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: 08/31/2016

Date of reporting period: 02/29/2016


Item 1 –    Report to Stockholders


FEBRUARY 29, 2016

 

 

 

 

 

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  

The Markets in Review

     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

     62   

Statements of Operations

     64   

Statements of Changes in Net Assets

     66   

Statements of Cash Flows

     68   

Financial Highlights

     70   

Notes to Financial Statements

     77   

Officers and Trustees

     88   

Additional Information

     89   

 

 

 

                
2    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


The Markets in Review

 

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating the curtailment of the Federal Reserve’s near-zero interest rate policy, which ultimately came in December. In contrast, the European Central Bank and the Bank of Japan took measures to stimulate growth. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Global market volatility increased in the latter part of 2015 and continued into early 2016. Oil prices collapsed in mid-2015 due to excess supply, and remained precarious while the world’s largest oil producers sought to negotiate a deal. Developing countries, many of which rely heavily on oil exports to sustain their economies, were particularly affected by falling oil prices. Meanwhile, China, one of the world’s largest oil consumers, exhibited further signs of slowing economic growth. This, combined with a depreciating yuan and declining confidence in the country’s policymakers, stoked worries about the potential impact of China’s weakness on the broader global economy.

Toward the end of the period, volatility abated as investors were relieved to find that conditions were not as bad as previously feared. While the recent selloff in risk assets has resulted in more reasonable valuations and some appealing entry points, investors continue to face mixed economic data and uncertainty relating to oil prices, corporate earnings and an unusual U.S. presidential election season.

For the 12-month period, higher quality assets such as U.S. Treasuries, municipal bonds and investment grade corporate bonds generated positive returns, while risk assets such as equities and high yield bonds broadly declined.

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 blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 29, 2016  
    6-month     12-month  

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

    (0.92 )%      (6.19 )% 

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

    (10.16     (14.97

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

    (9.48     (15.18

Emerging market equities
(MSCI Emerging Markets Index)

    (8.85     (23.41

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.06        0.08   

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    5.01        4.11   

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

    2.20        1.50   

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

    3.56        3.78   

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

    (5.57     (8.26
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 29, 2016      

Municipal Market Conditions

Municipal bonds generated positive performance for the period, due to a favorable supply-and-demand environment. Interest rates were volatile in 2015 (bond prices rise as rates fall) leading up to a long-awaited rate hike from the U.S. Federal Reserve (the “Fed”) that ultimately came in December. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments, with municipal bonds being one of the strongest-performing sectors. Investors favored the relative stability of municipal bonds amid bouts of volatility resulting from uneven U.S. economic data, falling oil prices, global growth concerns, geopolitical risks, and widening central bank divergence — i.e., policy easing outside the United States while the Fed was posturing to commence policy tightening. During the 12 months ended February 29, 2016, municipal bond funds garnered net inflows of approximately $18 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained relatively strong from a historical perspective at $390 billion (considerably higher than the $365 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 60%) as issuers took advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of February 29, 2016

  6 months:   3.56%

12 months:   3.78%

A Closer Look at Yields

 

LOGO

From February 28, 2015 to February 29, 2016, yields on AAA-rated 30-year municipal bonds decreased by 7 basis points (“bps”) from 2.87% to 2.80%, while 10-year rates fell by 26 bps from 2.02% to 1.76% and 5-year rates decreased 26 bps from 1.19% to 0.93% (as measured by Thomson Municipal Market Data). The municipal yield curve experienced significant flattening over the 12-month period with the spread between 2- and 30-year maturities flattening by 17 bps and the spread between 2- and 10-year maturities flattening by 36 bps.

During the same time period, on a relative basis, tax-exempt municipal bonds broadly outperformed U.S. Treasuries with the greatest outperformance experienced in longer-term issues. In absolute terms, the positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities had become scarce. More broadly, municipal bonds benefited from the greater appeal of tax-exempt investing in light of the higher tax rates implemented in 2014. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized distress among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — have exhibited markedly improved credit fundamentals during the slow national recovery. However, several states with the largest unfunded pension liabilities have seen their bond prices decline noticeably and remain vulnerable to additional price deterioration. On the local level, Chicago’s credit quality downgrade is an outlier relative to other cities due to its larger pension liability and inadequate funding remedies. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of February 29, 2016, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (AMT). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the alternative minimum tax. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


The Benefits and Risks of Leveraging     

 

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, 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 is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders 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, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from 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 Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very

difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

Leverage also generally causes 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 NAV and market price of a Trust’s Common Shares than if the Trusts were not leveraged. In addition, the Trusts 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 Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. The Trusts 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. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment advisor will be higher than if the Trusts did not use leverage.

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

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

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), a TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. 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 manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments also 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 limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    5


Trust Summary as of February 29, 2016    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 at least 80% of its assets in municipal bonds the interest of which is exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property 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. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular federal income tax would now satisfy the foregoing objective and policy.

On December 18, 2015, the Boards of the Trust and BlackRock Municipal Income Investment Trust (“BBF’’) approved the reorganization of the Trust with and into BBF, with BBF continuing as the surviving fund after the reorganization. At a special shareholder meeting on March 21, 2016, the shareholders of the Trust approved the reorganization of the Trust with and into BBF, which is expected to be completed in May 2016.

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

 

Trust Information

Symbol on New York Stock Exchange (“NYSE”)

   BIE

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($15.54)1

   5.87%

Tax Equivalent Yield2

   10.37%

Current Monthly Distribution per Common Share3

   $0.076

Current Annualized Distribution per Common Share3

   $0.912

Economic Leverage as of February 29, 20164

   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 VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

    Returns Based On  
     Market Price     NAV  

BIE1,2

    13.63     4.46

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72     5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

The Trust’s position in A-rated bonds, which outperformed higher-rated bonds amid investors’ continued search for yield, made a positive contribution to its six-month results. This was especially true with regard to the Trust’s position in longer-dated, A-rated bonds in the transportation, utilities and tax-backed local sectors.

 

 

At a time in which yields declined, the Trust’s longer-duration holdings contributed positively to its performance. (Duration is a measure of interest rate sensitivity.) Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Municipal Bond Investment Trust

 

Market Price and Net Asset Value Per Share Summary      
      2/29/16      8/31/15      Change      High      Low  

Market Price

   $ 15.54       $ 14.10         10.21    $ 15.70       $ 14.07   

Net Asset Value

   $ 16.16       $ 15.95         1.32    $ 16.31       $ 15.76   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation              
     2/29/16     8/31/15  

Transportation

    26     28

County/City/Special District/School District

    23        24   

Utilities

    16        15   

Health

    12        12   

Education

    11        8   

State

    7        8   

Tobacco

    3        3   

Corporate

    1        1   

Housing

    1        1   

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    2

2017

    1   

2018

    16   

2019

    30   

2020

    12   

 

  3   

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    6     7

AA/Aa

    59        60   

A

    25        24   

BBB/Baa

    6        6   

BB/Ba

    1        1   

B

    2      1   

N/R

    3        1   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

Represents less than 1% of total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    7


Trust Summary as of February 29, 2016    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.

 

Trust Information

Symbol on NYSE

   BBK

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($16.78)1

   5.36%

Tax Equivalent Yield2

   9.47%

Current Monthly Distribution per Common Share3

   $0.075

Current Annualized Distribution per Common Share3

   $0.900

Economic Leverage as of February 29, 20164

   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 TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BBK1,2

    13.39     5.85

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72     5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

The Trust’s longer duration bonds generally delivered the best performance during the past six months, reflecting the overall decline in yields. (Duration is a measure of interest rate sensitivity.) On a sector basis, the Trust’s positions in the education, health care, transportation and utilities segments were key contributors to performance. The Trust’s allocation to higher-yielding bonds also contributed positively, reflecting the fact that the middle-to-lower investment-grade quality categories of A and BBB generated the strong returns.

 

 

Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary  
      2/29/16      8/31/15      Change      High      Low  

Market Price

     $16.78         $15.23         10.18%         $16.85         $15.21   

Net Asset Value

     $16.96         $16.49         2.85%         $17.15         $16.28   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation              
     2/29/16     8/31/15  

Health

    20     23

County/City/Special District/School District

    17        16   

Transportation

    15        13   

Education

    15        16   

Utilities

    13        13   

State

    9        9   

Corporate

    7        6   

Tobacco

    3        3   

Housing

    1        1   

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

      1

2017

      1   

2018

      3   

2019

      2   

2020

      2   

 

  3   

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

 

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    5     6

AA/Aa

    45        43   

A

    25        27   

BBB/Baa

    12        11   

BB/Ba

    4        6   

B

    1          

N/R2

    8        7   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade represents 3% and 2%, respectively, of the Trust’s total investments.

 

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    9


Trust Summary as of February 29, 2016    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. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular federal income tax would now satisfy the foregoing objective and policy.

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

 

Trust Information

Symbol on NYSE

   BAF

Initial Offering Date

   October 31, 2002

Yield on Closing Market Price as of February 29, 2016 ($15.21)1

   5.40%

Tax Equivalent Yield2

   9.54%

Current Monthly Distribution per Common Share3

   $0.0685

Current Annualized Distribution per Common Share3

   $0.8220

Economic Leverage as of February 29, 20164

   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 TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BAF1,2

    12.59     5.30

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72     5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

The Trust’s position in A-rated bonds, which outperformed higher-rated bonds amid investors’ continued search for yield, made a positive contribution to its six-month results. This was especially true with regard to the Trust’s position in longer-dated, A-rated bonds in the transportation, utilities and tax-backed local sectors.

 

 

At a time in which yields declined, the Trust’s longer-duration holdings contributed positively to its performance. (Duration is a measure of interest rate sensitivity.) Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for trust performance during the past six months.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Municipal Income Investment Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary                                        
      2/29/16      8/31/15      Change      High      Low  

Market Price

     $15.21         $13.89         9.50%         $15.23         $13.81   

Net Asset Value

     $16.18         $15.80         2.41%         $16.35         $15.63   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Transportation

    31     28

County/City/Special District/School District

    28        31   

Utilities

    14        17   

Health

    12        13   

State

    8        6   

Education

    4        3   

Tobacco

    1        1   

Corporate

    1          

Housing

    1        1   

 

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    3       3

AA/Aa

    74        74   

A

    20        20   

BBB/Baa

    3          3   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2016

      

2017

      

2018

    14

2019

    18   

2020

    3   

 

  2   

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

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    11


Trust Summary as of February 29, 2016    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.

 

Trust Information

Symbol on NYSE

  BYM

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 29, 2016 ($14.85)1

  5.78%

Tax Equivalent Yield2

  10.21%

Current Monthly Distribution per Common Share3

  $0.0715

Current Annualized Distribution per Common Share3

  $0.8580

Economic Leverage as of February 29, 20164

  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 monthly distribution per Common Share, declared on March 1, 2016, was decreased to $0.0685 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 TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BYM1,2

    11.90     5.99

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72     5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

At a time in which yields declined, the Trust’s longer-duration exposure contributed positively to performance. (Duration is a measure of interest rate sensitivity.) Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months. The Trust also benefited from its exposure to the tax-backed local sector.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Municipal Income Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary                                   
     2/29/16     8/31/15     Change     High     Low  

Market Price

    $14.85        $13.67        8.63   $ 15.06      $ 13.56   

Net Asset Value

    $15.65        $15.21        2.89   $ 15.83      $ 15.05   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

County/City/Special District/School District

    29     27

Transportation

    27        25   

Utilities

    12        11   

Health

    10        13   

State

    10        11   

Education

    7        7   

Tobacco

    3        3   

Corporate

    2        3   
Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    11     15

AA/Aa

    54        57   

A

    26        21   

BBB/Baa

    6        6   

N/R

    3        1   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2016

    5

2017

    7   

2018

    16   

2019

    8   

2020

    8   

 

  2   

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

 

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    13


Trust Summary as of February 29, 2016    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.

 

Trust Information

Symbol on NYSE MKT

   BLE

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($15.57)1

   6.09%

Tax Equivalent Yield2

   10.76%

Current Monthly Distribution per Common Share3

   $0.079

Current Annualized Distribution per Common Share3

   $0.948

Economic Leverage as of February 29, 20164

   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 TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BLE1,2

    13.28     5.46

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72     5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

Long-dated securities with maturities 20 years and above, which comprised the largest proportion of the Trust’s holdings, aided Trust performance given the decline in longer-term yields. Additionally, the Trust’s long duration positioning contributed positively to its performance. (Duration is a measure of interest-rate sensitivity.)

 

 

The Trust’s positions in securities rated BBB, A and AA generated strong returns, reflecting an environment in which lower-rated issues generally outperformed. The Trust’s large allocations to the transportation and utilities sectors also had a positive impact on performance.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Municipal Income Trust II

 

 

Market Price and Net Asset Value Per Share Summary                                        
      2/29/16      8/31/15      Change      High      Low  

Market Price

     $15.57         $14.18         9.80%         $15.74         $14.18   

Net Asset Value

     $15.59         $15.25         2.23%         $15.75         $15.07   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation              
     2/29/16     8/31/15  

Transportation

    21     22

Utilities

    17        16   

County/City/Special District/School District

    13        15   

Health

    12        12   

Corporate

    10        10   

State

    10        9   

Education

    10        9   

Tobacco

    6        5   

Housing

    1        2   

 

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

      9

2017

    3   

2018

    5   

2019

    17   

2020

    14   

 

  3  

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    6     7

AA/Aa

    41        40   

A

    22        23   

BBB/Baa

    15        15   

BB/Ba

    5        5   

B

    1        1   

N/R2

    10        9   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade represents 3% and 2%, respectively, of the Trust’s total investments.

 

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    15


Trust Summary as of February 29, 2016    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. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular federal income tax would now satisfy the foregoing objective and policy.

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

 

Trust Information

Symbol on NYSE

   MFL

Initial Offering Date

   September 26, 1997

Yield on Closing Market Price as of February 29, 2016 ($15.03)1

   5.71%

Tax Equivalent Yield2

   10.09%

Current Monthly Distribution per Common Share3

   $0.0715

Current Annualized Distribution per Common Share3

   $0.8580

Economic Leverage as of February 29, 20164

   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 VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price        NAV  

MFL1,2

    10.08        5.28

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72        5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

The Trust’s position in A-rated bonds, which outperformed higher-rated bonds amid investors’ continued search for yield, made a positive contribution to its six-month results. This was especially true with regard to the Trust’s position in longer-dated, A-rated bonds in the transportation, utilities and tax-backed local sectors.

 

 

At a time in which yields declined, the Trust’s longer-duration holdings contributed positively to its performance. (Duration is a measure of interest rate sensitivity.) Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary      
      2/29/16      8/31/15      Change      High      Low  

Market Price

     $15.03         $14.06         6.90%         $15.08         $13.85   

Net Asset Value

     $15.52         $15.18         2.24%         $15.69         $15.02   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation    
     2/29/16     8/31/15  

Transportation

    40     36

Utilities

    17        17   

County/City/Special District/School District

    14        18   

State

    11        9   

Health

    10        10   

Education

    6        5   

Tobacco

    1        1   

Housing

    1        2   

Corporate

    1       2   

 

  1   

Represents less than 1% of total investments.

Credit Quality Allocation2              
     2/29/16     8/31/15  

AAA/Aaa

    5     5

AA/Aa

    61        62   

A

    31        29   

BBB/Baa

    2        4   

N/R

    1          

 

  2   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    1

2017

    3   

2018

    14   

2019

    25   

2020

    4   
  3   

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    17


Trust Summary as of February 29, 2016    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.

 

Trust Information      

Symbol on NYSE MKT

   MVF

Initial Offering Date

   September 29, 1988

Yield on Closing Market Price as of February 29, 2016 ($10.60)1

   6.06%

Tax Equivalent Yield2

   10.71%

Current Monthly Distribution per Common Share3

   $0.0535

Current Annualized Distribution per Common Share3

   $0.6420

Economic Leverage as of February 29, 20164

   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 TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

MVF1,2

    13.40     4.68

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    11.72     5.87

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

At a time in which yields declined, the Trust’s duration exposure contributed positively to performance. (Duration is a measure of interest rate sensitivity.) The Trust’s positions in long-maturity bonds, which outperformed short-term issues, also added value. The Trust’s exposure to zero-coupon bonds, which delivered better returns than current-coupon bonds, further aided returns. Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months. On a sector basis, the Trust’s positions in the health care and transportation segments were key positive contributors to performance.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                                        
      2/29/16      8/31/15      Change      High      Low  

Market Price

   $ 10.60       $ 9.65         9.84%       $ 10.63       $ 9.44   

Net Asset Value

   $ 10.18       $ 10.04         1.39%       $ 10.27       $ 9.94   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Transportation

    23     22

Health

    23        24   

County/City/Special District/School District

    11        10   

Education

    10        11   

Utilities

    10        10   

Corporate

    10        11   

Housing

    5        4   

State

    4        4   

Tobacco

    4        4   
Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    9     9

AA/Aa

    46        46   

A

    21        23   

BBB/Baa

    14        13   

BB/Ba

    3        3   

B

    1        1   

N/R2

    6        5   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade representing 3% and 2%, respectively, of the Trust’s total investments.

 
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    7

2017

    7   

2018

    15   

2019

    20   

2020

    16   

 

  3   

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

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    19


Schedule of Investments February 29, 2016 (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      $ 161,049   

Alaska — 0.3%

  

 

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

     180        152,991   

California — 13.8%

  

 

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

     700        777,406   

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

     120        137,308   

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

     760        832,534   

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

     410        510,922   

Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/40

     1,000        1,182,110   

San Diego Regional Building Authority, RB, County Operations Center & Annex, Series A,
5.38%, 2/01/19 (a)

     850        961,954   

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

     685        812,917   

State of California Public Works Board, LRB, Various Capital Projects, Series I, 5.50%, 11/01/31

     500        616,680   

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     210        251,042   

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

     160        192,342   

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

     1,000        1,186,060   
    

 

 

 
               7,461,275   

Colorado — 2.9%

  

 

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

     750        893,887   

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

     580        653,051   
    

 

 

 
               1,546,938   

Florida — 8.7%

  

 

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

     105        125,727   

City of Miami Beach Florida Parking Revenue, RB, 5.00%, 9/01/45

     455        517,672   

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

     1,875        2,279,737   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, University of Miami, Series A, 5.00%, 4/01/45

     1,255        1,418,163   
Municipal Bonds    Par  
(000)
    Value  

Florida (continued)

    

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

   $ 305      $ 361,663   
    

 

 

 
               4,702,962   

Georgia — 1.2%

  

 

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

     555        623,953   

Illinois — 16.8%

  

 

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

     1,590        1,914,312   

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

    

5.25%, 12/01/36

     500        548,505   

5.25%, 12/01/40

     750        817,028   

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

    

5.50%, 12/01/38

     250        288,275   

5.25%, 12/01/43

     1,000        1,122,240   

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

     750        884,895   

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

     1,000        1,158,190   

Metropolitan Pier & Exposition Authority, Hyatt Regency McCormick Place, Refunding RB, Series B-2, 5.25%, 6/15/50

     250        261,903   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     365        430,455   

6.00%, 6/01/28

     105        125,589   

State of Illinois, GO:

    

5.25%, 2/01/31

     255        277,172   

5.25%, 2/01/32

     500        540,300   

5.50%, 7/01/33

     500        547,930   

5.50%, 7/01/38

     110        119,161   
    

 

 

 
               9,035,955   

Indiana — 2.5%

  

 

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (a)

     1,190        1,362,609   

Kansas — 1.9%

  

 

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

     900        1,033,326   

Kentucky — 1.7%

  

 

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

     800        930,528   

Louisiana — 1.5%

  

 

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

     380        444,623   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

     315        345,945   
    

 

 

 
               790,568   
 
Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.      EDA    Economic Development Authority    ISD    Independent School District
AGM    Assured Guaranty Municipal Corp.      EDC    Economic Development Corp.    LRB    Lease Revenue Bonds
AMBAC    American Municipal Bond Assurance Corp.      ERB    Education Revenue Bonds    M/F    Multi-Family
AMT    Alternative Minimum Tax (subject to)      GARB    General Airport Revenue Bonds    NPFGC    National Public Finance Guarantee Corp.
ARB    Airport Revenue Bonds      GO    General Obligation Bonds    PILOT    Payment in Lieu of Taxes
BARB    Building Aid Revenue Bonds      HFA    Housing Finance Agency    PSF-GTD    Permanent School Fund Guaranteed
BHAC    Berkshire Hathaway Assurance Corp.      HRB    Housing Revenue Bonds    RB    Revenue Bonds
CAB    Capital Appreciation Bonds      IDA    Industrial Development Authority    S/F    Single-Family
COP    Certificates of Participation      IDB    Industrial Development Board      

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   

See Notes to Financial Statements.


Schedule of Investments (continued)

  

BlackRock Municipal Bond Investment Trust (BIE)

 

Municipal Bonds    Par  
(000)
    Value  

Maine — 1.5%

  

 

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

   $ 675      $ 807,577   

Massachusetts — 2.2%

  

 

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

     375        430,965   

Massachusetts Port Authority, Refunding RB, Series A, 5.00%, 7/01/45

     360        418,252   

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

     300        351,204   
    

 

 

 
               1,200,421   

Michigan — 3.3%

  

 

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

     485        572,829   

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

    

6.00%, 10/15/18 (a)

     305        346,779   

6.00%, 10/15/38

     195        218,917   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (a)

     530        629,062   
    

 

 

 
               1,767,587   

Mississippi — 2.5%

  

 

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

     1,000        1,339,350   

Nevada — 4.3%

  

 

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

     1,000        1,156,520   

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

     1,000        1,158,760   
    

 

 

 
               2,315,280   

New Jersey — 5.7%

  

 

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

     750        818,265   

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

     610        647,588   

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

    

Series A, 5.88%, 12/15/38

     695        757,960   

Series AA, 5.50%, 6/15/39

     760        832,968   
    

 

 

 
               3,056,781   

New York — 4.5%

  

 

County of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (b)

     300        312,891   

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

     620        720,570   

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

     500        593,325   

Metropolitan Transportation Authority, Refunding RB, Series A-1, 5.25%, 11/15/56

     220        255,623   

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        562,785   
    

 

 

 
               2,445,194   

Ohio — 2.8%

  

 

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

     840        939,876   

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

     500        596,145   
    

 

 

 
               1,536,021   
Municipal Bonds    Par  
(000)
    Value  

Pennsylvania — 7.3%

  

 

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

   $ 300      $ 341,478   

Pennsylvania Turnpike Commission, RB:

    

Sub-Series A, 6.00%, 12/01/16 (a)

     1,500        1,563,645   

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

     750        876,060   

Sub-Series C (AGC), 6.25%, 6/01/18 (a)

     500        561,645   

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

     530        609,447   
    

 

 

 
               3,952,275   

Puerto Rico — 0.2%

  

 

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed, 5.63%, 5/15/43

     95        95,241   

Rhode Island — 2.1%

  

 

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

    

4.50%, 6/01/45

     990        999,653   

5.00%, 6/01/50

     125        129,106   
    

 

 

 
               1,128,759   

South Carolina — 3.5%

  

 

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

     635        750,519   

State of South Carolina Public Service Authority, Refunding RB:

    

Series C, 5.00%, 12/01/46

     500        561,730   

Series E, 5.25%, 12/01/55

     500        568,215   
    

 

 

 
               1,880,464   

Tennessee — 0.1%

  

 

Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, 5.00%, 10/01/41 (c)

     55        61,456   

Texas — 9.1%

  

 

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

     890        1,053,386   

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

     395        460,819   

Conroe Texas ISD, GO, School Building, Series A, 5.75%, 2/15/18 (a)

     470        516,657   

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare:

    

6.00%, 8/15/20 (a)

     75        91,405   

6.00%, 8/15/45

     945        1,123,331   

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

     500        591,090   

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

     250        279,342   

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

     180        207,765   

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        589,965   
    

 

 

 
               4,913,760   

Virginia — 0.7%

  

 

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

     145        164,659   

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

     200        231,630   
    

 

 

 
               396,289   

Wisconsin — 1.8%

  

 

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

     890        963,959   
Total Municipal Bonds — 103.2%        55,662,568   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    21


Schedule of Investments (continued)

  

BlackRock Municipal Bond Investment Trust (BIE)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
   Par  
(000)
    Value  

California — 19.3%

  

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

   $ 1,005      $ 1,116,133   

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

     1,300        1,488,110   

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

     1,410        1,641,515   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/19 (a)

     2,079        2,446,155   

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

     200        225,012   

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

     2,234        2,552,617   

University of California, RB, Series O, 5.75%, 5/15/19 (a)

     810        938,209   
    

 

 

 
               10,407,751   

District of Columbia — 3.4%

  

 

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

     735        858,698   

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 5.50%, 10/01/18 (a)

     899        1,008,923   
    

 

 

 
               1,867,621   

Illinois — 7.2%

  

 

State of Illinois Finance Authority, RB, University of Chicago, Series B, 6.25%, 7/01/18 (a)

     1,500        1,692,405   

State of Illinois Toll Highway Authority, RB, Senior Priority, Series B, 5.50%, 1/01/18 (a)

     2,000        2,176,650   
    

 

 

 
               3,869,055   

Nevada — 3.1%

  

 

County of Clark Nevada Water Reclamation District, GO, Limited Tax, 6.00%, 7/01/18 (a)

     1,500        1,684,470   

New Hampshire — 1.2%

  

 

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

     585        661,814   

New Jersey — 3.6%

  

 

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

    

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

     1,000        1,050,130   

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

     840        892,688   
    

 

 

 
               1,942,818   

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        832,026   

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        1,145,627   

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

     990        1,123,782   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
   Par  
(000)
    Value  

New York (continued)

    

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

   $ 1,000      $ 1,109,557   

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

     1,170        1,354,792   

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

     680        792,227   

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

     1,000        1,122,440   
    

 

 

 
               7,480,451   

Texas — 5.2%

  

 

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

     1,050        1,171,071   

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

     1,450        1,646,171   
    

 

 

 
               2,817,242   

Virginia — 1.0%

  

 

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

     460        519,281   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 57.9%
        31,250,503   

Total Long-Term Investments

(Cost — $77,666,668) — 161.1%

  

  

    86,913,071   
    
   
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (f)(g)

     135,473        135,473   

Total Short-Term Securities

(Cost — $135,473) — 0.3%

  

  

    135,473   
Total Investments (Cost — $77,802,141) — 161.4%        87,048,544   
Other Assets Less Liabilities — 1.7%        932,414   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (30.1)%

   

    (16,237,349
VRDP Shares, at Liquidation Value — (33.0)%        (17,800,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 53,943,609   
 

 

 

 
 
Notes to Schedule of investments

 

(a)   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.

