrial Development Agency, RB, Colgate University Project, Series A (AMBAC), 5.00%, 7/01/30 |
1,000 | 1,004,200 | ||||||
| County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31 |
500 | 555,555 | ||||||
| County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38 |
400 | 444,020 | ||||||
| County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A: |
||||||||
| 5.00%, 7/01/37 |
180 | 189,985 | ||||||
| 5.00%, 7/01/42 |
115 | 119,798 | ||||||
| County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 7/01/32 |
500 | 565,465 | ||||||
| Municipal Bonds | Par (000) |
Value | ||||||
| New York (continued) |
||||||||
| Education (continued) |
||||||||
| County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33 |
$ | 250 | $ | 279,340 | ||||
| County of Tompkins New York Industrial Development Agency, RB, Civic Facility Cornell University Project, Series A, 5.00%, 7/01/37 |
1,000 | 1,140,300 | ||||||
| Dobbs Ferry Local Development Corp., RB, Mercy College Project: |
||||||||
| 5.00%, 7/01/39 |
1,000 | 1,093,070 | ||||||
| 5.00%, 7/01/44 |
500 | 541,735 | ||||||
| Hempstead Town Local Development Corp., Refunding RB, Adelphini University Project, 5.00%, 10/01/34 |
310 | 349,125 | ||||||
| State of New York Dormitory Authority, ERB, Series B, 5.75%, 3/15/36 |
600 | 689,772 | ||||||
| State of New York Dormitory Authority, RB: |
||||||||
| Convent of the Sacred Heart (AGM), 5.75%, 11/01/40 |
300 | 345,456 | ||||||
| Fordham University, Series A, 5.00%, 7/01/28 |
500 | 571,560 | ||||||
| New York University, Series B, 5.00%, 7/01/37 |
500 | 555,995 | ||||||
| New York University, Series C, 5.00%, 7/01/18 (b) |
1,000 | 1,117,470 | ||||||
| Rochester Institute of Technology, 5.00%, 7/01/40 |
550 | 620,581 | ||||||
| Series C, 5.00%, 12/15/31 |
945 | 1,008,636 | ||||||
| State University Dormitory Facilities, Series A, 5.00%, 7/01/40 |
600 | 671,982 | ||||||
| State University Dormitory Facilities, Series A, 5.00%, 7/01/41 |
1,000 | 1,109,100 | ||||||
| Teachers College, Series B, 5.00%, 7/01/42 |
500 | 547,365 | ||||||
| The New School (AGM), 5.50%, 7/01/43 |
350 | 400,778 | ||||||
| 2 | BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 |
| 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) |
| |||||||
| State of New York Dormitory Authority, Refunding RB: |
||||||||
| Barnard College, Series A, 5.00%, 7/01/34 |
$ | 200 | $ | 229,340 | ||||
| Barnard College, Series A, 4.00%, 7/01/36 |
190 | 194,919 | ||||||
| Cornell University, Series A, 5.00%, 7/01/40 |
250 | 281,662 | ||||||
| Fordham University, 4.13%, 7/01/39 |
330 | 339,181 | ||||||
| Fordham University, 5.00%, 7/01/44 |
640 | 711,008 | ||||||
| New York University Mount Sinai School at NYU (NPFGC), 5.00%, 7/01/35 |
2,000 | 2,125,520 | ||||||
| New York University, Series A, 5.00%, 7/01/37 |
745 | 828,433 | ||||||
| Rochester Institute of Technology, 4.00%, 7/01/32 |
395 | 406,293 | ||||||
| State University Dormitory Facilities, Series A, 5.25%, 7/01/30 |
1,500 | 1,752,495 | ||||||
| State University Dormitory Facilities, Series A, 5.25%, 7/01/32 |
600 | 697,710 | ||||||
| State University Dormitory Facilities, Series A, 5.00%, 7/01/42 |
450 | 498,591 | ||||||
| Town of Hempstead New York Local Development Corp., Refunding RB, Adelphi University Project, 5.00%, 10/01/35 |
310 | 348,862 | ||||||
|
|
|
|||||||
| 30,216,318 | ||||||||
| Health — 17.2% |
| |||||||
| Buffalo & Erie County Industrial Land Development Corp., RB, 5.25%, 7/01/35 |
500 | 561,160 | ||||||
| County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30 |
500 | 572,365 | ||||||
| County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/37 |
850 | 909,763 | ||||||
| Municipal Bonds | Par (000) |
Value | ||||||
| New York (continued) |
||||||||
