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: 08/31/2019

Date of reporting period: 02/28/2019


Item 1 – Report to Stockholders


FEBRUARY 28, 2019

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

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)

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2019, concerns about a variety of political risks and a modest slowdown in global growth led to modest positive returns for the U.S. equity and bond markets. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities.

Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

The U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. At its most recent meeting in late January, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.

Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.

In addition, trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the U.K. and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. Consequently, we are cautious on European equities, as European unity remains tenuous with a history of flare-ups. We continue to prefer to take risk in U.S. and emerging market equities. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. 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 28, 2019
     6-month   12-month

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

  (3.04)%   4.68%

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

  (8.86)   5.58

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

  (3.58)   (6.04)

Emerging market equities
(MSCI Emerging Markets Index)

  0.33   (9.89)

3-month Treasury bills
(ICE BofAML 3-Month
U.S. Treasury Bill Index)

  1.10   2.04

U.S. Treasury securities
(ICE BofAML 10-Year
U.S. Treasury Index)

  2.57   4.02

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

  1.99   3.17

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

  2.21   4.03

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

  2.00   4.31
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

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

     18  

Statements of Assets and Liabilities

     56  

Statements of Operations

     58  

Statements of Changes in Net Assets

     60  

Statements of Cash Flows

     63  

Financial Highlights

     65  

Notes to Financial Statements

     71  

Trustee and Officer Information

     81  

Additional Information

     82  

Glossary of Terms Used in this Report

     84  

 

 

 

 

          3  


Municipal Market Overview  For the Reporting Period Ended February 28, 2019

 

Municipal Market Conditions

Municipal bonds experienced positive performance during the period, despite challenged total returns during most of 2018 as interest rates moved higher on the back of continued Fed policy normalization, fiscal stimulus, strong economic growth, and increased U.S. Treasury issuance. Performance turned stronger late in the year, with interest rates rallying as the Fed began to indicate a pivot from forecast based to data driven policy and the potential for a slower pace of future rate hikes. During the period, demand for the asset class remained firm, although it displayed some bouts of volatility. Broadly, investors favored the tax-exempt income, diversification, quality, and value of municipal bonds given that tax reform ultimately lowered the top individual tax rate just 2.6% while eliminating deductions. During the 12 months ended February 28, 2019, municipal bond funds experienced net inflows of approximately $14.4 billion (based on data from the Investment Company Institute).

 

 

For the same 12-month period, total new issuance underwhelmed from a historical perspective at $323 billion (below the $389 billion issued in the prior 12-month period), a direct result of the elimination of advanced refundings through the 2017 Tax Cuts and Jobs Act. This shift transitioned the market from an existing net positive supply environment to a much more favorable net negative supply environment in which reinvestment income (coupons, calls, and maturities) largely outstripped gross issuance and provided a powerful technical tailwind.

    S&P Municipal Bond Index  
    Total Returns as of February 28, 2019  
      6 months: 2.21%  
    12 months: 4.03%  
 

A Closer Look at Yields

 

LOGO

From February 28, 2018 to February 28, 2019, yields on AAA-rated 30-year municipal bonds decreased by eight basis points (“bps”) from 3.06% to 2.98%, while ten-year rates decreased by 37 bps from 2.47% to 2.10% and five-year rates decreased by 30 bps from 1.97% to 1.67% (as measured by Thomson Municipal Market Data). The municipal yield curve flattened modestly over the 12-month period with the spread between two- and 30-year maturities flattening by 14 bps, led by 43 bps of flattening between two- and ten-year maturities. Notably, the municipal yield curve remains nearly 2.5 times steeper than the U.S. Treasury curve.

During the same time period, on a relative basis, tax-exempt municipal bonds strongly outperformed U.S. Treasuries, driven by the front and intermediate portions of the yield curve. The relative positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income, incremental yield, and tax shelter in an environment where opportunities became increasingly scarce. 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 problems among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — continue to exhibit improved credit fundamentals. However, several states with the largest unfunded pension liabilities are faced with elevated borrowing costs and difficult budgetary decisions. Across the country on the local level, property values support credit stability. Standard & Poor’s decision to remove its “negative” outlook on New Mexico underscores the improvement in state finances as it was the only remaining state with the designation. Revenue bonds continue to drive performance as investors continue to seek higher yield bonds in the tobacco sector. 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 28, 2019 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 AMT. 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    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


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, there is no guarantee that these objectives can 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 (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) 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 such 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 amount 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 the Trusts’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price 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 Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust 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. Each Trust incurs 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 adviser 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), then the TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets 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 and 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 instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these 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.

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      5  


Trust Summary  as of February 28, 2019    BlackRock Municipal Bond Trust

 

Trust Overview

BlackRock Municipal Bond Trust’s (BBK) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from regular U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality or, if unrated, determined to be of comparable quality by the investment adviser 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 New York Stock Exchange (“NYSE”)

  BBK

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2019 ($14.31)(a)

  5.32%

Tax Equivalent Yield(b)

  8.99%

Current Monthly Distribution per Common Share(c)

  $0.0635

Current Annualized Distribution per Common Share(c)

  $0.7620

Economic Leverage as of February 28, 2019(d)

  39%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.

 
  (c) 

The monthly distribution per Common Share, declared on March 1, 2019, was decreased to $.0545 per share. The current yield on closing market price, tax equivalent yield, 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.

 
  (d) 

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 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BBK(a)(b)

    2.84      1.82

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    3.68        1.64  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

The Trust benefited from its positions in the school district, utilities and health care sectors. Conversely, its exposure to the tobacco sector was a modest detractor due to the Food and Drug Administration’s announcement of its intention to ban menthol cigarettes, which could lead to a larger-than-expected decline in consumption and reduced payments in accordance to the Master Settlement Agreement. After initially selling off on the news, tobacco issues regained much of the lost ground by the close of the period. The Trust maintained its position in the sector in an effort to capitalize on its above-average yields.

Bonds with maturities of three to ten years significantly outpaced longer-term issues. In this environment, the Trust’s positions in pre-refunded bonds outperformed due to their short-dated maturities. The Trust’s allocation to zero-coupon bonds in this part of the yield curve was also a notable outperformer.

Positions in higher-quality AA and A rated bonds, which outperformed the lower-rated categories, were a further plus.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns over the last six months. The use of leverage further aided results by augmenting the effect of rising bond prices.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

6    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019  (continued)    BlackRock Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19     08/31/18      Change      High      Low  

Market Price

  $ 14.31     $ 14.35        (0.28 )%     $ 14.37      $
13.06
 

Net Asset Value

    15.58       15.78        (1.27      15.78       
15.18
 

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/28/19    

08/31/18

 

County/City/Special District/School District

    22     20

Health

    17       18  

Transportation

    15       17  

Utilities

    13       12  

Education

    11       13  

State

    10       7  

Corporate

    5       5  

Tobacco

    5       5  

Housing

    2       3  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    7

2020

    6  

2021

    11  

2022

    10  

2023

    10  

 

  (c) 

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

 

CREDIT QUALITY ALLOCATION (a)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    4     3

AA/Aa

    36       36  

A

    26       26  

BBB/Baa

    15       17  

BB/Ba

    5       6  

B

    4       3  

NR(b)

    10       9  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings (“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.

 
  (b) 

The investment adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments.

 
 

 

  *

Excludes short-term securities.

 

 

 

TRUST SUMMARY      7  


Trust Summary  as of February 28, 2019    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 U.S. 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 managed assets in municipal bonds exempt from U.S. federal income taxes, including the alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser 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 U.S. 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 28, 2019 ($13.63)(a)

  5.15%

Tax Equivalent Yield(b)

  8.70%

Current Monthly Distribution per Common Share(c)

  $0.0585

Current Annualized Distribution per Common Share(c)

  $0.7020

Economic Leverage as of February 28, 2019(d)

  42%

 

  (a)

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.

 
  (b)

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.

 
  (c)

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

 
  (d) 

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 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BAF(a)(b)

    3.39      1.94

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    3.68        1.64  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices. However, the rising cost of leverage — which was a result of the Fed’s interest rate increases — reduced some of the benefit.

Seasoned positions, including pre-refunded bonds (which typically have yields well above current market rates), added to performance as yields fell the most for bonds with maturities of ten years and below. Conversely, positions in longer-dated maturities produced smaller gains.

At the sector level, positions in transportation and health care issues helped performance.

The Trust benefited from its higher-quality mandate, as its holdings in the AA and A rated categories performed well relative to lower-rated securities.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

Reinvestment had an adverse impact on the Trust’s income, as the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at lower prevailing rates.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

8    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019  (continued)    BlackRock Municipal Income Investment Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19     08/31/18      Change      High      Low  

Market Price

  $ 13.63     $ 13.54        0.66    $ 13.63      $ 12.44  

Net Asset Value

    14.75       14.86        (0.74      14.86        14.41  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/28/19    

08/31/18

 

Transportation

    27     25

County/City/Special District/School District

    27       26  

Utilities

    16       16  

Health

    15       11  

State

    5       6  

Education

    5       5  

Tobacco

    3       1  

Housing

    1       2  

Corporate

    1       1  

Health Care

          3  

Financing & Development

          3  

General Government

          1  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    10

2020

    2  

2021

    27  

2022

    5  

2023

    19  

 

  (c) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    2     3

AA/Aa

    57       62  

A

    26       21  

BBB/Baa

    10       8  

BB/Ba

          1  

N/R(b)

    5       5  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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.

 
  (b)

The investment adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments.

 
 

 

 

 

TRUST SUMMARY      9  


Trust Summary  as of February 28, 2019    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 U.S. 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 managed assets in municipal bonds exempt from U.S. federal income taxes, including the U.S. federal alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser 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 28, 2019 ($13.32)(a)

  4.68%

Tax Equivalent Yield(b)

  7.91%

Current Monthly Distribution per Common Share(c)

  $0.0520

Current Annualized Distribution per Common Share(c)

  $0.6240

Economic Leverage as of February 28, 2019(d)

  39%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.

 
  (c) 

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

 
  (d) 

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 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BYM(a)(b)

    4.36      2.14

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    3.68        1.64  
  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

The Trust benefited from its positions in the school district, utilities and health care sectors. Conversely, its exposure to the tobacco sector was a modest detractor due to the Food and Drug Administration’s announcement of its intention to ban menthol cigarettes, which could lead to a larger-than-expected decline in consumption and reduced payments in accordance to the Master Settlement Agreement. After initially selling off on the news, tobacco issues regained much of the lost ground by the close of the period. The Trust maintained its position in the sector in an effort to capitalize on its above-average yields.

Positions in higher-quality AA and A rated bonds, which outperformed the lower-rated categories, were a further plus.

Bonds with maturities of three to ten years significantly outpaced longer-term issues. In this environment, the Trust’s positions in pre-refunded bonds outperformed due to their short-dated maturities. The Trust’s allocation to zero-coupon bonds in this part of the yield curve was also a notable outperformer.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

10    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock Municipal Income Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

02/28/19

   

08/31/18

     Change      High      Low  

Market Price

  $ 13.32     $ 13.09        1.76    $ 13.35      $ 12.17  

Net Asset Value

    14.64       14.70        (0.41      14.70        14.15  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

    

02/28/19

   

08/31/18

 

Transportation

    22     23

County/City/Special District/School District

    15       15  

Health

    15       15  

Utilities

    12       14  

Education

    9       9  

State

    6       6  

Health Care

    6       5  

Financing & Development

    4       3  

General Government

    4       3  

Tobacco

    3       3  

Housing

    2       2  

Corporate

    2       2  

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

CALL/MATURITY SCHEDULE (b)

 

Calendar Year Ended December 31,

       

2019

    7

2020

    7  

2021

    9  

2022

    9  

2023

    15  

 

  (b) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    10     10

AA/Aa

    43       46  

A

    24       21  

BBB/Baa

    16       16  

N/R

    7       7  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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.

 
 

 

 

TRUST SUMMARY      11  


Trust Summary  as of February 28, 2019    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 U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser 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

  BLE

Initial Offering Date

  July 30, 2002

Yield on Closing Market Price as of February 28, 2019 ($14.05)(a)

  4.95%

Tax Equivalent Yield(b)

  8.36%

Current Monthly Distribution per Common Share(c)

  $0.0580

Current Annualized Distribution per Common Share(c)

  $0.6960

Economic Leverage as of February 28, 2019(d)

  39%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.

 
  (c) 

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

 
  (d) 

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 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BLE(a)(b)

    4.73      1.80

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    3.68        1.64  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns over the last six months. The use of leverage further aided results by augmenting the effect of rising bond prices.

Allocations to the health care, transportation and utilities sectors added value, as did positions in state and local tax-backed issues.

Higher-rated portfolio holdings generally outperformed positions in lower-rated issues, as investment-grade bonds in the AA, A and BBB rated categories outpaced non-investment grade securities.

The Trust’s low exposure to bonds with intermediate maturities in the five- to ten-year range detracted from performance. The municipal curve steepened, with intermediate-term debt outperforming longer-dated securities.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on the Trust’s return.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

12    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019  (continued)    BlackRock Municipal Income Trust II

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19    

08/31/18

     Change      High      Low  

Market Price

  $ 14.05     $
13.77
 
     2.03    $ 14.10      $ 12.35  

Net Asset Value

    14.43       14.55        (0.82      14.56        14.16  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/28/19    

08/31/18

 

Transportation

    22     25

Utilities

    16       17  

Health

    13       14  

County/City/Special District/School District

    12       14  

State

    12       10  

Corporate

    10       7  

Tobacco

    8       5  

Education

    5       6  

Housing

    2       2  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    18

2020

    13  

2021

    15  

2022

    10  

2023

    7  

 

  (c) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    6     6

AA/Aa

    33       36  

A

    22       19  

BBB/Baa

    21       22  

BB/Ba

    8       7  

B

    5       5  

N/R

    5       5 (b) 

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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.

 
  (b) 

The investment adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      13  


Trust Summary  as of February 28, 2019    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 U.S. 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 (as rated or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment) municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. 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 U.S. 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 28, 2019 ($13.02)(a)

  5.21%

Tax Equivalent Yield(b)

  8.80%

Current Monthly Distribution per Common Share(c)

  $0.0565

Current Annualized Distribution per Common Share(c)

  $0.6780

Economic Leverage as of February 28, 2019(d)

  40%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.

 
  (c) 

The monthly distribution per Common Share, declared on March 1, 2019, was decreased to $.0525 per share. The current yield on closing market price, tax equivalent yield, 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.

 
  (d) 

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 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MFL(a)(b)

    5.07      1.92

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    3.68        1.64  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns.

The Trust benefited from its positions in higher-quality bonds, which outpaced lower-rated securities.

Positions in longer-maturity bonds, which outperformed in the environment of falling rates, also aided results. The Trust further benefited from the strong returns of its holdings in the six- to seven-year maturity range. Conversely, shorter-term issues lagged.

All sectors produced positive returns in the period, with utilities leading the way and tobacco finishing as the most notable underperformer.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

14    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19     08/31/18      Change      High      Low  

Market Price

  $ 13.02     $ 12.73        2.28    $ 13.17      $ 11.79  

Net Asset Value

    13.98       14.09        (0.78      14.10        13.66  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/28/19    

08/31/18

 

Transportation

    37     37

State

    20       15  

Health

    14       14  

County/City/Special District/School District

    11       15  

Utilities

    10       13  

Education

    4       4  

Corporate(a)

    2        

Housing

    1       1  

Tobacco

    1       1  

 

  (a) 

Represents less than 1% of total investments.

 

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    14

2020

    4  

2021

    15  

2022

    1  

2023

    20  
  (c) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    6     6

AA/Aa

    58       62  

A

    28       24  

BBB/Baa

    5       4  

N/R

    3       4  

 

  (b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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.

 
 

 

 

TRUST SUMMARY      15  


Trust Summary  as of February 28, 2019    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 U.S. 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 an aggregate of the Trust’s net assets (including proceeds from the issuance of any preferred shares) and the proceeds of any borrowing for investment purposes, in municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. 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 (or, if unrated, are considered by the Trust’s investment adviser to be of comparable quality 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

  MVF

Initial Offering Date

  September 29, 1988

Yield on Closing Market Price as of February 28, 2019 ($8.94)(a)

  5.17%

Tax Equivalent Yield(b)

  8.73%

Current Monthly Distribution per Common Share(c)

  $0.0385

Current Annualized Distribution per Common Share(c)

  $0.4620

Economic Leverage as of February 28, 2019(d)

  36%

 

  (a)

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.

 
  (c)

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

 
  (d)

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 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MVF(a)(b)

    4.32      1.38

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    3.68        1.64  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Portfolio income was a key contributor to absolute returns over the last six months. At the sector level, the Trust’s positions in transportation, state tax-backed and health care issues made the largest contribution to performance. The Trust’s allocation to higher-rated securities, which outperformed lower-quality bonds, also aided results.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on the Trust’s return.

Positions in the tobacco sector further detracted from performance due to the Food and Drug Administration’s announcement of its intention to ban menthol cigarettes. Reinvestment had an adverse effect on the Trust’s income, as the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at lower prevailing rates.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

 

16    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019  (continued)    BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19     08/31/18      Change      High      Low  

Market Price

  $ 8.94     $ 8.81        1.48    $ 9.00      $ 8.08  

Net Asset Value

    9.22       9.35        (1.39      9.35        9.04  

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

 

LOGO

Overview of the Trust’s Total Investments *

 

SECTOR ALLOCATION

 

     02/28/19    

08/31/18

 

Transportation

    24     24

Health

    21       22  

County/City/Special District/School District

    11       11  

Education

    11       11  

Corporate

    9       9  

State

    7       6  

Tobacco

    7       7  

Utilities

    6       6  

Housing

    4       4  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    22

2020

    14  

2021

    5  

2022

    6  

2023

    6  

 

  (c) 

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

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

     02/28/19    

08/31/18

 

AAA/Aaa

    4     6

AA/Aa

    30       33  

A

    24       18  

BBB/Baa

    23       23  

BB/Ba

    3       4  

B

    4       3  

N/R(b)

    12       13  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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.