 

(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)   When-issued security.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between October 1, 2016 to November 15, 2019, is $4,102,787. See Note 4 of the Notes to Financial Statements for details.

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Investment Trust (BIE)

 

 

(f)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
    Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 135,473        135,473             

FFI Institutional Tax-Exempt Fund

       860,286           (860,286             $ 59   

Total

              135,473         $ 59   
           

 

 

 

 

(g)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts       
Contracts
Short
       Issue        Expiration        Notional
Value
       Unrealized
Appreciation
      
  (12)           5-Year U.S. Treasury Note           June 2016         $ 1,451,813           $  3,579     
  (10)           10-Year U.S. Treasury Note           June 2016         $ 1,305,156           6,550     
  (4)           Long U.S. Treasury Bond           June 2016         $ 658,125           3,180     
  (1)           Ultra U.S. Treasury Bond           June 2016         $ 173,156                    2,091       

 

Total

  

     $ 15,400     
                   

 

 

   

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments          Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized appreciation1                                    $ 15,400               $      15,400   

1   Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:   
Net Realized Gain (Loss) from:          Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                        $ (156,495            $ (156,495
Net Change in Unrealized
Appreciation (Depreciation) on:
                                                             

Financial futures contracts

                                        $ (3,046            $ (3,046

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:                                                       

Average notional value of contracts — short

     $ 3,190,699   

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    23


Schedule of Investments (concluded)

  

BlackRock Municipal Bond Investment Trust (BIE)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 86,913,071              $ 86,913,071   

Short-Term Securities

  $ 135,473                          135,473   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 135,473         $ 86,913,071              $ 87,048,544   
 

 

 

      

 

 

      

 

    

 

 

 

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

  

 

     Level 1        Level 2      Level 3      Total  
Derivative Financial Instruments 1          

Assets:

                

Interest rate contracts

  $ 15,400                   $ 15,400   

1    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 statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 45,950                        $ 45,950   

Liabilities:

                

TOB Trust Certificates

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

VRDP Shares

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

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 45,950         $ (34,035,837           $ (33,989,887
 

 

 

      

 

 

      

 

    

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 1.8%

  

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

    

6.00%, 6/01/19

   $ 1,600      $ 1,853,632   

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

     1,275        1,320,581   
    

 

 

 
               3,174,213   

Arizona — 7.3%

  

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

     2,200        2,379,960   

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, Series A, 5.00%, 7/01/45 (b)

     460        473,814   

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

     3,750        4,205,250   

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     1,500        1,766,580   

5.00%, 12/01/37

     2,065        2,439,653   

University Medical Center Corp., RB,
6.50%, 7/01/19 (a)

     500        591,525   

University Medical Center Corp., Refunding RB, 6.00%, 7/01/21 (a)

     900        1,124,856   
    

 

 

 
               12,981,638   

Arkansas — 3.5%

  

City of Benton Arkansas, RB, 4.00%, 6/01/39

     905        961,182   

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

     1,240        1,287,232   

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

     1,200        1,367,592   

City of Little Rock Arkansas, RB, 4.00%, 7/01/41

     2,025        2,089,901   

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

     465        525,390   
    

 

 

 
               6,231,297   

California — 21.3%

  

California Health Facilities Financing Authority, RB, Sutter Health:

    

Series A, 3.25%, 11/15/36

     820        809,004   

Series B, 5.88%, 8/15/31

     1,900        2,292,977   

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

     2,285        2,320,669   

California Infrastructure & Economic Development Bank, Refunding RB, 4.00%, 11/01/45

     3,350        3,456,898   

Carlsbad California Unified School District, GO, Election of 2006, Series B, 0.00%, 5/01/34 (c)

     1,000        1,027,220   

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

     2,000        2,355,040   

Dinuba California Unified School District, GO, Election of 2006 (AGM), 5.75%, 8/01/33

     500        571,160   

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 0.00%, 8/01/34 (c)

     1,650        1,464,161   

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

     8,000        3,241,440   

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

    

0.00%, 8/01/30 (d)

     1,500        951,660   

0.00%, 8/01/33 (d)

     4,000        1,530,240   

0.00%, 8/01/39 (c)

     2,000        1,729,860   

San Diego Community College District, GO, CAB, Election of 2002, 0.00%, 8/01/33 (c)

     2,800        3,095,260   

State of California, GO, Refunding, Various Purposes:

    

5.00%, 2/01/38

     3,000        3,476,010   

4.00%, 10/01/44

     1,080        1,146,074   
Municipal Bonds    Par  
(000)
    Value  

California (continued)

  

State of California, GO, Various Purposes:

    

5.75%, 4/01/31

   $ 2,000      $ 2,273,140   

6.00%, 3/01/33

     1,000        1,186,740   

6.50%, 4/01/33

     1,950        2,275,397   

5.50%, 3/01/40

     2,350        2,720,054   
    

 

 

 
               37,923,004   

Colorado — 1.2%

  

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

     1,070        1,200,743   

Park Creek Metropolitan District, Refunding RB, Senior Limited Property Tax (AGM), 6.00%, 12/01/20 (a)

     750        917,910   
    

 

 

 
               2,118,653   

Connecticut — 0.7%

  

Connecticut State Health & Educational Facility Authority, Refunding RB:

    

4.00%, 7/01/38

     570        600,883   

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

     550        604,439   

Trinity Health Corp., 3.25%, 12/01/36

     100        97,922   
    

 

 

 
               1,303,244   

Delaware — 2.6%

  

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

     1,200        1,300,968   

Delaware Transportation Authority, RB:

    

5.00%, 6/01/45

     2,000        2,303,620   

5.00%, 6/01/55

     950        1,068,180   
    

 

 

 
               4,672,768   

Florida — 4.2%

  

Capital Trust Agency, Inc., RB, M/F Housing, The Gardens Apartment Project, Series A, 4.75%, 7/01/40

     600        609,012   

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

     4,135        5,097,504   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, University of Miami, Series A, 5.00%, 4/01/45

     920        1,039,609   

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

     125        134,420   

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

     910        636,882   
    

 

 

 
               7,517,427   

Georgia — 2.6%

  

City of Atlanta Georgia Water & Wastewater Revenue, 5.00%, 11/01/43

     4,000        4,619,800   

Hawaii — 0.2%

  

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

     400        439,516   

Idaho — 2.5%

  

Idaho Health Facilities Authority, RB:

    

St. Lukes Health System Project Series A, 5.00%, 3/01/39

     900        1,012,932   

Trinity Health Corp., Series 2016 ID, 4.00%, 12/01/45

     1,300        1,345,331   

Idaho Health Facilities Authority, Refunding RB, Trinity Health Group, Series B, 6.25%, 12/01/18 (a)

     1,750        2,013,795   
    

 

 

 
               4,372,058   

Illinois — 4.7%

  

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

     1,600        1,640,320   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    25


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds    Par  
(000)
    Value  

Illinois (continued)

  

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A, 5.00%, 1/01/41

   $ 870      $ 947,543   

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

     665        724,431   

Illinois Finance Authority, RB, Rush University Medical Center, Series C, 6.63%, 5/01/19 (a)

     650        767,683   

Illinois Finance Authority, Refunding RB:

    

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

     1,010        1,164,399   

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

     1,000        1,095,010   

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

     1,150        1,375,503   

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

     665        697,319   
    

 

 

 
        8,412,208   

Iowa — 0.9%

  

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

    

5.75%, 9/01/30

     500        524,400   

6.00%, 9/01/39

     1,000        1,046,860   
    

 

 

 
        1,571,260   

Kansas — 2.5%

  

County of Seward Kansas Unified School District No. 480, GO, Refunding, 5.00%, 9/01/39

     4,000        4,484,680   

Kentucky — 1.9%

  

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

     1,830        2,071,468   

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

    

0.00%, 7/01/34

     500        389,750   

0.00%, 7/01/39

     830        630,327   

0.00%, 7/01/43

     270        203,024   
    

 

 

 
        3,294,569   

Louisiana — 2.2%

  

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

     860        969,848   

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

     1,050        1,228,563   

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

     400        442,932   

Louisiana Public Facilities Authority, Refunding RB, 4.00%, 11/01/45

     1,305        1,302,690   
    

 

 

 
        3,944,033   

Maryland — 0.9%

  

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

    

5.13%, 7/01/36

     170        175,163   

5.25%, 7/01/44

     170        174,842   

County of Montgomery Maryland, RB, Trinity Health Credit Group, 5.00%, 12/01/45

     1,000        1,167,700   
    

 

 

 
        1,517,705   

Massachusetts — 1.2%

  

Massachusetts Development Finance Agency, Refunding RB:

    

Emerson College, 5.00%, 1/01/41

     1,600        1,778,464   

International Charter School, 5.00%, 4/15/40

     400        432,224   
    

 

 

 
        2,210,688   
Municipal Bonds    Par  
(000)
    Value  

Michigan — 2.2%

  

Michigan Finance Authority, RB, Detroit Water & Sewage Disposal System, Senior Lien, Series 2014 C-2, AMT, 5.00%, 7/01/44

   $ 240      $ 255,242   

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

     2,100        2,225,034   

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

    

6.25%, 10/15/18 (a)

     755        863,327   

6.25%, 10/15/38

     495        558,900   
    

 

 

 
        3,902,503   

Minnesota — 3.3%

  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

    

6.50%, 11/15/18 (a)

     710        818,261   

6.50%, 11/15/38

     3,890        4,398,228   

Minnesota Higher Education Facilities Authority, Refunding RB (g):

    

3.00%, 4/01/36

     260        246,605   

4.00%, 4/01/39

     380        399,285   
    

 

 

 
        5,862,379   

Mississippi — 3.2%

  

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

     400        444,272   

Mississippi Development Bank, RB, Special Obligation:

    

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

     845        928,790   

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

     1,750        1,963,133   

University of Southern Mississippi, RB, Campus Facilities Improvements Project, 5.38%, 9/01/19 (a)

     2,100        2,428,566   
    

 

 

 
        5,764,761   

Missouri — 2.3%

  

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

     900        978,030   

Missouri State Health & Educational Facilities Authority, RB:

    

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

     500        573,845   

A.T. Still University of Health Sciences, 4.25%, 10/01/32

     320        344,707   

A.T. Still University of Health Sciences, 5.00%, 10/01/39

     500        565,955   

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

     400        413,668   

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

     1,000        1,147,240   
    

 

 

 
        4,023,445   

Nebraska — 3.7%

  

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

     600        646,926   

County of Douglas Hospital Authority No. 2, RB, Madonna Rehabilitation Hospital Project, 4.00%, 5/15/33

     1,095        1,125,846   

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

     400        448,504   

Lincoln Airport Authority, Refunding RB, Series A, 4.00%, 7/01/40

     520        547,534   

Minden Public Schools, GO, 4.00%, 12/15/39

     500        511,045   
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds    Par  
(000)
    Value  

Nebraska (continued)

  

Nebraska Public Power District, Refunding RB, Series A:

    

5.00%, 1/01/32

   $ 250      $ 291,130   

4.00%, 1/01/44

     400        415,912   

Omaha School District, GO, 4.00%, 12/15/39

     2,500        2,624,750   
    

 

 

 
        6,611,647   

Nevada — 1.6%

  

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

     1,110        1,118,925   

County of Clark Nevada, Refunding ARB, Department of Aviation, Subordinate Lien, Series A-2, 4.25%, 7/01/36

     1,000        1,058,580   

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

     575        580,744   
    

 

 

 
        2,758,249   

New Jersey — 13.1%

  

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

     915        36,325   

New Jersey EDA, RB, AMT:

    

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

     660        745,978   

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

     200        219,514   

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

     7,500        9,177,825   

New Jersey Educational Facilities Authority, Refunding RB:

    

The College of New Jersey, 3.50%, 7/01/31

     1,225        1,252,036   

University of Medicine & Dentistry, Series B, 7.13%, 6/01/19 (a)

     630        753,619   

University of Medicine & Dentistry, Series B, 7.50%, 6/01/19 (a)

     800        966,568   

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

    

4.63%, 7/01/23

     510        574,571   

5.00%, 7/01/25

     500        582,245   

5.63%, 7/01/37

     1,700        1,970,368   

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

     100        103,600   

New Jersey State Turnpike Authority, RB, Series E, 5.00%, 1/01/45

     1,860        2,112,848   

New Jersey Transportation Trust Fund Authority, RB:

    

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

     1,000        369,040   

Transportation Program, Series AA, 5.00%, 6/15/44

     3,030        3,174,319   

Transportation Program, Series AA, 5.00%, 6/15/45

     900        946,386   

Transportation Program, Series AA, 5.00%, 6/15/46

     400        420,304   
    

 

 

 
        23,405,546   

New Mexico — 0.3%

  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 8/01/44

     450        515,034   

New York — 8.1%

  

City of New York New York, GO, Fiscal 2014, Sub-Series A-1, 5.00%, 8/01/35

     1,580        1,870,704   

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

     3,165        3,284,447   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

  

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

   $ 925      $ 945,452   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, Series A, 3.00%, 6/15/36 (g)

     1,920        1,879,891   

County of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (b)

     900        938,673   

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 6/01/45

     1,160        1,125,223   

Metropolitan Transportation Authority, RB, Series B, 5.25%, 11/15/39

     2,300        2,690,471   

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        900,456   

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (b)

     405        441,552   

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

     400        405,752   
    

 

 

 
               14,482,621   

North Carolina — 2.0%

  

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        2,700,120   

North Carolina Medical Care Commission, Refunding RB, University Health System, Series D, 6.25%, 12/01/18 (a)

     800        920,792   
    

 

 

 
               3,620,912   

North Dakota — 0.5%

  

City of Fargo, GO, Series D, 4.00%, 5/01/37

     225        238,284   

County of Burleigh North Dakota, Refunding RB, St. Alexius Medical Center Project, Series A, 5.00%, 7/01/21 (a)

     480        575,146   
    

 

 

 
               813,430   

Ohio — 1.2%

  

City of Dayton Ohio Airport Revenue, Refunding ARB, James M Cox Dayton International Airport, AMT, 4.00%, 12/01/32

     2,000        2,072,700   

Oklahoma — 1.4%

  

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

     720        815,458   

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

     620        649,450   

Oklahoma Water Resources Board, RB, 4.00%, 4/01/40

     990        1,053,617   
    

 

 

 
               2,518,525   

Oregon — 3.0%

  

County of Jackson Oregon Airport Revenue, Refunding RB:

    

3.00%, 12/01/35

     150        145,157   

3.13%, 12/01/37

     110        106,559   

County of Umatilla Pendleton Oregon School District No. 16R, GO, Series A, 4.00%, 6/15/38

     125        134,495   

Lane County School District No. 19 Springfield, GO, CAB, Series B, 0.00%, 6/15/40 (d)

     1,000        396,370   

Oregon Health & Science University, RB, Series A, 5.75%, 7/01/19 (a)

     750        871,253   

Oregon Health & Science University, Refunding RB, Series B, 4.00%, 7/01/46

     1,155        1,206,732   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    27


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds    Par  
(000)
    Value  

Oregon (continued)

  

State of Oregon State Facilities Authority, Refunding RB, Series A, 5.00%, 4/01/45

   $ 2,220      $ 2,495,657   
    

 

 

 
               5,356,223   

Pennsylvania — 4.3%

  

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

     1,695        1,000,813   

Delaware County Authority, RB, Villanova University, 4.00%, 8/01/45

     2,000        2,085,840   

Delaware River Port Authority, RB:

    

4.50%, 1/01/32

     1,500        1,680,555   

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

     2,600        2,895,958   
    

 

 

 
               7,663,166   

Rhode Island — 4.7%

  

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

     1,000        1,157,430   

Rhode Island Infrastructure Bank, RB, Series A:

    

3.00%, 10/01/31

     200        203,172   

3.00%, 10/01/32

     80        80,747   

Rhode Island Turnpike & Bridge Authority, Refunding RB, Series A:

    

4.00%, 10/01/36

     780        820,349   

5.00%, 10/01/40

     1,155        1,329,798   

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

     900        1,000,764   

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/40

     1,000        1,063,920   

Series B, 4.50%, 6/01/45

     2,730        2,756,618   
    

 

 

 
               8,412,798   

Tennessee — 2.7%

  

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

     1,950        2,189,889   

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

     875        975,047   

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

     275        315,744   

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

     800        870,288   

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, Lipscomb University Project, Series A, 5.00%, 10/01/45 (g)

     385        428,763   
    

 

 

 
               4,779,731   

Texas — 9.5%

  

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

    

7.13%, 12/01/18

     500        586,985   

7.25%, 12/01/18

     1,750        2,060,415   

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

     11,690        3,400,504   

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

     1,500        1,705,755   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/38 (d)

     10,760        4,135,714   

Leander ISD, GO, Refunding, CAB Series D, 0.00%, 8/15/35 (d)

     4,000        1,819,520   
Municipal Bonds    Par  
(000)
    Value  

Texas (continued)

  

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

   $ 760      $ 877,230   

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        2,417,920   
    

 

 

 
               17,004,043   

U.S. Virgin Islands — 0.8%

  

Virgin Islands Public Finance Authority, Refunding RB, Virgin Islands Gross Receipts, Series C, 4.50%, 10/01/44

     1,360        1,398,012   

Utah — 0.2%

  

Utah State Charter School Finance Authority, Refunding RB, Mountainville Academy, 4.00%, 4/15/42

     400        406,588   

Vermont — 2.7%

  

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

     2,360        2,491,664   

Vermont Educational & Health Buildings Financing Agency, Refunding RB, Fletcher Allen Health Hospital, Series B (AGM), 5.00%, 6/01/18 (a)

     1,190        1,304,062   

Vermont Student Assistance Corp., RB, Series A, 4.13%, 6/15/30

     1,000        1,045,050   
    

 

 

 
               4,840,776   

Virginia — 0.6%

  

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

     880        1,017,966   

Washington — 0.9%

  

Washington Health Care Facilities Authority, RB, MultiCare Health System, Series B (AGC), 6.00%, 8/15/19 (a)

     1,400        1,645,140   

Wisconsin — 0.4%

  

WPPI Energy Power Supply Systems, Refunding RB, Series A, 5.00%, 7/01/37

     665        765,102   
Total Municipal Bonds — 134.9%              240,430,058   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
 

Colorado — 2.3%

  

Colorado Health Facilities Authority, RB, Catholic Health, Series C-7 (AGM), 5.00%, 5/01/18 (a)

     3,750        4,097,287   

Connecticut — 1.7%

  

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

     2,611        3,014,165   

New Jersey — 0.8%

  

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

     1,400        1,487,813   

New York — 14.3%

  

 

City of New York New York, GO, Fiscal 2015, Series B, 4.00%, 8/01/32

     3,990        4,312,711   

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

     450        499,216   

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        6,938,506   
 

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
   Par  
(000)
    Value  

New York (continued)

  

 

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

    

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

   $ 405      $ 459,729   

Series A, 4.75%, 6/15/30

     3,000        3,149,880   

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

     2,500        2,905,267   

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

     2,505        2,900,645   

State of New York Dormitory Authority, RB, New York University, Series A, 5.00%, 7/01/18 (a)

     2,199        2,416,271   

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

     1,560        1,833,874   
    

 

 

 
               25,416,099   

Ohio — 1.9%

  

 

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 4/28/18 (a)

     1,260        1,325,092   

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

     2,000        2,153,700   
    

 

 

 
               3,478,792   
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
   Par  
(000)
    Value  

Texas — 1.0%

  

 

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

   $ 1,580      $ 1,766,740   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 22.0%
        39,260,896   
Total Long-Term Investments
(Cost — $253,858,772) — 156.9%
        279,690,954   
    
   
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (k)(l)

     328,750        328,750   
Total Short-Term Securities
(Cost — $328,750) — 0.2%
             328,750   
Total Investments (Cost — $254,187,522) — 157.1%        280,019,704   
Liabilities in Excess of Other Assets — (0.4)%        (647,819

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.9)%

   

    (21,239,679
VMTP Shares, at Liquidation Value — (44.8)%        (79,900,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 178,232,206   
 

 

 

 
 
Notes to Schedule of investments

 

(a)   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.

 

(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)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(d)   Zero-coupon bond.

 

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

 

(f)   Non-income producing security.

 

(g)   When-issued security.

 

(h)   Variable rate security. Rate as of period end.

 

(i)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(j)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2019 and June 15, 2019, is $2,411,645. See Note 4 of the Notes to Financial Statements for details.