| Health (continued) |
||||||||
| County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40 |
$ | 725 | $ | 837,201 | ||||
| County of Suffolk New York Economic Development Corp., RB, Catholic Health Services, Series C, 5.00%, 7/01/32 |
150 | 165,051 | ||||||
| County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien, Remarketing, Series A, 5.00%, 11/01/30 |
1,000 | 1,075,550 | ||||||
| State of New York Dormitory Authority, RB: |
||||||||
| Hudson Valley Hospital (BHAC) (FHA), 5.00%, 8/15/36 |
1,250 | 1,344,650 | ||||||
| Mental Health Services (AGM), 5.00%, 8/15/18 (b) |
5 | 5,619 | ||||||
| Mental Health Services (AGM), 5.00%, 8/15/18 (b) |
5 | 5,619 | ||||||
| Mental Health Services, 2nd Series (AGM), 5.00%, 8/15/18 (b) |
5 | 5,619 | ||||||
| Mental Health Services (AGM), 5.00%, 2/15/22 |
985 | 1,096,532 | ||||||
| New York University Hospitals Center, Series A, 6.00%, 7/01/40 |
250 | 286,925 | ||||||
| North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/19 (b) |
350 | 387,608 | ||||||
| North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39 |
500 | 513,570 | ||||||
| St. Joachim & Anne Residence, 5.25%, 7/01/27 |
3,000 | 3,000,780 | ||||||
| State of New York Dormitory Authority, Refunding RB, Series A: |
||||||||
| New York University Hospitals Center, 4.90%, 8/15/15 (b) |
1,500 | 1,514,310 | ||||||
| New York University Hospitals Center, 5.00%, 7/01/17 (b) |
500 | 544,615 | ||||||
| North Shore-Long Island Jewish Obligated Group, 5.00%, 5/01/32 |
750 | 819,322 | ||||||
| North Shore-Long Island Jewish Obligated Group, 5.25%, 5/01/34 |
1,840 | 2,030,495 | ||||||
| BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 | 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) |
||||||||
| Health (concluded) |
| |||||||
| State of New York Dormitory Authority, Refunding RB, Series A (concluded): |
||||||||
| North Shore-Long Island Jewish Obligated Group, 5.00%, 5/01/41 |
$ | 750 | $ | 813,863 | ||||
|
|
|
|||||||
| 16,490,617 | ||||||||
| Housing — 2.9% |
||||||||
| 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 | 1,033,804 | ||||||
| 5.00%, 7/01/33 |
400 | 441,048 | ||||||
| City of New York New York Housing Development Corp., RB, M/F Housing, Series B1, 5.25%, 7/01/30 |
750 | 854,775 | ||||||
| City of New York New York Housing Development Corp., Refunding RB, M/F Housing, 8 Spruce Street, Class F, 4.50%, 2/15/48 |
500 | 519,615 | ||||||
|
|
|
|||||||
| 2,849,242 | ||||||||
| State — 13.2% |
||||||||
| City of New York New York Transitional Finance Authority, BARB: |
||||||||
| Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/33 |
1,000 | 1,139,840 | ||||||
| Fiscal 2015, Series S-1, 5.00%, 7/15/43 |
500 | 558,235 | ||||||
| Series S-2 (AGM) (NPFGC), 5.00%, 1/15/37 |
850 | 899,139 | ||||||
| Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund: |
||||||||
| Series B, 5.00%, 11/15/34 |
540 | 612,484 | ||||||
| Sub-Series B-1, 5.00%, 11/15/31 |
750 | 851,745 | ||||||
| Sales Tax Asset Receivable Corp., Refunding RB, Series A, Fiscal 2015: |
||||||||
| 5.00%, 10/15/31 |
750 | 881,850 | ||||||
| 4.00%, 10/15/32 |
2,000 | 2,137,040 | ||||||
| State of New York Dormitory Authority, RB: |
||||||||
| General Purpose, Series B, 5.00%, 3/15/37 |
1,000 | 1,117,500 | ||||||
| General Purpose, Series B, 5.00%, 3/15/42 |
1,400 | 1,550,920 | ||||||
| State Supported Debt, Series A, 5.00%, 3/15/44 |
545 | 612,542 | ||||||
| Municipal Bonds | Par (000) |
Value | ||||||
| New York (continued) |
||||||||
| State (concluded) |
||||||||
| State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35 |
$ | 1,000 | $ | 1,100,920 | ||||
| State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32 |
320 | 361,798 | ||||||