 
  (b) 

The investment adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% each, of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      17  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 138.1%

 

Alabama — 0.6%

 

Opelika Utilities Board, Refunding RB, 4.00%, 06/01/41

  $ 960     $ 985,258  
   

 

 

 
Arizona — 7.6%  

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A, 5.00%, 02/01/42

    2,200       2,318,008  

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, 5.00%, 07/01/45(a)

    460       465,686  

County of Pinal Arizona Electric District No.3, Refunding RB:

   

4.75%, 07/01/21(b)

    680       728,355  

4.75%, 07/01/31

    3,070       3,247,354  

Salt Verde Financial Corp., RB, Senior:

   

5.00%, 12/01/32

    1,500       1,777,260  

5.00%, 12/01/37

    2,065       2,439,446  

University Medical Center Corp., RB, 6.50%, 07/01/19(b)

    500       507,925  

University Medical Center Corp., Refunding RB, 6.00%, 07/01/21(b)

    900       986,319  
   

 

 

 
    12,470,353  
Arkansas — 2.3%  

City of Benton Arkansas, RB, 4.00%, 06/01/39

    505       522,731  

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

    840       864,142  

City of Little Rock Arkansas, RB, 4.00%, 07/01/41

    1,835       1,877,388  

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

    465       502,451  
   

 

 

 
    3,766,712  
California — 22.0%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 5.88%, 08/15/20(b)

    1,900       2,020,251  

California Municipal Finance Authority, RB, Orange County Civic Center Infrastructure Improvement Program, 5.00%, 06/01/43

    500       571,380  

California Statewide Communities Development Authority, Refunding RB, Adventist Health System, Series A, 4.00%, 03/01/48

    1,345       1,353,837  

Carlsbad California Unified School District, GO, Election of 2006, Series B, 6.00%, 05/01/34(c)

    1,000       1,197,110  

City & County of San Francisco Public Utilities Commission Wastewater Revenue, Refunding RB, Sewer System, Series B, 4.00%, 10/01/42

    500       511,465  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, Series A-1, AMT, 5.75%, 03/01/34

    2,000       2,130,200  

County of San Diego Regional Airport Authority, ARB, Subordinate, Series B, AMT, 5.00%, 07/01/47

    1,405       1,557,667  

Golden State Tobacco Securitization Corp., Refunding RB, Series A-1, 5.00%, 06/01/47

    525       505,297  

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 7.00%, 08/01/34(c)

    1,650       1,773,436  

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 08/01/38(d)

    8,000       3,708,400  

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

   

0.00%, 08/01/30(d)

    1,500       1,092,750  

0.00%, 08/01/33(d)

    4,000       1,664,480  

6.20%, 08/01/39(c)

    2,605       2,625,710  

San Diego Community College District, GO, CAB, Election of 2002, 6.00%, 08/01/33(c)

    2,800       3,351,348  

State of California, GO, Refunding, Various Purpose, 5.00%, 02/01/38

    3,000       3,284,550  

State of California, GO, Various Purposes:

   

6.50%, 04/01/19(b)

    1,055       1,059,062  
Security   Par
(000)
    Value  
California (continued)  

5.75%, 04/01/31

  $ 2,000     $ 2,006,120  

6.00%, 03/01/33

    1,000       1,043,120  

6.50%, 04/01/33

    895       898,267  

5.50%, 03/01/40

    2,350       2,425,881  

Visalia Unified School District, COP, (AGM), 4.00%, 05/01/48

    1,225       1,233,403  
   

 

 

 
    36,013,734  
Colorado — 0.7%  

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

    1,070       1,074,055  
   

 

 

 
Connecticut — 1.0%  

Connecticut State Health & Educational Facility Authority, Refunding RB, Lawrence & Memorial Hospital, Series F, 5.00%, 07/01/21(b)

    550       589,628  

State of Connecticut, GO, Series E, 5.00%, 09/15/37

    970       1,073,421  
   

 

 

 
    1,663,049  
Delaware — 2.2%  

County of Kent Delaware, RB, CHF-Dover, LLC-Delaware State University Project, Series A:

   

5.00%, 07/01/40

    330       351,074  

5.00%, 07/01/48

    900       950,796  

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

    1,200       1,265,892  

Delaware Transportation Authority, RB, U.S. 301 Project, 5.00%, 06/01/55

    950       1,038,464  
   

 

 

 
    3,606,226  
Florida — 3.4%  

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

    4,135       4,719,152  

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center, 5.00%, 06/01/36

    125       129,031  

Stevens Plantation Community Development District, RB, Special Assessment, Series A, 7.10%, 05/01/35(e)(f)

    860       688,000  
   

 

 

 
    5,536,183  
Georgia — 1.7%  

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/40

    1,500       1,672,035  

County of Georgia Housing & Finance Authority, RB, S/F Housing, Series A:

   

3.95%, 12/01/43

    295       297,027  

4.00%, 12/01/48

    210       211,741  

Main Street Natural Gas, Inc., RB, Series A:

   

5.00%, 05/15/38

    255       289,417  

5.00%, 05/15/43

    330       357,627  
   

 

 

 
    2,827,847  
Hawaii — 0.3%  

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

    400       435,312  
   

 

 

 
Idaho — 0.3%  

Idaho Health Facilities Authority, RB, St. Lukes Health System Project, Series A, 5.00%, 03/01/39

    500       536,590  
   

 

 

 
Illinois — 7.6%  

Chicago Board of Education, GO, Refunding Dedicated Revenues, Series D:

   

Dedicated Revenues, Series H, 5.00%, 12/01/36

    235       242,713  

Project, Series C, 5.25%, 12/01/35

    775       803,667  

Chicago Board of Education, GO, Refunding, Dedicated Revenues, Series C, 5.00%, 12/01/34

    235       244,433  

Chicago Board of Education, GO:

   

5.00%, 12/01/46

    280       283,643  
 

 

 

18    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

5.00%, 12/01/46

  $ 725     $ 730,111  

Series C, 5.00%, 12/01/25

    425       453,981  

Series F, 5.00%, 12/01/23

    310       327,692  

Refunding Series C, 5.00%, 12/01/25

    335       357,844  

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

    1,600       1,635,088  

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

    870       938,608  

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

    665       699,214  

County of Will Illinois, GO, 5.00%, 11/15/45

    600       660,096  

Illinois Finance Authority, RB, Chicago LLC, University of Illinois at Chicago Project, Series A:

   

5.00%, 02/15/37

    300       325,572  

5.00%, 02/15/47

    205       218,507  

5.00%, 02/15/50

    100       106,369  

Illinois Finance Authority, Refunding RB:

   

OSF Health Care System, Series A, 5.00%, 11/15/45

    1,205       1,289,507  

OSF Healthcare System, 6.00%, 05/15/39

    205       211,417  

Roosevelt University Project, 6.50%, 10/01/19(b)

    395       405,890  

Roosevelt University Project, 6.50%, 10/01/19(b)

    605       621,680  

Railsplitter Tobacco Settlement Authority, RB,
6.00%, 06/01/21(b)

    1,150       1,257,743  

State of Illinois, GO, Series D, 5.00%, 11/01/28

    645       695,555  
   

 

 

 
    12,509,330  
Iowa — 0.2%  

Iowa Finance Authority, Refunding RB, Iowa Fertilizer Co. Project, Series B, 5.25%, 12/01/50(g)

    250       266,053  
   

 

 

 
Kansas — 2.7%  

County of Seward Kansas Unified School District No. 480 Liberal, GO, Refunding:

   

5.00%, 09/01/22(b)

    3,280       3,645,425  

5.00%, 09/01/39

    720       794,289  
   

 

 

 
    4,439,714  
Kentucky — 3.8%  

County of Boyle Kentucky, Refunding RB, Centre College of Kentucky, 5.00%, 06/01/37

    2,500       2,736,400  

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

    1,830       1,955,776  

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

   

6.75%, 07/01/34

    500       495,030  

6.60%, 07/01/39

    830       808,088  

6.75%, 07/01/43

    270       262,926  
   

 

 

 
    6,258,220  
Louisiana — 1.5%  

City of Alexandria Louisiana Utilities, RB, 5.00%, 05/01/39

    860       956,707  

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

    1,050       1,115,404  

Louisiana Public Facilities Authority, RB, Belle Chasse Educational Foundation Project, 6.50%, 05/01/31

    400       419,844  
   

 

 

 
    2,491,955  
Maryland — 0.4%  

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

   

5.13%, 07/01/36

    170       170,813  

5.25%, 07/01/44

    170       170,542  
Security   Par
(000)
    Value  
Maryland (continued)  

Maryland Community Development Administration, Refunding RB, S/F Housing, Series A, 4.10%, 09/01/38

  $ 315     $ 323,634  
   

 

 

 
    664,989  
Massachusetts — 3.5%  

Massachusetts Development Finance Agency, RB:

   

Emerson College Issue, Series A, 5.00%, 01/01/47

    630       680,362  

Emerson College Issue, 5.00%, 01/01/48

    1,115       1,212,674  

Emerson College Issue, Series A, 5.25%, 01/01/42

    565       622,195  

UMass Darthmouth Student Housing Project, 5.00%, 10/01/48

    830       891,362  

Massachusetts Development Finance Agency, Refunding RB:

   

Emmanuel College Issue, Series A, 5.00%, 10/01/43

    750       804,225  

International Charter School, 5.00%, 04/15/40

    400       417,472  

Western New England University, 5.00%, 09/01/43

    750       821,970  

Massachusetts Housing Finance Agency, RB, M/F Housing, Series A:

   

3.80%, 12/01/43

    160       158,189  

3.85%, 06/01/46

    205       202,915  
   

 

 

 
    5,811,364  
Michigan — 7.2%  

Michigan Finance Authority, RB:

   

Beaumont Health Credit Group, Series A, 5.00%, 11/01/44

    1,555       1,688,886  

Detroit Water & Sewage Disposal System, Senior Lien, Series 2014 C-2, AMT, 5.00%, 07/01/44

    240       253,970  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 5.00%, 11/15/41

    5,560       6,035,769  

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

    2,100       2,166,045  

Michigan State Housing Development Authority, RB, S/F Housing, Series A, 3.80%, 10/01/38

    1,690       1,677,410  
   

 

 

 
    11,822,080  
Minnesota — 2.0%  

City of Maple Grove Minnesota, Refunding RB, Maple Grove Hospital, Corp., 4.00%, 05/01/37

    880       896,817  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series A, 5.00%, 11/15/49

    560       618,593  

Minneapolis-St. Paul Metropolitan Airports Commission, Refunding ARB, Sub Series D, AMT, 5.00%, 01/01/41

    290       321,961  

Minnesota Higher Education Facilities Authority, RB:

   

Augsburg College, Series B, 4.25%, 05/01/40

    1,075       1,057,252  

College of St. Benedict, Series 8-K, 4.00%, 03/01/43

    385       375,236  
   

 

 

 
    3,269,859  
Mississippi — 1.9%  

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

    400       429,844  

Mississippi Development Bank, RB, Special Obligation:

   

CAB, Hinds Community College District (AGM), 5.00%, 04/01/21(b)

    845       903,220  

County of Jackson Limited Tax Note (AGC), 5.50%, 07/01/32

    1,750       1,771,175  
   

 

 

 
    3,104,239  
Missouri — 2.7%  

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

    900       962,298  

Missouri State Health & Educational Facilities Authority, RB:

   

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

    500       539,415  

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

    320       334,685  

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

    500       549,930  

Heartland Regional Medical Center, 4.13%, 02/15/43

    300       304,218  

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

    1,000       1,114,460  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Missouri (continued)  

Missouri State Health & Educational Facilities Authority, Refunding RB, Kansas City University of Medicine and Biosciences, Series A, 5.00%, 06/01/42

  $ 540     $ 599,292  
   

 

 

 
    4,404,298  
Nebraska — 1.1%  

Central Plains Nebraska Energy Project, RB, Gas Project No. 3, 5.00%, 09/01/42

    600       644,028  

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

    400       427,440  

Nebraska Public Power District, Refunding RB, Series A:

   

5.00%, 01/01/32

    250       269,482  

4.00%, 01/01/44

    400       404,000  
   

 

 

 
    1,744,950  
Nevada — 1.1%  

City of Las Vegas Nevada, RB, Special Assessment, No. 809 Summerlin Area, 5.65%, 06/01/23

    785       790,432  

County of Clark Nevada, Refunding ARB, Department of Aviation, Subordinate Lien, Series A-2, 4.25%, 07/01/36

    1,000       1,041,800  
   

 

 

 
    1,832,232  
New Hampshire — 0.2%  

New Hampshire Business Finance Authority, Refunding RB, Resource Recovery, Covanta Project(a):

   

Series B, 4.63%, 11/01/42

    255       249,066  

Series C, AMT, 4.88%, 11/01/42

    145       144,688  
   

 

 

 
    393,754  
New Jersey — 13.7%  

New Jersey EDA, RB:

   

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

    660       744,843  

Goethals Bridge Replacement Project (AGM), AMT, 5.13%, 07/01/42

    200       215,408  

School Facilities Construction, Series UU, 5.00%, 06/15/40

    425       444,469  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 04/01/28

    7,500       8,610,150  

New Jersey Health Care Facilities Financing Authority, Refunding RB:

   

Hospital Asset Transfer Program, 5.00%, 10/01/37

    685       731,498  

St. Barnabas Health Care System, Series A, 4.63%, 07/01/21(b)

    510       543,731  

St. Barnabas Health Care System, Series A, 5.63%, 07/01/21(b)

    1,700       1,851,028  

St. Barnabas Health Care System, Series A, 5.00%, 07/01/25

    500       549,040  

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

    1,860       2,048,269  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.25%, 06/15/43

    1,070       1,161,678  

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

    1,000       479,280  

Transportation Program, Series AA, 5.00%, 06/15/45

    900       937,485  

Transportation Program, Series AA, 5.00%, 06/15/46

    400       415,216  

New Jersey Transportation Trust Fund Authority, Refunding RB, Transportation System, Series A, 5.00%, 12/15/36

    140       151,302  

South Jersey Port Corp., RB, Marine Terminal, Series B, AMT, 5.00%, 01/01/35

    625       687,356  

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

   

5.00%, 06/01/35

    760       847,408  

5.25%, 06/01/46

    1,810       1,953,189  
   

 

 

 
    22,371,350  
New Mexico — 0.3%  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 08/01/44

    450       495,148  
   

 

 

 
Security   Par
(000)
    Value  
New York — 5.1%  

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

  $ 925     $ 936,683  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A,
6.25%, 06/01/41(a)

    900       924,003  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through, Series A-2B, 5.00%, 06/01/45

    500       509,390  

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 06/01/45

    1,160       1,131,847  

New York City Water & Sewer System, Refunding RB, 2nd Generation, Fiscal 2013, 5.00%, 06/15/47

    1,000       1,091,530  

New York Liberty Development Corp., Refunding RB:

   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 07/15/49

    800       829,032  

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

    405       428,863  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    1,295       1,342,811  

State of New York Mortgage Agency, Refunding RB, Series 211, 3.75%, 10/01/43

    1,190       1,180,837  
   

 

 

 
    8,374,996  
North Dakota — 0.3%  

County of Burleigh North Dakota, Refunding RB, St. Alexius Medical Center Project, Series A, 5.00%, 07/01/21(b)

    480       515,150  
   

 

 

 
Ohio — 4.1%  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 6.50%, 06/01/47

    2,000       1,987,460  

City of Dayton Ohio Airport Revenue, Refunding ARB, James M. Cox Dayton International Airport, Series A (AGM), AMT, 4.00%, 12/01/32

    2,000       2,039,280  

Northwest Local School District/Hamilton & Butler Counties, GO, School Improvements, 4.00%, 12/01/50

    1,135       1,149,517  

State of Ohio, Refunding RB, University Hospitals Health System, Series A, 5.00%, 01/15/41

    1,500       1,579,935  
   

 

 

 
    6,756,192  
Oklahoma — 0.9%  

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

    720       822,319  

Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B, 5.25%, 08/15/48

    605       661,126  
   

 

 

 
    1,483,445  
Oregon — 1.4%  

Oregon Health & Science University, RB, Series A, 4.00%, 07/01/37

    675       718,544  

State of Oregon State Facilities Authority, Refunding RB, University of Portland Project, Series A, 5.00%, 04/01/45

    1,475       1,640,879  
   

 

 

 
    2,359,423  
Pennsylvania — 6.4%  

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment:

   

5.00%, 06/01/33

    335       381,619  

5.00%, 06/01/34

    750       850,552  

(AGM), 4.00%, 06/01/39

    1,365       1,397,296  

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

    1,695       1,742,138  

County of Montgomery Higher Education & Health Authority, Refunding RB, Thomas Jefferson University, Series A, 4.00%, 09/01/49

    495       496,871  

Delaware River Port Authority, RB:

   

4.50%, 01/01/32

    1,500       1,617,720  

Series D (AGM), 5.00%, 01/01/20(b)

    2,600       2,672,748  
 

 

 

20    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Pennsylvania (continued)  

Pottsville Hospital Authority, Refunding RB, Lehigh Valley Health Network, Series B, 5.00%, 07/01/45

  $ 1,250     $ 1,369,500  
   

 

 

 
    10,528,444  
Puerto Rico — 1.3%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

   

5.50%, 05/15/39

    315       318,226  

5.63%, 05/15/43

    345       348,602  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    15       14,981  

4.75%, 07/01/53

    388       356,289  

5.00%, 07/01/58

    1,144       1,084,569  
   

 

 

 
    2,122,667  
Rhode Island — 4.3%  

Narragansett Bay Commission, Refunding RB, Series A, 4.00%, 09/01/43

    900       913,869  

Rhode Island Health & Educational Building Corp., Refunding RB, Series A (AGM), 3.75%, 05/15/32

    1,155       1,184,372  

Rhode Island Housing & Mortgage Finance Corp., RB, (FHA), S/F Housing, Series 3-B, 4.13%, 10/01/49

    480       483,811  

State of Rhode Island, COP, School for the Deaf Project, Series C (AGC), 5.38%, 04/01/19(b)

    900       902,601  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.00%, 06/01/40

    1,000       1,037,340  

Series B, 4.50%, 06/01/45

    2,730       2,561,859  
   

 

 

 
    7,083,852  
South Carolina — 0.8%  

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

    1,000       1,082,080  

State of South Carolina Public Service Authority, Refunding RB, Series A, 5.00%, 12/01/36

    175       194,476  
   

 

 

 
    1,276,556  
South Dakota — 0.5%  

City of Rapid City South Dakota, RB, 4.00%, 12/01/48

    740       749,768  
   

 

 

 
Tennessee — 3.0%  

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

    1,950       2,075,346  

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

    875       930,212  

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

    275       280,979  

County of Nashville & Davidson Metropolitan Government Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 07/01/40

    675       740,421  

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, Series A, 5.00%, 08/15/42

    800       845,520  
   

 

 

 
    4,872,478  
Texas — 10.9%  

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

    11,690       3,873,364  

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

    1,500       1,549,410  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 09/15/38(d)