 

(k)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
    Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 328,750        328,750             

FFI Institutional Tax Exempt Fund

       6,015,344           (6,015,344             $ 331   

Total

              328,750         $ 331   
           

 

 

      

 

 

 

 

(l)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    29


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts      
Contracts
Short
    Issue   Expiration      Notional
Value
   

Unrealized
Appreciation

(Depreciation)

      
  (37   5-Year U.S. Treasury Note   June 2016      $ 4,476,422      $ 2,565     
  (52   10-Year U.S. Treasury Note   June 2016      $ 6,786,813        (5,712  
  (32   Long U.S. Treasury Bond   June 2016      $ 5,265,000        30,797     
  (9   Ultra U.S. Treasury Bond   June 2016      $ 1,558,406        7,860       
  Total               $ 35,510     
          

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized appreciation1                                    $ 41,222               $         41,222   
               
Liabilities — Derivative Financial Instruments                                                        

Financial futures contracts

   Net unrealized depreciation1                                    $ (5,712            $ (5,712

1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:   
Net Realized Gain (Loss) from:          Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                        $ (666,155            $ (666,155
Net Change in Unrealized
Appreciation (Depreciation) on:
                                                             

Financial futures contracts

                                        $ 5,891               $           5,891   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Financial futures contracts:       

Average notional value of contracts — short

  $   11,715,215   

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

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock Municipal Bond Trust (BBK)

 

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 279,690,954              $ 279,690,954   

Short-Term Securities

  $ 328,750                          328,750   
 

 

 

 

Total

  $ 328,750         $ 279,690,954              $ 280,019,704   
 

 

 

 

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

       

                
     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 1             

Assets:

                

Interest rate contracts

  $ 41,222                        $ 41,222   

Liabilities:

                

Interest rate contracts

    (5,712                       (5,712
 

 

 

 

Total

  $ 35,510                        $ 35,510   
 

 

 

 

1    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 statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 275,050                        $ 275,050   

Liabilities:

                

TOB Trust Certificates

            $ (21,235,789             (21,235,789

VMTP Shares

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

 

 

 

Total

  $ 275,050         $ (101,135,789           $ (100,860,739
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    31


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(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) (a):

    

6.00%, 6/01/19

   $ 1,000      $ 1,158,451   

6.13%, 6/01/19

     1,000        1,162,510   

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

     335        372,078   
    

 

 

 
               2,693,039   

California — 14.7%

    

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

     2,155        2,393,300   

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

     1,120        1,343,653   

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

     1,175        1,287,142   

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

     1,400        1,538,250   

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

     1,025        1,277,304   

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

     3,210        3,603,931   

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

     1,000        1,181,950   

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

     1,125        1,276,538   

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

    

5.50%, 11/01/30

     1,000        1,239,740   

5.50%, 11/01/31

     1,500        1,850,040   

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     505        603,697   

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

     380        456,813   

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

     2,355        2,793,171   
    

 

 

 
               20,845,529   

Colorado — 3.9%

    

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

     3,250        3,873,512   

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

     1,425        1,595,858   
    

 

 

 
               5,469,370   

Florida — 8.2%

    

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

     4,525        5,324,432   

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

     205        245,467   

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

     4,215        5,124,850   

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

     745        883,406   
    

 

 

 
               11,578,155   

Georgia — 2.1%

    

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

     2,500        3,020,550   

Illinois — 22.0%

    

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

    

Series A, 5.75%, 1/01/39

     825        961,595   

Series C, 6.50%, 1/01/41

     3,740        4,502,848   
Municipal Bonds    Par  
(000)
    Value  

Illinois (continued)

    

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

   $ 1,000      $ 1,131,760   

City of Chicago Illinois Transit Authority, RB:

    

Federal Transit Administration, Section 5309, Series A (AGC), 6.00%, 12/01/18 (a)

     1,300        1,485,510   

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

     3,185        3,493,977   

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

     3,000        3,268,110   

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

     3,000        3,230,010   

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

     1,480        1,571,346   

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

    

5.50%, 12/01/38

     1,250        1,441,375   

5.25%, 12/01/43

     3,000        3,366,720   

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

     1,885        2,224,036   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     915        1,079,087   

6.00%, 6/01/28

     260        310,983   

State of Illinois, GO:

    

5.25%, 2/01/31

     610        663,039   

5.25%, 2/01/32

     1,000        1,080,600   

5.50%, 7/01/33

     1,000        1,095,860   

5.50%, 7/01/38

     270        292,486   
    

 

 

 
               31,199,342   

Indiana — 1.9%

    

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

     2,415        2,719,121   

Louisiana — 1.0%

    

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

    

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

     375        424,972   

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

     150        169,269   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

     790        867,610   
    

 

 

 
               1,461,851   

Maryland — 0.2%

    

Maryland Economic Development Corp., Refunding RB, University Of Maryland, College Park Projects, 5.00%, 6/01/35 (b)

     195        226,083   

Michigan — 2.4%

    

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

     1,700        1,912,806   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (a)

     1,205        1,430,227   
    

 

 

 
               3,343,033   

Minnesota — 3.0%

    

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

    

6.50%, 11/15/18(a)

     565        651,151   

6.50%, 11/15/38

     3,115        3,521,975   
    

 

 

 
               4,173,126   

Mississippi — 2.2%

    

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

     1,500        2,009,025   
 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds    Par  
(000)
    Value  

Mississippi (continued)

    

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

   $ 1,000      $ 1,168,980   
    

 

 

 
               3,178,005   

Nevada — 5.7%

    

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

     5,410        5,846,208   

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

     2,000        2,258,720   
    

 

 

 
               8,104,928   

New Jersey — 5.0%

    

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

     1,300        1,459,653   

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

     1,540        1,634,895   

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

    

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

     2,000        2,182,060   

Series AA, 5.50%, 6/15/39

     1,620        1,775,536   
    

 

 

 
               7,052,144   

New York — 4.1%

    

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

     2,465        2,789,049   

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     1,565        1,857,107   

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

     1,000        1,174,880   
    

 

 

 
               5,821,036   

Ohio — 0.4%

    

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

     470        560,376   

Pennsylvania — 5.0%

    

Pennsylvania Turnpike Commission, RB:

    

Series B, 5.00%, 12/01/45

     3,000        3,382,260   

Series C, 5.00%, 12/01/43

     1,720        1,947,470   

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

     1,500        1,724,850   
    

 

 

 
               7,054,580   

South Carolina — 2.9%

    

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

     1,525        1,802,428   

State of South Carolina Public Service Authority, Refunding RB:

    

Series C, 5.00%, 12/01/46

     1,000        1,123,460   

Series E, 5.25%, 12/01/55

     1,000        1,136,430   
    

 

 

 
               4,062,318   

Texas — 14.7%

    

Austin Community College District Public Facility Corp., RB, Educational Facilities Project, Round Rock Campus, 5.25%, 8/01/18 (a)

     2,000        2,217,400   

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

     980        1,143,297   

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

     3,365        3,855,112   

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

    

6.00%, 11/15/35

     2,600        3,025,360   

6.00%, 11/15/36

     2,215        2,577,374   

5.38%, 11/15/38

     1,000        1,120,800   
Municipal Bonds    Par  
(000)
    Value  

Texas (continued)

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

    

6.50%, 1/01/19 (a)

   $ 205      $ 236,853   

6.50%, 7/01/37

     795        895,814   

Dallas Area Rapid Transit, Refunding RB, Series A, 5.00%, 12/01/48

     1,045        1,220,581   

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

     1,000        1,184,470   

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

    

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

     1,000        1,182,570   

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

     1,500        1,676,055   

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

     440        507,870   
    

 

 

 
               20,843,556   

Virginia — 1.1%

    

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

     370        420,165   

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

     1,000        1,158,150   
    

 

 

 
               1,578,315   

Washington — 1.5%

    

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

     1,025        1,191,234   

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

     795        930,063   
    

 

 

 
               2,121,297   
Total Municipal Bonds — 103.9%              147,105,754   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
 

California — 8.9%

    

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

     10,680        12,637,324   

Connecticut — 1.1%

    

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

     1,306        1,507,082   

District of Columbia — 0.6%

    

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/18 (a)(f)

     760        862,203   

Illinois — 5.7%

    

State of Illinois Toll Highway Authority, RB, Senior:

    

Priority, Series A, 5.00%, 1/01/40

     825        944,185   

Priority, Series B, 5.50%, 1/01/18 (a)

     2,999        3,264,975   

Series B, 5.00%, 1/01/40

     3,329        3,818,874   
    

 

 

 
               8,028,034   

Kentucky — 0.7%

    

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

     898        1,005,764   

Michigan — 2.1%

    

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

     2,650        3,016,548   

Nevada — 5.0%

    

County of Clark Nevada Water Reclamation District, GO, Limited Tax, 6.00%, 7/01/18 (a)

     2,000        2,245,960   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    33


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

Nevada (continued)

    

Las Vegas Valley Water District Nevada, GO, Refunding, Series 2016, 11.02%, 6/01/28 (a)

   $ 4,100      $ 4,817,828   
    

 

 

 
               7,063,788   

New Jersey — 6.4%

    

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

    

6.00%, 12/15/18 (a)

     329        383,766   

6.00%, 12/15/34

     671        761,889   

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

     6,020        6,829,028   

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

     1,000        1,062,723   
    

 

 

 
               9,037,406   

New York — 12.0%

    

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        5,918,925   

Series FF, 5.00%, 6/15/45

     3,019        3,459,794   

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

     900        998,601   

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

     1,000        1,162,107   

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

     2,955        3,421,719   

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

     1,740        2,027,169   
    

 

 

 
               16,988,315   

North Carolina — 2.0%

    

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

     2,400        2,784,336   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

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      $ 5,061,141   

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

     2,310        2,730,836   
    

 

 

 
               7,791,977   

Utah — 0.8%

    

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

     1,005        1,095,174   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 50.8%

  

  

    71,817,951   

Total Long-Term Investments

(Cost — $197,182,911) — 154.7%

  

  

    218,923,705   
    
                  
Short-Term Securities Shares    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (g)(h)

     1,151,976        1,151,976   

Total Short-Term Securities

(Cost — $1,151,976) — 0.8%

             1,151,976   
Total Investments (Cost — $ 198,334,887) — 155.5%        220,075,681   
Other Assets Less Liabilities — 1.0%        1,448,732   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (26.7)%

   

    (37,764,047
VMTP Shares, at Liquidation Value — (29.8)%        (42,200,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 141,560,366   
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   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.

 

(b)   When-issued security.

 

(c)   Variable rate security. Rate as of period end.

 

(d)   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.

 

(e)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(f)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between October 1, 2016 to July 1, 2020, is $7,486,048. See Note 4 of the Notes to Financial Statements for details.

 

(g)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
    Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 1,151,976        1,151,976         $ 30   

FFI Institutional Tax-Exempt Fund

       953,611           (953,611               116   

Total

              1,151,976         $ 146   
           

 

 

      

 

 

 

 

(h)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
       Issue        Expiration        Notional Value     Unrealized
Appreciation
      
  (28)           5-Year U.S. Treasury Note           June 2016         $ 3,387,563      $ 2,174     
  (34)           10-Year U.S. Treasury Note           June 2016         $ 4,437,531        2,646     
  (13)           Long U.S. Treasury Bond           June 2016         $ 2,138,906        12,502     
  (2)           Ultra U.S. Treasury Bond           June 2016         $ 346,313        1,372       

 

Total

  

  $ 18,694     
                

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets – Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized appreciation1                                    $ 18,694               $          18,694   

1   Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:   
Net Realized Gain (Loss) from:          Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                        $ (403,471              $    (403,471)   
Net Change in Unrealized
Appreciation (Depreciation) on:
                                                             

Financial futures contracts

                                        $ (30,775              $      (30,775)   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:          

Average notional value of contracts — long

     $ 4,595,063 1 

Average notional value of contracts — short

     $     7,247,957   

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 218,923,705              $ 218,923,705   

Short-Term Securities

  $ 1,151,976                          1,151,976   
 

 

 

 

Total

  $ 1,151,976         $ 218,923,705              $ 220,075,681   
 

 

 

 

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

       

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    35


Schedule of Investments (concluded)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

     Level 1        Level 2      Level 3      Total  
Derivative Financial Instruments 1          

Assets:

                

Interest rate contracts

  $ 18,694                   $ 18,694   

1    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 statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 132,800                        $ 132,800   

Liabilities:

                

TOB Trust Certificates

            $ (37,759,323             (37,759,323

VMTP Shares

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

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 132,800         $ (79,959,323           $ (79,826,523
 

 

 

      

 

 

      

 

    

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 4.1%

    

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

   $ 5,800      $ 6,635,536   

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 6/01/19 (a)

     1,495        1,731,987   

City of Birmingham Albama, GO, Convertible CAB, Series A1, 0.00%, 3/01/45 (b)

     1,165        1,145,335   

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

     2,800        2,820,328   

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

     3,800        4,466,406   
    

 

 

 
               16,799,592   

Alaska — 0.3%

    

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

     1,070        1,222,636   

Arizona — 0.4%

    

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

    

5.00%, 10/01/27

     1,250        1,393,588   

5.25%, 10/01/28

     250        280,885   
    

 

 

 
               1,674,473   

California — 15.0%

    

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

     625        714,475   

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

     10,100        13,329,778   

California State University, Refunding RB, Systemwide, Series A, (AGM):

    

5.00%, 5/01/17 (a)

     3,040        3,201,029   

5.00%, 11/01/32

     4,960        5,171,544   

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

     1,620        1,841,519   

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

    

0.00%, 8/01/16 (c)

     4,200        1,416,618   

5.00%, 8/01/18

     7,450        8,223,384   

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

    

0.00%, 8/01/31

     13,575        6,556,725   

0.00%, 8/01/32

     14,150        6,496,123   

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

     1,580        1,170,875   

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

    

CAB, Series C, 0.00%, 7/01/38

     2,000        858,860   

CAB, Series G, 0.00%, 7/01/34

     725        326,315   

CAB, Series G, 0.00%, 7/01/35

     775        327,747   

CAB, Series G, 0.00%, 7/01/36

     1,155        459,309   

CAB, Series G, 0.00%, 7/01/37

     770        288,042   

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

     1,400        835,968   

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

     1,100        1,268,630   

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

     3,000        3,452,190   

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

     1,415        1,740,705   

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

     10,000        4,335,100   
    

 

 

 
               62,014,936   
Municipal Bonds    Par  
(000)
    Value  

Colorado — 0.6%

    

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

   $ 960      $ 1,102,944   

Regional Transportation District, COP, Series A, 5.00%, 6/01/39

     1,305        1,476,712   
    

 

 

 
               2,579,656   

District of Columbia — 2.3%

    

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

     9,500        9,548,735   

Florida — 15.3%

    

City of Tallahassee FL Energy System Revenue, RB, 5.00%, 10/01/37

     5,000        5,295,850   

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 4/01/39

     1,795        2,004,638   

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

     1,400        1,522,402   

County of Broward Florida Water & Sewer Utility, Refunding RB, Series A, 5.25%, 10/01/18 (a)

     6,750        7,537,455   

County of Duval Florida School Board, COP, Master Lease Program (AGM), 5.00%, 7/01/17 (a)

     3,475        3,681,936   

County of Miami-Dade Florida, RB:

    

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

     15,000        4,653,750   

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

     2,770        3,367,932   

County of Miami-Dade Florida Aviation, Refunding ARB:

    

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

     5,000        5,727,500   

Series A, 5.50%, 10/01/36

     5,000        5,710,300   

County of Miami-Dade Florida Educational Facilities Authority, RB, University Miami, Series A, 5.00%, 4/01/40

     3,910        4,441,330   

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

     1,300        1,405,898   

County of Orange Florida School Board, COP, Series A, 5.00%, 8/01/16 (a)

     6,000        6,119,400   

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

     300        332,178   

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

     6,150        6,537,881   

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

     1,340        1,584,054   

South Florida Water Management District, COP, (AMBAC), 5.00%, 10/01/16 (a)

     1,000        1,027,390   

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

     2,000        2,353,340   
    

 

 

 
               63,303,234   

Georgia — 2.9%

    

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

     7,500        9,061,650   

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

     1,250        1,343,612   

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     545        646,234   

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

    

5.00%, 4/01/33

     155        175,331   

5.00%, 4/01/44

     595        652,989   
    

 

 

 
               11,879,816   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    37


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds    Par  
(000)
    Value  

Hawaii — 1.4%

    

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

   $ 5,000      $ 5,698,050   

Illinois — 14.1%

    

City of Chicago Illinois, GO, Refunding, Series A:

    

5.00%, 1/01/34

     4,305        4,147,222   

Project, 5.25%, 1/01/33

     1,315        1,306,189   

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

     4,875        5,087,647   

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

     9,800        11,405,828   

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

     1,525        1,768,786   

City of Chicago Illinois Transit Authority, RB:

    

5.25%, 12/01/49

     3,500        3,933,020   

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

     650        713,057   

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

    

5.13%, 12/01/38

     7,700        8,542,996   

5.50%, 12/01/38

     1,000        1,153,100   

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

     210        229,383   

Illinois Finance Authority, Refunding RB, Silver Cross Hospital and Medical Centers:

    

4.13%, 8/15/37

     3,130        3,220,207   

5.00%, 8/15/44

     390        429,503   

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

     255        252,006   

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

     710        849,224   

State of Illinois, GO:

    

5.25%, 2/01/33

     2,435        2,624,419   

5.50%, 7/01/33

     880        964,357   

5.25%, 2/01/34

     5,910        6,349,054   

5.50%, 7/01/38

     1,475        1,597,838   

5.00%, 2/01/39

     2,200        2,306,920   

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

     1,020        1,133,016   
    

 

 

 
               58,013,772   

Indiana — 1.9%

    

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

     1,100        1,296,251   

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

     5,750        6,474,097   
    

 

 

 
               7,770,348   

Iowa — 2.2%

    

Iowa Finance Authority, RB, Iowa Health Care Facilities:

    

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

     3,000        3,584,370   

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

     5,000        5,634,350   
    

 

 

 
               9,218,720   

Kentucky — 0.4%

    

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

     1,500        1,667,850   

Louisiana — 1.2%

    

State of Louisiana Gasoline & Fuels Tax, RB, Series A (AGM), 5.00%, 5/01/16 (a)

     5,000        5,040,950   

Massachusetts — 0.4%

    

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior Series A, 5.00%, 5/15/43

     1,395        1,609,830   
Municipal Bonds    Par  
(000)
    Value  

Michigan — 5.4%

    

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

   $ 3,000      $ 3,259,320   

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

     1,100        1,299,199   

Michigan Finance Authority, RB, Beaumont Health Credit Group, 4.00%, 11/01/46

     430        431,010   

Michigan Finance Authority, Refunding RB, Trinity Health Credit Group:

    

5.00%, 12/01/21(a)

     30        36,426   

5.00%, 12/01/39

     9,020        10,077,866   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series D, 5.00%, 9/01/39

     1,560        1,749,899   

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

    

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

     2,000        2,312,340   

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

     800        924,936   

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

     1,500        1,734,255   

Western Michigan University, Refunding RB, General, University and College Improvements (AGM), 5.00%, 11/15/39

     430        482,813   
    

 

 

 
               22,308,064   

Nebraska — 1.7%

    

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

     6,345        7,048,787   

Nevada — 1.9%

    

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

    

5.25%, 7/01/42

     3,000        3,364,380   

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

     4,100        4,599,585   
    

 

 

 
               7,963,965   

New Jersey — 6.5%

    

New Jersey EDA, RB, Series WW:

    

5.25%, 6/15/33

     170        184,289   

5.00%, 6/15/34

     225        237,478   

5.00%, 6/15/36

     1,395        1,464,722   

5.25%, 6/15/40

     400        428,204   

New Jersey Transportation Trust Fund Authority, RB:

    

5.00%, 6/15/36

     5,070        5,322,283   

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

     5,845        1,830,011   

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

     1,660        1,785,712   

Transportation Program, Series AA, 5.00%, 6/15/38

     1,945        2,043,184   

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

     3,000        3,236,520   

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

     3,785        4,148,398   

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

     5,000        5,312,400   

Transportation System, Series D, 5.00%, 6/15/32

     900        960,615   
    

 

 

 
               26,953,816   

New Mexico — 0.1%

    

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 8/01/44

     405        463,531   

New York — 2.7%

    

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

     1,950        2,199,073   

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/32

     1,650        1,950,927   
 

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

    

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo, Series A (AGM), 5.75%, 5/01/17 (a)

   $ 4,500      $ 4,781,070   

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

     770        894,902   

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

     1,300        1,487,395   
    

 

 

 
               11,313,367   

Ohio — 0.7%

    

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

     610        755,942   

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

    

5.25%, 2/15/32

     780        925,018   

5.25%, 2/15/33

     1,095        1,294,728   
    

 

 

 
               2,975,688   

Pennsylvania — 2.5%

    

Pennsylvania HFA, RB, S/F Housing Mortgage, Series 118B, 4.05%, 10/01/40

     1,770        1,828,463   

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Thomas Jefferson University, Series A, 5.25%, 9/01/50

     4,630        5,232,178   

Pennsylvania Turnpike Commission, RB:

    

Series A, 5.00%, 12/01/38

     695        785,871   

Series C, 5.50%, 12/01/33

     630        762,470   

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

     625        734,819   

Pennsylvania Turnpike Commission, Refunding RB, Series A-1, 5.00%, 12/01/40

     850        959,335   
    

 

 

 
               10,303,136   

Rhode Island — 2.1%

    

Rhode Island Turnpike & Bridge Authority, Refunding RB, Series A, 5.00%, 10/01/40

     2,250        2,590,515   

Tobacco Settlement Financing Corp., Refunding RB, Series B, 4.50%, 6/01/45

     5,855        5,912,086   
    

 

 

 
               8,502,601   

South Carolina — 4.5%

    

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

     260        316,103   

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

     5,000        5,629,900   

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

     610        699,835   

State of South Carolina Public Service Authority, Refunding RB:

    

Santee Cooper, Series B, 5.00%, 12/01/38

     2,360        2,693,090   

Series E, 5.25%, 12/01/55

     1,185        1,346,670   

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

     6,960        7,987,783   
    

 

 

 
               18,673,381   

Tennessee — 0.1%

    

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, Lipscomb University Project, Series A, 5.00%, 10/01/45 (f)

     470        523,425   

Texas — 18.4%

    

Central Texas Regional Mobility Authority, RB, Senior Lien, Series A, 5.00%, 1/01/40

     570        641,455   

Central Texas Turnpike System, Refunding RB, CAB, Series B, 0.00%, 8/15/37 (c)

     2,050        832,197   

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

     615        693,400   
Municipal Bonds    Par  
(000)
    Value  

Texas (continued)

    

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

   $ 10,030      $ 6,962,826   

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

    

0.00%, 8/15/25

     7,485        6,201,996   

0.00%, 8/15/28

     10,915        8,307,734   

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

    

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

     16,890        5,004,338   

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

     5,785        1,853,398   

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

     6,160        1,853,914   

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

     2,340        1,007,019   

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

     1,090        1,284,718   

Mansfield Texas ISD, GO, School Building (PSF-GTD), 5.00%, 2/15/17 (a)

     2,980        3,109,064   

North Texas Tollway Authority, RB:

    

CAB, Special Project System, Series B, 0.00%, 9/01/37 (c)

     1,975        813,325   

Convertible CAB, Series C, 0.00%, 9/01/45 (b)

     2,500        2,610,450   

Special Projects System, Series A, 6.00%, 9/01/41

     1,000        1,212,780   

North Texas Tollway Authority, Refunding RB:

    

1st Tier System, Series A, 6.00%, 1/01/28

     625        712,619   

1st Tier System, Series S, 5.75%, 1/01/18 (a)

     11,615        12,682,418   

1st Tier System, Series SE, 5.75%, 1/01/40

     11,435        12,328,188   

Series B, 5.00%, 1/01/40

     2,270        2,569,731   

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

    

5.00%, 12/15/32

     2,540        2,812,339   

Natural Gas Utility Improvements, 5.00%, 12/15/31

     2,105        2,334,761   
    

 

 

 
               75,828,670   

Utah — 1.7%

    

Leander ISD, GO, Refunding, CAB, Series D, 0.00%, 8/15/38 (c)

     3,775        1,446,089   

Utah Transit Authority, RB, Series A, 5.00%, 6/15/18 (a)

     5,000        5,495,250   
    

 

 

 
               6,941,339   

Washington — 1.8%

    

Washington Health Care Facilities Authority, RB:

    

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

     2,000        2,202,480   

MultiCare Health System, Series C (AGC), 5.50%, 8/15/18 (a)

     4,000        4,464,800   

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

     675        748,926   
    

 

 

 
               7,416,206   

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        1,696,186   
Total Municipal Bonds — 113.0%              466,954,760   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (g)

 

Arizona — 0.7%

    

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

     1,300        1,447,628   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    39


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (g)

   Par  
(000)
    Value  

Arizona (continued)

    

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

   $ 1,500      $ 1,596,255   
    

 

 

 
               3,043,883   

California — 3.6%

    

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

     3,379        3,673,521   

Los Angeles Community College District California, GO, Election of 2001, Series A (AGM), 5.00%, 8/01/17 (a)

     5,000        5,321,750   

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

     449        510,978   

San Diego County Water Authority Financing Corp., COP, Refunding, Series A (AGM):

    

5.00%, 5/01/18 (a)

     808        883,008   

5.00%, 5/01/33

     4,062        4,403,426   
    

 

 

 
               14,792,683   

Connecticut — 0.4%

    

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

     1,561        1,801,570   

District of Columbia — 0.3%

    

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

     1,080        1,261,760   

Florida — 7.9%

    

City of Miami Beach Florida, RB, 5.00%, 9/01/45

     3,500        3,997,420   

City of Tallahassee Florida, RB, Energy System (NPFGC), 5.00%, 10/01/32 (h)

     3,000        3,183,870   

County of Highlands Florida Health Facilities Authority, RB, Adventist, Series C, 5.25%, 11/15/36

     1,800        1,863,108   

County of Miami-Dade Florida Transit Sales Surtax Revenue, Refunding RB, 11.03%, 7/01/20 (d)(e)

     975        2,213,913   

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

     10,101        11,469,775   

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

     6,096        6,782,983   

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

     2,999        3,178,785   
    

 

 

 
               32,689,854   

Illinois — 10.5%

    

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

     8,310        8,502,875   

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

     2,400        2,839,728   

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

     11,748        12,269,029   

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

     1,400        1,554,188   

State of Illinois Toll Highway Authority, RB:

    

Senior Priority, Series A, 5.00%, 1/01/40

     3,045        3,484,900   

Senior Priority, Series B, 5.50%, 1/01/18 (a)

     4,499        4,897,462   

Senior, Series B, 5.00%, 1/01/40

     1,170        1,341,766   

Series A, 5.00%, 1/01/38

     7,714        8,611,031   
    

 

 

 
               43,500,979   

Michigan — 0.9%

    

Michigan Finance Authority, RB, Beaumont Health Credit Group, 5.00%, 11/01/44

     2,220        2,497,458   

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

     960        1,092,787   
    

 

 

 
               3,590,245   

Nevada — 1.7%

    

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

     4,197        4,800,751   

Municipal Bonds Transferred to

Tender Option Bond Trusts (g)

   Par  
(000)
    Value  

Nevada (continued)

    

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

   $ 2,024      $ 2,329,274   
    

 

 

 
               7,130,025   

New Jersey — 0.5%

    

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

     2,000        2,125,446   

New York — 9.8%

    

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        7,216,047   

City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2014, Series DD, 5.00%, 6/15/35

     1,845        2,180,938   

Metropolitan Transportation Authority, RB, Sub-Series D-1, 5.25%, 11/15/44

     3,850        4,509,543   

New York City Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/30

     12,500        14,901,375   

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

     5,720        6,590,469   

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

     4,500        5,002,695   
    

 

 

 
               40,401,067   

Ohio — 0.2%

    

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

     620        699,193   

South Carolina — 0.2%

    

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

     600        679,896   

Texas — 1.3%

    

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

     4,167        4,587,280   

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

     719        817,045   
    

 

 

 
               5,404,325   

Virginia — 0.1%

    

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

     400        451,548   

Washington — 1.9%

    

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/17 (a)

     3,494        3,750,760   

Washington Health Care Facilities Authority, Refunding RB, Seattle Children’s Hospital, Series B, 5.00%, 10/01/38

     3,210        3,934,850   
    

 

 

 
               7,685,610   

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        3,891,430   

Series C, 5.25%, 4/01/39

     2,500        2,707,750   
    

 

 

 
               6,599,180   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 41.6%

  

  

    171,857,264   

Total Long-Term Investments

(Cost — $580,286,116) — 154.6%

  

  

    638,812,024   
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Short-Term Securities — 1.2%    Shares     Value  

BlackRock Liquidity Funds, MuniCash, 0.02% (i)(j)

     5,032,305      $ 5,032,305   

Total Short-Term Securities

(Cost — $5,032,305) — 1.2%

             5,032,305   
Total Investments (Cost — $585,318,421) — 155.8%        643,844,329   
Other Assets Less Liabilities — 1.0%        4,271,587   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (23.6)%

   

    (97,645,209
VMTP Shares, at Liquidation Value — (33.2)%        (137,200,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 413,270,707   
    

 

 

 
 
Notes to Schedule of investments

 

(a)   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.