| State of New York Thruway Authority, Refunding RB, 2nd General Highway & Bridge Trust, Series A, 5.00%, 4/01/32 |
250 | 282,180 | ||||||
| State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 3/15/30 |
500 | 571,635 | ||||||
|
|
|
|||||||
| 12,677,828 | ||||||||
| Tobacco — 0.4% |
||||||||
| County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed Bonds, 5.25%, 5/15/40 |
290 | 320,056 | ||||||
| Transportation — 24.6% |
||||||||
| Metropolitan Transportation Authority, RB: |
||||||||
| Series A, 5.00%, 11/15/27 |
575 | 663,475 | ||||||
| Series A-1, 5.25%, 11/15/34 |
270 | 309,879 | ||||||
| Series C, 6.50%, 11/15/28 |
750 | 883,537 | ||||||
| Series D, 5.25%, 11/15/41 |
2,000 | 2,260,800 | ||||||
| Series E, 5.00%, 11/15/38 |
650 | 720,863 | ||||||
| Series H, 5.00%, 11/15/25 |
1,500 | 1,774,800 | ||||||
| Metropolitan Transportation Authority, Refunding RB, Series D, 5.25%, 11/15/31 |
750 | 870,405 | ||||||
| Port Authority of New York & New Jersey, ARB, Consolidated, 183rd Series, 4.00%, 6/15/44 |
2,500 | 2,536,025 | ||||||
| Port Authority of New York & New Jersey, Refunding ARB, 179th Series, 5.00%, 12/01/38 |
245 | 275,669 | ||||||
| Port Authority of New York & New Jersey, Refunding RB, Consolidated, 189th Series, 5.00%, 5/01/45 |
860 | 969,633 | ||||||
| State of New York Thruway Authority, Refunding RB, General: |
||||||||
| 5.00%, 1/01/32 |
750 | 848,782 | ||||||
| Series H (AGM) (NPFGC), 5.00%, 1/01/37 |
4,000 | 4,336,040 | ||||||
| 4 | BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 |
| 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) |
||||||||
| Transportation (concluded) |
| |||||||
| State of New York Thruway Authority, Refunding RB, General (concluded): |
||||||||
| Series I, 5.00%, 1/01/37 |
$ | 1,500 | $ | 1,669,575 | ||||
| Series I, 5.00%, 1/01/42 |
425 | 463,518 | ||||||
| Triborough Bridge & Tunnel Authority, RB, General, Series A, 5.25%, 11/15/45 |
370 | 427,084 | ||||||
| Triborough Bridge & Tunnel Authority, Refunding RB: |
||||||||
| General, CAB, Series B, 0.00%, 11/15/32 (a) |
1,250 | 675,025 | ||||||
| General, Remarketing, Series A, 5.00%, 11/15/34 |
1,000 | 1,142,860 | ||||||
| Series C, 5.00%, 11/15/38 |
1,000 | 1,103,940 | ||||||
| Sub-Series A, 5.00%, 11/15/29 |
1,485 | 1,692,796 | ||||||
|
|
|
|||||||
| 23,624,706 | ||||||||
| Utilities — 12.9% |
||||||||
| Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33 |
1,000 | 1,129,870 | ||||||
| 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 | 1,214,191 | ||||||
| Long Island Power Authority, RB, General, Electric Systems: |
||||||||
| Series A (AGM), 5.00%, 5/01/36 |
500 | 552,450 | ||||||
| Series C (CIFG), 5.25%, 9/01/29 |
1,000 | 1,206,320 | ||||||
| Long Island Power Authority, Refunding RB, Electric Systems, Series A: |
||||||||
| (AGC), 5.75%, 4/01/39 |
1,690 | 1,931,940 | ||||||
| General, 5.00%, 9/01/44 |
310 | 337,268 | ||||||
| General (AGC), 6.00%, 5/01/33 |
2,000 | 2,322,220 | ||||||
| New York City Water & Sewer System, Refunding RB, 2nd General Resolution, 5.00%, 6/15/39 |
1,000 | 1,127,000 | ||||||
| State of New York Power Authority, Refunding RB, Series A, 5.00%, 11/15/38 |
1,000 | 1,116,040 | ||||||
| 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 | $ | 1,134,420 | ||||
| Western Nassau County Water Authority, RB, Series A, 5.00%, 4/01/40 |
250 | 279,210 | ||||||
|
|
|
|||||||
| 12,350,929 | ||||||||
| Total Municipal Bonds in New York | 114,527,319 | |||||||
| Puerto Rico — 1.8% |
||||||||
| Housing — 1.8% |
||||||||
| Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27 |
1,650 | 1,764,147 | ||||||
| U.S. Virgin Islands — 1.0% |
||||||||
| State — 1.0% |
||||||||
| Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39 |
890 | 952,300 | ||||||
| Total Municipal Bonds — 122.2% | 117,243,766 | |||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts (c) |