    10,760       4,699,537  

El Paso Independent School District, GO, (PSF-GTD), 4.00%, 08/15/43

    890       924,185  

Leander ISD, GO, Refunding CAB, Series D (PSF-GTD)(d):

   

0.00%, 08/15/24(b)

    370       197,869  
Security   Par
(000)
    Value  
Texas (continued)  

0.00%, 08/15/35

  $ 3,630     $ 1,880,413  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/38

    760       846,617  

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, 4.00%, 09/15/42

    1,355       1,368,984  

San Jacinto College District, GOL, Series A, 5.00%, 02/15/44

    345       394,542  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, LBJ Infrastructure Group LLC, 7.00%, 06/30/40

    2,000       2,123,800  
   

 

 

 
    17,858,721  
Utah — 1.9%  

Salt Lake City Corp. Airport Revenue, ARB, Series A, AMT, 5.00%, 07/01/43

    530       593,929  

Utah Charter School Finance Authority, RB, Utah Charter Academies Project, 5.00%, 10/15/48

    360       392,587  

Utah State Charter School Finance Authority, Refunding RB, Mountainville Academy, 4.00%, 04/15/42

    400       404,540  

Utah Transit Authority, Refunding RB, Series A, 5.00%, 06/15/38

    1,500       1,701,255  
   

 

 

 
    3,092,311  
Vermont — 0.7%  

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

    500       517,260  

Vermont Student Assistance Corp., RB, Series A, 4.13%, 06/15/30

    570       591,079  
   

 

 

 
    1,108,339  
Virginia — 2.0%  

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 03/01/36

    490       505,234  

Virginia Beach Development Authority, Refunding RB, Westminster-Canterbury on Chesapeake Bay:

   

5.00%, 09/01/44

    585       647,987  

4.00%, 09/01/48

    375       379,192  

Virginia HDA, RB, M/F Housing, Rental Housing, Series B, 4.00%, 06/01/53

    385       386,267  

Virginia Small Business Financing Authority, RB, AMT:

   

Covanta Project, 5.00%, 01/01/48(a)(g)

    470       479,485  

Senior Lien, Elizabeth River Crossings OpCo LLC Project, 6.00%, 01/01/37

    725       791,620  
   

 

 

 
    3,189,785  
Washington — 0.4%  

Washington State Housing Finance Commission, Refunding RB, Horizon House Project, 5.00%, 01/01/38(a)

    600       633,300  
   

 

 

 
West Virginia — 0.9%  

West Virginia Hospital Finance Authority, RB, Improvement, West Virginia University Health System Obligated Group, Series A, 4.00%, 06/01/51

    1,570       1,547,392  
   

 

 

 
Wisconsin — 1.2%  

Public Finance Authority, Refunding RB, National Gypsum Co., AMT, 4.00%, 08/01/35

    280       270,816  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Milwaukee Regional Medical Center Thermal Service, 5.00%, 04/01/44

    800       902,664  

WPPI Energy Power Supply Systems, Refunding RB, Series A, 5.00%, 07/01/37

    665       744,793  
   

 

 

 
    1,918,273  
 

 

 

 

Total Municipal Bonds — 138.1%
(Cost — $212,612,829)

 

    226,265,946  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts(h)

 

California — 1.0%

 

Los Angeles California Unified School District, GO, Election of 2008, Series B-1, 5.25%, 07/01/42(i)

  $ 1,451     $ 1,704,779  
   

 

 

 
Connecticut — 1.7%  

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

    2,611       2,874,730  
   

 

 

 
New Jersey — 0.9%  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(i)

    1,400       1,454,692  
   

 

 

 
New York — 13.5%  

City of New York, GO, Refunding Fiscal 2015, Series B, 4.00%, 08/01/32

    3,990       4,201,650  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    405       409,228  

City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2013:

   

Series BB, 4.00%, 06/15/47

    3,660       3,727,515  

Series CC, 5.00%, 06/15/47

    6,000       6,678,586  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012:(i)

   

5.75%, 02/15/21

    1,548       1,664,410  

5.75%, 02/15/47

    952       1,023,895  

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

    2,505       2,717,362  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 03/15/31

    1,560       1,675,089  
   

 

 

 
    22,097,735  
Texas — 2.9%  

City of Houston Texas Community College, GO, Limited Tax, 4.00%, 02/15/43

    2,999       3,031,520  

City of San Antonio Texas Electric and Gas Systems, RB, Junior Lien, 5.00%, 02/01/43

    1,580       1,717,104  
   

 

 

 
    4,748,624  
Virginia — 1.4%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.00%, 07/01/48

    1,996       2,282,638  
   

 

 

 
Washington — 2.1%  

Washington Metropolitan Area Transit Authority, RB, Series B, 5.00%, 07/01/42

    2,992       3,396,180  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 23.5%
(Cost — $37,734,773)

 

    38,559,378  
 

 

 

 

Total Long-Term Investments — 161.6%
(Cost — $250,347,602)

 

    264,825,324  
 

 

 

 
Security       
Shares
    Value  
Short-Term Securities — 0.1%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.55%(j)(k)

    189,753     $ 189,772  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $189,772)

 

    189,772  
 

 

 

 

Total Investments — 161.7%
(Cost — $250,537,374)

 

    265,015,096  

Other Assets Less Liabilities — 1.4%

 

    2,430,599  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (14.4)%

 

    (23,629,198

VMTP Shares, at Liquidation Value, Net of Deferred Offering Costs — (48.7)%

 

    (79,900,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 163,916,497  
 

 

 

 

 

(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) 

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.

(f) 

Non-income producing security.

(g) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(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 agreements, which expire between June 15, 2019 to January 1, 2026, is $3,415,794. See Note 4 of the Notes to Financial Statements for details.

(j) 

Annualized 7-day yield as of period end.

 
(k) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate 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

08/31/18

     Net
Activity
    

Shares

Held at

02/28/19

    

Value at

02/28/19

     Income      Net
Realized
Gain (Loss)
 (a)
    

Change in

Unrealized

Appreciation

(Depreciation)

 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     2,100,576        (1,910,823      189,753      $ 189,772      $ 20,642      $ 430      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

 

 

22    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     25          06/19/19        $ 3,050        $ 15,823  

Long U.S. Treasury Bond

     87          06/19/19          12,569          143,190  

5-Year U.S. Treasury Note

     16          06/28/19          1,833          5,475  
                 

 

 

 
                  $ 164,488  
                 

 

 

 

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:

 

     

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 164,488      $      $ 164,488  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on 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 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (254,903    $      $ (254,903
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 136,966      $      $ 136,966  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 15,804,254  

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 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(a)

   $        $ 264,825,324        $        $ 264,825,324  

Short-Term Securities

     189,772                            189,772  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 189,772        $ 264,825,324        $        $ 265,015,096  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 164,488        $        $        $ 164,488  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

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

 

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Bond Trust (BBK)

 

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  

Liabilities:

 

TOB Trust Certificates

   $        $ (23,564,266      $        $ (23,564,266

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (103,464,266      $        $ (103,464,266
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

24    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 101.3%

 

Alabama — 1.9%

 

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

   

6.00%, 06/01/19

  $ 1,000     $ 1,010,380  

6.13%, 06/01/19

    1,000       1,010,680  

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

    335       359,994  
   

 

 

 
    2,381,054  
Arizona — 0.2%  

County of Maricopa IDA, Refunding RB, Honorhealth, Series A, 4.13%, 09/01/38

    300       307,695  
   

 

 

 
California — 11.5%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/20(a)

    1,120       1,192,879  

California Municipal Finance Authority, Refunding RB, Emerson College, Series B, 5.00%, 01/01/36

    750       841,785  

California Statewide Communities Development Authority, Refunding RB, Adventist Health System, Series A, 4.00%, 03/01/42

    1,000       1,018,190  

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

    1,025       1,188,672  

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 04/01/19(a)

    1,810       1,815,647  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 08/01/21(a)

    1,000       1,097,000  

Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series J:

   

5.25%, 05/15/23(a)

    1,835       2,111,443  

5.25%, 05/15/38

    520       580,653  

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 08/01/19(a)

    1,125       1,143,034  

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

   

5.50%, 11/01/30

    1,000       1,144,300  

5.50%, 11/01/31

    1,500       1,711,455  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 09/01/33

    505       567,044  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/40

    380       441,518  
   

 

 

 
    14,853,620  
Colorado — 4.3%  

City & County of Denver Colorado, RB, Capital Appreciation Bonds Series, Series A-2, 0.00%, 08/01/38(b)

    915       417,386  

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

    3,250       3,661,515  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 05/15/19(a)

    1,425       1,437,412  
   

 

 

 
    5,516,313  
Connecticut — 0.3%  

Connecticut Housing Finance Authority, Refunding RB, S/F Housing, Sub-Series B-1, 4.00%, 05/15/45

    415       418,009  
   

 

 

 
Florida — 9.9%  

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

    4,525       4,851,071  

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45

    795       844,012  

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

    4,215       4,826,091  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project, 5.00%, 08/01/41

    1,305       1,396,037  
Security   Par
(000)
    Value  
Florida (continued)  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 06/01/32

  $ 745     $ 840,486  
   

 

 

 
    12,757,697  
Georgia — 4.0%  

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

    2,500       2,688,000  

Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49

    2,225       2,511,491  
   

 

 

 
    5,199,491  
Idaho — 0.7%  

Idaho Health Facilities Authority, RB, Trinity Health Credit Group, 4.00%, 12/01/43

    670       676,915  

Idaho State Building Authority, RB, Department of Health And Welfare Project, 4.00%, 09/01/48

    230       233,974  
   

 

 

 
    910,889  
Illinois — 20.8%  

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

    1,000       1,025,770  

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

   

Series A, 5.75%, 01/01/21(a)

    690       741,281  

Series A, 5.75%, 01/01/39

    135       142,919  

Series C, 6.50%, 01/01/21(a)

    3,740       4,067,512  

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

   

5.25%, 12/01/36

    3,185       3,366,035  

5.25%, 12/01/40

    3,000       3,154,350  

City of Chicago Illinois Transit Authority, Refunding RB, Federal Transit Administration, Section 5309 (AGM), 5.00%, 06/01/28

    3,000       3,093,510  

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

    1,480       1,548,850  

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

   

5.50%, 12/01/38

    855       894,048  

5.25%, 12/01/43

    1,430       1,477,705  

Illinois Finance Authority, RB, Series A:

   

Carle Foundation, 6.00%, 08/15/41

    1,885       2,046,356  

Chicago LLC, University of Illinois at Chicago Project, 5.00%, 02/15/37

    520       564,325  

Railsplitter Tobacco Settlement Authority, RB(a):

   

5.50%, 06/01/21

    915       990,707  

6.00%, 06/01/21

    260       284,359  

State of Illinois, GO:

   

5.25%, 02/01/31

    610       639,689  

5.25%, 02/01/32

    1,010       1,055,036  

5.50%, 07/01/33

    1,000       1,055,740  

5.50%, 07/01/38

    270       281,966  

State of Illinois, GO, Refunding, Series B, 5.00%, 10/01/27

    345       374,563  
   

 

 

 
    26,804,721  
Louisiana — 0.6%  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 05/15/29

    790       794,764  
   

 

 

 
Maryland — 0.6%  

Maryland Community Development Administration, Refunding RB, S/F Housing, Series A, 4.10%, 09/01/38

    710       729,461  
   

 

 

 
Massachusetts — 1.0%  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 01/01/47

    695       750,558  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/35

    500       548,500  
   

 

 

 
    1,299,058  
 

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Michigan — 1.3%  

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM):

   

6.25%, 07/01/19(a)

  $ 1,695     $ 1,720,273  

6.25%, 07/01/36

    5       5,068  
   

 

 

 
    1,725,341  
Minnesota — 3.2%  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series A, 4.00%, 11/15/48

    395       399,408  

Duluth Economic Development Authority, Refunding RB, Essentia Health Obligated Group, Series A, 5.25%, 02/15/58

    520       574,720  

Duluth EDA, Refunding RB, Essentia Health Obligated Group, Series A, 4.25%, 02/15/48

    3,050       3,090,290  
   

 

 

 
    4,064,418  
Mississippi — 1.8%  

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

    1,000       1,185,270  

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 08/01/23(a)

    1,000       1,150,600  
   

 

 

 
    2,335,870  
Nevada — 1.6%  

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 07/01/19(a)

    2,000       2,024,040  
   

 

 

 
New Jersey — 7.3%  

New Jersey Health Care Facilities Financing Authority, RB:

   

Inspira Health Obligated Group, 4.00%, 07/01/47

    300       305,643  

Virtua Health, Series A (AGC), 5.50%, 07/01/38

    1,300       1,314,742  

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

    1,220       1,223,367  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.00%, 06/15/46

    2,070       2,180,973  

Transportation System, Series AA, 5.50%, 06/15/39

    1,620       1,719,419  

New Jersey Turnpike Authority, RB, Series A, 4.00%, 01/01/48

    270       276,375  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.00%, 06/01/35

    580       646,706  

Series A, 5.00%, 06/01/46

    1,365       1,439,597  

Sub-Series B, 5.00%, 06/01/46

    340       344,243  
   

 

 

 
    9,451,065  
New York — 2.5%  

Metropolitan Transportation Authority, RB:

   

Series A, 5.25%, 11/15/21(a)

    1,565       1,718,213  

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

    1,000       1,115,780  

Westchester New York Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 4.00%, 06/01/42

    420       393,935  
   

 

 

 
    3,227,928  
Ohio — 0.6%  

Ohio Housing Finance Agency, RB, S/F Housing, Series A (Ginnie Mae, Fannie Mae & Freddie Mac), 4.00%, 09/01/48

    280       282,246  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 02/15/31

    470       523,885  
   

 

 

 
    806,131  
Oregon — 0.2%  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 06/15/38(b)

    510       237,558  
   

 

 

 
Security   Par
(000)
    Value  
Pennsylvania — 3.1%  

Pennsylvania Housing Finance Agency, RB, S/F Housing Mortgage, Series 123-B, 4.00%, 10/01/42

  $ 530     $ 532,523  

Pennsylvania Turnpike Commission, RB, Series C, 5.00%, 12/01/43

    1,720       1,854,624  

Township of Bristol Pennsylvania School District, GO, 5.25%, 06/01/37

    1,500       1,660,080  
   

 

 

 
    4,047,227  
Rhode Island — 0.8%  

Tobacco Settlement Financing Corp., Refunding RB, Series A, 5.00%, 06/01/40

    1,050       1,089,207  
   

 

 

 
South Carolina — 7.5%  

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

    1,525       1,726,224  

South Carolina Jobs EDA, Refunding RB:

   

Anmed Health Projects, 5.00%, 02/01/38

    2,875       3,098,560  

Prisma Health Obligated Group, Series A, 5.00%, 05/01/48

    785       858,876  

State of South Carolina Jobs EDA, Refunding RB, Prisma Health Obligated Group, Series A, 5.00%, 05/01/43

    880       968,062  

State of South Carolina Public Service Authority, RB, Series E:

   

5.00%, 12/01/48

    440       467,971  

5.50%, 12/01/53

    500       541,040  

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

    1,825       1,995,455  
   

 

 

 
    9,656,188  
Texas — 13.0%  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 03/01/37

    980       1,090,760  

City of Frisco Texas ISD, GO, School Building (AGM), 5.50%, 08/15/41

    3,365       3,421,667  

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

   

6.00%, 05/15/19

    2,465       2,486,372  

6.00%, 05/15/19

    135       136,185  

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

   

5.38%, 05/15/19

    1000       1,007,455  

6.00%, 05/15/19

    2,215       2,234,217  

Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33

    1,000       1,130,970  

North Texas Tollway Authority, Refunding RB:

   

4.25%, 01/01/49

    2,555       2,640,056  

1st Tier (AGM), 6.00%, 01/01/21(a)

    1,000       1,076,920  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/38

    440       490,147  

Texas Transportation Commission, RB, First Tier Toll Revenue:

   

0.00%, 08/01/39(b)

    1,000       390,650  

0.00%, 08/01/43(b)

    795       247,062  

5.00%, 08/01/57

    340       369,022  
   

 

 

 
    16,721,483  
Virginia — 0.3%  

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

    370       399,045  
   

 

 

 
Washington — 2.2%  

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 02/01/21(a)

    1,025       1,095,028  

State of Washington, GO, Various Purposes, Series B, 5.25%, 02/01/21(a)

    795       849,314  

Washington State Housing Finance Commission, Refunding RB, Horizon House Project, 5.00%, 01/01/43(c)

    900       940,860  
   

 

 

 
    2,885,202  
 

 

 

26    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
West Virginia — 0.1%  

West Virginia Hospital Finance Authority, RB, Improvement, West Virginia University Health System Obligated Group, Series A, 4.00%, 06/01/51

  $ 140     $ 137,984  
   

 

 

 

Total Municipal Bonds — 101.3%
(Cost — $124,926,651)

 

    130,781,459  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

California — 12.8%

 

Fremont Union High School District, GO, Refunding Series A, 4.00%, 08/01/46

    1,640       1,711,045  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/43

    2,775       3,132,355  

San Marcos Unified School District, GO, Election of 2010, Series A, 5.25%, 08/01/21(a)

    10,680       11,652,307  
   

 

 

 
    16,495,707  
Connecticut — 1.1%  

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

    1,306       1,437,365  
   

 

 

 
District of Columbia — 0.6%  

District of Columbia Housing Finance Agency, RB, M/F Housing, Series B-2 (FHA), 4.10%, 09/01/39

    790       802,652  
   

 

 

 
Georgia — 0.8%  

County of Dalton Whitfield Joint Development Authority, RB, Hamilton Health Care System Obligation, 4.00%, 08/15/48

    1,025       1,049,979  
   

 

 

 
Idaho — 1.3%  

Idaho State Building Authority, RB, State Office Campus Project, Series A, 4.00%, 09/01/48

    1,700       1,737,102  
   

 

 

 
Illinois — 5.5%  

State of Illinois Toll Highway Authority, RB:

   

Series A, 5.00%, 01/01/40

    825       919,721  

Series B, 5.00%, 01/01/40

    3,329       3,685,774  

Series C, 5.00%, 01/01/38

    2,252       2,494,806  
   

 

 

 
    7,100,301  
Iowa — 1.1%  

Iowa Finance Authority, Refunding RB, UnityPoint Health, Series E, 4.00%, 08/15/46

    1,455       1,459,937  
   

 

 

 
Michigan — 2.3%  

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

    2,650       3,008,969  
   

 

 

 
Nevada — 3.4%  

Las Vegas Valley Water District, GO, Refunding, Series C, 5.00%, 06/01/28

    4,100       4,379,620  
   

 