 

(b)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(c)   Zero-coupon bond.

 

(d)   Variable rate security. Rate as of period end.

 

(e)   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.

 

(f)   When-issued security.

 

(g)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(h)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between April 1, 2016 to December 1, 2029, is $13,670,982. See Note 4 of the Notes to Financial Statements for details.

 

(i)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
    Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 5,032,305        5,032,305         $ 5   

FFI Institutional Tax-Exempt Fund

       6,416,284           (6,416,284               516   

Total

              5,032,305         $ 521   
           

 

 

      

 

 

 

 

(j)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
       Issue        Expiration        Notional Value        Unrealized
Appreciation
      
  (52)           5-Year U.S. Treasury Note           June 2016         $ 6,291,188         $ 4,038     
  (96)           10-Year U.S. Treasury Note           June 2016         $ 12,529,500           7,365     
  (48)           Long U.S. Treasury Bond           June 2016         $ 7,897,500           46,139     
  (10)           Ultra U.S. Treasury Bond           June 2016         $ 1,731,562           7,874       

 

Total

  

     $ 65,416     
                   

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments          Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized
appreciation1
                                   $ 65,416               $ 65,416   

1   Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    41


Schedule of Investments (concluded)

  

BlackRock Municipal Income Quality Trust (BYM)

 

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                   $ (883,824            $ (883,824

Net Change in Unrealized

Appreciation (Depreciation) on:

                                                       

Financial futures contracts

                                   $ (35,476            $ (35,476

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:

          

Average notional value of contracts — short

     $ 19,666,980   

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 638,812,024              $ 638,812,024   

Short-Term Securities

  $ 5,032,305                          5,032,305   
 

 

 

 

Total

  $ 5,032,305         $ 638,812,024              $ 643,844,329   
 

 

 

 

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 1             

Assets:

                

Interest rate contracts

  $ 65,416                        $ 65,416   

1    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 statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 417,050                        $ 417,050   

Liabilities:

                

TOB Trust Certificates

            $ (97,623,691             (97,623,691

VMTP Shares

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

 

 

 

Total

  $ 417,050         $ (234,823,691           $ (234,406,641
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 2.6%

  

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

   $ 1,620      $ 1,635,811   

County of Jefferson Alabama Sewer, Refunding RB:

    

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

     540        592,731   

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

     1,320        1,467,735   

Sub-Lien, Series D, 7.00%, 10/01/51

     3,220        3,992,639   

Lower Alabama Gas District, RB, Series A, 5.00%, 9/01/46

     1,555        1,815,400   
    

 

 

 
               9,504,316   

Arizona — 2.1%

  

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     5,635        6,636,452   

5.00%, 12/01/37

     1,000        1,181,430   
    

 

 

 
               7,817,882   

California — 10.7%

  

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge, Series F-1, 5.63%, 4/01/19 (a)

     2,480        2,848,875   

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

     3,500        4,198,915   

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

     1,365        1,595,467   

California Municipal Finance Authority, RB, Senior, Caritas Affordable Housing, Inc. Projects, S/F Housing, Series A:

    

5.25%, 8/15/39

     160        180,101   

5.25%, 8/15/49

     395        443,178   

California Pollution Control Financing Authority, RB, Poseidon Resources (Channel Side) LP Desalination Project, AMT, 5.00%, 11/21/45 (b)

     1,655        1,802,907   

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

    

5.00%, 5/15/40

     6,500        7,363,590   

5.25%, 5/15/39

     860        965,720   

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

     380        472,439   

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

    

0.00%, 8/01/33

     3,000        1,517,610   

0.00%, 8/01/43

     2,500        806,175   

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     1,760        2,088,662   

6.50%, 4/01/33

     10,645        12,421,331   

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

    

Series I, 5.00%, 11/01/38

     825        951,341   

Sub-Series I-1, 6.38%, 11/01/34

     1,280        1,534,093   
    

 

 

 
               39,190,404   

Colorado — 0.7%

    

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

     2,330        2,623,464   

Connecticut — 0.3%

    

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

     1,005        1,111,148   

Delaware — 2.0%

    

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

     1,240        1,344,334   

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

     4,275        4,405,473   

Delaware Transportation Authority, RB, 5.00%, 6/01/55

     1,260        1,416,744   
    

 

 

 
               7,166,551   
Municipal Bonds    Par  
(000)
    Value  

District of Columbia — 5.3%

  

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

   $ 820      $ 949,322   

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

    

6.50%, 5/15/33

     3,250        4,004,878   

6.75%, 5/15/40

     11,500        11,558,995   

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

    

5.00%, 10/01/39

     550        610,390   

5.25%, 10/01/44

     2,000        2,232,260   
    

 

 

 
               19,355,845   

Florida — 5.7%

    

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

     1,445        1,615,655   

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

     1,665        1,814,450   

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 5/01/45

     1,450        1,620,520   

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

    

Series A, AMT (AGC), 5.25%, 10/01/38

     2,855        3,113,834   

Series A-1, 5.38%, 10/01/41

     1,255        1,430,788   

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

     5,000        5,677,350   

Mid-Bay Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21 (a)

     3,300        4,355,076   

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

     1,895        1,326,254   
    

 

 

 
               20,953,927   

Georgia — 1.7%

  

City of Atlanta Georgia Water & Wastewater, Refunding RB, 5.00%, 11/01/40

     2,870        3,327,162   

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     555        658,091   

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

     915        1,025,358   

Municipal Electric Authority of Georgia, RB, Plant Vogtle Units 3 & 4 Project, Series A, 5.00%, 7/01/60

     1,220        1,351,687   
    

 

 

 
               6,362,298   

Hawaii — 0.5%

  

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

     1,480        1,688,177   

Illinois — 19.3%

    

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

    

Series A, 5.75%, 1/01/39

     5,000        5,827,850   

Series C, 6.50%, 1/01/41

     6,430        7,741,527   

City of Chicago Illinois, GO, Project, Series A, 5.00%, 1/01/34

     3,050        2,938,217   

City of Chicago Illinois, GO, Refunding, Project, Series A, 5.25%, 1/01/32

     4,940        4,918,610   

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

     1,150        1,252,775   

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

     3,130        3,320,961   

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

     845        974,370   

Illinois Finance Authority, Refunding RB:

    

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

     1,060        1,208,050   

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

     1,750        1,987,055   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    43


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds    Par  
(000)
    Value  

Illinois (continued)

    

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

   $ 7,445      $ 7,546,550   

Illinois State Toll Highway Authority, RB:

    

Senior, Series C, 5.00%, 1/01/36

     2,815        3,237,363   

Senior, Series C, 5.00%, 1/01/37

     3,005        3,443,339   

Series A, 5.00%, 1/01/38

     2,520        2,812,925   

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

    

Series B (AGM), 5.00%, 6/15/50

     6,725        7,145,716   

Series B-2, 5.00%, 6/15/50

     2,725        2,822,691   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     520        613,252   

6.00%, 6/01/28

     1,255        1,501,093   

State of Illinois, GO:

    

5.00%, 2/01/39

     1,640        1,719,704   

Series A, 5.00%, 4/01/35

     2,500        2,627,700   

Series A, 5.00%, 4/01/38

     3,885        4,061,573   

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

     685        760,672   

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

    

5.00%, 4/01/39

     860        955,288   

5.00%, 4/01/44

     1,050        1,159,316   
    

 

 

 
               70,576,597   

Indiana — 4.4%

    

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

    

6.75%, 1/01/34

     845        1,031,153   

7.00%, 1/01/44

     3,535        4,341,192   

Indiana Finance Authority, RB, Series A:

    

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

     3,510        4,136,219   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 1/01/51

     435        473,010   

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

     485        523,233   

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

     1,610        1,729,446   

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

     915        1,017,700   

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (a)

     1,200        1,374,060   

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

     1,380        1,569,626   
    

 

 

 
               16,195,639   

Iowa — 2.4%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.00%, 12/01/19

     1,040        1,082,131   

5.50%, 12/01/22

     2,550        2,669,034   

5.25%, 12/01/25

     500        545,120   

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

     1,435        1,528,246   

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

     3,095        3,082,651   
    

 

 

 
               8,907,182   

Kentucky — 0.6%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     1,060        1,189,023   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (f)

     1,280        962,483   
    

 

 

 
               2,151,506   
Municipal Bonds    Par  
(000)
    Value  

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      $ 4,270,719   

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

    

5.50%, 5/15/30

     1,100        1,233,705   

5.25%, 5/15/31

     935        1,046,518   

5.25%, 5/15/32

     1,195        1,352,931   

5.25%, 5/15/33

     1,300        1,447,810   

5.25%, 5/15/35

     545        609,043   
    

 

 

 
               9,960,726   

Maryland — 1.1%

    

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

     475        518,990   

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

     800        763,824   

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

     2,400        2,715,264   
    

 

 

 
               3,998,078   

Massachusetts — 0.7%

  

Massachusetts Development Finance Agency, Refunding RB, Covanta Energy Project, Series C, AMT, 5.25%, 11/01/42 (b)

     1,530        1,535,003   

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

     955        1,063,784   
    

 

 

 
               2,598,787   

Michigan — 2.9%

  

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A, 5.25%, 7/01/39

     4,825        5,338,621   

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

     1,500        1,679,385   

Michigan Finance Authority, Refunding RB, Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 7/01/44

     940        1,017,823   

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

     2,305        2,372,859   
    

 

 

 
               10,408,688   

Missouri — 1.9%

  

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

     6,000        5,175,600   

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

     275        308,528   

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

     1,135        1,227,866   

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

     265        292,859   
    

 

 

 
               7,004,853   

Multi-State — 2.0%

  

Centerline Equity Issuer Trust (b)(g):

    

Series A-4-2, 6.00%, 5/15/19

     3,500        3,940,790   

Series B-3-2, 6.30%, 5/15/19

     3,000        3,402,450   
    

 

 

 
               7,343,240   

Nebraska — 1.6%

  

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

    

5.25%, 9/01/37

     895        994,273   

5.00%, 9/01/42

     1,570        1,692,790   
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds    Par  
(000)
    Value  

Nebraska (continued)

  

County of Lancaster Nebraska Hospital Authority No. 1, Refunding RB, Immanuel Obligation Group, Health Facilities, 5.63%, 1/01/40

   $ 1,245      $ 1,397,201   

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

     1,635        1,795,067   
    

 

 

 
               5,879,331   

Nevada — 0.7%

  

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

     2,465        2,489,625   

New Jersey — 8.7%

  

Casino Reinvestment Development Authority, Refunding RB:

    

5.25%, 11/01/39

     1,100        1,138,643   

5.25%, 11/01/44

     1,640        1,685,871   

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 7/01/45 (b)

     1,165        1,183,454   

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT:

    

4.88%, 9/15/19

     870        918,868   

5.13%, 9/15/23

     2,130        2,356,419   

5.25%, 9/15/29

     2,130        2,332,755   

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

     7,475        9,147,232   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/43

     2,160        2,431,512   

Series E, 5.00%, 1/01/45

     2,810        3,191,991   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.00%, 6/15/44

     3,760        3,939,089   

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

     2,690        2,858,071   

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

     570        653,345   
    

 

 

 
               31,837,250   

New York — 9.4%

  

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

     6,700        6,952,858   

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     2,680        3,054,557   

County of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (b)

     2,000        2,085,940   

County of Westchester New York Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44

     832        932,288   

Metropolitan Transportation Authority, RB, Series B:

    

5.25%, 11/15/38

     2,555        2,996,913   

5.25%, 11/15/39

     910        1,064,491   

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        1,502,636   

3 World Trade Center Project, Class 1, 5.00%, 11/15/44 (b)

     4,640        4,932,552   

3 World Trade Center Project, Class 2, 5.15%, 11/15/34 (b)

     365        392,262   

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (b)

     910        992,127   

New York State Dormitory Authority, Refunding RB, General Purpose, Series A, 5.00%, 6/15/31

     1,930        2,300,135   

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

     1,145        1,161,465   

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC Project, Series 8:

    

6.00%, 12/01/42

     1,635        1,922,090   

Special Project, 6.00%, 12/01/36

     1,410        1,664,589   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

  

Westchester Tobacco Asset Securitization, Refunding RB, 5.13%, 6/01/45

   $ 2,500      $ 2,481,050   
    

 

 

 
               34,435,953   

North Carolina — 3.2%

  

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        6,512,350   

North Carolina Capital Facilities Finance Agency, Refunding RB, Solid Waste Disposal Facility, Duke Energy Carolinas Project, Series B, 4.63%, 11/01/40

     1,000        1,070,540   

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

     1,525        1,696,791   

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage:

    

Aldersgate, 6.25%, 7/01/35

     1,530        1,701,727   

Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/41

     625        715,438   
    

 

 

 
               11,696,846   

Ohio — 2.4%

  

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

     3,405        3,809,854   

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     710        783,251   

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

     3,025        3,267,605   

State of Ohio, RB, Portsmouth Bypass Project, AMT, 5.00%, 6/30/53

     870        943,376   
    

 

 

 
               8,804,086   

Pennsylvania — 2.8%

    

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A, 5.00%, 5/01/42

     2,500        2,641,000   

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 7/01/42

     685        736,423   

Pennsylvania Economic Development Financing Authority, RB:

    

AMT, Pennsylvania Bridge Finco LP, 5.00%, 6/30/42

     3,030        3,316,547   

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

     2,065        2,298,985   

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

     1,190        1,334,038   
    

 

 

 
               10,326,993   

Rhode Island — 1.5%

  

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

    

4.50%, 6/01/45

     2,850        2,877,787   

5.00%, 6/01/50

     2,435        2,514,990   
    

 

 

 
               5,392,777   

South Carolina — 3.9%

  

South Carolina State Ports Authority, RB:

    

5.25%, 7/01/40

     3,595        4,047,898   

AMT, 5.25%, 7/01/55

     1,390        1,538,605   

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

     3,385        3,846,815   

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

     4,170        4,785,784   
    

 

 

 
               14,219,102   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    45


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds    Par  
(000)
    Value  

Tennessee — 0.5%

  

City of Chattanooga Tennessee Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

   $ 1,470      $ 1,648,928   

Texas — 11.7%

  

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

     2,400        60,000   

Central Texas Regional Mobility Authority, Refunding RB:

    

Senior Lien, 6.25%, 1/01/46

     2,350        2,805,970   

Sub-Lien, 5.00%, 1/01/33

     390        430,026   

Central Texas Turnpike System, Refunding RB, Series C, 5.00%, 8/15/42

     630        695,766   

City of Austin Texas Airport System, ARB, Revenue, AMT, 5.00%, 11/15/39

     665        739,832   

City of Dallas Texas Waterworks & Sewer System, Refunding RB, 5.00%, 10/01/35

     1,650        1,899,398   

City of Houston Texas Airport System, Refunding ARB:

    

Senior Lien, Series A, 5.50%, 7/01/39

     1,675        1,839,988   

United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     460        499,114   

City of Houston Texas Utility System, Refunding RB, Combined 1st Lien, Series A (AGC), 6.00%, 11/15/35

     9,145        10,641,122   

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        572,159   

County of Harris Texas-Houston Sports Authority, Refunding RB, 3rd Lien, Series A-3 (NPFGC), 0.00%, 11/15/36 (c)

     25,375        8,514,581   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A, 0.00%, 9/15/37 (c)

     6,055        2,453,183   

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare:

    

6.00%, 8/15/20 (a)

     325        396,087   

6.00%, 8/15/45

     4,085        4,855,880   

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        3,626,880   

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

     2,250        2,654,843   
    

 

 

 
               42,684,829   

Utah — 0.2%

  

Utah State Charter School Finance Authority, RB, Ogden Preparatory Academy, Series A, 3.25%, 10/15/42

     875        834,190   

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        1,952,402   

6.00%, 1/01/37

     3,180        3,678,561   
    

 

 

 
               5,630,963   

Washington — 4.0%

  

City of Bellingham Washington Water & Sewer, RB, 5.00%, 8/01/36

     5,050        5,817,044   

Grant County Public Utility District No 2, Refunding RB, Series A:

    

5.00%, 1/01/41

     2,035        2,345,724   

5.00%, 1/01/43

     2,335        2,689,383   

Port of Seattle Washington, RB, Series C, AMT, 5.00%, 4/01/40

     815        903,713   

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     2,445        2,887,643   
    

 

 

 
               14,643,507   
Municipal Bonds    Par  
(000)
    Value  

Wisconsin — 0.3%

  

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

   $ 910      $ 1,029,019   

Wyoming — 1.5%

  

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

     3,355        3,819,231   

Wyoming Municipal Power Agency, Inc., RB, Series A:

    

5.50%, 1/01/33

     800        859,472   

5.50%, 1/01/38

     750        805,755   
    

 

 

 
               5,484,458   

Total Municipal Bonds — 123.5%

  

    451,957,165   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
              

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        2,594,757   

California — 5.3%

  

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

     2,850        3,165,153   

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

     10,335        11,650,025   

Los Angeles Community College District California, GO, Election of 2001, Series A (AGM), 5.00%, 8/01/17 (a)

     2,530        2,692,805   

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

     1,840        2,095,012   
    

 

 

 
               19,602,995   

Colorado — 2.1%

  

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

    

Series C-3, 5.10%, 4/29/18

     4,230        4,629,904   

Series C-7, 5.00%, 5/01/18

     2,710        2,960,973   
    

 

 

 
               7,590,877   

Connecticut — 3.0%

  

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

    

Series T-1, 4.70%, 7/01/29

     5,179        5,434,574   

Series X-3, 4.85%, 7/01/37

     5,143        5,413,804   
    

 

 

 
               10,848,378   

Georgia — 1.4%

  

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

     4,638        5,080,106   

Massachusetts — 0.8%

  

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

     2,461        2,887,961   

New Hampshire — 0.7%

  

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

     2,219        2,511,501   

New York — 10.8%

  

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        1,941,077   

Series HH, 5.00%, 6/15/31 (j)

     9,150        10,690,769   

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

     1,750        2,033,687   
 

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
   Par  
(000)
    Value  

New York (continued)

  

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

   $ 11,670      $ 13,513,183   

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

     7,040        8,201,878   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     2,790        3,285,644   
    

 

 

 
               39,666,238   

North Carolina — 0.9%

  

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

     2,740        3,178,784   

Texas — 3.0%

  

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

     2,660        2,974,385   

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

     3,720        4,306,793   

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

     3,347        3,894,794   
    

 

 

 
               11,175,972   

Utah — 1.2%

  

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

     3,959        4,315,314   

Virginia — 1.7%

  

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

     5,909        6,427,842   
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
   Par  
(000)
    Value  

Washington — 3.4%

  

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/17 (a)

   $ 3,029      $ 3,251,731   

State of Washington, GO, Various Purposes, Series E, 5.00%, 2/01/19

     8,113        9,102,028   
    

 

 

 
               12,353,759   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 35.0%
        128,234,484   

Total Long-Term Investments

(Cost — $531,001,101) — 158.5%

  

  

    580,191,649   
    
   
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (k)(l)

     5,848,983        5,848,983   
Total Short-Term Securities
(Cost — $5,848,983) — 1.6%
        5,848,983   
Total Investments (Cost — $536,850,084) — 160.1%        586,040,632   
Other Assets Less Liabilities — 0.9%        3,133,841   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (19.7)%

   

    (71,933,824
VMTP Shares, at Liquidation Value — (41.3)%        (151,300,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 365,940,649   
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   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.

 

(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 interest payments.

 

(e)   Non-income producing security.

 

(f)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(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 as of period end.

 

(i)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(j)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between October 1, 2016 to November 15, 2019, is $14,496,598. See Note 4 of the Notes to Financial Statements for details.