||||||||
| New York — 34.9% |
||||||||
| County/City/Special District/School District — 12.1% |
| |||||||
| City of New York New York, GO: |
||||||||
| Fiscal 2015, Series B, 4.00%, 8/01/32 |
1,790 | 1,861,063 | ||||||
| Sub-Series C-3 (AGC), 5.75%, 8/15/28 (d) |
1,000 | 1,151,020 | ||||||
| Sub-Series G-1, 5.00%, 4/01/29 |
1,000 | 1,133,370 | ||||||
| Sub-Series I-1, 5.00%, 3/01/36 |
250 | 281,470 | ||||||
| City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D-1, 5.00%, 11/01/38 |
2,475 | 2,768,287 | ||||||
| Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (d) |
1,800 | 2,054,605 | ||||||
| BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 | 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 Trusts (c) |
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 | $ | 2,357,301 | ||||
|
|
|
|||||||
| 11,607,116 | ||||||||
| Education — 5.2% |
||||||||
| State of New York Dormitory Authority, LRB, State University Dormitory Facilities, New York University, Series A, 5.00%, 7/01/35 |
1,999 | 2,240,791 | ||||||
| State of New York Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/17 (b) |
2,499 | 2,719,109 | ||||||
|
|
|
|||||||
| 4,959,900 | ||||||||
| State — 2.1% |
||||||||
| Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 5.00%, 10/15/31 |
990 | 1,164,042 | ||||||
| State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41 |
750 | 835,057 | ||||||
|
|
|
|||||||
| 1,999,099 | ||||||||
| Transportation — 5.1% |
||||||||
| New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43 |
3,495 | 3,988,040 | ||||||
| State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31 |
800 | 911,136 | ||||||
|
|
|
|||||||
| 4,899,176 | ||||||||
| 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 | 560,909 | ||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts (c) |
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: |
||||||||
| Fiscal 2011, Series HH, 5.00%, 6/15/32 |
$ | 2,249 | $ | 2,548,631 | ||||
| Fiscal 2012, Series BB, 5.00%, 6/15/44 |
2,011 | 2,227,778 | ||||||
| Series FF-2, 5.50%, 6/15/40 |
405 | 466,010 | ||||||
| Utility Debt Securitization Authority, Refunding RB, 5.00%, 12/15/41 |
3,719 | 4,218,759 | ||||||
|
|
|
|||||||
| 10,022,087 | ||||||||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts — 34.9% |
|
33,487,378 | ||||||
| Total Long-Term Investments (Cost — $140,872,468) — 157.1% |
150,731,144 | |||||||
| Short-Term Securities | Shares | |||||||
| BIF New York Municipal Money Fund, 0.00% (e)(f) |
2,166,377 | 2,166,377 | ||||||
| Total Short-Term Securities (Cost — $2,166,377) — 2.3% |
|
2,166,377 | ||||||
| Total Investments (Cost — $143,038,845*) — 159.4% | 152,897,521 | |||||||
| Other Assets Less Liabilities — 1.7% | 1,639,636 | |||||||
| Liability for TOB Trust Certificates, Including Interest |
|
(18,096,800 | ) | |||||
| VRDP Shares, at Liquidation Value — (42.2)% | (40,500,000 | ) | ||||||
|
|
|
|||||||
| Net Assets Applicable to Common Shares — 100.0% | $ | 95,940,357 | ||||||
|
|
|
|||||||
| * As of May 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
|
| |||||||
| Tax cost |
|
$ | 125,293,855 | |||||
|
|
|
|||||||
| Gross unrealized appreciation |
|
$ | 10,117,060 | |||||
| Gross unrealized depreciation |
|
(604,409 | ) | |||||
|
|
|
|||||||
| Net unrealized appreciation |
|
$ | 9,512,651 | |||||
|
|
|
|||||||
| 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. |
| 6 | BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 |
| Schedule of Investments (continued) |
BlackRock New York Municipal Income Quality Trust (BSE) |
| (c) | Represent bonds transferred to a TOB Trust in exchange of cash and residual interest certificates received by the Trust. These bonds serve as collateral in a secured borrowing. |