 

 
New Jersey — 6.0%  

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 07/01/22(a)(e)

    6,020       6,650,670  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(e)

    1,000       1,039,066  
   

 

 

 
    7,689,736  
New York — 15.3%  

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.15%, 12/01/43

    1,890       1,952,512  

City of New York Municipal Water Finance Authority, Refunding RB, Series FF, 5.00%, 06/15/45

    3,019       3,269,594  

City of New York New York, GO, Sub-Series-D1, Series D, 5.00%, 12/01/43(e)

    2,620       2,999,350  
Security   Par
(000)
    Value  
New York (continued)  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series BB, 5.25%, 06/15/44

  $ 4,993     $ 5,413,248  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012(e):

   

5.75%, 02/15/21(a)

    619       665,764  

5.75%, 02/15/47

    381       409,558  

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

    2,955       3,205,511  

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

    1,740       1,897,730  
   

 

 

 
    19,813,267  
North Carolina — 2.9%  

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

    2,400       2,695,164  

North Carolina Housing Finance Agency, RB, S/F Housing, Series 39-B (Ginnie Mae, Fannie Mae & Freddie Mac), 4.00%, 01/01/48

    985       989,455  
   

 

 

 
    3,684,619  
Pennsylvania — 3.6%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38

    1,349       1,509,286  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

    1,094       1,254,226  

Pennsylvania Turnpike Commission, Refunding RB, Sub Series B-2 (AGM), 5.00%, 06/01/35

    1,640       1,852,101  
   

 

 

 
    4,615,613  
Rhode Island — 1.6%  

Rhode Island Health & Educational Building Corp., RB, Series A, 4.00%, 09/15/47

    1,982       2,019,741  
   

 

 

 
Texas — 5.7%  

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

    4,456       4,817,859  

North Texas Tollway Authority, RB, Special Projects System, Series A, 5.50%, 09/01/21(a)

    2,310       2,522,070  
   

 

 

 
    7,339,929  
Utah — 0.8%  

City of Riverton Utah, RB, IHC Health Services, Inc., 5.00%, 08/15/19(a)

    1,005       1,020,064  
   

 

 

 
Virginia — 1.2%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.50%, 07/01/57(e)

    1,337       1,572,134  
   

 

 

 
West Virginia — 1.2%  

Morgantown Utility Board, Inc., RB, Series B,
4.00%, 12/01/48(e)

    1,511       1,537,392  
   

 

 

 
Wisconsin — 2.4%  

Wisconsin Housing & Economic Development Authority, RB, M/F Housing, Series A:

   

4.10%, 11/01/43

    1,342       1,359,389  

4.45%, 05/01/57

    1,678       1,699,267  
   

 

 

 
    3,058,656  
 

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 69.6%
(Cost — $86,833,018)

 

    89,822,783  
 

 

 

 

Total Long-Term Investments — 170.9%
(Cost — $211,759,669)

 

    220,604,242  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities — 0.5%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.55%(f)(g)

    589,555     $ 589,614  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost — $589,614)

 

    589,614  
 

 

 

 

Total Investments — 171.4%
(Cost — $212,349,283)

 

    221,193,856  

Other Assets Less Liabilities — 1.4%

 

    1,832,204  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (40.1)%

 

    (51,779,752

VMTP Shares, at Liquidation Value — (32.7)%

 

    (42,200,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 129,046,308  
 

 

 

 

 

(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) 

Zero-coupon bond.

(c) 

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

(d) 

Represent bonds transferred to a TOB 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 June 15, 2019 to December 1, 2026, is $9,988,902. See Note 4 of the Notes to Financial Statements for details.

(f) 

Annualized 7-day yield as of period end.

 
(g) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate 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
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     690,077        (100,522      589,555      $ 589,614      $ 8,450      $ 478      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     13          06/19/19        $ 1,586        $ 8,219  

Long U.S. Treasury Bond

     50          06/19/19          7,223          82,293  

5-Year U.S. Treasury Note

     20          06/28/19          2,291          6,844  
                 

 

 

 
        $ 97,356  
                 

 

 

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 97,356      $      $ 97,356  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Includes cumulative appreciation (depreciation) on 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.

 

 

 

28    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (218,010    $      $ (218,010
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 86,680      $      $ 86,680  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 10,070,953  

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(a)

   $        $ 220,604,242        $        $ 220,604,242  

Short-Term Securities

     589,614                            589,614  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 589,614        $ 220,604,242        $        $ 221,193,856  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 97,356        $        $             —        $ 97,356  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)

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

 
  (b)

Derivative financial instruments are 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  

Liabilities:

                 

TOB Trust Certificates

   $        $ (51,608,191      $        $ (51,608,191

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (93,808,191      $             —        $ (93,808,191
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 116.4%

 

Alabama — 3.3%

 

City of Birmingham Alabama, GO, Convertible CAB, Series A1, 5.00%, 03/01/45

  $ 1,165     $ 1,266,378  

City of Birmingham Alabama Airport Authority, ARB, (AGM), 5.50%, 07/01/40

    5,800       6,027,882  

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 06/01/19(a)

    1,495       1,510,518  

State of Alabama Docks Department, Refunding RB, 6.00%, 10/01/20(a)

    3,800       4,059,578  
   

 

 

 
    12,864,356  
Alaska — 0.3%  

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

    1,070       1,150,411  
   

 

 

 
Arizona — 0.8%  

Arizona State University, RB, Green Bonds, Series B, 5.00%, 07/01/42

    1,395       1,576,280  

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

   

5.00%, 10/01/27

    1,250       1,274,213  

5.25%, 10/01/28

    250       255,200  
   

 

 

 
    3,105,693  
California — 10.5%  

California Health Facilities Financing Authority, RB, St. Joseph Health System, Series A, 5.75%, 07/01/39

    625       633,044  

California Health Facilities Financing Authority, Refunding RB, Kaiser Permanente, Sub-Series A-2, 5.00%, 11/01/47

    1,465       1,902,068  

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

    10,100       12,660,552  

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 04/01/42

    1,620       1,735,927  

California Statewide Communities Development Authority, Refunding RB, Adventist Health System, Series A, 4.00%, 03/01/48

    3,175       3,195,860  

City & County of San Francisco Public Utilities Commission Wastewater Revenue, Refunding RB, Sewer System, Series B, 4.00%, 10/01/42

    1,500       1,534,395  

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 0.00%, 08/01/43(b)

    1,580       1,354,202  

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

   

CAB, Series C, 0.00%, 07/01/38

    2,000       991,760  

CAB, Series G, 0.00%, 07/01/34

    725       364,030  

CAB, Series G, 0.00%, 07/01/35

    775       365,947  

CAB, Series G, 0.00%, 07/01/36

    1,155       512,912  

CAB, Series G, 0.00%, 07/01/37

    770       321,698  

CAB, Series K-2, 0.00%, 07/01/38

    1,745       839,555  

CAB, Series K-2, 0.00%, 07/01/39

    2,115       981,656  

CAB, Series K-2, 0.00%, 07/01/40

    2,715       1,205,460  

San Diego California Unified School District, GO, Refunding, CAB, Series R-1, 0.00%, 07/01/31(c)

    1,400       954,338  

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

    1,100       1,180,421  

State of California, GO, Various Purposes, 5.00%, 04/01/42

    3,000       3,234,990  

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

    1,415       1,609,110  
Security   Par
(000)
    Value  
California (continued)  

Yosemite Community College District, GO, CAB, Election of 2004, Series D, 0.00%, 08/01/37(c)

  $ 10,000     $ 5,103,200  
   

 

 

 
    40,681,125  
Colorado — 0.6%  

Regional Transportation District, COP, Refunding, Series A, 5.38%, 06/01/31

    960       999,341  

Regional Transportation District, COP, Series A, 5.00%, 06/01/39

    1,305       1,435,656  
   

 

 

 
    2,434,997  
Connecticut — 1.4%  

State of Connecticut, GO, Series E, 5.00%, 09/15/37

    2,280       2,523,094  

University of Connecticut, RB, Series A, 5.00%, 01/15/34

    2,620       2,910,322  
   

 

 

 
    5,433,416  
Delaware — 0.8%  

County of Kent Delaware, RB, CHF-Dover, LLC-Delaware State University Project, Series A:

   

5.00%, 07/01/40

    770       819,172  

5.00%, 07/01/48

    2,110       2,229,089  
   

 

 

 
    3,048,261  
District of Columbia — 2.5%  

District of Columbia Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, 6.75%, 05/15/40

    9,500       9,806,470  
   

 

 

 
Florida — 7.0%  

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39

    1,795       1,934,956  

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

    2,770       3,171,594  

County of Miami-Dade Florida Aviation, Refunding ARB(a):

   

Aviation, Miami International Airport, Series A-1, 5.50%, 10/01/20

    5,000       5,298,800  

Series A, 5.50%, 10/01/19

    5,000       5,111,100  

County of Miami-Dade Florida Educational Facilities Authority, RB, University of Miami, Series A, 5.00%, 04/01/40

    3,910       4,281,411  

County of Miami-Dade Florida Health Facilities Authority, Refunding RB, Nicklaus Children’s Hospital Project, 5.00%, 08/01/42

    685       759,706  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project:

   

5.00%, 08/01/41

    630       673,949  

5.00%, 08/01/47

    1,845       1,965,202  

County of Sarasota Florida Public Hospital District, RB, Sarasota Memorial Hospital Project, Series A, 5.63%, 07/01/19(a)

    300       303,870  

Reedy Creek Improvement District, GO, Series A, 5.25%, 06/01/33

    1,340       1,508,840  

Tohopekaliga Water Authority, Refunding RB, Series A, 5.25%, 10/01/21(a)

    2,000       2,179,700  
   

 

 

 
    27,189,128  
Georgia — 3.6%  

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

    7,500       8,064,000  

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/40

    1,500       1,672,035  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A (GTD), 5.50%, 08/15/54

    545       619,605  
 

 

 

30    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Georgia (continued)  

County of Georgia Housing & Finance Authority, RB, S/F Housing, Series A:

   

3.95%, 12/01/43

  $ 685     $ 689,706  

4.00%, 12/01/48

    500       504,145  

Main Street Natural Gas, Inc., RB, Series A:

   

5.00%, 05/15/38

    595       675,307  

5.00%, 05/15/43

    775       839,883  

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

   

5.00%, 04/01/33

    155       169,686  

5.00%, 04/01/44

    595       636,811  
   

 

 

 
    13,871,178  
Hawaii — 1.4%  

State of Hawaii Harbor System, RB, Series A, 5.50%, 07/01/35

    5,000       5,234,650  
   

 

 

 
Illinois — 13.6%  

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

   

3rd Lien, 5.63%, 01/01/21(a)

    1,230       1,318,658  

3rd Lien, 5.63%, 01/01/35

    295       311,977  

Senior Lien, Series D, 5.25%, 01/01/42

    3,300       3,729,561  

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

    9,800       10,747,366  

City of Chicago Illinois Transit Authority, RB:

   

5.25%, 12/01/49

    3,500       3,832,745  

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

    650       686,946  

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

   

5.13%, 12/01/38

    7,700       7,929,383  

5.50%, 12/01/38

    1,000       1,045,670  

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

    210       220,214  

County of Will Illinois, GO, 5.00%, 11/15/45

    1,400       1,540,224  

Illinois Finance Authority, RB, Chicago LLC, University of Illinois at Chicago Project, Series A:

   

5.00%, 02/15/37

    700       759,668  

5.00%, 02/15/47

    480       511,627  

5.00%, 02/15/50

    240       255,286  

Illinois Finance Authority, Refunding RB:

   

OSF Health Care System, Series A, 5.00%, 11/15/45

    2,815       3,012,416  

Silver Cross Hospital & Medical Centers, Series C, 4.13%, 08/15/37

    3,130       3,119,890  

Silver Cross Hospital & Medical Centers, Series C, 5.00%, 08/15/44

    390       416,692  

University of Chicago Medical Center, Series B, 4.00%, 08/15/41

    900       916,974  

Railsplitter Tobacco Settlement Authority, RB, 6.00%, 06/01/21(a)

    710       776,520  

State of Illinois, GO:

   

5.25%, 07/01/29

    8,345       8,783,864  

5.50%, 07/01/33

    880       929,051  

5.50%, 07/01/38

    1,475       1,540,372  
   

 

 

 
    52,385,104  
Indiana — 0.3%  

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

    1,100       1,186,427  
   

 

 

 
Iowa — 2.2%  

Iowa Finance Authority, RB, Iowa Health Care Facilities:

   

Genesis Health System, 5.50%, 07/01/33

    3,000       3,381,150  

Series A (AGC), 5.63%, 08/15/19(a)

    5,000       5,088,350  
   

 

 

 
    8,469,500  
Security   Par
(000)
    Value  
Kentucky — 0.1%  

State of Kentucky Property & Building Commission, Refunding RB, Project No. 93 (AGC), 5.25%, 02/01/29

  $ 170     $ 170,447  
   

 

 

 
Maryland — 1.7%  

County of Montgomery Maryland, RB, Trinity Health Credit Group, 4.00%, 12/01/44

    1,810       1,835,105  

Maryland Community Development Administration, Refunding RB, S/F Housing, Series A, 4.10%, 09/01/38

    745       765,420  

Maryland Health & Higher Educational Facilities Authority, RB, University of Maryland Medical System Issue, 4.00%, 07/01/48

    4,000       4,063,480  
   

 

 

 
    6,664,005  
Massachusetts — 3.1%  

Massachusetts Development Finance Agency, RB:

   

Emerson College Issue, Series A, 5.00%, 01/01/47

    2,370       2,559,458  

Emerson College Issue, 5.00%, 01/01/48

    2,595       2,822,322  

UMass Darthmouth Student Housing Project, 5.00%, 10/01/48

    1,970       2,115,642  

Massachusetts Development Finance Agency, Refunding RB:

   

Foxborough Regional Charter School Issue, 5.00%, 07/01/37

    190       200,986  

Western New England University, 5.00%, 09/01/43

    1,750       1,917,930  

Massachusetts Housing Finance Agency, RB, M/F Housing, Series A:

   

3.80%, 12/01/43

    365       360,868  

3.85%, 06/01/46

    490       485,016  

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior Series A, 5.00%, 05/15/43

    1,395       1,534,012  
   

 

 

 
    11,996,234  
Michigan — 7.2%  

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A, 5.50%, 07/01/41

    1,100       1,186,823  

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

    3,640       3,953,404  

Michigan Finance Authority, Refunding RB:

   

Henry Ford Health System, 5.00%, 11/15/41

    2,235       2,426,249  

Hospital; Trinity Health Credit Group, 5.00%, 12/01/39

    9,020       9,596,198  

Trinity Health Credit Group, 5.00%, 12/01/21(a)

    30       32,623  

Michigan State Housing Development Authority, RB, S/F Housing, Series A, 3.80%, 10/01/38

    3,965       3,935,461  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, Beaumont Health Credit Group, Series D, 5.00%, 09/01/39

    1,560       1,685,908  

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

   

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

    2,000       2,167,860  

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

    800       865,440  

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

    1,500       1,625,895  

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

    430       481,320  
   

 

 

 
    27,957,181  
Minnesota — 0.4%  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series A, 5.00%, 11/15/49

    1,315       1,452,588  
   

 

 

 
Nebraska — 1.8%  

Central Plains Nebraska Energy Project, RB, Gas Project No. 3, 5.25%, 09/01/37

    6,345       6,863,069  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Nevada — 1.9%  

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

   

5.25%, 07/01/42

  $ 3,000     $ 3,068,580  

(AGM), 5.25%, 07/01/39

    4,100       4,198,154  
   

 

 

 
    7,266,734  
New Jersey — 9.7%  

New Jersey EDA, RB:

   

School Facilities Construction Bonds, Series DDD, 5.00%, 06/15/42

    375       393,953  

Series WW, 5.25%, 06/15/33

    170       185,164  

Series WW, 5.00%, 06/15/34

    225       240,903  

Series WW, 5.00%, 06/15/36

    1,395       1,483,499  

Series WW, 5.25%, 06/15/40

    400       424,828  

New Jersey EDA, Refunding RB, Sub-Series A, 4.00%, 07/01/32

    930       932,632  

New Jersey Health Care Facilities Financing Authority, Refunding RB, Hospital Asset Transfer Program, 5.00%, 10/01/37

    1,605       1,713,947  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.25%, 06/15/43

    2,150       2,334,212  

5.00%, 06/15/36

    5,070       5,305,501  

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

    5,845       2,352,612  

Transportation Program, Series AA, 5.25%, 06/15/33

    1,660       1,767,867  

Transportation Program, Series AA, 5.00%, 06/15/38

    945       992,250  

Transportation System, Series A, 5.50%, 06/15/41

    3,000       3,117,660  

Transportation System, Series AA, 5.50%, 06/15/39

    3,785       4,017,285  

Transportation System, Series B, 5.25%, 06/15/36(d)

    5,000       5,194,150  

Transportation System, Series D, 5.00%, 06/15/32

    900       965,340  

New Jersey Transportation Trust Fund Authority, Refunding RB, Transportation System, Series A, 5.00%, 12/15/36

    340       367,448  

South Jersey Port Corp., RB, Sub-Marine Terminal, Series A, 5.00%, 01/01/49

    720       783,562  

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

   

5.00%, 06/01/35

    1,750       1,951,268  

5.25%, 06/01/46

    1,725       1,861,465  

Tobacco Settlement Bonds, 5.00%, 06/01/33

    1,000       1,129,380  
   

 

 

 
    37,514,926  
New Mexico — 0.1%  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 08/01/44

    405       445,634  
   

 

 

 
New York — 3.0%  

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

    1,650       1,816,667  

City of New York Water & Sewer System, Refunding RB, Water and Sewer System, 2nd General Resolution, Fiscal 2013, Series BB, 4.00%, 06/15/47

    2,855       2,907,675  

Hudson Yards Infrastructure Corp., RB, Senior, Fiscal 2012:

   

5.75%, 02/15/21(a)

    480       518,419  

5.75%, 02/15/47

    290       310,874  

Metropolitan Transportation Authority, Refunding RB, Series B, 5.00%, 11/15/37

    1,570       1,754,271  

State of New York Dormitory Authority, RB, Education, Series B, 5.75%, 03/15/19(a)

    1,300       1,301,690  

State of New York Mortgage Agency, Refunding RB, Series 211, 3.75%, 10/01/43

    2,810       2,788,363  
   

 

 