 

(k)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
    Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 5,848,983        5,848,983         $ 46   

FFI Institutional Tax-Exempt Fund

       11,886,794           (11,886,794               425   

Total

              5,848,983         $ 471   
           

 

 

      

 

 

 

 

(l)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    47


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

 

Derivative Financial Instruments Outstanding as of Period End

 

 

Financial Futures Contracts

  

   
Contracts
Short
       Issue      Expiration      Notional
Value
       Unrealized
Appreciation
      
  (63      5-Year U.S. Treasury Note      June 2016      $ 7,622,016         $ 18,499     
  (73      10-Year U.S. Treasury Note      June 2016      $ 9,527,641           32,493     
  (34      Long U.S. Treasury Bond      June 2016      $ 5,594,063             42,848     
  (9      Ultra U.S. Treasury Bond      June 2016      $ 1,558,406           6,316       

 

Total

  

     $ 100,156     
                   

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments         Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

  Net unrealized
appreciation1
                                   $ 100,156               $ 100,156   

1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:   
Net Realized Gain (Loss) from:         Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                     $ (702,883            $ (702,883
                 
Net Change in Unrealized Appreciation (Depreciation) on:                                                                   

Financial futures contracts

                                       $ 62,241               $ 62,241   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:   

Average notional value of contracts — short

  $ 16,807,316   

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 580,191,649                   $ 580,191,649   

Short-Term Securities

  $ 5,848,983                               5,848,983   
 

 

 

 

Total

  $ 5,848,983         $ 580,191,649                   $ 586,040,632   
 

 

 

 

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

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1             

Assets:

                

Interest rate contracts

  $ 100,156                             $ 100,156   

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

       

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Trust II (BLE)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 334,800                             $ 334,800   

Liabilities:

                

TOB Trust Certificates

            $ (71,925,067                  (71,925,067

VMTP Shares

              (151,300,000                  (151,300,000
 

 

 

 

Total

  $ 334,800         $ (223,225,067                $ (222,890,267
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    49


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 3.5%

    

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

    

6.00%, 6/01/19

   $ 10,995      $ 12,737,927   

6.13%, 6/01/19

     4,980        5,789,288   

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

     1,745        1,938,137   
    

 

 

 
               20,465,352   

California — 24.6%

    

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

     8,920        9,906,374   

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

     5,370        6,442,335   

California State University, Refunding RB, Systemwide, Series A, (AGM):

    

5.00%, 5/01/17 (a)

     3,030        3,190,499   

5.00%, 11/01/32

     4,930        5,140,264   

City & County of San Francisco California Airports Commission, Refunding ARB, AMT, Series A:

    

2nd, 5.50%, 5/01/28

     3,330        4,029,966   

2nd, 5.25%, 5/01/33

     2,600        3,005,730   

5.00%, 5/01/44

     3,430        3,828,909   

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

     5,000        5,477,200   

City of Manteca California Financing Authority, RB, Manteca Sewer (AGC):

    

5.63%, 12/01/33

     2,450        2,818,112   

5.75%, 12/01/36

     3,285        3,772,757   

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

     4,450        5,239,964   

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

     5,600        6,153,000   

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

     4,365        5,439,445   

Los Angeles California Unified School District, GO, Election of 2002, Series D, 5.25%, 7/01/25

     3,485        4,004,892   

Los Angeles Community College District California, GO:

    

Election of 2001, Series A (NPFGC), 5.00%, 8/01/17 (a)

     10,000        10,643,500   

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

     3,375        3,929,074   

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

     2,980        3,345,706   

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

     4,110        4,857,814   

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

     4,690        5,321,743   

State of California, GO, Various Purposes (AGC), 5.50%, 11/01/39

     15,000        17,199,300   

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

    

5.50%, 11/01/30

     4,500        5,578,830   

5.50%, 11/01/31

     2,615        3,225,236   

5.50%, 11/01/33

     2,000        2,460,360   

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     2,240        2,677,786   

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

     1,685        2,025,606   

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

     12,250        14,529,235   
    

 

 

 
               144,243,637   
Municipal Bonds   

Par  

(000)

    Value  

Colorado — 2.1%

    

City & County of Denver Colorado Airport System, ARB, Series A, AMT:

    

5.50%, 11/15/28

   $ 2,700      $ 3,200,013   

5.50%, 11/15/30

     1,040        1,225,692   

5.50%, 11/15/31

     1,250        1,466,463   

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

     5,925        6,635,407   
    

 

 

 
               12,527,575   

Connecticut — 1.5%

    

Connecticut State Health & Educational Facility Authority, Refunding RB, Quinnipiac University, Series L, 5.00%, 7/01/45

     7,670        8,624,992   

Florida — 9.1%

    

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

     1,250        1,496,750   

City of Miami Beach Florida Parking Revenue, RB, 5.00%, 9/01/45

     4,155        4,727,310   

County of Broward Florida Airport System Revenue, ARB, Series A, AMT, 5.00%, 10/01/45

     2,655        2,965,476   

County of Hillsborough Florida Aviation Authority, Refunding ARB, Tampa International Airport, Series A, AMT:

    

5.50%, 10/01/29

     5,360        6,319,011   

5.25%, 10/01/30

     3,255        3,766,002   

County of Lee Florida, Refunding ARB, Series A, AMT, 5.38%, 10/01/32

     7,100        7,985,370   

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

     820        844,165   

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

     350        355,975   

County of Miami-Dade Florida, RB, Seaport:

    

Series A, 5.38%, 10/01/33

     3,145        3,617,410   

Series B, AMT, 6.25%, 10/01/38

     1,405        1,736,454   

Series B, AMT, 6.00%, 10/01/42

     1,885        2,238,061   

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

     2,870        3,463,085   

County of Miami-Dade Florida Aviation, Refunding ARB, AMT, Series A:

    

Miami International Airport (AGM), 5.50%, 10/01/41

     3,500        3,847,795   

5.00%, 10/01/31

     5,465        6,163,755   

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

     3,225        3,824,140   
    

 

 

 
               53,350,759   

Hawaii — 1.9%

    

State of Hawaii, Department of Transportation, COP, AMT:

    

5.25%, 8/01/25

     1,350        1,609,713   

5.25%, 8/01/26

     2,500        2,970,825   

State of Hawaii, Department of Transportation, RB, Series A, AMT, 5.00%, 7/01/45

     5,985        6,669,385   
    

 

 

 
               11,249,923   

Illinois — 24.2%

    

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

    

Series A, 5.75%, 1/01/39

     7,395        8,619,390   

Series C, 6.50%, 1/01/41

     16,800        20,226,696   

City of Chicago Illinois Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT:

    

5.50%, 1/01/30

     6,500        7,528,170   

5.50%, 1/01/32

     6,275        7,200,563   
 

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

    

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A, 5.00%, 1/01/41

   $ 8,020      $ 8,734,823   

City of Chicago Illinois Transit Authority, RB:

    

Federal Transit Administration, Section 5309, Series A (AGC), 6.00%, 12/01/18 (a)

     6,315        7,216,150   

Sales Tax Receipts, 5.25%, 12/01/36

     1,960        2,150,140   

Sales Tax Receipts, 5.25%, 12/01/40

     10,960        11,939,495   

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

     7,735        8,328,042   

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

    

5.50%, 12/01/38

     5,395        6,220,975   

5.25%, 12/01/43

     6,305        7,075,723   

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

     4,000        4,719,440   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     4,365        5,147,775   

6.00%, 6/01/28

     1,245        1,489,132   

State of Illinois, GO:

    

5.25%, 2/01/31

     2,700        2,934,765   

5.25%, 2/01/32

     5,525        5,970,315   

5.50%, 7/01/33

     7,820        8,569,625   

5.50%, 7/01/38

     1,295        1,402,848   

5.00%, 2/01/39

     5,000        5,243,000   

State of Illinois Finance Authority, RB, University of Chicago, Series B, 5.50%, 7/01/18 (a)

     10,000        11,109,000   
    

 

 

 
        141,826,067   

Indiana — 3.5%

    

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 7/01/40

     1,240        1,346,032   

Indiana Municipal Power Agency, Refunding RB, Series A:

    

5.25%, 1/01/32

     1,500        1,755,225   

5.25%, 1/01/33

     1,500        1,751,970   

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

     14,105        15,881,243   
    

 

 

 
        20,734,470   

Louisiana — 0.9%

    

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

    

Series A-1, 6.00%, 1/01/23

     500        566,630   

Series A-2, 6.00%, 1/01/23

     720        812,491   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

     3,735        4,101,927   
    

 

 

 
        5,481,048   

Maryland — 0.2%

    

Maryland Economic Development Corp., Refunding RB, University Of Maryland, College Park Projects, 5.00%, 6/01/35 (b)

     840        973,896   

Massachusetts — 0.2%

    

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/27

     1,000        1,156,750   

Michigan — 3.6%

    

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

     6,320        7,111,137   

Hudsonville Public Schools, GO, School Building & Site, (Q-SBLF) 5.25%, 5/01/41

     6,015        6,954,904   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (a)

     5,780        6,860,340   
    

 

 

 
        20,926,381   
Municipal Bonds   

Par  

(000)

    Value  

Minnesota — 1.9%

    

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

    

6.50%, 11/15/18(a)

   $ 1,525      $ 1,757,532   

6.50%, 11/15/38

     8,375        9,469,194   
    

 

 

 
        11,226,726   

Mississippi — 2.9%

    

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM):

    

6.88%, 12/01/40

     6,405        8,578,537   

Special Obligation, 6.75%, 12/01/31

     3,775        5,022,449   

Special Obligation, 6.75%, 12/01/33

     2,350        3,126,557   
    

 

 

 
        16,727,543   

Nevada — 5.3%

    

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

     11,175        12,536,674   

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

     11,245        12,151,684   

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

     5,850        6,606,756   
    

 

 

 
        31,295,114   

New Jersey — 7.2%

    

New Jersey EDA, RB:

    

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     7,000        7,781,060   

School Facilities Construction (AGC), 6.00%, 12/15/18 (a)

     4,280        4,904,366   

School Facilities Construction (AGC), 6.00%, 12/15/34

     70        79,089   

The Goethals Bridge Replacement Project, Private Activity Bond, AMT (AGM), 5.00%, 1/01/31

     2,425        2,715,418   

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

     6,500        7,298,265   

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT, 5.75%, 12/01/28

     4,065        4,561,784   

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

    

Series A, 5.50%, 6/15/41

     5,410        5,836,524   

Series AA, 5.50%, 6/15/39

     8,175        8,959,882   
    

 

 

 
        42,136,388   

New York — 7.3%

    

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

    

2nd General Resolution, Fiscal 2009, Series EE, 5.25%, 6/15/40

     7,500        8,451,750   

Water & Sewer System, 2nd General Resolution, Series EE, 5.38%, 6/15/43

     3,475        4,070,407   

Water & Sewer System, Series FF-2, 5.50%, 6/15/40

     4,000        4,541,160   

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

     4,000        4,525,840   

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     4,000        4,746,600   

Series A-1, 5.25%, 11/15/39

     4,490        5,275,211   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 7/15/36

     10,000        11,507,500   
    

 

 

 
        43,118,468   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    51


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

Municipal Bonds   

Par  

(000)

    Value  

Ohio — 1.5%

    

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

    

5.25%, 2/15/31

   $ 5,145      $ 6,134,332   

5.25%, 2/15/32

     2,250        2,668,320   
    

 

 

 
        8,802,652   

Pennsylvania — 2.9%

    

Pennsylvania Turnpike Commission, RB:

    

Series B, 5.00%, 12/01/45

     7,605        8,574,029   

Sub-Series A, 6.00%, 12/01/16 (a)

     4,945        5,154,816   

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

     3,000        3,449,700   
    

 

 

 
        17,178,545   

South Carolina — 7.3%

    

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

     6,735        7,960,231   

County of Charleston South Carolina Airport District, ARB, Series A, AMT:

    

5.25%, 7/01/25

     4,490        5,333,043   

5.50%, 7/01/38

     3,000        3,424,830   

6.00%, 7/01/38

     5,270        6,190,458   

5.50%, 7/01/41

     4,170        4,743,041   

South Carolina Ports Authority, RB, AMT, 5.25%, 7/01/50

     3,445        3,850,270   

State of South Carolina Public Service Authority, Refunding RB:

    

Obligations, Series C, 5.00%, 12/01/46

     4,530        5,089,274   

Series E, 5.25%, 12/01/55

     5,500        6,250,365   
    

 

 

 
        42,841,512   

Tennessee — 0.4%

    

Metropolitan Nashville Airport Authority, RB, AMT, Series B, 5.00%, 7/01/43

     2,000        2,254,120   

Texas — 16.6%

    

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

     4,190        4,888,180   

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

    

6.00%, 11/15/35

     12,700        14,777,720   

6.00%, 11/15/36

     9,435        10,978,566   

5.38%, 11/15/38

     5,000        5,604,000   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

    

6.50%, 1/01/19 (a)

     320        369,722   

6.50%, 7/01/37

     1,450        1,633,875   

Dallas Area Rapid Transit, Refunding RB:

    

Senior Lien, 5.25%, 12/01/18 (a)

     5,215        5,859,105   

Senior Lien, 5.25%, 12/01/38

     3,895        4,322,087   

Series A, 5.00%, 12/01/48

     4,455        5,203,529   

Dallas-Fort Worth International Airport, ARB, Joint Improvement, AMT:

    

Series A, 5.00%, 11/01/38

     5,580        6,124,720   

Series H, 5.00%, 11/01/37

     4,575        5,018,775   

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

     3,735        4,423,995   

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

    

(AGM), 6.00%, 1/01/43

     5,555        6,569,176   

Series K-1 (AGC), 5.75%, 1/01/38

     12,150        13,576,045   

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

     7,170        8,275,972   
    

 

 

 
        97,625,467   

Virginia — 1.2%

    

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

     1,750        1,987,265   
Municipal Bonds   

Par  

(000)

    Value  

Virginia (continued)

    

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

   $ 4,300      $ 4,980,045   
    

 

 

 
        6,967,310   

Washington — 1.5%

    

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

     4,200        4,881,156   

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

     3,290        3,848,938   
    

 

 

 
        8,730,094   
Total Municipal Bonds – 131.3%        770,464,789   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
              

California — 0.5%

    

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

     2,400        2,700,144   

District of Columbia — 0.6%

    

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/18 (a)(d)

     3,378        3,834,536   

Florida — 2.0%

    

County of Hillsborough Florida Aviation Authority, ARB, Tampa International Airport, Series A, AMT (AGC), 5.50%, 10/01/38

     10,657        11,670,312   

Indiana — 1.8%

    

Indiana Health & Educational Facilities Financing Authority, Refunding RB, St. Francis, Series E (AGM), 5.25%, 5/15/18 (a)

     9,850        10,817,467   

Kentucky — 0.1%

    

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

     404        452,594   

Nevada — 2.5%

    

County of Clark Nevada Water Reclamation District, GO:

    

Limited Tax, 6.00%, 7/01/18 (a)

     8,000        8,983,840   

Series B, 5.50%, 7/01/29

     5,008        5,727,354   
    

 

 

 
        14,711,194   

New Jersey — 3.3%

    

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

     7,402        7,858,067   

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

    

Series A (AMBAC), 5.00%, 12/15/32

     8,000        8,401,040   

Series B, 5.25%, 6/15/36 (d)

     2,961        3,145,661   
    

 

 

 
        19,404,768   

New York — 10.8%

    

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        5,669,989   

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

     5,619        6,235,712   

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

     9,249        10,749,490   

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

     13,950        16,153,291   
 

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

New York (continued)

    

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

   $ 8,200      $ 9,553,324   

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

     13,500        15,152,940   
    

 

 

 
        63,514,746   

Texas — 4.2%

    

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

     12,027        13,417,131   

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

     9,640        11,396,215   
    

 

 

 
        24,813,346   

Utah — 1.2%

    

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

     6,373        6,947,002   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 27.0%

  

  

    158,866,109   

Total Long-Term Investments

(Cost — $835,289,392) — 158.3%

  

  

    929,330,898   
Short-Term Securities        
Shares
    Value  

BlackRock Liquidity Funds, MuniCash, 0.02% (e)(f)

     5,266,008      $ 5,266,008   
Total Short-Term Securities
(Cost — $5,266,008) — 0.9%
        5,266,008   
Total Investments (Cost — $840,555,400) — 159.2%        934,596,906   
Other Assets Less Liabilities — 1.4%        7,821,358   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (13.8)%

   

    (80,932,496
VRDP Shares, at Liquidation Value — (46.8)%        (274,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 586,885,768   
    

 

 

 
 
Notes to Schedule of investments

 

(a)   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.

 

(b)   When-issued security.

 

(c)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(d)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire bewteen October 1, 2016 to November 15, 2019, is $22,519,127. See Note 4 of the Notes to Financial Statements for details.

 

(e)   During the period ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate     

Shares Held

at August 31,

2015

       Net
Activity
   

Shares Held

at February 29,

2016

       Income  

BlackRock Liquidity Funds, MuniCash

                 5,266,008        5,266,008         $ 40   

FFI Institutional Tax-Exempt Fund

       3,674,880           (3,674,880               392   

Total

              5,266,008         $ 432   
           

 

 

      

 

 

 

 

(f)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts                      
Contracts
Short
    Issue   Expiration      Notional
Value
    Unrealized
Appreciation
      
  (119   5-Year U.S. Treasury Note   June 2016      $ 14,397,141      $ 9,240     
  (139   10-Year U.S. Treasury Note   June 2016      $ 18,141,672        10,818     
  (49   Long U.S. Treasury Bond   June 2016      $ 8,062,031        47,122     
  (8   Ultra U.S. Treasury Bond   June 2016      $ 1,385,250        5,487       

 

Total

  

  $ 72,667     
          

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments        

Commodity

Contracts

  

Credit

Contracts

  

Equity

Contracts

  

Foreign

Currency

Exchange

Contracts

  

Interest
Rate

Contracts

    

Other

Contracts

     Total  

Financial futures contracts..

  Net unrealized appreciation1                $ 72,667               $ 72,667   

1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    53


Schedule of Investments (concluded)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:      
Net Realized Gain (Loss) from:        

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Financial futures contracts

                                       $ (1,447,375            $ (1,447,375
Net Change in Unrealized
Appreciation (Depreciation) on:
                                                         

Financial futures contracts

                                       $ (141,211            $ (141,211

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:     

Average notional value of contracts — short

   $29,104,289

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 929,330,898                   $ 929,330,898   

Short-Term Securities

  $ 5,266,008                               5,266,008   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 5,266,008         $ 929,330,898                   $ 934,596,906   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

 

                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1                 

Assets:

                

Interest rate contracts

  $ 72,667                             $ 72,667   

1    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 statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for Financial Future Contracts

  $ 529,150                        $ 529,150   

Liabilities:

                

TOB Trust Certificates

            $ (80,917,802             (80,917,802

VRDP Shares

              (274,600,000             (274,600,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 529,150         $ (355,517,802           $ (354,988,652
 

 

 

      

 

 

      

 

    

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 1.9%

  

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A:

    

5.80%, 5/01/34

   $ 1,850      $ 2,101,378   

5.38%, 12/01/35

     1,000        1,110,680   

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

     7,610        8,944,566   
    

 

 

 
               12,156,624   

Alaska — 0.7%

  

City of Anchorage Alaska Electric Revenue, Refunding RB, Series A, 5.00%, 12/01/41

     3,000        3,402,000   

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

     1,250        1,062,437   
    

 

 

 
               4,464,437   

Arizona — 3.4%

  

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Junior Lien, Series A, 5.00%, 7/01/40

     2,000        2,241,500   

City of Phoenix Arizona IDA, RB, Candeo School, Inc. Project:

    

6.63%, 7/01/33

     2,245        2,539,072   

6.88%, 7/01/44

     3,440        3,928,824   

City of Phoenix Arizona IDA, Refunding RB (a):

    

Basis Schools, Inc. Projects, Series A, 5.00%, 7/01/35

     600        630,108   

Basis Schools, Inc. Projects, Series A, 5.00%, 7/01/45

     760        782,823   

Legacy Traditional School Projects, 5.00%, 7/01/45

     700        707,763   

County of Maricopa Arizona IDA, RB, Arizona Charter Schools Project, Series A, 6.75%, 7/01/29

     1,150        1,108,807   

County of Maricopa Arizona Pollution Control Corp., Refunding RB, Southern California Edison Co., Series A, 5.00%, 6/01/35

     3,300        3,707,220   

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

     5,725        6,763,687   
    

 

 

 
               22,409,804   

California — 6.4%

  

California Health Facilities Financing Authority, RB:

    

St. Joseph Health System, Series A, 5.75%, 7/01/39

     5,000        5,715,800   

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

     5,600        6,718,264   

California Health Facilities Financing Authority, Refunding RB, Dignity Health, Series A, 6.00%, 7/01/34

     1,055        1,213,493   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A, 5.25%, 5/15/39

     1,200        1,347,516   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/19 (b)

     9,585        11,277,232   

Oakland Unified School District/Alameda County, GO, Series A, 5.00%, 8/01/40

     1,000        1,121,190   

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement District No. 2007-1, Election of 2008, Series B, 0.00%, 8/01/46 (c)

     10,000        2,950,800   

State of California, GO, Various Purposes, 6.50%, 4/01/33

     9,675        11,289,467   
    

 

 

 
               41,633,762   

Colorado — 1.8%

  

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

     2,500        2,805,475   
Municipal Bonds   

Par  

(000)

    Value  

Colorado (continued)

  

Colorado Health Facilities Authority, Refunding RB, Evangelical Lutheran Good Samaritan Society Project, 5.00%, 6/01/45

   $ 7,000      $ 7,644,210   

Copperleaf Metropolitan District No 2, GO, Refunding, 5.75%, 12/01/45

     1,000        1,050,070   

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

     385        442,326   
    

 

 

 
               11,942,081   

Delaware — 0.4%

  

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

     2,500        2,710,350   

District of Columbia — 0.2%

  

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

    

5.00%, 10/01/39

     415        460,567   

5.25%, 10/01/44

     650        725,485   
    

 

 

 
               1,186,052   

Florida — 8.3%

  

City of Jacksonville Florida, Refunding RB, Brooks Rehabilitation Project, 4.00%, 11/01/40

     1,770        1,795,877   

County of Miami-Dade Florida, GO, Building Better Communities Program:

    

Series B, 6.38%, 7/01/28

     4,630        5,232,734   

Series B-1, 5.63%, 7/01/38

     5,000        5,514,200   

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

     3,750        4,257,525   

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

    

Series A, AMT (AGC), 5.00%, 10/01/40

     10,000        10,484,800   

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

     10,290        11,731,320   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, University of Miami, Series A, 5.00%, 4/01/45

     4,625        5,226,296   

County of Miami-Dade Florida Expressway Authority, RB, Toll System, Series A (AGM), 5.00%, 7/01/35

     8,900        10,002,265   
    

 

 

 
               54,245,017   

Georgia — 1.4%

  

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series B, AMT, 5.00%, 1/01/29

     1,070        1,182,425   

County of DeKalb Georgia Hospital Authority, Refunding RB, DeKalb Medical Center, Inc. Project, 6.13%, 9/01/40

     3,570        3,911,256   

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

     3,335        3,737,235   
    

 

 

 
               8,830,916   

Hawaii — 0.9%

  

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

     5,000        5,698,050   

Illinois — 9.9%

  

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

     4,640        4,842,397   

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

     2,110        2,314,691   

City of Chicago Illinois Wastewater Transmission, Refunding RB, 2nd Lien, Series C, 5.00%, 1/01/39

     1,000        1,082,300   

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien (AGM), 5.25%, 11/01/33

     1,330        1,399,240   

County of Cook Illinois Community College District No. 508, GO, University & College Improvements, 5.25%, 12/01/31

     5,000        5,600,350   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    55


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

  

Illinois Finance Authority, RB:

    

Advocate Health Care Network, Series D, 6.50%, 11/01/18 (b)

   $ 9,700      $ 11,174,594   

Disposal Waste Management, Inc., Series A, AMT, 5.05%, 8/01/29

     1,000        1,013,990   

Memorial Health System, Series A, 5.25%, 7/01/44

     1,785        1,967,338   

Illinois Finance Authority, Refunding RB, Series A:

    

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

     9,000        10,423,710   

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

     4,990        5,752,821   

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

     2,645        3,163,658   

Regional Transportation Authority, RB:

    

Series A (AMBAC), 7.20%, 11/01/20

     1,930        2,233,029   

Series C (NPFGC), 7.75%, 6/01/20

     3,455        3,970,624   

Village of Hodgkins Illinois, RB, Metropolitan Biosolids Management LLC Project, AMT, 6.00%, 11/01/23

     10,000        10,018,800   
    

 

 

 
               64,957,542   

Indiana — 1.4%

  

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT, 6.75%, 1/01/34

     2,250        2,745,675   

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 7/01/40

     2,640        2,865,746   

Indiana Finance Authority, Refunding RB, Deaconess Health System, Series A, 5.00%, 3/01/39

     3,000        3,417,090   
    

 

 

 
               9,028,511   

Iowa — 1.4%

  

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project, 5.25%, 12/01/25

     4,500        4,906,080   

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed:

    

CAB, Series B, 5.60%, 6/01/34

     1,500        1,500,570   

Series C, 5.63%, 6/01/46

     2,500        2,490,025   
    

 

 

 
               8,896,675   

Kansas — 0.6%

  

Wyandotte County-Kansas City Unified Government Utility System, RB, Series A, 5.00%, 9/01/40

     3,700        4,212,857   

Kentucky — 2.7%

  

County of Owen Kentucky, RB, Kentucky American Water Co. Project, Series B, 5.63%, 9/01/39

     1,000        1,114,220   

Kentucky Economic Development Finance Authority, Refunding RB, Hospital Facilities, St. Elizabeth Medical Center, Inc., Series A, 5.50%, 5/01/39

     8,000        8,934,880   

Lexington-Fayette Urban County Airport Board, Refunding GARB, Series A, 5.00%, 7/01/27

     7,000        7,869,190   
    

 

 

 
               17,918,290   

Louisiana — 3.2%

  

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

     2,615        3,059,707   

Parish of St. Charles Louisiana, RB, Valero Energy Corp., 4.00%, 12/01/40 (d)

     2,210        2,376,921   

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

    

5.25%, 5/15/31

     3,420        3,827,904   

5.25%, 5/15/32

     4,375        4,953,200   

5.25%, 5/15/33

     4,750        5,290,075   

5.25%, 5/15/35

     1,500        1,676,265   
    

 

 

 
               21,184,072   
Municipal Bonds   

Par  

(000)

    Value  

Maine — 1.0%

  

Maine Health & Higher Educational Facilities Authority, RB, Series A, 5.00%, 7/01/39

   $ 5,000      $ 5,519,600   

Portland Housing Development Corp., Refunding RB, Senior Living, Retirement Facilities, Series A, 6.00%, 2/01/34

     1,190        1,191,737   
    

 

 

 
               6,711,337   

Maryland — 2.9%

  

Maryland Community Development Administration, HRB, Series H, AMT, 5.10%, 9/01/37

     1,605        1,625,239   

Maryland Community Development Administration, Refunding, HRB, Residential, Series D, AMT, 4.90%, 9/01/42

     3,250        3,278,210   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Charlestown Community Project, 6.25%, 1/01/41

     2,000        2,262,720   

Meritus Medical Center Issue, 5.00%, 7/01/40

     6,350        7,049,453   

University of Maryland Medical System, 5.00%, 7/01/34

     2,100        2,274,111   

University of Maryland Medical System, 5.13%, 7/01/39

     2,100        2,264,955   
    

 

 

 
               18,754,688   

Massachusetts — 3.5%

  

Massachusetts Bay Transportation Authority, Refunding RB, General Transportation System, Series A, 7.00%, 3/01/19

     1,100        1,158,960   

Massachusetts HFA, RB, AMT:

    

M/F Housing, Series A, 5.20%, 12/01/37

     2,865        2,904,050   

S/F Housing, Series 130, 5.00%, 12/01/32

     2,115        2,141,818   

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

     6,550        6,829,096   

Massachusetts Water Resources Authority, RB, Series A, 6.50%, 7/15/19 (e)

     9,240        10,031,498   
    

 

 

 
               23,065,422   

Michigan — 3.7%

  

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

     2,500        2,812,950   

Michigan State Hospital Finance Authority, Refunding RB, Series A:

    

Henry Ford Health System, 5.25%, 11/15/46

     7,950        8,184,048   

McLaren Health Care, 5.75%, 5/15/18 (b)

     7,285        8,087,006   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (b)

     4,100        4,866,331   
    

 

 

 
               23,950,335   

Minnesota — 0.2%

  

City of Cologne Minnesota Charter School, LRB, Cologne Academy Project, Series A, 5.00%, 7/01/45

     1,500        1,538,355   

Mississippi — 5.0%

  

County of Lowndes Mississippi, Refunding RB, Solid Waste Disposal & Pollution Control, Weyerhaeuser Co. Project:

    

Series A, 6.80%, 4/01/22

     9,160        11,392,109   

Series B, 6.70%, 4/01/22

     4,500        5,549,760   

Mississippi Business Finance Corp., Refunding RB, System Energy Resource, Inc. Project, 5.88%, 4/01/22

     10,835        11,183,887   

Mississippi Development Bank, Refunding RB, Municipal Energy Agency Of Mississippi, Series A (AGM), 4.00%, 3/01/41

     4,500        4,565,160   
    

 

 

 
               32,690,916   
 

 

See Notes to Financial Statements.