| (d) | 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 or in the event of a default on the security. In the case of a shortfall or default, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from February 15, 2017 to February 15, 2019, is $1,482,732. |
| (e) | During the period ended May 31, 2015, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act 1940, as amended, were as follows: |
| Affiliate | Shares Held at August 31, 2014 |
Net Activity |
Shares Held at May 31, 2015 |
Income | ||||||||||||
| BIF New York Municipal Money Fund |
2,433,429 | (267,052 | ) | 2,166,377 | — | |||||||||||
| (f) | 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 | |
| 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 | |
| M/F | Multi-Family | |
| NPFGC | National Public Finance Guarantee Corp. | |
| PILOT | Payment in Lieu of Taxes | |
| RB | Revenue Bonds |
| • | As of May 31, 2015, financial futures contracts outstanding were as follows: |
| Contracts Short |
Issue | Exchange | Expiration | Notional Value |
Unrealized Depreciation |
|||||||||||
| (78 | ) | 10-Year U.S. Treasury Note | Chicago Board of Trade | September 2015 | $ | 9,959,625 | $ | (31,801 | ) | |||||||
For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.
| BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 | 7 |
| Schedule of Investments (continued) |
BlackRock New York Municipal Income Quality Trust (BSE) |
| • | 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: |
| • | Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access |
| • | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| • | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
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, refer to the Trust’s most recent financial statements as contained in its semi-annual report.
As of May 31, 2015, the following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
| Assets: | ||||||||||||||
| Investments: | ||||||||||||||
| Long-Term Investments1 |
— | $ | 150,731,144 | — | $ | 150,731,144 | ||||||||
| Short-Term Securities |
$ | 2,166,377 | — | — | 2,166,377 | |||||||||
|
|
|
|||||||||||||
| Total |
$ | 2,166,377 | $ | 150,731,144 | — | $ | 152,897,521 | |||||||
|
|
|
|||||||||||||
| 1 See above Schedule of Investments for values in each sector. |
||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||
| Derivative Financial Instruments2 | ||||||||||||||
| Liabilities: | ||||||||||||||
| Interest rate contracts |
$ | (31,801 | ) | — | — | $ | (31,801 | ) | ||||||
| 2 Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
| |||||||||||||
| 8 | BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 |
| Schedule of Investments (concluded) |
BlackRock New York Municipal Income Quality Trust (BSE) |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2015, 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 |
$ | 105,301 | — | — | $ | 105,301 | ||||||||
| Liabilities: | ||||||||||||||
| TOB Trust Certificates |
— | $ | (18,091,015 | ) | — | (18,091,015 | ) | |||||||
| VRDP Shares |
— | (40,500,000 | ) | — | (40,500,000 | ) | ||||||||
|
|
|
|||||||||||||
| Total |
$ | 105,301 | $ | (58,591,015 | ) | — | $ | (58,485,714 | ) | |||||
|
|
|
|||||||||||||
During the period ended May 31, 2015, there were no transfers between levels.
| BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST | MAY 31, 2015 | 9 |
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: July 23, 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: July 23, 2015 | ||||||
| By: | /s/ Neal J. Andrews |
|||||
| Neal J. Andrews | ||||||
| Chief Financial Officer (principal financial officer) of | ||||||
| BlackRock New York Municipal Income Quality Trust | ||||||
| Date: July 23, 2015 | ||||||