 
    11,397,959  
Security   Par
(000)
    Value  
Ohio — 3.0%  

County of Lucas Ohio, Refunding RB, Promedica Healthcare, Series A, 6.50%, 11/15/21(a)

  $ 610     $ 686,335  

Northwest Local School District/Hamilton & Butler Counties, GO, School Improvements, 4.00%, 12/01/50

    2,645       2,678,830  

State of Ohio, Refunding RB, University Hospitals Health System, Series A, 5.00%, 01/15/41

    3,500       3,686,515  

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

   

5.25%, 02/15/32

    780       868,803  

5.25%, 02/15/33

    1,095       1,218,790  

University of Akron, Refunding RB, Series A, 5.00%, 01/01/37

    2,000       2,236,560  
   

 

 

 
    11,375,833  
Oregon — 0.4%  

Counties of Washington & Multnomah Oregon School District No. 48J Beaverton, GO, Convertible CAB, Series D, 5.00%, 06/15/36

    945       1,097,504  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 06/15/38(c)

    1,115       519,367  
   

 

 

 
    1,616,871  
Pennsylvania — 5.7%  

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment:

   

5.00%, 06/01/33

    790       899,936  

5.00%, 06/01/34

    1,750       1,984,623  

(AGM), 4.00%, 06/01/39

    3,230       3,306,422  

County of Montgomery Higher Education & Health Authority, Refunding RB, Thomas Jefferson University, Series A, 4.00%, 09/01/49

    1,145       1,149,328  

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

    1,770       1,786,443  

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Thomas Jefferson University, Series A, 5.25%, 09/01/50

    4,245       4,768,111  

Pennsylvania Turnpike Commission, RB:

   

Series A, 5.00%, 12/01/38

    695       763,492  

Series A-1, 5.00%, 12/01/41

    2,730       3,000,407  

Series B, 5.00%, 12/01/40

    1,060       1,162,608  

Series C, 5.50%, 12/01/23(a)

    630       738,914  

Subordinate, Special Motor License Fund, 6.00%, 12/01/20(a)

    625       671,581  

Pennsylvania Turnpike Commission, Refunding RB:

   

Series A-1, 5.00%, 12/01/40

    850       926,730  

Turnpike Subordinate Revenue, Second Series, 5.00%, 12/01/35

    860       961,962  
   

 

 

 
    22,120,557  
Rhode Island — 2.0%  

Narragansett Bay Commission, Refunding RB, Series A, 4.00%, 09/01/43

    2,275       2,310,058  

Tobacco Settlement Financing Corp., Refunding RB, Series B, 4.50%, 06/01/45

    5,855       5,494,390  
   

 

 

 
    7,804,448  
South Carolina — 6.2%  

South Carolina Jobs EDA, Refunding RB, Palmetto Health, Series A (AGM), 6.50%, 08/01/21(a)

    260       289,453  

Spartanburg Regional Health Services District, Refunding RB, Series A, 4.00%, 04/15/43

    3,500       3,451,665  

State of South Carolina Ports Authority, ARB, 5.25%, 07/01/20(a)

    5,000       5,235,500  

State of South Carolina Public Service Authority, RB:

   

Santee Cooper, Series A, 5.50%, 12/01/54

    6,960       7,587,444  

Series E, 5.50%, 12/01/53

    1,610       1,742,149  
 

 

 

32    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
South Carolina (continued)  

State of South Carolina Public Service Authority, Refunding RB, Series B:

   

Santee Cooper, 5.00%, 12/01/38

  $ 2,360     $ 2,527,985  

(AGM), 5.00%, 12/01/56

    2,845       3,094,108  
   

 

 

 
    23,928,304  
South Dakota — 0.5%  

City of Rapid City South Dakota, RB, 4.00%, 12/01/48

    1,760       1,783,232  
   

 

 

 
Tennessee — 0.0%  

County of Nashville & Davidson Metropolitan Government Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 07/01/40

    35       38,392  
   

 

 

 
Texas — 15.4%  

City of Arlington Texas, Special Tax Bonds, Sub Lien, Series C (BAM), 5.00%, 02/15/45

    2,105       2,200,567  

City of San Antonio Texas Electric & Gas Revenue, RB, Junior Lien, 5.00%, 02/01/38

    615       672,373  

Coppell Texas ISD, GO, CAB, Refunding (PSF-GTD), 0.00%, 08/15/30(c)

    10,030       7,312,372  

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

   

0.00%, 08/15/25

    7,485       6,523,252  

0.00%, 08/15/28

    10,915       8,599,274  

County of Harris Texas Houston Sports Authority, Refunding RB, CAB, Junior Lien, Series H (NPFGC)(c):

   

0.00%, 11/15/38

    5,785       2,206,978  

0.00%, 11/15/39

    6,160       2,199,366  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 09/15/36(c)

    2,340       1,146,085  

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

    1,090       1,212,810  

El Paso Independent School District, GO, (PSF-GTD), 4.00%, 08/15/43

    2,110       2,191,045  

Grand Parkway Transportation Corp., RB, Series B:

   

Convertible CAB, 0.00%, 10/01/46(b)

    2,365       2,267,940  

Subordinate Tier Toll Revenue Bonds, 5.00%, 04/01/53

    465       500,419  

Harris County-Houston Sports Authority, Refunding RB, 3rd Lien, Series A (NPFGC)(c):

   

0.00%, 11/15/24(a)

    5,965       2,320,922  

0.00%, 11/15/38

    10,925       3,936,168  

Leander ISD, GO, Refunding, CAB, Series D (PSF-GTD), 0.00%, 08/15/38(c)

    3,775       1,666,247  

North Texas Tollway Authority, RB(a):

   

CAB, Special Project System, Series B, 0.00%, 09/01/31(c)

    1,975       881,423  

Convertible CAB, Series C, 0.00%, 09/01/31(b)

    2,500       3,093,475  

Special Projects System, Series A, 6.00%, 09/01/21

    1,000       1,103,950  

North Texas Tollway Authority, Refunding RB:

   

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

    115       115,346  

Series B, 5.00%, 01/01/40

    385       416,543  

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, 4.00%, 09/15/42

    3,155       3,187,560  

San Jacinto College District, GOL, Series A, 5.00%, 02/15/44

    815       932,034  

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

   

5.00%, 12/15/31

    2,105       2,259,402  

5.00%, 12/15/32

    2,540       2,718,613  
   

 

 

 
    59,664,164  
Utah — 0.6%  

Salt Lake City Corp. Airport Revenue, ARB, Series B, 5.00%, 07/01/43

    2,000       2,284,020  
   

 

 

 
Security   Par
(000)
    Value  
Virginia — 1.1%  

County of Fairfax Virginia IDA, Refunding RB, Health Care-Inova Health, 5.50%, 05/15/19(a)

  $ 260     $ 261,992  

County of Henrico Virginia Water & Sewer Revenue, Refunding RB, 5.00%, 05/01/42

    500       566,225  

Virginia Beach Development Authority, Refunding RB, Westminster-Canterbury on Chesapeake Bay:

   

5.00%, 09/01/44

    1,375       1,523,046  

4.00%, 09/01/48

    885       894,894  

Virginia HDA, RB, M/F Housing, Rental Housing, Series B, 4.00%, 06/01/53

    895       897,945  
   

 

 

 
    4,144,102  
Washington — 1.1%  

Washington Health Care Facilities Authority, RB:

   

MultiCare Health System, Remarketing, Series B, 5.00%, 08/15/44

    2,000       2,148,960  

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

    675       696,877  

Washington State Housing Finance Commission, Refunding RB, Horizon House Project, 5.00%, 01/01/38(e)

    1,400       1,477,700  
   

 

 

 
    4,323,537  
West Virginia — 0.9%  

West Virginia Hospital Finance Authority, RB, Improvement, West Virginia University Health System Obligated Group, Series A, 4.00%, 06/01/51

    3,680       3,627,008  
   

 

 

 
Wisconsin — 2.2%  

State of Wisconsin Health & Educational Facilities Authority, RB:

   

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

    1,500       1,528,230  

Marshfield Clinic Health System, Inc. Series C, 4.00%, 02/15/42

    5,000       4,934,400  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Milwaukee Regional Medical Center Thermal Service, 5.00%, 04/01/44

    1,895       2,138,185  
   

 

 

 
    8,600,815  
 

 

 

 

Total Municipal Bonds — 116.4%
(Cost — $421,869,910)

 

    449,900,776  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(f)

 

Arizona — 0.3%

 

City of Phoenix Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 07/01/19(a)

    1,300       1,314,235  
   

 

 

 
California — 2.0%  

Los Angeles California Unified School District, GO, Election of 2008, Series B-1, 5.25%, 07/01/42(d)

    3,432       4,032,293  

San Diego California Community College District, GO, Election of 2002, 5.25%, 08/01/19(a)

    449       455,856  

Visalia Unified School District, COP, (AGM), 4.00%, 05/01/48

    3,077       3,098,076  
   

 

 

 
    7,586,225  
Connecticut — 0.4%  

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

    1,561       1,718,229  
   

 

 

 
District of Columbia — 0.3%  

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

    1,080       1,108,345  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Florida — 5.9%  

City of Miami Beach Florida, RB, 5.00%, 09/01/45

  $ 3,500     $ 3,947,921  

County of Miami-Dade Florida Transit System, Refunding RB, Sales Tax, 5.00%, 07/01/42

    1,950       2,105,093  

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/20(a)

    10,101       10,625,491  

County of Orange Florida School Board, COP, Series A (AGC), 5.50%, 08/01/19(a)

    6,096       6,193,187  
   

 

 

 
    22,871,692  
Illinois — 5.2%  

Illinois Finance Authority, RB, The Carle Foundation, Series A (AGM), 6.00%, 08/15/41

    2,400       2,605,392  

State of Illinois, RB, Build Illinois, Series B, 5.25%, 06/15/19(a)(d)

    1,400       1,413,586  

State of Illinois Toll Highway Authority, RB:

   

Series A, 5.00%, 01/01/38

    7,714       8,377,964  

Series A, 5.00%, 01/01/40

    3,045       3,394,605  

Series B, 5.00%, 01/01/40

    1,170       1,295,002  

Series C, 5.00%, 01/01/38

    2,658       2,943,871  
   

 

 

 
    20,030,420  
Kansas — 1.6%  

County of Wyandotte Kansas Unified School District, GO, Series A, 5.50%, 09/01/47

    5,363       6,303,871  
   

 

 

 
Maryland — 0.9%  

City of Baltimore Maryland Water Utility Fund, RB, Sub-Water Projects, Series A, 5.00%, 07/01/41

    3,139       3,523,668  
   

 

 

 
Massachusetts — 3.4%  

Commonwealth of Massachusetts, GO, Series A, 5.00%, 03/01/46

    1,661       1,833,458  

Massachusetts Development Finance Agency, Refunding RB, Partners Healthcare System, 4.00%, 07/01/35

    7,070       7,399,363  

Massachusetts School Building Authority, RB, Senior Series B, 5.00%, 11/15/46(d)

    3,300       3,721,872  
   

 

 

 
    12,954,693  
Michigan — 0.9%  

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

    2,220       2,411,644  

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

    960       1,090,041  
   

 

 

 
    3,501,685  
Nevada — 2.7%  

City of Las Vegas Nevada, GO, Limited Tax, Performing Arts Center, 6.00%, 04/01/19(a)(d)

    4,197       4,211,085  

County of Clark Nevada Water Reclamation District, GO, Series B, 5.75%, 07/01/19(a)

    2,024       2,051,883  

Las Vegas Valley Water District Nevada, GO, Refunding, Water Improvement, Series A, 5.00%, 06/01/46

    3,900       4,360,863  
   

 

 

 
    10,623,831  
New Jersey — 0.8%  

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 05/01/51

    920       1,036,063  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(d)

    2,000       2,078,131  
   

 

 

 
    3,114,194  
Security   Par
(000)
    Value  
New York — 12.3%  

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

   

2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 06/15/47

  $ 6,240     $ 6,945,730  

2nd General Resolution, Series FF, 5.00%, 06/15/39

    8,355       9,404,778  

Series DD, 5.00%, 06/15/35

    1,845       2,080,244  

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

    3,850       4,324,724  

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

    1,698       1,877,734  

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

    12,500       13,788,344  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 198th Series, 5.25%, 11/15/56

    2,561       2,922,329  

State of New York Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 03/15/43

    5,720       6,286,594  
   

 

 

 
    47,630,477  
Pennsylvania — 1.8%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/42

    1,020       1,120,393  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

    4,997       5,727,497  
   

 

 

 
    6,847,890  
Texas — 3.2%  

City of Houston Texas Community College, GO, Limited Tax, 4.00%, 02/15/43

    7,001       7,078,599  

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

    719       777,771  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Texas Health Resources System, Series A, 5.00%, 02/15/41

    3,920       4,343,537  
   

 

 

 
    12,199,907  
Virginia — 0.6%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.00%, 07/01/48

    1,996       2,282,638  
   

 

 

 
Washington — 1.0%  

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

    3,210       3,708,085  
   

 

 

 
Wisconsin — 1.6%  

State of Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group, Series C, 5.25%, 04/01/19(a)

    2,500       2,506,900  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group, Series A, 5.00%, 04/01/42

    3,520       3,769,392  
   

 

 

 
    6,276,292  
 

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 44.9%
(Cost — $169,884,810)

 

    173,596,377  
 

 

 

 

Total Long-Term Investments — 161.3%
(Cost — $591,754,720)

 

    623,497,153  
 

 

 

 
 

 

 

34    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Security       
Shares
    Value  

Short-Term Securities — 0.9%

 

BlackRock Liquidity Funds, MuniCash,
Institutional Class,
1.55%(g)(h)

    3,558,401     $ 3,558,757  
   

 

 

 

Total Short-Term Securities — 0.9%
(Cost — $3,558,757)

 

    3,558,757  
 

 

 

 

Total Investments — 162.2%
(Cost — $595,313,477)

 

    627,055,910  

Other Assets Less Liabilities — 1.6%

 

    5,883,149  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (28.3)%

 

    (109,240,727

VMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (35.5)%

 

    (137,200,000
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 386,498,332  
   

 

 

 

 

(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) 

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, 2019 to December, 1, 2030, is $10,894,055. See Note 4 of the Notes to Financial Statements for details.

(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) 

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.

(g) 

Annualized 7-day yield as of period end.

 
(h) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate 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
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     4,490,659        (932,258      3,558,401      $ 3,558,757      $ 33,661      $ 235      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     83          06/19/19        $ 10,126        $ 52,571  

Long U.S. Treasury Bond

     194          06/19/19          28,027          319,298  

5-Year U.S. Treasury Note

     42          06/28/19          4,812          14,372  
                 

 

 

 
                  $ 386,241  
                 

 

 

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 386,241      $      $ 386,241  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on 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.

 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Quality Trust (BYM)

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (663,840    $      $ (663,840
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 329,801      $      $ 329,801  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 38,637,047  

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(a)

   $        $ 623,497,153        $        $ 623,497,153  

Short-Term Securities

     3,558,757                            3,558,757  
  

 

 

      

 

 

      

 

 

      

 

 

 

Total

   $ 3,558,757        $ 623,497,153        $        $ 627,055,910  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 386,241        $        $             —        $ 386,241  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are 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  

Liabilities:

 

TOB Trust Certificates

   $        $ (108,777,798      $        $ (108,777,798

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (245,977,798      $             —        $ (245,977,798
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

36    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 130.4%

 

Alabama — 2.1%  

County of Jefferson Alabama Sewer, Refunding RB:

   

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

  $ 540     $ 585,441  

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

    1,320       1,444,133  

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

    3,220       3,839,721  

Lower Alabama Gas District, RB, Series A, 5.00%, 09/01/46

    1,170       1,365,343  
   

 

 

 
    7,234,638  
Arizona — 2.9%  

City of Phoenix Arizona IDA, RB, Legacy Traditional Schools Projects, Series A, 5.00%, 07/01/46(a)

    1,825       1,849,455  

Salt Verde Financial Corp., RB, Senior:

   

5.00%, 12/01/32

    5,635       6,676,573  

5.00%, 12/01/37

    1,000       1,181,330  
   

 

 

 
    9,707,358  
California — 11.0%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/20(b)

    3,500       3,727,745  

California Health Facilities Financing Authority, Refunding RB, St. Joseph Health System, Series A, 5.00%, 07/01/33

    1,365       1,519,463  

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

   

5.25%, 08/15/39

    160       173,443  

5.25%, 08/15/49

    395       425,956  

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

    1,655       1,721,647  

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.00%, 12/01/46(a)

    490       514,005  

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

   

Senior, 5.00%, 05/15/40

    6,500       6,754,345  

5.25%, 05/15/39

    860       866,046  

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

    380       448,142  

Golden State Tobacco Securitization Corp., Refunding RB, Series A-1:

   

5.00%, 06/01/47

    3,195       3,075,092  

5.25%, 06/01/47

    590       590,997  

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

   

0.00%, 08/01/33

    3,000       1,857,570  

0.00%, 08/01/43

    2,500       979,625  

State of California, GO, Various Purposes:

   

6.50%, 04/01/19(b)

    5,765       5,787,195  

6.00%, 03/01/33

    1,760       1,835,891  

6.50%, 04/01/33

    4,880       4,897,812  

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

   

Series I, 5.00%, 11/01/38

    825       911,642  

Sub-Series I-1, 6.38%, 11/01/19(b)

    1,280       1,321,549  
   

 

 

 
    37,408,165  
Colorado — 1.4%  

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiative, Series A, 5.50%, 07/01/34

    2,330       2,356,888  

County of Arapahoe Colorado School District No. 6 Littleton, GO, Series A, 5.50%, 12/01/43

    1,915       2,330,957  
   

 

 

 
    4,687,845  
Connecticut — 0.3%  

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

    1,005       1,023,562  
   

 

 

 
Security   Par
(000)
    Value  
Delaware — 2.1%  

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

  $ 1,240     $ 1,308,089  

Delaware Transportation Authority, RB, U.S. 301 Project, 5.00%, 06/01/55

    1,260       1,377,331  

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

    4,275       4,431,294  
   

 

 

 
    7,116,714  
District of Columbia — 6.4%  

District of Columbia, Refunding RB:

   

Georgetown University, 5.00%, 04/01/35

    465       530,895  

Georgetown University Issue, 5.00%, 04/01/27(b)

    160       194,296  

Georgetown University Issue, 5.00%, 04/01/42

    380       423,970  

Kipp Charter School, Series A, 6.00%, 07/01/23(b)

    820       964,902  

The Catholic University of America Issue, 5.00%, 10/01/48

    2,525       2,789,923  

District of Columbia Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, 6.75%, 05/15/40