 

                
56    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds   

Par  

(000)

    Value  

Nebraska — 1.0%

  

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

   $ 6,200      $ 6,684,902   

New Hampshire — 0.8%

  

New Hampshire Housing Finance Authority, Refunding RB, S/F Housing, Acquisition, Series H, AMT, 5.15%, 1/01/40

     4,885        4,959,154   

New Jersey — 9.2%

  

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/44

     1,400        1,439,158   

New Jersey EDA, RB:

    

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

     1,530        1,729,084   

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.13%, 1/01/34

     1,050        1,172,136   

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     10,000        11,115,800   

School Facilities Construction, Series UU, 5.00%, 6/15/40

     3,390        3,544,245   

New Jersey EDA, Refunding RB:

    

5.25%, 6/15/19 (b)

     2,650        3,024,498   

5.25%, 12/15/33

     7,350        7,662,816   

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series AA, 6.38%, 10/01/28

     375        388,988   

New Jersey Transportation Trust Fund Authority, RB:

    

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

     7,260        2,273,033   

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

     8,750        9,412,637   

Transportation Program, Series AA, 5.25%, 6/15/41

     780        838,087   

Transportation Program, Series AA, 5.00%, 6/15/44

     8,075        8,459,612   

Transportation System, Series B, 5.50%, 6/15/31

     8,000        8,750,960   
    

 

 

 
               59,811,054   

New York — 6.5%

  

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

     545        586,856   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, Series FF-2, 5.50%, 6/15/40

     4,150        4,711,454   

County of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     3,500        3,650,395   

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 6/01/45

     4,435        4,302,039   

Metropolitan Transportation Authority, RB, Series C:

    

6.25%, 11/15/23

     3,245        3,732,139   

6.50%, 11/15/28

     14,925        17,261,360   

New York Liberty Development Corp., Refunding RB, 3 World Trade Center Project (a):

    

Class 1, 5.00%, 11/15/44

     2,735        2,907,442   

Class 2, 5.15%, 11/15/34

     460        494,357   

Class 2, 5.38%, 11/15/40

     1,145        1,248,336   

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        3,736,472   
    

 

 

 
               42,630,850   

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        4,112,799   
Municipal Bonds   

Par  

(000)

    Value  

Ohio — 3.9%

  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 6.50%, 6/01/47

   $ 1,125      $ 1,082,756   

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

     2,875        3,216,837   

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     1,690        1,864,357   

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

     1,915        2,373,164   

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

     9,230        10,720,830   

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.50%, 5/01/34

     5,470        6,136,301   
    

 

 

 
               25,394,245   

Pennsylvania — 2.4%

  

City of Philadelphia Pennsylvania IDA, RB, Retirement Facilities, Rieder House Project, Series A, 6.10%, 7/01/33

     1,255        1,256,669   

County of Delaware Pennsylvania IDA, Refunding RB, Covanta Project, 5.00%, 7/01/43

     5,000        5,055,000   

County of Montgomery Pennsylvania IDA, Refunding RB, Whitemarsh Continuing Care Retirement Community, 5.25%, 1/01/40

     2,625        2,674,061   

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

     195        217,043   

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Bridge Finco LP, AMT, 5.00%, 12/31/38

     2,565        2,809,855   

Pennsylvania HFA, RB, S/F Housing Mortgage, Series 118B, 4.05%, 10/01/40

     3,850        3,977,166   
    

 

 

 
               15,989,794   

Rhode Island — 1.4%

  

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

    

4.50%, 6/01/45

     6,820        6,886,495   

5.00%, 6/01/50

     2,000        2,065,700   
    

 

 

 
               8,952,195   

South Carolina — 0.7%

  

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

     3,800        4,318,434   

Texas — 11.8%

  

Brazos River Authority, Refunding RB, Texas Utility Co., Series A, AMT, 7.70%, 4/01/33 (f)(g)

     3,055        76,375   

Central Texas Regional Mobility Authority, RB, Senior Lien, Series A:

    

5.00%, 1/01/40

     1,215        1,367,312   

5.00%, 1/01/45

     3,500        3,938,760   

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien:

    

5.75%, 1/01/31

     1,000        1,171,100   

6.00%, 1/01/41

     4,300        5,089,394   

Series A, 5.00%, 1/01/43

     6,925        7,420,969   

City of Houston Texas Airport System, Refunding ARB, United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     2,665        2,891,605   

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        1,009,367   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    57


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

  

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

    

7.13%, 12/01/18

   $ 3,500      $ 4,108,895   

7.25%, 12/01/18

     5,400        6,357,852   

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare:

    

6.00%, 8/15/20(b)

     370        450,930   

6.00%, 8/15/45

     4,630        5,503,727   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, 5.00%, 10/01/44

     875        938,044   

La Vernia Higher Education Finance Corp., RB, KIPP, Inc., Series A, 6.25%, 8/15/19 (b)

     925        1,092,397   

Love Field Airport Modernization Corp., RB, Southwest Airlines Co. Project, 5.25%, 11/01/40

     3,600        3,978,648   

New Hope Cultural Education Facilities Corp., RB, Collegiate Housing Tarleton State University Project, 5.00%, 4/01/35

     500        540,540   

New Hope Cultural Education Facilities Corp., Refunding RB, 1st Mortgage, Morningside Ministries Project, 6.25%, 1/01/33

     1,600        1,851,760   

North Texas Education Finance Corp., ERB, Uplift Education, Series A, 5.13%, 12/01/42

     1,000        1,056,550   

North Texas Tollway Authority, Refunding RB, Series A:

    

1st Tier, 6.25%, 1/01/39

     3,500        3,955,070   

5.00%, 1/01/38

     5,000        5,683,800   

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        12,089,600   

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

     4,710        5,557,470   

Texas State University System, RB, 5.00%, 3/15/16 (b)

     655        656,408   
    

 

 

 
               76,786,573   

Vermont — 0.0%

  

Vermont Educational & Health Buildings Financing Agency, RB, Developmental & Mental Health, Series A, 6.38%, 6/15/22

     30        30,492   

Virginia — 3.6%

  

City of Portsmouth Virginia, GO, Refunding, Series D, 5.00%, 7/15/34

     3,105        3,542,432   

County of Fairfax Virginia EDA, Refunding RB, Goodwin House, Inc.:

    

5.13%, 10/01/37

     2,000        2,076,480   

5.13%, 10/01/42

     6,015        6,231,660   

Tobacco Settlement Financing Corp., Refunding RB, Convertible, Senior, Series B2, 5.20%, 6/01/46

     3,750        3,069,863   

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

    

6.00%, 1/01/37

     2,620        3,030,764   

5.50%, 1/01/42

     5,140        5,694,966   
    

 

 

 
               23,646,165   

Washington — 4.3%

  

Energy Northwest, Refunding RB, Series B, 7.13%, 7/01/16

     14,320        14,652,654   

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     4,010        4,735,970   

Washington Health Care Facilities Authority, Refunding RB, Catholic Health Initiatives, Series D, 6.38%, 10/01/36

     7,000        7,882,280   
Municipal Bonds   

Par  

(000)

    Value  

Washington (continued)

  

Washington State Housing Finance Commission, RB, Heron’s Key, Series A (a):

    

6.75%, 7/01/35

   $ 265      $ 277,481   

Washington State Housing Finance Commission, RB, Heron’s Key, Series A (a) (continued):

    

7.00%, 7/01/45

     590        615,370   
    

 

 

 
               28,163,755   

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        2,772,200   

Wisconsin — 1.0%

  

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

     6,100        6,606,910   

Wyoming — 1.2%

  

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

     4,500        5,122,665   

Wyoming Community Development Authority, Refunding RB, Series 2 & 3, 4.05%, 12/01/38

     2,545        2,599,235   
    

 

 

 
               7,721,900   
Total Municipal Bonds — 109.7%              716,767,515   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
 

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        3,897,460   

California — 3.5%

  

University of California, RB, General, Series O:

    

5.25%, 5/15/19(b)

     3,235        3,694,377   

5.25%, 5/15/39

     16,765        18,845,023   
    

 

 

 
               22,539,400   

Connecticut — 1.9%

  

Connecticut State Health & Educational Facility Authority, RB, Yale University, Series Z-3, 5.05%, 7/01/42

     12,000        12,638,880   

District of Columbia — 1.3%

  

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 5.50%, 10/01/18 (b)

     7,495        8,407,695   

Florida — 2.6%

  

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

     14,747        16,744,598   

Illinois — 4.8%

  

State of Illinois Finance Authority, RB, University of Chicago, Series B, 6.25%, 7/01/18 (b)

     10,000        11,282,700   

State of Illinois Toll Highway Authority, RB, Series B, Senior:

    

Priority, 5.50%, 1/01/18 (b)

     6,999        7,618,275   

5.00%, 1/01/40

     10,976        12,591,963   
    

 

 

 
               31,492,938   

Kentucky — 1.6%

  

County of Louisville & Jefferson Kentucky Metropolitan Government Parking Authority, RB, River City, Inc., 1st Mortgage, Series A, 5.38%, 12/01/39

     9,195        10,467,680   
 

 

See Notes to Financial Statements.

 

                
58    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

Maryland — 0.8%

  

State of Maryland Transportation Authority, RB, Transportation Facilities Project (AGM), 5.00%, 7/01/41

   $ 4,710      $ 5,105,028   

Nevada — 2.8%

  

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

     15,789        18,168,336   

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        26,399,677   

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

     10,001        11,650,395   
    

 

 

 
               38,050,072   

North Carolina — 2.8%

  

North Carolina Capital Facilities Finance Agency, Refunding RB:

    

Duke University Project, Series A, 5.00%, 10/01/41

     12,678        12,986,571   

Wake Forest University, 5.00%, 1/01/38

     5,000        5,512,400   
    

 

 

 
               18,498,971   

Ohio — 2.2%

  

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

     4,400        4,738,140   

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

     8,500        9,585,705   
    

 

 

 
               14,323,845   

Oregon — 2.0%

  

State of Oregon Housing & Community Services Department, HRB, M/F Housing, Series A, AMT, 4.95%, 7/01/30

     12,295        13,045,339   

South Carolina — 0.0%

  

State of South Carolina Housing Finance & Development Authority, Refunding RB, S/F Housing, Series B-1, 5.55%, 7/01/39

     79        81,268   

Texas — 7.5%

  

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

     8,333        9,174,559   

City of Houston Texas Higher Education Finance Corp., RB, Rice University Project, Series A, 5.00%, 5/15/40

     10,000        11,332,997   

County of Harris Texas Health Facilities Development Corp., Refunding RB, School Health Care System, Series B, 5.75%, 7/01/27 (e)

     20,970        26,950,224   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

Texas (continued)

  

Texas Department of Housing & Community Affairs, RB, S/F Mortgage, Series B, AMT, 5.25%, 9/01/32

   $ 1,735      $ 1,762,500   
    

 

 

 
               49,220,280   

Virginia — 2.6%

  

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

     2,099        2,370,629   

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

     7,999        9,296,799   

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

     5,002        5,550,823   
    

 

 

 
               17,218,251   

Washington — 6.0%

  

Central Puget Sound Regional Transit Authority, RB, Series A (b):

    

5.00%, 11/01/17

     11,000        11,807,180   

(AGM), 5.00%, 11/01/17

     14,007        15,035,233   

Washington Health Care Facilities Authority, Refunding RB, Seattle Children’s Hospital, Series B, 5.00%, 10/01/38

     10,000        12,258,100   
    

 

 

 
               39,100,513   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 48.8%

  

  

    319,000,554   

Total Long-Term Investments

(Cost — $941,506,120) — 158.5%

  

  

    1,035,768,069   
    
   
Short-Term Securities — 1.8%    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (j)(k)

     11,635,223        11,635,223   

Total Short-Term Securities
(Cost — $11,635,223) — 1.8%

   

    11,635,223   
Total Investments (Cost — $953,141,343) — 160.3%        1,047,403,292   
Other Assets Less Liabilities — 1.5%        9,670,569   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (24.5)%

   

    (159,985,201
VMTP Shares, at Liquidation Value — (37.3)%        (243,800,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 653,288,660   
 

 

 

 
 
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)   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)   Zero-coupon bond.

 

(d)   Variable rate security. Rate as of period end.

 

(e)   Security is collateralized by municipal bonds or U.S. Treasury obligations.

 

(f)   Non-income producing security.

 

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

 

(h)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(i)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on November 15, 2019, is $5,295,502. See Note 4 of the Notes to Financial Statements for details.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    59


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

 

(j)   During the period ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
    Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 11,635,223        11,635,223             

FFI Institutional Tax-Exempt Fund

       8,611,512           (8,611,512             $ 460   

Total

              11,635,223         $ 460   

 

(k)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

 

Financial Futures Contracts

  

   
Contracts
Short
    Issue   Expiration      Notional
Value
    Unrealized
Appreciation
      
  (126   5-Year U.S. Treasury Note   June 2016      $ 15,244,031      $ 18,545     
  (122   10-Year U.S. Treasury Note   June 2016      $ 15,922,906        9,875     
  (49   Long U.S. Treasury Bond   June 2016      $ 8,062,031        47,122     
  (12   Ultra U.S. Treasury Bond   June 2016      $ 2,077,875        8,230       
  Total               $ 83,772     
          

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

  Net unrealized
appreciation1
                                   $ 83,772               $ 83,772   

1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:   
Net Realized Gain (Loss) from:         Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                       $ (1,242,035            $ (1,242,035
Net Change in Unrealized
Appreciation (Depreciation) on:
                                                                  

Financial futures contracts

                                       $ 34,710               $ 34,710   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:   

Average notional value of contracts – short

  $ 28,654,227   

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
60    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 1,035,768,069                   $ 1,035,768,069   

Short-Term Securities

  $ 11,635,223                               11,635,223   
 

 

 

 

Total

  $ 11,635,223         $ 1,035,768,069                   $ 1,047,403,292   
 

 

 

 

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

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1             

Assets:

                

Interest rate contracts

  $ 83,772                             $ 83,772   

1    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 statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 532,500                             $ 532,500   

Liabilities:

                

TOB Trust Certificates

            $ (159,975,655                  (159,975,655

VMTP Shares

              (243,800,000                  (243,800,000
 

 

 

 

Total

  $ 532,500         $ (403,775,655                $ (403,243,155
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    61


Statements of Assets and Liabilities     

 

February 29, 2016 (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)
 
       
Assets   

Investments at value — unaffiliated1

  $ 86,913,071      $ 279,690,954      $ 218,923,705      $ 638,812,024   

Investments at value — affiliated2

    135,473        328,750        1,151,976        5,032,305   

Cash pledged for financial futures contracts

    45,950        275,050        132,800        417,050   
Receivables:        

Interest

    967,806        3,023,732        2,333,342        6,313,960   

Investments sold

    632,822        49,405        1,145,608        419,761   

Deferred offering costs

    111,610                        

Prepaid expenses

    46,276        15,517        12,949        21,419   

Other assets

                         9,053   
 

 

 

 

Total assets

    88,853,008        283,383,408        223,700,380        651,025,572   
 

 

 

 
       
Accrued Liabilities   

Payables:

       

Investments purchased

    442,412        2,945,636        1,376,785        522,988   

Income dividends — Common Shares

    253,740        788,314        599,335        1,888,049   

Reorganization costs

    103,840                        

Investment advisory fees

    39,839        144,387        96,850        283,423   

Officer’s and Trustees’ fees

    7,985        25,487        18,945        59,123   

Variation margin on financial futures contracts

    4,031        22,727        11,688        34,845   

Interest expense and fees

    1,565        3,889        4,917        22,138   

Other accrued expenses

    20,150        84,973        72,171        120,608   
 

 

 

 

Total accrued liabilities

    873,562        4,015,413        2,180,691        2,931,174   
 

 

 

 
       
Other Liabilities   

TOB Trust Certificates

    16,235,837        21,235,789        37,759,323        97,623,691   

VRDP Shares, at liquidation value of $100,000 per share3,4

    17,800,000                        

VMTP Shares, at liquidation value of $100,000 per share3,4

           79,900,000        42,200,000        137,200,000   
 

 

 

 

Total other liabilities

    34,035,837        101,135,789        79,959,323        234,823,691   
 

 

 

 

Total liabilities

    34,909,399        105,151,202        82,140,014        237,754,865   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 53,943,609      $ 178,232,206      $ 141,560,366      $ 413,270,707   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of   

Paid-in capital5,6,7

  $ 47,238,805      $ 149,343,663      $ 124,019,631      $ 374,650,783   

Undistributed net investment income

    636,089        2,541,279        1,718,975        3,548,276   

Undistributed net realized gain (accumulated net realized loss)

    (3,193,088     479,572        (5,937,728     (23,519,676

Net unrealized appreciation (depreciation)

    9,261,803        25,867,692        21,759,488        58,591,324   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 53,943,609      $ 178,232,206      $ 141,560,366      $ 413,270,707   
 

 

 

 

Net asset value per Common Share

  $ 16.16      $ 16.96      $ 16.18      $ 15.65   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 77,666,668      $ 253,858,772      $ 197,182,911      $ 580,286,116   

2    Investments at cost — affiliated

  $ 135,473      $ 328,750      $ 1,151,976      $ 5,032,305   

3    Preferred Shares outstanding, par value $ 0.001 per share

    178        799        422        1,372   

4    Preferred Shares authorized, including Auction Market Rate Preferred Shares (“AMPS”)

    unlimited        unlimited        unlimited        unlimited   

5    Par value per Common Share

  $ 0.001      $ 0.001      $ 0.001      $ 0.001   

6    Common Shares outstanding

    3,338,684        10,510,852        8,749,418        26,406,273   

7    Common Shares authorized

    unlimited        unlimited        unlimited        unlimited   

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Assets and Liabilities     

 

February 29, 2016 (Unaudited)   BlackRock
Municipal
Income Trust II
(BLE)
    BlackRock
MuniHoldings
Investment
Quality Fund
(MFL)
    BlackRock
MuniVest
Fund, Inc.
(MVF)
 
     
Assets   

Investments at value — unaffiliated1

  $ 580,191,649      $ 929,330,898      $ 1,035,768,069   

Investments at value — affiliated2

    5,848,983        5,266,008        11,635,223   

Cash pledged for financial futures contracts

    334,800        529,150        532,500   
Receivables:      

Interest

    6,870,968        10,701,875        12,882,045   

Investments sold

           6,973,256        432,226   

Deferred offering costs

           429,260          

Prepaid expenses

    26,143        30,897        49,032   
 

 

 

 

Total assets

    593,272,543        953,261,344        1,061,299,095   
 

 

 

 
     
Accrued Liabilities   

Payables:

     

Investments purchased

    1,785,451        7,293,603          

Income dividends — Common Shares

    1,854,163        2,703,256        3,432,852   

Investment advisory fees

    257,409        395,642        420,212   

Officer’s and Trustees’ fees

    53,610        222,727        141,326   

Variation margin on financial futures contracts

    28,821        47,134        47,080   

Interest expense and fees

    9,444        15,792        9,546   

Other accrued expenses

    117,929        179,620        183,764   
 

 

 

 

Total accrued liabilities

    4,106,827        10,857,774        4,234,780   
 

 

 

 
     
Other Liabilities   

TOB Trust Certificates

    71,925,067        80,917,802        159,975,655   

VRDP Shares, at liquidation value of $100,000 per share3,4,5

           274,600,000          

VMTP Shares, at liquidation value of $100,000 per share3,4,5

    151,300,000               243,800,000   
 

 

 

 

Total other liabilities

    223,225,067        355,517,802        403,775,655   
 

 

 

 

Total liabilities

    227,331,894        366,375,576        408,010,435   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 365,940,649      $ 586,885,768      $ 653,288,660   
 

 

 

 
     
Net Assets Applicable to Common Shareholders Consist of   

Paid-in capital6,7,8

  $ 332,911,711      $ 525,907,131      $ 583,465,276   

Undistributed net investment income

    3,578,581        9,114,076        6,630,652   

Accumulated net realized loss

    (19,840,347     (42,249,612     (31,152,989

Net unrealized appreciation (depreciation)

    49,290,704        94,114,173        94,345,721   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 365,940,649      $ 586,885,768      $ 653,288,660   
 

 

 

 

Net asset value per Common Share

  $ 15.59      $ 15.52      $ 10.18   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 531,001,101      $ 835,289,392      $ 941,506,120   

2    Investments at cost — affiliated

  $ 5,848,983      $ 5,266,008      $ 11,635,223   

3    Preferred Shares outstanding, par value $0.001 per share

    1,513                 

4    Preferred Shares outstanding, par value $0.01 per share

           2,746        2,438   

5    Preferred Shares authorized, including Auction Market Rate Preferred Shares (“AMPS”)

    unlimited        1,000,000        10,000,000   

6    Par Value per Common Share

  $ 0.001      $ 0.10      $ 0.10   

7    Common Shares outstanding

    23,470,421        37,807,776        64,165,459   

8    Common Shares authorized

    unlimited        unlimited        150,000,000   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    63


Statements of Operations     

 

Six Months Ended February 29, 2016 (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)
 
       
Investment Income   

Interest — unaffiliated

  $ 1,999,411      $ 6,153,001      $ 4,710,562      $ 13,998,496   

Dividends — affiliated

    59        331        146        521   
 

 