      11,500         11,870,990  

Metropolitan Washington Airports Authority, Refunding ARB, Dulles Metrorail And Capital Improvement Projects, Series A, 5.00%, 10/01/53

    2,195       2,268,291  

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

   

5.00%, 10/01/39

    550       558,586  

5.25%, 10/01/44

    2,000       2,031,040  
   

 

 

 
    21,632,893  
Florida — 4.4%  

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

    1,665       1,788,143  

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45

    1,450       1,539,393  

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport, Series A-1, 5.38%, 10/01/20(b)

    1,255       1,327,577  

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/20(b)

    5,000       5,260,100  

Mid-Bay Florida Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21(b)

    3,300       3,753,189  

Stevens Plantation Community Development District, RB, Special Assessment, Series A, 7.10%, 05/01/35(d)(e)

    1,795       1,436,000  
   

 

 

 
    15,104,402  
Georgia — 1.9%  

County of Dalton Whitfield Joint Development Authority, RB, Hamilton Health Care System Obligation, 4.00%, 08/15/48

    1,325       1,357,290  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A (GTD), 5.50%, 08/15/54

    555       630,974  

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

    915       934,434  

Main Street Natural Gas, Inc., RB, Series A:

   

5.00%, 05/15/35

    540       613,597  

5.00%, 05/15/36

    540       614,126  

5.00%, 05/15/37

    595       675,712  

5.00%, 05/15/38

    325       368,865  

5.00%, 05/15/49

    1,095       1,235,992  
   

 

 

 
    6,430,990  
Hawaii — 0.5%  

State of Hawaii Harbor System, RB, Series A, 5.25%, 07/01/30

    1,480       1,544,040  
   

 

 

 
Idaho — 0.3%  

Idaho Health Facilities Authority, RB, Trinity Health Credit Group, Series A, 5.00%, 12/01/46

    805       892,761  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois — 16.6%  

Chicago Board of Education, GO, Series C:

   

Dedicated Revenues, Series H, 5.00%, 12/01/36

  $ 495     $ 511,246  

Project, 5.25%, 12/01/35

    1,600       1,659,184  

Chicago Board of Education, GO, Refunding:

   

Dedicated Revenues, Series D, 5.00%, 12/01/27

    920       985,062  

Dedicated Revenues, Series F, 5.00%, 12/01/22

    675       707,117  

Dedicated Revenues, Series G, 5.00%, 12/01/34

    495       514,869  

5.00%, 12/01/25

    705       753,074  

Chicago Board of Education, GO, Series D:

   

5.00%, 12/01/46

    585       592,611  

5.00%, 12/01/46

    1,505       1,515,610  

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

   

Series A, 5.75%, 01/01/21(b)

    4,200       4,512,144  

Series A, 5.75%, 01/01/39

    800       846,928  

Series C, 6.50%, 01/01/21(b)

    6,430       6,993,075  

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

    1,150       1,209,168  

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

    845       883,591  

Illinois Finance Authority, Refunding RB:

   

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

    1,060       1,130,956  

Central Dupage Health, Series B, 5.50%, 11/01/19(b)

    1,750       1,793,663  

Illinois Sports Facilities Authority, RB, State Tax Supported (AMBAC), 5.50%, 06/15/30

    7,445       7,462,719  

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

   

Series B (AGM), 5.00%, 06/15/50

    6,725       6,876,649  

Series B-2, 5.00%, 06/15/50

    2,725       2,736,690  

Railsplitter Tobacco Settlement Authority, RB(b):

   

5.50%, 06/01/21

    520       563,025  

6.00%, 06/01/21

    1,255       1,372,581  

State of Illinois, GO:

   

5.00%, 02/01/39

    1,640       1,664,862  

Series A, 5.00%, 04/01/35

    2,500       2,556,275  

Series A, 5.00%, 04/01/38

    3,885       3,946,189  

State of Illinois Toll Highway Authority, RB, Series C, 5.00%, 01/01/37

    3,005       3,332,845  

University of Illinois, RB, Auxiliary Facilities System, Series A, 5.00%, 04/01/44

    1,050       1,147,293  
   

 

 

 
    56,267,426  
Indiana — 4.5%  

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

   

6.75%, 01/01/34

    845       966,291  

7.00%, 01/01/44

    3,535       4,053,867  

Indiana Finance Authority, RB, Series A:

   

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

    3,510       3,785,781  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 07/01/44

    485       511,331  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 07/01/48

    1,610       1,693,108  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 01/01/51

    435       461,096  

Sisters of St. Francis Health Services, 5.25%, 11/01/19(b)

    915       936,338  

Indiana Finance Authority, Refunding RB, Marquette Project, 4.75%, 03/01/32

    1,180       1,195,776  

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 01/15/40

    1,380       1,524,541  
   

 

 

 
    15,128,129  
Iowa — 1.9%  

Iowa Finance Authority, Refunding RB, Iowa Fertilizer Co. Project:

   

Series B, 5.25%, 12/01/50(f)

    3,060       3,256,483  
Security   Par
(000)
    Value  
Iowa (continued)  

Midwestern Disaster Area, 5.50%, 12/01/22

  $ 10     $ 10,010  

Midwestern Disaster Area, 5.25%, 12/01/25

    500       530,045  

Midwestern Disaster Area, 5.88%, 12/01/26(a)

    445       467,610  

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

    460       478,147  

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.63%, 06/01/46

    1,610       1,602,723  
   

 

 

 
    6,345,018  
Kentucky — 0.7%  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 01/01/45

    1,060       1,123,505  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 07/01/43(g)

    1,280       1,246,464  
   

 

 

 
    2,369,969  
Louisiana — 2.8%  

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

    3,650       3,877,359  

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

   

5.50%, 05/15/30

    1,100       1,138,511  

5.25%, 05/15/31

    935       985,696  

5.25%, 05/15/32

    1,195       1,284,278  

5.25%, 05/15/33

    1,300       1,391,351  

5.25%, 05/15/35

    795       861,096  
   

 

 

 
    9,538,291  
Maryland — 1.2%  

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc., 5.75%, 09/01/25

    800       822,648  

Maryland Health & Higher Educational Facilities Authority, RB, Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

    455       512,594  

Maryland Health & Higher Educational Facilities Authority, Refunding RB, Charlestown Community Project, 6.25%, 01/01/21(b)

    2,400       2,593,080  
   

 

 

 
    3,928,322  
Michigan — 3.0%  

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A, 5.25%, 07/01/39

    4,825       5,200,964  

Kalamazoo Hospital Finance Authority, Refunding RB, Bronson Methodist Hospital:

   

5.50%, 05/15/20(b)

    830       866,794  

5.50%, 05/15/36

    670       694,321  

Michigan Finance Authority, Refunding RB, Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 07/01/44

    940       994,717  

Michigan State University, Refunding RB, Series B, 5.00%, 02/15/48

    1,100       1,249,248  

Michigan Strategic Fund, RB, I-75 Improvement Projects, AMT, 5.00%, 06/30/48

    1,165       1,271,062  
   

 

 

 
    10,277,106  
Minnesota — 1.1%  

Duluth EDA, Refunding RB, Essentia Health Obligated Group, Series A:

   

4.25%, 02/15/48

    1,115       1,129,729  

5.25%, 02/15/53

    2,230       2,471,933  
   

 

 

 
    3,601,662  
Missouri — 1.4%  

370/Missouri Bottom Road/Taussig Road Transportation Development District, RB, 7.20%, 05/01/33(d)(e)

    6,000       3,120,000  
 

 

 

38    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Missouri (continued)  

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

  $ 275     $ 302,486  

State of Missouri Health & Educational Facilities Authority, RB, Senior Living Facilities, Lutheran Senior Services, 5.50%, 02/01/42

    1,135       1,152,252  

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 05/01/43

    265       281,001  
   

 

 

 
    4,855,739  
Multi-State — 1.9%  

Centerline Equity Issuer Trust(a):

   

Series A-4-2, 6.00%, 10/31/52

    3,500       3,522,540  

Series B-3-2, 6.30%, 10/31/52

    3,000       3,020,730  
   

 

 

 
    6,543,270  
Nebraska — 1.6%  

Central Plains Nebraska Energy Project, RB, Gas Project No. 3:

   

5.25%, 09/01/37

    895       968,077  

5.00%, 09/01/42

    1,570       1,685,206  

County of Lancaster Nebraska Hospital Authority No. 1, Refunding RB, Immanuel Obligation Group, Health Facilities, 5.63%, 01/01/40

    1,245       1,276,013  

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

    1,635       1,675,728  
   

 

 

 
    5,605,024  
New Hampshire — 0.8%  

New Hampshire Business Finance Authority, Refunding RB, Resource Recovery, Covanta Project(a):

   

Series B, 4.63%, 11/01/42

    1,860       1,816,718  

Series C, AMT, 4.88%, 11/01/42

    975       972,904  
   

 

 

 
    2,789,622  
New Jersey — 11.5%  

Casino Reinvestment Development Authority, Refunding RB:

   

5.25%, 11/01/39

    1,805       1,922,848  

5.25%, 11/01/44

    1,640       1,744,501  

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 07/01/45(a)

    1,165       1,169,637  

New Jersey EDA, ARB, Continental Airlines, Inc. Project, 5.13%, 09/15/23

    2,130       2,298,547  

New Jersey EDA, RB:

   

Continental Airlines, Inc. Project, AMT, 4.88%, 09/15/19

    235       237,883  

Continental Airlines, Inc. Project, AMT, 5.25%, 09/15/29

    2,130       2,312,434  

Series EEE, 5.00%, 06/15/48

    4,020       4,220,920  

New Jersey EDA, Refunding ARB, Port Network Container Terminal LLC Project, AMT, 5.00%, 10/01/47

    1,570       1,656,429  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 04/01/28

    7,475       8,581,449  

New Jersey State Turnpike Authority, RB:

   

Series A, 5.00%, 07/01/22(b)

    1,355       1,502,180  

Series A, 5.00%, 01/01/43

    770       834,380  

Series E, 5.00%, 01/01/45

    2,810       3,094,428  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program, Series AA, 5.00%, 06/15/44

    730       760,850  

Transportation Program, Series AA, 5.00%, 06/15/44

    1,355       1,399,647  

Transportation System, Series B, 5.25%, 06/15/36

    2,690       2,794,453  

Rutgers — The State University of New Jersey, Refunding RB, Series L, 5.00%, 05/01/43

    570       631,594  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.25%, 06/01/46

    580       625,884  

Sub-Series B, 5.00%, 06/01/46

    3,170       3,209,562  
   

 

 

 
    38,997,626  
Security   Par
(000)
    Value  
New York — 7.1%  

City of New York Transitional Finance Authority Future Tax Secured Revenue, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 02/01/42

  $ 2,680     $ 2,880,652  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A,
6.25%, 06/01/41(a)

    2,000       2,053,340  

County of Westchester New York Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44

    790       841,690  

Metropolitan Transportation Authority, RB, Series B:

   

5.25%, 11/15/38

    2,555       2,840,675  

5.25%, 11/15/39

    910       1,010,819  

New York Liberty Development Corp., Refunding RB:

   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 07/15/49

    1,335       1,383,447  

3 World Trade Center Project, Class 1, 5.00%, 11/15/44(a)

    4,320       4,497,682  

3 World Trade Center Project, Class 2, 5.15%, 11/15/34(a)

    365       391,747  

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

    910       963,617  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    1,620       1,679,810  

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC Project, Series 8:

   

6.00%, 12/01/42

    1,635       1,727,508  

Special Project, 6.00%, 12/01/36

    1,410       1,492,259  

State of New York Environmental Facilities Corp., RB, Subordinated SRF Bonds, Series B, 5.00%, 06/15/48

    1,945       2,234,922  
   

 

 

 
    23,998,168  
North Carolina — 1.0%  

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       1,033,630  

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage:

   

Aldersgate, 6.25%, 07/01/35

    1,530       1,671,097  

Retirement Facilities Whitestone Project, Series A, 7.75%, 03/01/21(b)

    625       696,781  
   

 

 

 
    3,401,508  
North Dakota — 0.3%  

County of Cass North Dakota, Refunding RB, Essentia Health Obligated Group, Series B, 5.25%, 02/15/58

    1,035       1,140,611  
   

 

 

 
Ohio — 3.3%  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 6.50%, 06/01/47

    3,550       3,527,742  

County of Allen Ohio Hospital Facilities Revenue, Refunding RB, Catholic Healthcare Partners, Series A, 5.25%, 06/01/20(b)

    3,405       3,551,074  

County of Franklin Ohio, RB:

   

Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 07/01/40

    710       758,578  

Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

    435       482,424  

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.00%, 05/01/39

    1,970       1,976,087  

State of Ohio, RB, Portsmouth Bypass Project, AMT, 5.00%, 06/30/53

    870       913,665  
   

 

 

 
    11,209,570  
Oklahoma — 1.7%  

City of Oklahoma Turnpike Authority, RB, Series A, 4.00%, 01/01/48

    2,230       2,296,320  

Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B, 5.25%, 08/15/48

    1,275       1,393,282  

Oklahoma Turnpike Authority, RB, 2nd Series C, 4.00%, 01/01/42

    2,120       2,207,450  
   

 

 

 
    5,897,052  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Pennsylvania — 3.6%  

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A, 5.00%, 05/01/42

  $ 2,500     $ 2,558,100  

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 07/01/42

    685       726,100  

Commonwealth Financing Authority, RB, Tobacco Master Settlement Payment:

   

5.00%, 06/01/33

    115       131,003  

5.00%, 06/01/34

    150       170,111  

County of Montgomery Higher Education & Health Authority, Refunding RB, Thomas Jefferson University, Series A:

   

5.00%, 09/01/43

    1,350       1,494,301  

4.00%, 09/01/49

    615       617,325  

Pennsylvania Economic Development Financing Authority, RB:

   

AMT, 5.00%, 06/30/42

    3,030       3,242,494  

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

    2,065       2,104,586  

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

    1,190       1,296,160  
   

 

 

 
    12,340,180  
Puerto Rico — 1.3%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

   

5.50%, 05/15/39

    715       722,322  

5.63%, 05/15/43

    740       747,726  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    30       29,962  

4.75%, 07/01/53

    804       738,289  

5.00%, 07/01/58

    2,378       2,254,463  
   

 

 

 
    4,492,762  
Rhode Island — 2.2%  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.00%, 06/01/35

    1,690       1,780,516  

Series B, 4.50%, 06/01/45

    2,850       2,674,469  

Series B, 5.00%, 06/01/50

    3,175       3,193,351  
   

 

 

 
    7,648,336  
South Carolina — 4.9%  

South Carolina Jobs EDA, Refunding RB, Prisma Health Obligated Group, Series A, 5.00%, 05/01/48

    3,340       3,654,327  

State of South Carolina Ports Authority, ARB:

   

5.25%, 07/01/20(b)

    3,595       3,764,325  

AMT, 5.25%, 07/01/55

    1,390       1,513,251  

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

    3,575       3,897,286  

State of South Carolina Public Service Authority, Refunding RB:

   

Series A, 5.00%, 12/01/50

    1,545       1,667,349  

Series E, 5.25%, 12/01/55

    1,840       2,011,856  
   

 

 

 
    16,508,394  
Tennessee — 0.7%  

City of Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 01/01/45

    1,470       1,558,067  

County of Nashville & Davidson Metropolitan Government Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 07/01/40

    740       811,721  
   

 

 

 
    2,369,788  
Texas — 14.6%  

Central Texas Regional Mobility Authority, Refunding RB:

   

Senior Lien, 6.25%, 01/01/21(b)

    2,350       2,536,848  

Sub-Lien, 5.00%, 01/01/33

    390       420,915  
Security   Par
(000)
    Value  
Texas (continued)  

City of Austin Texas Airport System, ARB, AMT, 5.00%, 11/15/39

  $ 665     $ 732,365  

City of Houston Texas Airport System, Refunding ARB, United Airlines, Inc. Terminal E Project, AMT, 5.00%, 07/01/29

    460       503,176  

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

   

6.00%, 05/15/19

    9,145       9,224,340  

City of San Antonio Texas Electric and Gas Systems Revenue, Refunding RB, Series A, 5.00%, 02/01/48

    1,260       1,446,455  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 01/01/23(b)

    485       576,612  

County of Harris Texas Houston Sports Authority, Refunding RB, 3rd Lien, Series A (NPFGC)(c):

   

0.00%, 11/15/24(b)

    2,300       1,009,194  

0.00%, 11/15/36

    23,075       9,396,140  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A,
0.00%, 09/15/37(c)

    6,055       2,796,138  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB:

   

Christus Health, Series B, 5.00%, 07/01/48

    4,955       5,452,878  

Scott & White Healthcare, 6.00%, 08/15/20(b)

    4,085       4,335,615  

New Hope Cultural Education Facilities Finance Corp., RB, Jubilee Academic Center Project, Series A, 5.13%, 08/15/47(a)

    1,085       1,085,586  

San Antonio Water System, Refunding RB, Junior Lien, Series A, 5.00%, 05/15/48

    2,720       3,096,856  

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

   

LBJ Infrastructure Group LLC, 7.00%, 06/30/40

    3,000       3,185,700  

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

    2,250       2,335,050  

Texas Transportation Commission, RB, First Tier Toll Revenue, 5.00%, 08/01/57

    1,270       1,378,407  
   

 

 

 
    49,512,275  
Utah — 0.7%  

City of Salt Lake Corp. Airport Revenue, ARB, Series A, AMT, 5.00%, 07/01/47

    995       1,099,326  

Salt Lake City Corp. Airport Revenue, ARB, Series A, AMT, 5.00%, 07/01/48

    955       1,064,367  

Utah State Charter School Finance Authority, RB, Ogden Preparatory Academy, Series A, 3.25%, 10/15/42

    390       325,552  
   

 

 

 
    2,489,245  
Virginia — 1.5%  

County of Front Royal & Warren IDA, RB, Valley Health System Obligated Group, 4.00%, 01/01/50

    865       866,418  

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

   

5.25%, 01/01/32

    1,755       1,868,110  

6.00%, 01/01/37

    2,120       2,314,807  
   

 

 

 
    5,049,335  
Washington — 3.9%  

City of Bellingham Washington Water & Sewer, RB, 5.00%, 08/01/36

    5,050       5,402,237  

Grant County Public Utility District No. 2, Refunding RB, Series A, 5.00%, 01/01/43

    2,335       2,594,769  

Port of Seattle Washington, ARB, Series A, AMT, 5.00%, 05/01/43

    1,615       1,783,008  

Port of Seattle Washington, RB, Intermediate Lien, Series C, AMT, 5.00%, 04/01/40