 

 

Total income

    1,999,470        6,153,332        4,710,708        13,999,017   
 

 

 

 
       
Expenses   

Investment advisory

    283,175        890,931        594,922        1,761,068   

Reorganization costs

    129,122                        

Professional

    27,860        30,660        28,476        41,931   

Liquidity fees

    21,831                        

Rating agency

    20,428        17,997        17,962        18,047   

Transfer agent

    8,400        12,536        10,965        19,638   

Accounting services

    8,017        22,379        18,389        29,989   

Custodian

    3,648        8,400        6,413        14,539   

Registration

    3,038        3,031        3,036        3,303   

Officer and Trustees

    2,855        9,323        7,489        21,564   

Printing

    2,768        3,974        3,431        5,786   

Remarketing fees on Preferred Shares

    2,521                        

Miscellaneous

    10,734        17,876        12,294        22,833   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    524,397        1,017,107        703,377        1,938,698   

Interest expense, fees and amortization of offering costs1

    119,473        472,114        342,000        1,036,569   
 

 

 

 

Total expenses

    643,870        1,489,221        1,045,377        2,975,267   

Less:

       

Fees waived by the Manager

    (34,860     (12     (32     (84

Reorganization costs reimbursed by the Manager

    (24,173                     
 

 

 

 

Total expenses after fees waived and/or reimbursed

    584,837        1,489,209        1,045,345        2,975,183   
 

 

 

 

Net investment income

    1,414,633        4,664,123        3,665,363        11,023,834   
 

 

 

 
       
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) from:        

Investments

    64,043        1,177,003        310,356        222,942   

Financial futures contracts

    (156,495     (666,155     (403,471     (883,824
 

 

 

 
    (92,452     510,848        (93,115     (660,882
 

 

 

 
Net change in unrealized appreciation (depreciation) on:        

Investments

    897,090        4,559,501        3,412,183        12,735,434   

Financial futures contracts

    (3,046     5,891        (30,775     (35,476
 

 

 

 
    894,044        4,565,392        3,381,408        12,699,958   
 

 

 

 

Net realized and unrealized gain

    801,592        5,076,240        3,288,293        12,039,076   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 2,216,225      $ 9,740,363      $ 6,953,656      $ 23,062,910   
 

 

 

 

1    Related to TOB Trusts, VRDP Shares and/or VMTP Shares.

       

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Operations     

 

Six Months Ended February 29, 2016 (Unaudited)   BlackRock
Municipal
Income Trust II
(BLE)
    BlackRock
MuniHoldings
Investment
Quality Fund
(MFL)
    BlackRock
MuniVest
Fund, Inc.
(MVF)
 
     
Investment Income   

Interest — unaffiliated

  $ 13,602,572      $ 21,019,632      $ 24,755,101   

Dividends — affiliated

    471        432        460   
 

 

 

 

Total income

    13,603,043        21,020,064        24,755,561   
 

 

 

 
     
Expenses   

Investment advisory

    1,598,862        2,566,423        2,603,139   

Professional

    39,352        54,855        57,401   

Liquidity fees

           13,945          

Rating agency

    18,059        18,174        18,141   

Transfer agent

    19,328        23,283        27,540   

Accounting services

    29,989        59,534        64,275   

Custodian

    14,006        19,885        20,554   

Registration

    3,940        4,787        10,740   

Officer and Trustees

    19,233        24,866        32,702   

Printing

    5,508        7,249        7,495   

Remarketing fees on Preferred Shares

           13,692          

Miscellaneous

    23,049        25,766        28,647   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,771,326        2,832,459        2,870,634   

Interest expense, fees and amortization of offering costs1

    998,338        1,540,077        1,735,295   
 

 

 

 

Total expenses

    2,769,664        4,372,536        4,605,929   

Less fees waived by the Manager

    (145     (122,549     (53
 

 

 

 

Total expenses after fees waived

    2,769,519        4,249,987        4,605,876   
 

 

 

 

Net investment income

    10,833,524        16,770,077        20,149,685   
 

 

 

 
     
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) from:      

Investments

    (1,022,020     1,461,724        622,114   

Financial futures contracts

    (702,883     (1,447,375     (1,242,035
 

 

 

 
    (1,724,903     14,349        (619,921
 

 

 

 
Net change in unrealized appreciation (depreciation) on:      

Investments

    10,026,689        12,576,594        10,227,337   

Financial futures contracts

    62,241        (141,211     34,710   
 

 

 

 
    10,088,930        12,435,383        10,262,047   
 

 

 

 

Net realized and unrealized gain

    8,364,027        12,449,732        9,642,126   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 19,197,551      $ 29,219,809      $ 29,791,811   
 

 

 

 

1    Related to TOB Trusts, VRDP Shares and/or VMTP Shares.

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    65


Statements of Changes in Net Assets     

 

    BlackRock Municipal Bond
Investment Trust (BIE)
        BlackRock Municipal
Bond Trust (BBK)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29, 2016
(Unaudited)
   

Year Ended

August 31,
2015

        Six Months Ended
February 29, 2016
(Unaudited)
    Year Ended
August 31,
2015
 
         
Operations   

Net investment income

  $ 1,414,633      $ 3,004,560        $ 4,664,123      $ 9,503,477   

Net realized gain (loss)

    (92,452     (80,744       510,848        1,548,099   

Net change in unrealized appreciation (depreciation)

    894,044        (956,508       4,565,392        (1,236,436
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    2,216,225        1,967,308          9,740,363        9,815,140   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1    

From net investment income

    (1,522,440     (3,044,880       (4,729,884     (10,250,183

From net realized gain

                    (141,550       
 

 

 

     

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (1,522,440     (3,044,880       (4,871,434     (10,250,183
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders   

Total increase (decrease) in net assets applicable to Common Shareholders

    693,785        (1,077,572       4,868,929        (435,043

Beginning of period

    53,249,824        54,327,396          173,363,277        173,798,320   
 

 

 

     

 

 

 

End of period

  $ 53,943,609      $ 53,249,824        $ 178,232,206      $ 173,363,277   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 636,089      $ 743,896        $ 2,541,279      $ 2,607,040   
 

 

 

     

 

 

 
    BlackRock Municipal Income
Investment Quality Trust (BAF)
        BlackRock Municipal Income
Quality Trust (BYM)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29,2016
(Unaudited)
   

Year Ended

August 31,
2015

        Six Months Ended
February 29, 2016
(Unaudited)
   

Year Ended

August 31,
2015

 
         
Operations   

Net investment income

  $ 3,665,363      $ 7,230,529        $ 11,023,834      $ 22,246,384   

Net realized gain (loss)

    (93,115     106,639          (660,882     (318,886

Net change in unrealized appreciation (depreciation)

    3,381,408        (1,665,179       12,699,958        (8,510,641
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    6,953,656        5,671,989          23,062,910        13,416,857   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1    

From net investment income

    (3,596,011     (7,192,022       (11,328,291     (22,656,582
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders   

Total increase (decrease) in net assets applicable to Common Shareholders

    3,357,645        (1,520,033       11,734,619        (9,239,725

Beginning of period

    138,202,721        139,722,754          401,536,088        410,775,813   
 

 

 

     

 

 

 

End of period

  $ 141,560,366      $ 138,202,721        $ 413,270,707      $ 401,536,088   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,718,975      $ 1,649,623        $ 3,548,276      $ 3,852,733   
 

 

 

     

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

       

     

 

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Changes in Net Assets     

 

    BlackRock Municipal
Income Trust II (BLE)
        BlackRock MuniHoldings
Investment Quality Fund (MFL)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29, 2016
(Unaudited)
    Year Ended
August 31,
2015
        Six Months Ended
February 29, 2016
(Unaudited)
   

Year Ended

August 31,
2015

 
         
Operations                       

Net investment income

  $ 10,833,524      $ 21,686,325        $ 16,770,077      $ 33,545,462   

Net realized gain (loss)

    (1,724,903     (243,116       14,349        138,575   

Net change in unrealized appreciation (depreciation)

    10,088,930        (4,296,064       12,435,383        (12,049,280
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    19,197,551        17,147,145          29,219,809        21,634,757   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                        

From net investment income

    (11,124,980     (22,592,238       (16,219,536     (32,439,071
 

 

 

     

 

 

 
         
Capital Share Transactions                       

Reinvestment of common distributions

           274,680                   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                       

Total increase (decrease) in net assets applicable to Common Shareholders

    8,072,571        (5,170,413       13,000,273        (10,804,314

Beginning of period

    357,868,078        363,038,491          573,885,495        584,689,809   
 

 

 

     

 

 

 

End of period

  $ 365,940,649      $ 357,868,078        $ 586,885,768      $ 573,885,495   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 3,578,581      $ 3,870,037        $ 9,114,076      $ 8,563,535   
 

 

 

     

 

 

 

 

    BlackRock
MuniVest Fund, Inc. (MVF)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29, 2016
(Unaudited)
    Year Ended
August 31,
2015
 
   
Operations   

Net investment income

  $ 20,149,685      $ 39,487,957   

Net realized gain (loss)

    (619,921     2,335,707   

Net change in unrealized appreciation (depreciation)

    10,262,047        (15,316,394
 

 

 

   

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    29,791,811        26,507,270   
 

 

 

   

 

 

 
   
Distributions to Common Shareholders1    

From net investment income

    (20,639,866     (41,164,637
 

 

 

   

 

 

 
   
Capital Share Transactions   

Reinvestment of common distributions

    1,247,276        624,769   
 

 

 

   

 

 

 
   
Net Assets Applicable to Common Shareholders   

Total increase (decrease) in net assets applicable to Common Shareholders

    10,399,221        (14,032,598

Beginning of period

    642,889,439        656,922,037   
 

 

 

   

 

 

 

End of period

  $ 653,288,660      $ 642,889,439   
 

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 6,630,652      $ 7,120,833   
 

 

 

   

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    67


Statements of Cash Flows     

 

Six Months Ended February 29, 2016 (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)
 
       
Cash Provided by (Used for) Operating Activities                                

Net increase in net assets resulting from operations

  $ 2,216,225      $ 9,740,363      $ 6,953,656      $ 23,062,910   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    6,594,489        36,817,238        33,415,586        39,676,311   

Purchases of long-term investments

    (7,198,542     (42,995,084     (37,399,432     (34,280,587

Net proceeds from sales (purchases) of short-term securities

    724,813        5,686,594        (198,365     1,383,979   

Amortization of premium and accretion of discount on investments

    124,860        (305,704     399,733        (948,097

Net realized gain on investments

    (68,344     (1,177,003     (310,356     (235,012

Net unrealized gain on investments

    (897,090     (4,559,501     (3,412,183     (12,735,434
(Increase) decrease in assets:        

Cash pledged for financial futures contracts

    4,000        (55,000     13,000        46,000   
Receivables:        

Interest

    (32,796     91,138        (77,573     (72,750

Variation margin on financial futures contracts

    5,203        22,923        14,063        53,392   

Prepaid expenses

    13,420        7,005        9,246        3,177   

Other assets

                         (9,053
Increase (decrease) in liabilities:        
Payables:        

Interest expense and fees

    (1,219     (2,404     (2,149     (6,589

Investment advisory fees

    (44,662     (156,406     (101,440     (314,096

Officer’s and Trustees’ fees

    384        (1,389     (1,089     (2,931

Other accrued expenses

    (29,035     (5,093     (8,099     (14,635

Variation margin on financial futures contracts

    4,031        22,727        11,688        34,845   
 

 

 

 

Net cash provided by (used for) operating activities

    1,415,737        3,130,404        (693,714     15,641,430   
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Cash distributions paid to Common Shareholders

    (1,522,440     (4,871,434     (3,596,011     (11,328,291

Payments for offering costs

    103,840                        

Repayments of TOB Trust Certificates

                         (9,750,007

Proceeds from TOB Trust Certificates

           1,741,030        4,289,725        5,555,725   

Decrease in bank overdraft

                         (118,857

Amortization of deferred offering costs

    2,863                        
 

 

 

 

Net cash provided by (used for) financing activities

    (1,415,737     (3,130,404     693,714        (15,641,430
 

 

 

 
Cash                                

Net increase in cash

                           

Cash at beginning of period

                           
 

 

 

 

Cash at end of period

                           
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the period for interest expense

  $ 117,829      $ 474,518      $ 344,149      $ 1,043,158   
 

 

 

 

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Cash Flows     

 

Six Months Ended February 29, 2016 (Unaudited)  

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

  $ 19,197,551      $ 29,219,809      $ 29,791,811   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

     

Proceeds from sales of long-term investments

    18,015,418        111,210,255        54,547,766   

Purchases of long-term investments

    (26,223,039     (105,032,541     (62,461,189

Net proceeds from sales (purchases) of short-term securities

    6,037,811        (1,591,128     (3,023,711

Amortization of premium and accretion of discount on investments

    270,183        1,450,570        909,661   

Net realized (gain) loss on investments

    1,022,020        (1,461,724     (622,114

Net unrealized gain on investments

    (10,026,689     (12,576,594     (10,227,337
(Increase) decrease in assets:      

Cash pledged for financial futures contracts

    (81,000     50,000        (168,000

Receivables:

     

Interest

    (69,453     (14,659     (44,229

Variation margin on financial futures contracts

    26,456        60,330        37,970   

Prepaid expenses

    (1,204     44,804        (15,322
Increase (decrease) in liabilities:      

Payables:

     

Interest expense and fees

    (8,320     (9,435     (15,730

Investment advisory fees

    (282,952     (476,579     (458,836

Officer’s and Trustees’ fees

    (2,846     538        (3,856

Other accrued expenses

    (11,245     (12,986     (15,271

Variation margin on financial futures contracts

    28,821        47,134        47,080   
 

 

 

 

Net cash provided by operating activities

    7,891,512        20,907,794        8,278,693   
 

 

 

 
     
Cash Used for Financing Activities                        

Cash distributions paid to Common Shareholders

    (11,124,980     (16,219,536     (19,386,012

Repayments of TOB Trust Certificates

           (4,696,706     (1,542,300

Proceeds from TOB Trust Certificates

    3,233,468               12,650,935   

Decrease in bank overdraft

                  (1,316

Amortization of deferred offering costs

           8,448          
 

 

 

 

Net cash used for financing activities

    (7,891,512     (20,907,794     (8,278,693
 

 

 

 
     
Cash                        

Net increase in cash

                    

Cash at beginning of period

                    
 

 

 

 

Cash at end of period

                    
 

 

 

 
     
Supplemental Disclosure of Cash Flow Information                        

Cash paid during the period for interest expense

  $ 1,006,658      $ 1,541,064      $ 1,751,025   
 

 

 

 
     
Non-Cash Financing Activities                        

Capital shares issued in reinvestment of distributions paid to Common Shareholders

                  1,247,276   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    69


Financial Highlights    BlackRock Municipal Bond Investment Trust (BIE)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.95      $ 16.27      $ 14.27      $ 16.88      $ 14.67      $ 15.51   
 

 

 

 

Net investment income1

    0.42        0.90        0.93        0.90        0.92        1.03   

Net realized and unrealized gain (loss)

    0.25        (0.31     1.98        (2.58     2.26        (0.89

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2      (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.67        0.59        2.91        (1.68     3.18        0.12   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.46     (0.91     (0.91     (0.93     (0.97     (0.96
 

 

 

 

Net asset value, end of period

  $ 16.16      $ 15.95      $ 16.27      $ 14.27      $ 16.88      $ 14.67   
 

 

 

 

Market price, end of period

  $ 15.54      $ 14.10      $ 14.58      $ 13.14      $ 16.61      $ 14.22   
 

 

 

 
           
Total Return Applicable to Common Shareholders4        

Based on net asset value

    4.46% 5      4.26%        21.64%        (10.35)%        22.36%        1.29%   
 

 

 

 

Based on market price

    13.63% 5      2.85%        18.37%        (16.10)%        24.21%        (2.38)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    2.42% 6      1.97%        2.07%        2.09%        2.21% 7      1.81% 7 
 

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.20% 6      1.84%        1.94%        1.96%        2.12% 7      1.66% 7 
 

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, and amortization of offering costs8

    1.75% 6,9      1.56% 9      1.63% 9      1.60% 9      1.72% 7,9      1.39% 7 
 

 

 

 

Net investment income

    5.31% 6      5.54%        6.05%        5.45%        5.78% 7      7.25% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.01%        0.13%   
 

 

 

 

Net investment income to Common Shareholders

    5.31% 6      5.54%        6.05%        5.45%        5.77%        7.12%   
 

 

 

 
           
Supplemental Data        

Net assets applicable to Common Shareholders, end of period (000)

  $ 53,944      $ 53,250      $ 54,327      $ 47,647      $ 56,331      $ 48,941   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 17,850   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $  93,546   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 17,800      $ 17,800      $ 17,800      $ 17,800      $ 17,800          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  403,054      $  399,156      $  405,210      $  367,678      $  416,465          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 16,236      $ 16,236      $ 16,236      $ 16,756      $ 18,585      $ 16,276   
 

 

 

 

Portfolio turnover rate

    8%        17%        18%        32%        36%        25%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total 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 distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the six months ended February 29, 2016 and the years ended August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.66%, 1.24%, 1.27%, 1.27% and 1.42%, respectively.

 

 

See Notes to Financial Statements.      
                
70    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock Municipal Bond Trust (BBK)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 16.49      $ 16.54      $ 14.18      $ 16.79      $ 14.48      $ 15.29   
 

 

 

 

Net investment income1

    0.44        0.90        0.97        0.96        1.01        1.14   

Net realized and unrealized gain (loss)

    0.49        0.03        2.43        (2.46     2.37        (0.87

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.93        0.93        3.40        (1.50     3.37        0.24   
 

 

 

 
Distributions to Common Shareholders:2            

From net investment income

    (0.45     (0.98     (0.96     (0.97     (1.06     (1.05

From net realized gain

    (0.01            (0.08     (0.14              
 

 

 

 

Total distributions to Common Shareholders

    (0.46     (0.98     (1.04     (1.11     (1.06     (1.05
 

 

 

 

Net asset value, end of period

  $ 16.96      $ 16.49      $ 16.54      $ 14.18      $ 16.79      $ 14.48   
 

 

 

 

Market price, end of period

  $ 16.78      $ 15.23      $ 15.59      $ 13.49      $ 17.16      $ 14.86   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    5.85% 4      5.96%        25.27%        (9.52)%        23.96%        2.02%   
 

 

 

 

Based on market price

    13.39% 4      3.83%        24.11%        (15.78)%        23.45%        1.38%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.70% 5      1.73%        1.84%        1.82%        1.69% 6      1.33% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.70% 5      1.73%        1.84%        1.82%        1.64% 6      1.19% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.16% 5      1.16%        1.19%        1.17%        1.18% 6,8      1.16% 6 
 

 

 

 

Net investment income

    5.33% 5      5.41%        6.29%        5.85%        6.39% 6      8.15% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.04%        0.19%   
 

 

 

 

Net investment income to Common Shareholders

    5.33% 5      5.41%        6.29%        5.85%        6.35%        7.96%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 178,232      $ 173,363      $ 173,798      $ 149,003      $ 176,216      $  151,471   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 79,900   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 72,394   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 79,900      $ 79,900      $ 79,900      $ 79,900      $ 79,900          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $  323,069      $  316,975      $  317,520      $  286,487      $  320,545          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 21,236      $ 19,495      $ 19,495      $ 17,039      $ 14,489      $ 7,399   
 

 

 

 

Portfolio turnover rate

    13%        34%        32%        32%        46%        27%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  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 29, 2016    71


Financial Highlights    BlackRock Municipal Income Investment Quality Trust (BAF)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.80      $ 15.97      $ 13.83      $ 16.53      $ 14.50      $ 15.08   
 

 

 

 

Net investment income1

    0.42        0.83        0.83        0.81        0.83        0.91   

Net realized and unrealized gain (loss)

    0.37        (0.18     2.13        (2.68     2.09        (0.58

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2      (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.79        0.65        2.96        (1.87     2.92        0.31   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.41     (0.82     (0.82     (0.83     (0.89     (0.89
 

 

 

 

Net asset value, end of period

  $ 16.18      $ 15.80      $ 15.97      $ 13.83      $ 16.53      $ 14.50   
 

 

 

 

Market price, end of period

  $ 15.21      $ 13.89      $ 14.18      $ 12.82      $ 16.24      $ 13.92   
 

 

 

 
           
Total Return Applicable to Common Shareholders4        

Based on net asset value

    5.30% 5      4.71%        22.67%        (11.69)%        20.76%        2.62%   
 

 

 

 

Based on market price

    12.59% 5      3.68%        17.50%        (16.68)%        23.59%        (5.01)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.50% 6      1.50%        1.58%        1.63%        1.49% 7      1.25% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.50% 6      1.50%        1.58%        1.63%        1.49% 7      1.23% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.01% 6      1.00%        1.03%        1.03%        1.06% 7,9      1.09% 7 
 

 

 

 

Net investment income

    5.27% 6      5.16%        5.56%        5.02%        5.31% 7      6.51% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.02%        0.12%   
 

 

 

 

Net investment income to Common Shareholders

    5.27% 6      5.16%        5.56%        5.02%        5.29%        6.39%   
 

 

 

 
           
Supplemental Data        

Net assets applicable to Common Shareholders, end of period (000)

  $ 141,560      $ 138,203      $ 139,723      $ 120,962      $ 144,587      $  126,783   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 42,275   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 99,975   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 42,200      $ 42,200      $ 42,200      $ 42,200      $ 42,200          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $  435,451      $  427,495      $  431,097      $  386,639      $  442,624          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 37,759      $ 33,470      $ 32,345      $ 33,845      $ 36,497      $ 22,266   
 

 

 

 

Portfolio turnover rate

    16%        13%        26%        43%        51%        33%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total 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 distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  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 1.05%.

 

 

See Notes to Financial Statements.      
                
72    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock Municipal Income Quality Trust (BYM)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.21      $ 15.56      $ 13.46      $ 16.11      $ 14.09      $ 14.64   
 

 

 

 

Net investment income1

    0.42        0.84        0.86        0.91        0.93        0.97   

Net realized and unrealized gain (loss)

    0.45        (0.33     2.16        (2.62     2.02        (0.58

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2      (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.87        0.51        3.02        (1.71     2.95        0.37   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.43     (0.86     (0.92     (0.94     (0.93     (0.92
 

 

 

 

Net asset value, end of period

  $ 15.65      $ 15.21      $ 15.56      $ 13.46      $ 16.11      $ 14.09   
 

 

 

 

Market price, end of period

  $ 14.85      $ 13.67      $ 13.96      $ 12.59      $ 16.73      $ 13.85   
 

 

 

 
           
Total Return Applicable to Common Shareholders4        

Based on net asset value

    5.99% 5      3.85%        23.69%        (11.13)%        21.54%        3.09%   
 

 

 

 

Based on market price

    11.90% 5      4.03%        18.65%        (19.96)%        28.40%        (2.79)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.47% 6      1.47%        1.55%        1.55%        1.46% 7      1.25% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.47% 6      1.47%        1.55%        1.55%        1.46% 7      1.24% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    0.96% 6      0.96%        0.98%        0.96%        1.00% 7,9      1.07% 7 
 

 

 

 

Net investment income

    5.43% 6      5.42%        5.89%        5.77%        6.12% 7      7.15% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.03%        0.14%   
 

 

 

 

Net investment income to Common Shareholders

    5.43% 6      5.42%        5.89%        5.77%        6.09%        7.01%   
 

 

 

 
           
Supplemental Data        

Net assets applicable to Common Shareholders, end of period (000)

  $  413,271      $  401,536      $  410,776      $  355,372      $  424,785      $  371,014   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 137,250   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 92,580   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 137,200      $ 137,200      $ 137,200      $ 137,200      $ 137,200          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 401,218      $ 392,665      $ 399,399      $ 359,018      $ 409,610          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 97,624      $ 101,818      $ 93,816      $ 114,948      $ 105,454      $ 85,964   
 

 

 

 

Portfolio turnover rate

    5%        12%        20%        24%        17%        19%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total 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 distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  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 29, 2016    73


Financial Highlights    BlackRock Municipal Income Trust II (BLE)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.25      $ 15.48      $ 13.32      $ 16.10      $ 13.96      $ 14.63   
 

 

 

 

Net investment income1

    0.46        0.92        0.93        0.97        1.02        1.08   

Net realized and unrealized gain (loss)

    0.35        (0.19     2.22        (2.72     2.14        (0.73

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.81        0.73        3.15        (1.75     3.15        0.33   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.47     (0.96     (0.99     (1.03     (1.01     (1.00
 

 

 

 

Net asset value, end of period

  $ 15.59      $ 15.25      $ 15.48      $ 13.32      $ 16.10      $ 13.96   
 

 

 

 

Market price, end of period

  $ 15.57      $ 14.18      $ 14.70      $ 13.20      $ 16.74      $ 14.13   
 

 

 

 
           
Total Return Applicable to Common Shareholders3        

Based on net asset value

    5.46% 4      5.01%        24.73%        (11.60)%        23.25%        2.70%   
 

 

 

 

Based on market price

    13.28% 4      2.83%        19.52%        (15.75)%        26.61%        (0.07)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.54% 5      1.55%        1.64%        1.67%        1.55% 6      1.18% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.54% 5      1.55%        1.64%        1.67%        1.48% 6      1.10% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.98% 5      0.98%        1.01%        1.00%        0.96% 6,8      1.01% 6 
 

 

 

 

Net investment income

    6.01% 5      5.94%        6.49%        6.17%        6.74% 6      7.94% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.03%        0.17%   
 

 

 

 

Net investment income to Common Shareholders

    6.01% 5      5.94%        6.49%        6.17%        6.71%        7.77%   
 

 

 

 
           
Supplemental Data        

Net assets applicable to Common Shareholders, end of period (000)

  $  365,941      $  357,868      $  363,038      $  312,329      $  376,774      $  325,713   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 151,300   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 78,819   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 151,300      $ 151,300      $ 151,300      $ 151,300      $ 151,300          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 341,864      $ 336,529      $ 339,946      $ 306,430      $ 349,025          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 71,925      $ 68,692      $ 68,692      $ 73,531      $ 88,876      $ 43,451   
 

 

 

 

Portfolio turnover rate

    3%        10%        16%        17%        24%        16%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  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.      
                
74    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock MuniHoldings Investment Quality Fund (MFL)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.18      $ 15.46      $ 13.27      $ 15.96      $ 14.00      $ 14.69   
 

 

 

 

Net investment income1

    0.44        0.89        0.89        0.87        0.86        0.95   

Net realized and unrealized gain (loss)

    0.33        (0.31     2.16        (2.66     2.02        (0.71

Distributions to AMPS Shareholders from net investment income

                                       (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.77        0.58        3.05        (1.79     2.88        0.22   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.86     (0.86     (0.90     (0.92     (0.91
 

 

 

 

Net asset value, end of period

  $ 15.52      $ 15.18      $ 15.46      $ 13.27      $ 15.96      $ 14.00   
 

 

 

 

Market price, end of period

  $ 15.03      $ 14.06      $ 13.92      $ 12.59      $ 16.13      $ 13.84   
 

 

 

 
           
Total Return Applicable to Common Shareholders3        

Based on net asset value

    5.28% 4      4.29%        24.24%        (11.70)%        21.22%        2.01%   
 

 

 

 

Based on market price

    10.08% 4      7.28%        17.91%        (17.11)%        23.93%        1.12%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.51% 5      1.54%        1.64%        1.71%        1.87%        1.37% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.47% 5      1.49%        1.57%        1.62%        1.80%        1.30% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.94% 5,8      0.95% 8      1.19% 8      1.29% 8      1.39% 8      1.14% 6 
 

 

 

 

Net investment income

    5.81% 5      5.73%        6.18%        5.55%        5.76%        7.03% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                       0.18%   
 

 

 

 

Net investment income to Common Shareholders

    5.81% 6      5.73%        6.18%        5.55%        5.76%        6.85%   
 

 

 

 
           
Supplemental Data        

Net assets applicable to Common Shareholders, end of period (000)

  $  586,886      $  573,885      $  584,690      $  501,810      $  602,780      $  528,173   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 274,600      $ 274,600      $ 274,600      $ 274,600      $ 274,600      $ 274,600   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 313,724      $ 308,990      $ 312,924      $ 282,742      $ 319,152      $ 292,343   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 80,918      $ 85,502      $ 89,157      $ 95,959      $ 131,323      $ 74,965   
 

 

 

 

Portfolio turnover rate

    12%        13%        25%        59%        44%        32%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the six months ended February 29, 2016 and the years ended August 31, 2015, August 31, 2014, 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 0.93%, 0.94%, 0.95%, 0.92%, and 0.99%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    75


Financial Highlights    BlackRock MuniVest Fund, Inc. (MVF)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 10.04      $ 10.27      $ 9.14      $ 10.68      $ 9.55      $ 10.01   
 

 

 

 

Net investment income1

    0.31        0.62        0.63        0.67        0.69        0.73   

Net realized and unrealized gain (loss)

    0.15        (0.21     1.18        (1.50     1.16        (0.47

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.46        0.41        1.81        (0.83     1.84        0.24   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.32     (0.64     (0.68     (0.71     (0.71     (0.70
 

 

 

 

Net asset value, end of period

  $ 10.18      $ 10.04      $ 10.27      $ 9.14      $ 10.68      $ 9.55   
 

 

 

 

Market price, end of period

  $ 10.60      $ 9.65      $ 9.83      $ 8.91      $ 11.28      $ 9.73   
 

 

 

 
           
Total Return Applicable to Common Shareholders3        

Based on net asset value

    4.68% 4      4.27%        20.70%        (8.39)%        19.85%        2.90%   
 

 

 

 

Based on market price

    13.40% 4      4.71%        18.50%        (15.45)%        24.24%        1.11%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.43% 5      1.43%        1.49%        1.54%        1.51% 6      1.28% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.43% 5      1.43%        1.49%        1.54%        1.51% 6      1.28% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.89% 5      0.89%        0.91%        0.91%        0.98% 6,8      1.05% 6 
 

 

 

 

Net investment income

    6.25% 5      6.03%        6.53%        6.43%        6.79% 6      7.93% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.05%        0.18%   
 

 

 

 

Net investment income to Common Shareholders

    6.25% 5      6.03%        6.53%        6.43%        6.74%        7.75%   
 

 

 

 
           
Supplemental Data        

Net assets applicable to Common Shareholders, end of period (000)

  $  653,289      $  642,889      $  656,922      $  584,718      $  679,207      $  602,234   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 243,825   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 86,749   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,800      $ 243,800      $ 243,800      $ 243,800      $ 243,800          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 367,961      $ 363,695      $ 369,451      $ 339,835      $ 378,592          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 159,976      $ 148,867      $ 145,111      $ 149,085      $ 199,256      $ 173,251   
 

 

 

 

Portfolio turnover rate

    5%        18%        14%        11%        11%        10%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details of municipal bonds transferred to TOB Trusts 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.      
                
76    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Trust Name   Herein Referred To As      Organized    Diversification
Classification

BlackRock Municipal Bond Investment Trust

    BIE       Delaware    Non-diversified

BlackRock Municipal Bond Trust

    BBK       Delaware    Diversified

BlackRock Municipal Income Investment Quality Trust

    BAF       Delaware    Non-diversified

BlackRock Municipal Income Quality Trust

    BYM       Delaware    Diversified

BlackRock Municipal Income Trust II

    BLE       Delaware    Diversified

BlackRock MuniHoldings Investment Quality Fund

    MFL       Massachusetts    Non-diversified

BlackRock MuniVest Fund, Inc.

    MVF       Maryland    Non-diversified

The Boards of Trustees/Directors of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of 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. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., financial futures contracts) or certain borrowings (e.g., TOB transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its 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 Trusts 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 date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions 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 distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Distributions to Preferred Shareholders are accrued and determined as described in Note 10.

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, if applicable. 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.

Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued guidance to simplify the presentation of debt issuance costs in financial statements. Under the new guidance, a Trust is required to present such costs in the Statements of Assets and Liabilities as a direct deduction from the carrying value of the related debt liability rather than as an asset.

The standard is effective for financial statements with fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. Although the Manager is still evaluating the potential impacts of this new guidance, the Trusts’ adoption will be limited to the reclassification of any unamortized debt issuance costs on the Statements of Assets and Liabilities and modification to disclosures in the Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    77


Notes to Financial Statements (continued)     

 

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with their custodian 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 custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. 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 values of their financial instruments 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.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

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.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Financial futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or 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 Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability 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. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each 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 each 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Trust’s investments and derivative financial instruments have been included in the Schedules of Investments.

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value 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 investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain 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. A Trust 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, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes 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, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain Trusts leverage their assets through the use of TOB transactions. The Trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust generally issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are generally issued to the participating Trusts that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a Trust generally provide the Trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The Trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB Trust into which each Trust has contributed bonds. If multiple BlackRock advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are generally supported by a liquidity facility provided by a third party 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 of par plus accrued interest on any business day. The tendered TOB Trust Certificates may be purchased by the Liquidity Provider and are usually remarketed by a Remarketing Agent, which is typically an affiliated entity of the Liquidity Provider. The Remarketing Agent may also purchase the tendered TOB Trust Certificates for its own account in the event of a failed remarketing.

The TOB Trust may be collapsed without the consent of a Trust, upon the occurrence of tender option termination events (“TOTEs”) or mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs include the bankruptcy or default of the issuer of the municipal bonds held in the TOB Trust, a substantial downgrade in the credit quality of the issuer of the municipal bonds held in the TOB Trust, failure of any scheduled payment of principal or interest on the municipal bonds, and/or a judgment or ruling that interest on the municipal bond is subject to federal income taxation. MTEs may include, among other things, a failed remarketing of the TOB Trust Certificates, the inability of the TOB Trust to obtain renewal of the liquidity support agreement and a substantial decline in the market value of the municipal bonds held in the TOB Trust. Upon the occurrence of a TOTE or an MTE, the TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider (defined below). In the case of an MTE, after the payment of fees, the TOB Trust Certificate holders would be paid before the TOB Residual holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificate holders and the TOB Residual holders would be paid pro rata in proportion to the respective face values of their certificates. During the six months ended February 29, 2016, no TOB Trusts in which a Trust participated were terminated without the consent of a Trust.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they generally do not allow a Trust to borrow money for purposes of making investments. The Trusts’ management believes that a Trust’s restrictions on borrowings do not apply to the secured borrowings. Each Trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a Trust. A Trust typically invests the cash received in additional municipal bonds. The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates would be shown as Loan for TOB Trust Certificates.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    79


Notes to Financial Statements (continued)     

 

Volcker Rule Impact: 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 precludes banking entities and their affiliates from sponsoring and investing in TOB Trusts. Banking entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and relationships with TOB Trusts established after December 31, 2013 (“Non-Legacy TOB Trusts”), and by July 21, 2016, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

As a result, a new structure for TOB Trusts has been designed to ensure that no banking entity is sponsoring the TOB Trust. Specifically, a Trust will establish, structure and “sponsor” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank will be performed by, or on behalf of, the Trusts. The Trusts have restructured any Non-Legacy TOB Trusts and are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. Until all restructurings are completed, a Trust may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and non-bank sponsored restructured TOB Trusts.

Under the new TOB Trust structure, the Liquidity Provider or Remarketing Agent will no longer purchase the tendered TOB Trust Certificates even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Trust Certificates. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Trust on an accrual basis. Interest expense incurred on the TOB transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to comply with the Volcker Rule, a Trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

For the six months ended February 29, 2016, the following table is a summary of the Trusts’ TOB Trusts:

 

    

Underlying
Municipal

Bonds

Transferred to

TOB Trusts1

   

Liability for

TOB Trust
Certificates2

    Range of
Interest Rates
   Average TOB
Trust
Certificates
Outstanding
    Daily
Weighted
Average
Interest Rate
 

BIE

  $ 31,250,503      $ 16,235,838      0.01% - 0.26%    $ 16,235,837        0.63%   

BBK

  $ 39,260,896      $ 21,235,789      0.01% - 0.21%    $ 19,896,506        0.64%   

BAF

  $ 71,817,951      $ 37,759,323      0.01% - 0.21%    $ 35,486,642        0.68%   

BYM

  $ 171,857,264      $ 97,623,691      0.01% - 0.55%    $ 98,392,905        0.65%   

BLE

  $ 128,234,484      $ 71,925,067      0.01% - 0.21%    $ 70,883,937        0.61%   

MFL

  $ 158,866,109      $ 80,917,802      0.01% - 0.26%    $ 82,801,118        0.70%   

MVF

  $ 319,000,554      $ 159,975,655      0.01% - 0.12%    $ 155,541,155        0.60%   

 

  1   

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Trusts, as TOB Residual holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The municipal bonds transferred to TOB Trusts with a credit enhancement are identified in the Schedules of Investments including the maximum potential amounts owed by the Trusts.

 

  2   

The Trusts may invest in TOB Trusts on either a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, and the Liquidity Provider is required to make a payment under the liquidity facility, the Liquidity Provider will typically liquidate all or a portion of the municipal bonds held in the TOB Trust and then fund 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 Trust on a recourse basis, a Trust will usually enter into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider the amount of any Liquidation Shortfall. As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at February 29, 2016, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Trust at February 29, 2016.

5. 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 manage economically their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Financial Futures Contracts: Certain Trusts invest in long and/or short positions in 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 on 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 (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 or foreign currency exchange rates and the underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory Fees

Each Trust entered into an Investment Advisory Agreement with 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 personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust, except for MFL and MVF, pays the Manager a monthly fee based on a percentage of each Trust’s average weekly managed assets at the following annual rates:

 

     BIE      BBK      BAF      BYM      BLE  

Investment advisory fee

    0.65%         0.65%         0.55%         0.55%         0.55%   

MFL and MVF each pay the Manager a monthly fee based on a percentage of MFL’s and MVF’s, respective, average daily net assets at an annual rate of 0.55% and 0.50%, respectively.

“Managed assets” and “net assets” each mean the total assets of the Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred stock).

Waivers and Reimbursements

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. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any.

For the six months ended February 29, 2016, the amounts waived were as follows:

 

     BIE      BBK      BAF      BYM      BLE      MFL      MVF  

Amounts waived

  $ 8       $ 12       $ 32       $ 84       $ 145       $ 97       $ 53   

The Manager voluntarily agreed to waive a portion of the investment advisory fees or other expenses, with respect to BIE, at the annual rate as a percentage of its average weekly managed 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 TOB Trusts that exceed 35% of its total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of Preferred Shares). The amounts waived are included in fees waived by the Manager in the Statements of Operations.

For the six months ended February 29, 2016, the amounts included in fees waived by Manager were as follows:

 

     Amounts Waived  

BIE

  $ 34,852   

MFL

  $ 122,452   

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    81


Notes to Financial Statements (continued)     

 

These voluntary waivers may be reduced or discontinued at any time without notice.

The Manager reimbursed BIE $24,173, which is shown as reorganization costs reimbursed by the Manager in the Statements of Operations.

Officers and Trustees Fees

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.

Other Transactions

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees. For the six months ended February 29, 2016, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Sales  

BBK

  $ 504,675   

7. Purchases and Sales:

For the six months ended February 29, 2016, purchases and sales of investments excluding short-term securities, were as follows:

 

     BIE      BBK      BAF      BYM      BLE      MFL      MVF  

Purchases

  $ 7,640,954       $ 42,576,480       $ 38,776,217       $ 34,084,365       $ 26,294,009       $ 111,370,110       $ 58,065,807   

Sales

  $ 7,227,311       $ 35,169,201       $ 34,561,194       $ 38,614,688       $ 17,830,418       $ 118,011,463       $ 53,031,834   

8. Income Tax Information:

It is the Trusts’ 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 U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns remains open for each of the four years ended August 31, 2015. 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 as of February 29, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of February 29, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BIE      BAF      BYM      BLE      MFL      MVF  

No expiration date1

  $ 1,724,333       $ 5,389,992       $ 6,417,022       $ 7,391,065       $ 26,574,973       $ 11,411,304   

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   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 2,593,039       $ 5,389,992       $ 18,272,768       $ 16,272,627       $ 40,173,327       $ 24,306,450   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1  

Must be utilized prior to losses subject to expiration.

As of February 29, 2016, 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

  $ 61,810,918       $ 232,810,374       $ 160,855,963       $ 490,537,693       $ 465,737,844       $ 760,693,977       $ 795,364,158   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross unrealized appreciation

  $ 9,250,043       $ 27,749,396       $ 21,776,904       $ 58,926,363       $ 53,478,996       $ 94,201,329       $ 97,342,752   

Gross unrealized depreciation

    (248,254      (1,775,855      (316,509      (3,243,418      (5,101,275      (1,216,202      (5,279,273
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net unrealized appreciation

  $ 9,001,789       $ 25,973,541       $ 21,460,395       $ 55,682,945       $ 48,377,721       $ 92,985,127       $ 92,063,479   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

9. Principal Risks:

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.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price,

 

                
82    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

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.

The new TOB Trust structure resulting from the compliance with Volcker Rule remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Trusts’ ability to hold TOB Residuals. Under the new TOB Trust structure, the Trusts will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

There can be no assurance that the Trusts can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Trusts unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Trusts and any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

Should short-term interest rates rise, the Trusts’ investments in TOB transactions 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.

The SEC and various federal banking and housing agencies recently adopted credit risk retention rules for securitizations (the “Risk Retention Rules”), which take effect in December 2016. The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trust 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 Trusts. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes 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 approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

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). 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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    83


Notes to Financial Statements (continued)     

 

Concentration Risk: BAF and MFL invest a substantial amount of their assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, certain Trusts invested a significant portion of their assets in securities in the Transportation and County, City, Special District and School District sectors. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions 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.

10. 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:

 

     BLE      MVF  

Six months ended February 29, 2016

            122,956   

Year ended August 31, 2015

    17,405         60,265   

For the six months ended February 29, 2016 and for the year ended August 31, 2015, shares issued and outstanding remained constant for BIE, BBK, BAF, BYM and MFL.

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 a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a 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 instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Preferred Shares or repurchasing such shares if a Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two 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 privately negotiated offerings. 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”). The VRDP Shares include a liquidity feature and are currently in a special rate period, each as described below.

 

                
84    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

As of period end, the VRDP Shares outstanding of each Trust 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   

Redemption Terms: Each VRDP Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, VRDP Trusts are required to redeem certain of their outstanding VRDP Shares if they fail to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of VRDP Trusts. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. In the event of an optional redemption of the VRDP Shares prior to the initial termination date of the fee agreement, VRDP Trusts must pay the respective liquidity provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to the initial termination date.

Liquidity Feature: Each VRDP Trust 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 fee agreement between BIE and the liquidity provider was scheduled to expire on December 4, 2015. In October 2015, in connection with the commencement of a special rate period (as described below), BIE extended the fee agreement to October 22, 2018 unless renewed or terminated in advance.

The fee agreement between MFL and the liquidity provider is for a three year term and is scheduled to expire on April 19, 2017 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. In the event of such mandatory purchase, the VRDP Trusts are required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the VRDP Trusts are required to begin to segregate liquid assets with their 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.

Remarketing: 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. No remarketing fees are incurred during the special rate period (as described below).

Dividends: 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. As of period end, 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.

For the six months ended February 29, 2016, the annualized dividend rates for the VRDP Shares were as follows:

 

     BIE      MFL  

Rate

    0.68%         0.89%   

Financial Reporting: 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.

Ratings: 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.

Special Rate Period: On April 17, 2014, MFL commenced a three-year term ending April 19, 2017 (“special rate period”) with respect to its VRDP Shares. 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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    85


Notes to Financial Statements (continued)     

 

The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for MFL were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to 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. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

On October 22, 2015, BIE commenced a three-year special rate period ending April 18, 2018 (“special rate period”) with respect to its VRDP Shares. 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 short-term ratings on the VRDP Shares for BIE were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to April 18, 2018, the holder of the VRDP Shares and BIE 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. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

During the special rate periods, the liquidity and fee agreements remain in effect for the duration of the special rate periods and the VRDP Shares are still subject to mandatory redemption by MFL and BIE 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 and BIE are required to maintain the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares. MFL will pay 0.01% liquidity and remarketing fees, and BIE will not pay any liquidity and remarketing fees during the special rate period and instead will pay dividends monthly based on the sum of Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

If BIE 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 and Fitch, respectively, 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.

For the six months ended February 29, 2016, VRDP Shares issued and outstanding of each Trust remained constant.

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 privately negotiated offerings and sale of VMTP Shares exempt from registration under the Securities Act.

As of period end, the VMTP Shares outstanding of each Trust were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

BBK

    12/16/11         799       $ 79,900,000         1/02/19   

BAF

    12/16/11         422       $ 42,200,000         1/02/19   

BYM

    12/16/11         1,372       $ 137,200,000         1/02/19   

BLE

    12/16/11         1,513       $ 151,300,000         1/02/19   

MVF

    12/16/11         2,438       $ 243,800,000         1/02/19   

Redemption Terms: 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 further 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: 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 (“SIFMA”) 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 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

 

                
86    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (concluded)     

 

closed-end funds. As of period end, 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 Trusts fail 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.

For the six months ended February 29, 2016, the average annualized dividend rates for the VMTP Shares were as follows:

 

     BBK      BAF      BYM      BLE      MVF  

Rate

    1.00%         1.00%         1.00%         1.00%         1.00%   

Financial Reporting: 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.

For the six months ended February 29, 2016, VMTP Shares issued and outstanding of each Trust remained constant.

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. 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.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend in the following amounts per share on April 1, 2016 to Common Shareholders of record on March 15, 2016:

 

    

Common

Dividend
Per Share

 

BIE

  $ 0.0760   

BBK

  $ 0.0750   

BAF

  $ 0.0685   

BYM

  $ 0.0685   

BLE

  $ 0.0790   

MFL

  $ 0.0715   

MVF

  $ 0.0535   

Additionally, the Trusts declared a net investment income dividend on April 1, 2016 payable to Common Shareholders of record on April 15, 2016 for the same amounts noted above.

The dividends declared on Preferred Shares for the period March 1, 2016 to March 31, 2016 for the Trusts were as follows:

 

     Preferred
Shares
     Series      Dividend
Declared
 

BIE

    VRDP Shares         W-7       $ 15,475   

BBK

    VMTP Shares         W-7       $ 76,232   

BAF

    VMTP Shares         W-7       $ 40,263   

BYM

    VMTP Shares         W-7       $ 130,902   

BLE

    VMTP Shares         W-7       $ 144,355   

MFL

    VRDP Shares         W-7       $ 234,085   

MVF

    VMTP Shares         W-7       $ 232,609   

At a special shareholder meeting on March 21, 2016, the requisite shareholders of BIE and BlackRock Municipal Income Investment Trust (“BBF”) approved the reorganization of BIE with and into BBF, which is expected to be effective on May 16, 2016. Reorganization costs incurred by BIE in connection with the reorganization were expensed by BIE.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    87


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Barbara G. Novick, Interested Trustee

John M. Perlowski, Interested Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective December 31, 2015, Kathleen F. Feldstein and James T. Flynn retired as Trustees of the Trusts.

Effective January 11, 2016, Michael Perilli became a portfolio manager of BIE. The other portfolio managers are Ted Jaeckel and Walter O’Connor.

Effective March 1, 2016, Catherine A. Lynch was appointed to serve as a Trustee and a Member of the Audit Committee of the Trusts.

Effective April 1, 2016, Cynthia L. Egan was appointed to serve as a Trustee of the Trusts.

Effective April 6, 2016, Michael Perilli became a portfolio manager of BAF. The other portfolio managers are Ted Jaeckel and Walter O’Connor.

 

         

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Transfer Agent

Computershare Trust

Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Providers

Bank of America, N.A.1

New York, NY 10036

 

Barclays Bank PLC2

New York, NY 10019

 

Custodian and Accounting Agent

State Street Bank and

Trust Company

Boston, MA 02110

 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

Boston, MA 02116

 

VRDP Tender and Paying

Agent and VMTP Redemption

and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Remarketing

Agents

Merrill Lynch, Pierce,

Fenner & Smith

Incorporated1

New York, NY 10036

 

Barclays Capital Inc.2

New York, NY 10019

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

  1   

For MFL.

 

  2   

For BIE.

 

 

                
88    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Additional Information     

 

Trust Certification

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of 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 distributions 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 in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 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 upon request and without charge (1) 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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    89


Additional Information (concluded)     

 

 

General Information (concluded)

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 check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
90    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


This report is intended for current holders. 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 short-term interest rates 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 2, 2016

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 2, 2016
By:  

/s/ Neal J. Andrews

 
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of 
  BlackRock Municipal Income Trust II
Date:   May 2, 2016

 

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