    815       895,881  
 

 

 

40    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Washington (continued)  

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 01/01/45

  $ 2,445     $ 2,659,451  
   

 

 

 
    13,335,346  
Wisconsin — 0.3%  

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

    910       927,126  
   

 

 

 
Wyoming — 1.0%  

County of Sweetwater Wyoming, Refunding RB, Idaho Power Co. Project, Remarketing, 5.25%, 07/15/26

    3,355       3,406,768  
   

 

 

 

Total Municipal Bonds — 130.4%
(Cost — $424,136,412)

 

    442,757,036  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(h)

 

California — 5.8%  

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge, 4.00%, 04/01/42(i)

    3,358       3,445,990  

City & County of San Francisco California Public Utilities Commission, RB, Water Revenue, Series B, 5.00%, 11/01/19(b)

    10,335       10,573,429  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2 Bonds, 5.00%, 10/01/47

    3,345       3,765,985  

San Diego California Community College District, GO, Election of 2002, 5.25%, 08/01/19(b)

    1,840       1,869,012  
   

 

 

 
    19,654,416  
Colorado — 0.8%  

City & County of Denver Colorado Airport System Revenue, Refunding ARB, Subordinate System, Series A, AMT, 5.25%, 12/01/48(i)

    2,463       2,820,320  
   

 

 

 
Illinois — 0.5%  

Illinois Finance Authority, Refunding RB, Presence Health Network, Series C, 4.00%, 02/15/41

    1,544       1,561,496  
   

 

 

 
Massachusetts — 3.1%  

Commonwealth of Massachusetts Transportation Fund Revenue, RB, Rail Enhancement Program, Series A, 4.00%, 06/01/45

    2,238       2,296,121  

Massachusetts Development Finance Agency, Refunding RB, Partners Healthcare System, 5.00%, 07/01/47

    4,979       5,471,074  

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

    2,461       2,623,651  
   

 

 

 
    10,390,846  
New York — 13.1%  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    1,710       1,727,852  

City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Series HH, 5.00%, 06/15/31(i)

    9,150       9,752,955  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012:

   

5.75%, 02/15/21(b)(i)

    1,083       1,165,087  

5.75%, 02/15/47(i)

    666       716,726  

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

    11,670       12,659,328  

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

    7,040       7,678,173  

New York State Urban Development Corp., RB, State Personal Income Tax, General Purpose, Series A, 4.00%, 03/15/46

    7,217       7,482,852  
Security   Par
(000)
    Value  
New York (continued)  

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

  $ 2,790     $ 3,183,762  
   

 

 

 
    44,366,735  
North Carolina — 0.9%  

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

    2,740       3,076,979  
   

 

 

 
Pennsylvania — 0.8%  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

    2,521       2,889,548  
   

 

 

 
Rhode Island — 0.5%  

Narragansett Bay Commission, Refunding RB, Wastewater System, Series A, 4.00%, 09/01/43

    1,695       1,721,035  
   

 

 

 
Texas — 3.8%  

City of San Antonio Texas Electric and Gas Systems, RB, Junior Lien, 5.00%, 02/01/43

    2,660       2,890,821  

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

    3,720       3,988,956  

Lower Colorado River Authority, Refunding RB, LCRA Transmission Services Corporation Project, 4.00%, 05/15/43

    2,241       2,269,692  

University of Texas, Refunding RB, Financing System, Series B, 5.00%, 08/15/43

    3,347       3,655,025  
   

 

 

 
    12,804,494  
Utah — 1.2%  

City of Riverton Utah, RB, IHC Health Services, Inc., 5.00%, 08/15/19(b)

    3,959       4,019,356  
   

 

 

 
Wisconsin — 0.9%  

State of Wisconsin Health & Educational Facilities Authority, Refunding RB, The Medical College of Wisconsin, Inc., 4.00%, 12/01/46

    3,072       3,112,935  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 31.4%
(Cost — $103,136,777)

 

    106,418,160  
 

 

 

 

Total Long-Term Investments — 161.8%
(Cost — $527,273,189)

 

    549,175,196  
 

 

 

 
     Shares         
Short-Term Securities — 0.3%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.55%(j)(k)

    999,494       999,594  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost — $999,594)

 

    999,594  
 

 

 

 

Total Investments — 162.1%
(Cost — $528,272,783)

 

    550,174,790  

Other Assets Less Liabilities — 1.6%

 

    5,333,467  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (19.1)%

 

    (64,766,615

VMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (44.6)%

 

    (151,300,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 339,441,642  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

 

 

(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) 

Non-income producing security.

(e) 

Issuer filed for bankruptcy and/or is in default.

(f) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(g) 

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.

(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 agreements, which expire between June 15, 2019 to June 1, 2026, is $15,290,307. See Note 4 of the Notes to Financial Statements for details.

(j) 

Annualized 7-day yield as of period end.

 
(k) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate 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
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     4,902,849        (3,903,355      999,494      $ 999,594      $ 25,441      $ 94      $ (227
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     31          06/19/19        $ 3,782        $ 19,624  

Long U.S. Treasury Bond

     123          06/19/19          17,770          202,442  

5-Year U.S. Treasury Note

     23          06/28/19          2,635          7,870  
                 

 

 

 
                  $ 229,936  
                 

 

 

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 229,936      $      $ 229,936  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on 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 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (359,851    $      $ (359,851
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Futures contracts

   $      $      $      $      $ 194,037      $      $ 194,037  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

42    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Municipal Income Trust II (BLE)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 22,681,289  

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(a)

   $        $ 549,175,196        $        $ 549,175,196  

Short-Term Securities

     999,594                            999,594  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 999,594        $ 549,175,196        $             —        $ 550,174,790  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 229,936        $        $        $ 229,936  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 229,936        $        $        $ 229,936  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are 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  

Liabilities:

 

TOB Trust Certificates

   $        $ (64,522,879      $        $ (64,522,879

VRDP Shares at Liquidation Value

              (151,300,000                 (151,300,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (215,822,879      $             —        $ (215,822,879
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 133.7%

 

Alabama — 3.4%

 

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

   

6.00%, 06/01/19

  $ 10,995     $ 11,109,128  

6.13%, 06/01/19

    4,980       5,033,186  

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

    1,745       1,875,195  
   

 

 

 
    18,017,509  
Arizona — 1.1%  

County of Maricopa Arizona IDA, Refunding RB, Banner Health Obligation Group, 5.00%, 01/01/38

    3,000       3,373,530  

University of Arizona Board of Regents, Refunding RB, Series A, 5.00%, 06/01/40

    2,300       2,588,857  
   

 

 

 
    5,962,387  
California — 18.3%  

Anaheim California Union High School District, GO, Election of 2014, 4.00%, 08/01/42

    4,000       4,117,520  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/20(a)

    5,370       5,719,426  

City & County of San Francisco California Airports Commission, Refunding ARB:

   

2nd Series A, AMT, 5.50%, 05/01/28

    3,330       3,754,142  

2nd Series A, AMT, 5.25%, 05/01/33

    6,370       7,051,717  

San Francisco City Country Airport, Series E, 5.00%, 05/01/48

    5,000       5,690,450  

Series A, AMT, 5.00%, 05/01/44

    3,430       3,715,822  

City of Manteca California Financing Authority, RB, Manteca Sewer (AGC), 5.75%, 12/01/36

    3,285       3,386,014  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, Series A-1, AMT, 5.75%, 03/01/34

    4,450       4,739,695  

County of Sacramento California Airport System Revenue, Refunding RB, AMT, Series C, 5.00%, 07/01/39

    3,410       3,878,193  

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

    4,365       5,062,003  

Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series J, 5.25%, 05/15/38

    2,705       3,020,511  

State of California, GO, Various Purposes (AGC), 5.50%, 11/01/39

    15,000       15,370,200  

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

   

5.50%, 11/01/30

    4,500       5,149,350  

5.50%, 11/01/31

    2,615       2,983,637  

5.50%, 11/01/33

    2,000       2,274,360  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 09/01/33

    3,240       3,638,066  

State of California University, Refunding RB, Systemwide, Series A, 5.00%, 11/01/42

    3,500       3,979,010  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/40

    1,685       1,957,785  

University of California, Refunding RB, Series AR, 5.00%, 05/15/38

    10,000       11,371,000  
   

 

 

 
    96,858,901  
Colorado — 2.1%  

City & County of Denver Colorado Airport System, ARB, Series A, AMT:

   

5.50%, 11/15/28

    2,700       3,062,691  

5.50%, 11/15/30

    1,040       1,173,307  

5.50%, 11/15/31

    1,250       1,407,275  

City & County of Denver School District No.1, GO, Series A, 5.50%, 12/01/36

    500       606,115  
Security   Par
(000)
    Value  
Colorado (continued)  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 05/15/19(a)

  $ 4,925     $ 4,967,897  
   

 

 

 
    11,217,285  
Florida — 7.7%  

County of Hillsborough Florida Aviation Authority, Refunding ARB, Tampa International Airport, Series A, AMT:

   

5.50%, 10/01/29

    5,360       6,074,167  

5.25%, 10/01/30

    3,255       3,632,710  

County of Lee Florida, Refunding ARB, Series A, AMT, 5.38%, 10/01/32

    7,100       7,578,398  

County of Lee Florida HFA, RB, S/F Housing, Multi-County Program, Series A-2, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 6.00%, 09/01/40

    260       261,448  

County of Manatee Florida HFA, RB, S/F Housing, Series A, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 5.90%, 09/01/40

    125       126,194  

County of Miami-Dade Florida, RB, Seaport Department:

   

Series A, 5.38%, 10/01/33

    3,145       3,522,494  

Series B, AMT, 6.25%, 10/01/38

    1,405       1,612,631  

Series B, AMT, 6.00%, 10/01/42

    1,885       2,140,851  

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

    2,870       3,254,781  

County of Miami-Dade Florida Aviation, Refunding ARB, Series A, AMT, 5.00%, 10/01/31

    5,465       5,905,261  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 06/01/32

    3,225       3,638,348  

South Miami Health Facilities Authority, Refunding RB, Baptist Health South Florida Obligated Group, 5.00%, 08/15/42

    2,965       3,310,096  
   

 

 

 
    41,057,379  
Georgia — 0.7%  

County of Fulton Development Authority, Refunding RB, Piedmont Healthcare, Series A, 4.00%, 07/01/35

    3,500       3,634,015  
   

 

 

 
Hawaii — 2.1%  

State of Hawaii Airports System, ARB, Series A, AMT, 5.00%, 07/01/45

    5,985       6,601,694  

State of Hawaii Airports System, COP, AMT:

   

5.25%, 08/01/25

    1,350       1,510,205  

5.25%, 08/01/26

    2,500       2,783,400  
   

 

 

 
    10,895,299  
Idaho — 1.9%  

Idaho Health Facilities Authority, RB, Trinity Health Credit Group, 4.00%, 12/01/43

    10,000       10,103,200  
   

 

 

 
Illinois — 18.2%  

Chicago Housing Authority, RB, M/F Housing, Series A (HUD), 5.00%, 01/01/38

    2,150       2,412,214  

City of Chicago Illinois Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT:

   

5.50%, 01/01/30

    6,500       7,172,230  

5.50%, 01/01/32

    6,275       6,902,312  

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

    8,020       8,652,457  

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

   

3rd Lien, Series A, 5.75%, 01/01/21(a)

    5,000       5,371,600  

3rd Lien, Series A, 5.75%, 01/01/39

    1,185       1,254,512  

3rd Lien, Series C, 6.50%, 01/01/21(a)

    16,800       18,271,176  

Senior Lien, Series D, 5.25%, 01/01/42

    2,630       2,972,347  

City of Chicago Illinois O’Hare International Airport, Refunding RB, Senior Lien, Series B, 5.00%, 01/01/35

    4,300       4,858,570  

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

    10,960       11,523,892  
 

 

 

44    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

City of Chicago Illinois Transit Authority, Refunding RB, Federal Transit Administration, Section 5309 (AGM), 5.00%, 06/01/28

  $ 7,735     $ 7,976,100  

Illinois Finance Authority, RB, Carle Foundation, Series A, 6.00%, 08/15/41

    4,000       4,342,400  

Railsplitter Tobacco Settlement Authority, RB(a):

   

5.50%, 06/01/21

    4,365       4,726,160  

6.00%, 06/01/21

    1,245       1,361,644  

State of Illinois, GO:

   

5.00%, 11/01/27

    200       215,466  

Series C, 5.00%, 11/01/29

    5,000       5,351,000  

State of Illinois Toll Highway Authority, RB, Series A, 5.00%, 01/01/37

    2,700       3,078,378  
   

 

 

 
    96,442,458  
Indiana — 0.2%  

State of Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 07/01/40

    1,240       1,312,032  
   

 

 

 
Kansas — 0.9%  

County of Wyandotte Kansas Unified School District, GO, Series A, 5.50%, 09/01/47

    4,000       4,708,600  
   

 

 

 
Kentucky(b) — 3.0%  

Kentucky Public Energy Authority, RB:

   

Gas Supply, Series C-1, 4.00%, 12/01/49

    10,000       10,675,700  

Series A, 4.00%, 04/01/48

    5,000       5,305,400  
   

 

 

 
    15,981,100  
Maryland — 3.2%  

Maryland Stadium Authority, RB, Baltimore City Public School, 5.00%, 05/01/41

    15,000       16,750,500  
   

 

 

 
Massachusetts — 5.9%  

Commonwealth of Massachusetts, GO, Series G, 4.00%, 09/01/42

    15,000       15,466,500  

Massachusetts Development Finance Agency, Refunding RB, Partners Healthcare System, 5.00%, 07/01/41

    4,710       5,220,658  

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 01/01/27

    1,000       1,117,790  

Massachusetts Housing Finance Agency, Refunding RB, Series G, 3.45%, 12/01/30

    3,100       3,156,203  

Massachusetts School Building Authority, RB, Sub Series B, 4.00%, 02/15/42

    6,200       6,337,206  
   

 

 

 
    31,298,357  
Michigan — 1.5%  

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM):

   

6.25%, 07/01/19(a)

    6,310       6,404,082  

6.25%, 07/01/36

    10       10,136  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 5.00%, 11/15/41

    1,525       1,655,495  
   

 

 

 
    8,069,713  
Mississippi — 2.8%  

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM):

   

6.88%, 12/01/40

    6,405       7,591,654  

Special Obligation, 6.75%, 12/01/31

    3,775       4,497,988  

Special Obligation, 6.75%, 12/01/33

    2,350       2,790,813  
   

 

 

 
    14,880,455  
Nevada — 2.2%  

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A (AGM), 5.25%, 07/01/39

    11,175       11,442,529  
   

 

 

 
Security   Par
(000)
    Value  
New Jersey — 8.3%  

New Jersey EDA, RB, Goethals Bridge Replacement Project, AMT, Private Activity Bond:

   

5.38%, 01/01/43

  $ 7,000     $ 7,610,120  

(AGM), 5.00%, 01/01/31

    2,425       2,646,960  

New Jersey EDA, Refunding RB, Series B, 5.50%, 06/15/30

    4,080       4,653,974  

New Jersey Health Care Facilities Financing Authority, RB, Virtua Health, Series A (AGC), 5.50%, 07/01/38

    6,500       6,573,710  

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT, 5.75%, 12/01/28

    2,015       2,150,831  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.25%, 06/15/43

    4,295       4,662,996  

Transportation System, Series AA, 5.50%, 06/15/39

    8,175       8,676,700  

New Jersey Turnpike Authority, Refunding RB, Series A, 5.00%, 01/01/34

    1,685       1,910,386  

State of New Jersey, GO, 4.00%, 06/01/29

    5,000       5,243,200  
   

 

 

 
    44,128,877  
New York — 14.7%  

City of New York, GO:

   

Subseries F-1, 5.00%, 04/01/38

    10,000       11,568,900  

Sub-Series F-1, 5.00%, 04/01/40

    4,850       5,553,153  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series EE, 5.38%, 06/15/43

    3,475       3,669,565  

City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2009, Series EE, 5.25%, 06/15/40

    7,500       7,571,775  

City of New York Transitional Finance Authority, RB, Future Tax Secured Subordinate, Subseries B-1, 5.00%, 08/01/40

    5,000       5,652,250  

City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    4,000       4,041,760  

Metropolitan Transportation Authority, RB, Series A-1, 5.25%, 11/15/39

    4,490       5,009,852  

Metropolitan Transportation Authority, Refunding RB:

   

Series B, 5.00%, 11/15/37

    6,140       6,860,652  

Series D, 4.00%, 11/15/42

    2,500       2,530,650  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated:

   

166th Series, 5.25%, 07/15/36

    10,000       10,587,300  

205th Series, 5.25%, 11/15/39

    6,000       7,069,140  

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 205th Series, 5.25%, 05/15/42

    900       1,053,540  

Triborough Bridge & Tunnel Authority, Refunding RB, Series B, 5.00%, 11/15/38

    5,660       6,507,925  
   

 

 

 
    77,676,462  
Ohio — 1.6%  

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

   

5.25%, 02/15/31

    5,145       5,734,874  

5.25%, 02/15/32

    2,250       2,506,163  
   

 

 

 
    8,241,037  
Pennsylvania — 6.4%  

Pennsylvania State University, RB, Series A, 5.00%, 09/01/42

    2,945       3,380,301  

Pennsylvania Turnpike Commission, RB:

   

Series A, 5.25%, 12/01/44

    5,000       5,798,300  

Sub-Series A, 5.50%, 12/01/46

    18,570       21,248,351  

Township of Bristol Pennsylvania School District, GO, 5.25%, 06/01/37

    3,000       3,320,160  
   

 

 

 
    33,747,112  
 

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
South Carolina — 6.7%  

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

  $ 6,735     $ 7,623,683  

County of Charleston South Carolina Airport District, ARB, Series A, AMT:

   

5.25%, 07/01/25

    4,490       5,083,264  

5.50%, 07/01/38

    3,000       3,342,990  

6.00%, 07/01/38

    5,270       6,002,530  

5.50%, 07/01/41

    4,170       4,635,914  

South Carolina Jobs-Economic Development Authority, Refunding RB, Prisma Health Obligated Group, Series A, 5.00%, 05/01/37

    4,480       5,037,760  

State of South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/50

    3,445       3,766,797  
   

 

 

 
    35,492,938  
Texas — 17.5%  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 03/01/37

    4,190       4,663,554  

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

   

6.00%, 05/15/19

    12,030       12,134,300  

6.00%, 05/15/19

    670       675,883  

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

   

6.00%, 05/15/19

    8,940       9,017,510  

6.00%, 05/15/19

    495       499,346  

Dallas-Fort Worth Texas International Airport, ARB, Joint Improvement, AMT:

   

Series A, 5.00%, 11/01/38

    5,580       5,787,576  

Series H, 5.00%, 11/01/37

    4,575       4,818,939  

Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33

    3,735       4,224,173  

North Texas Tollway Authority, Refunding RB, 1st Tier (AGM), 6.00%, 01/01/21(a)

    5,555       5,982,290  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/38

    7,170       7,987,165  

State of Texas, GO:

   

Transportation Commission Highway Improvement, 5.00%, 04/01/43

    15,550       17,508,678  

Water Financial Assistance, Series D, 5.00%, 05/15/40

    8,000       9,009,040  

Texas Water Development Board, RB:

   

State Water Implementation Fund, Series B, 4.00%, 10/15/43

    5,000       5,223,650  

State Water Implementation Revenue, 5.25%, 10/15/46

    4,780       5,498,099  
   

 

 

 
    93,030,203  
Utah — 2.4%  

County of Utah Utah, RB, IHC Health Services, Inc., Series B, 5.00%, 05/15/46

    7,500       8,386,875  

Utah State University, RB, Series B, 4.00%, 12/01/45

    4,390       4,532,499  
   

 

 

 
    12,919,374  
Virginia — 0.4%  

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

    1,750       1,887,375  
   

 

 

 
Washington — 0.5%  

State of Washington, GO, Series C, 5.00%, 02/01/41

    2,500       2,869,925  
   

 

 

 

Total Municipal Bonds — 133.7%
(Cost — $682,816,597)

 

    708,625,022  
 

 

 

 
Security   Par
(000)
    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts(c)

 

Alabama — 8.3%

 

City of Birmingham Alabama Special Care Facilities Financing Authority, Refunding RB, Ascension Senior Credit Group:

   

Series B, 5.00%, 11/15/46

  $ 27,798     $ 30,640,351  

Series C, 5.00%, 11/15/46

    11,920       13,138,641  
   

 

 

 
    43,778,992  
California — 0.5%  

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

    2,400       2,423,280  
   

 

 

 
Massachusetts — 4.4%  

Commonwealth of Massachusetts, GO, Consolidated Loan, Series E, 5.25%, 09/01/43

    20,000       23,445,600  
   

 

 

 
Nevada — 0.9%  

County of Clark Nevada Water Reclamation District, GO, Series B, 5.50%, 07/01/19(a)

    5,008       5,072,646  
   

 

 

 
New Jersey — 1.7%  

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

    5,922       5,938,476  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(d)

    2,961       3,075,635  
   

 

 

 
    9,014,111  
New York — 12.5%  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    4,995       5,047,148  

City of New York Transitional Finance Authority, RB, Series, S-1, 5.00%, 07/15/43

    11,825       13,478,795  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012:(d) 5.75%, 02/15/21(a)

    5,726       6,158,318  

5.75%, 02/15/47

    3,523       3,788,410  

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

    13,950       15,132,616  

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

    8,200       8,943,326  

State of New York Dormitory Authority, ERB, Personal Income Tax, Series B, 5.25%, 03/15/19(a)

    13,500       13,515,458  
   

 

 

 
    66,064,071  
Texas — 2.0%  

North Texas Tollway Authority, RB, Special Projects System, Series A, 5.50%, 09/01/21(a)

    9,640       10,525,000  
   

 

 

 
Utah — 1.2%  

City of Riverton Utah, RB, IHC Health Services, Inc., 5.00%, 08/15/19(a)

    6,373       6,470,555  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 31.5%
(Cost — $165,178,077)

 

    166,794,255  
 

 

 

 

Total Long-Term Investments — 165.2%
(Cost — $847,994,674)

 

    875,419,277  
 

 

 

 
 

 

 

46    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Short-Term Securities — 0.4%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.55%(e)(f)

    2,392,755     $ 2,392,995  

Total Short-Term Securities — 0.4%
(Cost — $2,392,995)

 

    2,392,995  
 

 

 

 

Total Investments — 165.6%
(Cost — $850,387,669)

 

    877,812,272  

Other Assets Less Liabilities — 1.8%

 

    9,422,977  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (15.7)%

 

    (83,046,839

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (51.7)%

 

    (274,221,546
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 529,966,864  
 

 

 

 

 

(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) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(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 between June 15, 2019, to August 15, 2020, is $11,535,489. See Note 4 of the Notes to Financial Statements for details.

(e) 

Annualized 7-day yield as of period end.

 
(f) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate 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

08/31/18

     Net
Activity
    

Shares

Held at

02/28/19

    

Value at

02/28/19

     Income      Net
Realized
Gain (Loss)
 (a)
    

Change in

Unrealized

Appreciation

(Depreciation)

 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     1,018,845        1,373,910        2,392,755      $ 2,392,995      $ 16,874      $ 634      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     115          06/19/19        $ 14,030        $ 72,882  

Long U.S. Treasury Bond

     216          06/19/19          31,205          355,507  

5-Year U.S. Treasury Note

     76          06/28/19          8,707          26,006  
                 

 

 

 
        $ 454,395  
                 

 

 

 

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:

 

      Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Assets — Derivative Financial Instruments

                                

Futures contracts

                                

Net unrealized appreciation(a)

   $        $        $        $        $ 454,395        $        $ 454,395  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)

Includes cumulative appreciation (depreciation) on 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.

 

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (921,207    $      $ (921,207
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 408,042      $      $ 408,042  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 46,598,238  

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 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(a)

   $        $ 875,419,277        $        $ 875,419,277  

Short-Term Securities

     2,392,995                            2,392,995  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,392,995        $ 875,419,277        $        $ 877,812,272  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 454,395        $        $        $ 454,395  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 454,395        $        $             —        $ 454,395  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)

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

 
  (b)

Derivative financial instruments are 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  

Liabilities:

                 

TOB Trust Certificates

   $        $ (82,671,903      $        $ (82,671,903

VRDP Shares at Liquidation Value

              (274,600,000                 (274,600,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (357,271,903      $             —        $ (357,271,903
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

48    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 123.7%

 

Alabama — 1.9%

 

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A:

   

5.80%, 05/01/34

  $ 1,850     $ 1,921,151  

5.38%, 12/01/35

    1,000       1,074,610  

State of Alabama Docks Department, Refunding RB, 6.00%, 10/01/20(a)

    7,610       8,129,839  
   

 

 

 
    11,125,600  
Alaska — 0.6%  

City of Anchorage Alaska Electric Revenue, Refunding RB, Series A, 5.00%, 12/01/41

    3,000       3,315,570  
   

 

 

 
Arizona — 4.9%  

Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, Series A, 5.38%, 07/01/50(b)

    2,500       2,575,275  

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Junior Lien, Series A, 5.00%, 07/01/20(a)

    2,000       2,089,020  

City of Phoenix Arizona IDA, RB, Candeo School, Inc. Project:

   

6.63%, 07/01/33

    2,245       2,455,311  

6.88%, 07/01/44

    3,440       3,730,852  

City of Phoenix Arizona IDA, Refunding RB(b):

   

Basis Schools, Inc. Projects, 5.00%, 07/01/35

    600       616,320  

Basis Schools, Inc. Projects, 5.00%, 07/01/45

    760       769,394  

Basis Schools, Inc. Projects, Series A, 5.00%, 07/01/35

    1,125       1,155,600  

Legacy Traditional School Projects, 5.00%, 07/01/45

    700       707,511  

County of Maricopa Arizona Pollution Control Corp., Refunding RB, Southern California Edison Co., Series A, 5.00%, 06/01/35

    3,300       3,362,271  

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

    9,805       11,582,941  
   

 

 

 
    29,044,495  
California — 7.0%  

California Health Facilities Financing Authority, RB:

   

St. Joseph Health System, Series A, 5.75%, 07/01/39

    5,000       5,064,350  

Sutter Health, Series B, 6.00%, 08/15/20(a)

    5,600       5,964,392  

California Health Facilities Financing Authority, Refunding RB, Dignity Health, Series A, 6.00%, 07/01/19(a)

    1,055       1,070,477  

California Municipal Finance Authority, ARB, Senior Lien, Linxs APM Project, AMT, 5.00%, 12/31/43

    2,800       3,100,328  

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A, 5.25%, 05/15/39

    1,200       1,208,436  

Golden State Tobacco Securitization Corp., Refunding RB, Series A-1:

   

5.00%, 06/01/47

    855       822,912  

5.25%, 06/01/47

    1,025       1,026,732  

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 08/01/19(a)

    9,585       9,762,897  

Oakland Unified School District/Alameda County, GO, Series A, 5.00%, 08/01/40

    1,000       1,145,110  

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement District No. 2007-1, Election of 2008, Series B, 0.00%, 08/01/46(c)

    10,000       3,235,500  

State of California, GO, Various Purposes:

   

6.50%, 04/01/19(a)

    5,240       5,260,174  

6.50%, 04/01/33

    4,435       4,451,188  
   

 

 

 
    42,112,496  
Colorado — 0.9%  

Centerra Metropolitan District No. 1, Tax Allocation Bonds, 5.00%, 12/01/47(b)

    1,025       1,028,413  

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

    2,500       2,509,475  
Security   Par
(000)
    Value  
Colorado (continued)  

Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45

  $ 1,000     $ 1,042,790  

Serenity Ridge Metropolitan District No 2, GO, Series A, 5.13%, 12/01/43

    1,000       1,010,420  
   

 

 

 
    5,591,098  
Connecticut — 0.6%  

State of Connecticut, GO, Series A, 5.00%, 04/15/38

    3,325       3,647,791  
   

 

 

 
Delaware — 0.9%  

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

    2,500       2,637,275  

State of Delaware Health Facilities Authority, RB, Beebe Medical Center Project, 5.00%, 06/01/43

    2,780       3,006,375  
   

 

 

 
    5,643,650  
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       421,478  

5.25%, 10/01/44

    650       660,088  
   

 

 

 
    1,081,566  
Florida — 7.4%  

Celebration Pointe Community Development District, Special Assessment Bonds, County of Alachua Florida(b):

   

5.00%, 05/01/32

    905       942,811  

5.00%, 05/01/48

    2,270       2,284,959  

Central Florida Expressway Authority, Refunding RB, Senior Lien, 5.00%, 07/01/48

    9,370       10,577,980  

County of Miami-Dade Florida, Refunding RB, Transit System Sales Surtax, 5.00%, 07/01/42

    3,750       4,049,813  

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport, Series A-1, 5.38%, 10/01/20(a)

    10,290       10,885,071  

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, University of Miami, Series A, 5.00%, 04/01/45

    4,625       5,029,780  

County of Miami-Dade Florida Expressway Authority, Refunding RB, Series A (AGM), 5.00%, 07/01/35

    8,900       9,248,969  

Lakewood Ranch Stewardship District, Special Assessment Bonds, Lakewood National & Polo Run Projects:

   

4.63%, 05/01/27

    255       260,327  

5.25%, 05/01/37

    470       486,995  

5.38%, 05/01/47

    770       794,825  
   

 

 

 
    44,561,530  
Georgia — 1.1%  

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series B, AMT, 5.00%, 01/01/29

    1,070       1,120,889  

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

    3,335       3,405,835  

Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49

    1,855       2,093,850  
   

 

 

 
    6,620,574  
Hawaii — 0.9%  

State of Hawaii Harbor System, RB, Series A, 5.50%, 07/01/35

    5,000       5,234,650  
   

 

 

 
Illinois — 11.9%  

Chicago Board of Education, GO, Series C:

   

Dedicated Revenues, Series H, 5.00%, 12/01/36

    865       893,389  

Project, 5.25%, 12/01/35

    2,785       2,888,017  

Chicago Board of Education, GO, Refunding:

   

Dedicated Revenues, 5.00%, 12/01/25

    1,560       1,666,376  

Dedicated Revenues, Series G, 5.00%, 12/01/34

    865       899,721  

5.00%, 12/01/25

    1,200       1,281,828  
 

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

Chicago Board of Education, GO, Series D:

   

5.00%, 12/01/46

  $ 995     $ 1,007,945  

5.00%, 12/01/46

    2,575       2,593,154  

Refunding Dedicated Revenues, Series F, 5.00%, 12/01/23

    1,180       1,247,343  

City of Chicago Illinois O’Hare International Airport, GARB, Senior Lien, Series D, AMT, 5.00%, 01/01/42

    1,450       1,587,837  

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

    2,110       2,229,932  

City of Chicago Illinois Wastewater Transmission, Refunding RB, 2nd Lien, Series C, 5.00%, 01/01/39

    1,000       1,076,350  

County of Cook Illinois Community College District No. 508, GO, University & College Improvements, 5.25%, 12/01/31

    5,000       5,212,350  

Illinois Finance Authority, RB, Memorial Health System, Series A, 5.25%, 07/01/44

    1,785       1,926,301  

Illinois Finance Authority, Refunding RB:

   

Northwestern Memorial Hospital, Series A,
6.00%, 08/15/19(a)

    9,000       9,173,970  

OSF Healthcare System, 6.00%, 05/15/20(a)

    3,205       3,365,987  

OSF Healthcare System, 6.00%, 05/15/39

    1,000       1,031,300  

Presence Health Network, Series C, 5.00%, 02/15/41

    3,600       3,993,228  

Metropolitan Pier & Exposition Authority, RB, McCormick Place Expansion Project Bonds, Series A:

   

0.00%, 12/15/56(c)

    8,755       1,350,459  

5.00%, 06/15/57

    425       442,438  

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project Bonds, Series B, 0.00%, 12/15/54(c)

    12,215       2,089,620  

Railsplitter Tobacco Settlement Authority, RB,
6.00%, 06/01/21(a)

    2,645       2,892,810  

Regional Transportation Authority, RB:

   

Series A (AMBAC), 7.20%, 11/01/20

    850       902,606  

Series C (NPFGC), 7.75%, 06/01/20

    1,545       1,612,903  

State of Illinois, GO, Series D, 5.00%, 11/01/28

    1,965       2,119,017  

State of Illinois Toll Highway Authority, RB, Series A, 5.00%, 01/01/42

    7,990       8,947,761  

Village of Hodgkins Illinois, RB, Metropolitan Biosolids Management LLC Project, AMT, 6.00%, 11/01/23

    8,565       8,575,621  
   

 

 

 
    71,008,263  
Indiana — 1.7%  

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT, 6.75%, 01/01/34

    2,250       2,572,965  

County of Allen Indiana, RB, StoryPoint Fort Wayne Project, Series A-1(b):

   

6.63%, 01/15/34

    700       735,539  

6.75%, 01/15/43

    570       597,890  

State of Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 07/01/40

    2,640       2,793,358  

State of Indiana Finance Authority, Refunding RB, Deaconess Health System, Series A, 5.00%, 03/01/39

    3,000       3,284,790  
   

 

 

 
    9,984,542  
Iowa — 1.6%  

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project, 5.25%, 12/01/25

    4,000       4,240,360  

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, CAB, Series B, 5.60%, 06/01/34

    1,000       1,004,390  

State of Iowa Finance Authority, RB, Lifespace Communities, Series A, 5.00%, 05/15/48

    3,950       4,104,524  
   

 

 

 
    9,349,274  
Kansas — 1.0%  

City of Lenexa Kansas, Refunding RB, Lakeview Village, Inc., Series A, 5.00%, 05/15/43

    1,965       2,003,239  
Security   Par
(000)
    Value  
Kansas (continued)  

Wyandotte County-Kansas City Unified Government Utility System, RB, Series A, 5.00%, 09/01/40

  $ 3,700     $ 4,138,857  
   

 

 

 
    6,142,096  
Kentucky — 2.7%  

County of Owen Kentucky, RB, Kentucky American Water Co. Project, Series B, 5.63%, 09/01/39

    1,000       1,016,510  

Kentucky Economic Development Finance Authority, Refunding RB, Hospital Facilities, St. Elizabeth Medical Center, Inc., Series A, 5.50%, 05/01/19(a)

    8,000       8,049,040  

Lexington-Fayette Urban County Airport Board, Refunding GARB, Series A, 5.00%, 07/01/19(a)

    7,000       7,078,470  
   

 

 

 
    16,144,020  
Louisiana — 3.4%  

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

    2,615       2,777,888  

Parish of St. Charles Louisiana, RB, Valero Energy Corp., 4.00%, 12/01/40(d)

    2,210       2,296,411  

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

   

5.25%, 05/15/31

    3,420       3,605,433  

5.25%, 05/15/32

    4,375       4,701,856  

5.25%, 05/15/33

    4,750       5,083,783  

5.25%, 05/15/35

    1,500       1,624,710  
   

 

 

 
    20,090,081  
Maine — 1.0%  

Maine Health & Higher Educational Facilities Authority, RB, Series A:

   

5.00%, 07/01/19(a)

    1,560       1,576,973  

5.00%, 07/01/39

    3,440       3,468,724  

Portland Housing Development Corp., Refunding RB, Senior Living, Retirement Facilities, Series A, 6.00%, 02/01/34

    1,190       1,191,737  
   

 

 

 
    6,237,434  
Maryland — 4.2%  

City of Baltimore Maryland, Refunding RB, East Baltimore Research Park, Series A, 4.50%, 09/01/33

    545       559,710  

County of Howard Maryland Housing Commission, RB, M/F Housing, Woodfield Oxford Square Apartments, 5.00%, 12/01/42

    4,935       5,425,193  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

   

Charlestown Community Project, 6.25%, 01/01/21(a)

    2,000       2,160,900  

Meritus Medical Center Issue, 5.00%, 07/01/40

    6,350       6,830,568  

University of Maryland Medical System,
5.00%, 07/01/19(a)

    1,990       2,011,651  

University of Maryland Medical System,
5.13%, 07/01/19(a)

    2,100       2,123,688  

Maryland Stadium Authority, RB, Construction and Revitalization Program, 5.00%, 05/01/47

    5,510       6,211,313  
   

 

 

 
    25,323,023  
Massachusetts — 2.4%  

Massachusetts Bay Transportation Authority, Refunding RB, General Transportation System, Series A, 7.00%, 03/01/19

    370       370,000  

Massachusetts Development Finance Agency, RB:

   

Emerson College Issue, Series A, 5.00%, 01/01/47

    845       912,549  

Emerson College Issue, Series A, 5.25%, 01/01/42

    1,895       2,086,831  

UMass Dartmouth Student Housing Project, 5.00%, 10/01/43

    4,480       4,829,619  

Massachusetts Development Finance Agency, Refunding RB, Series A:

   

Emerson College, 5.00%, 01/01/40

    1,620       1,777,173  

4.00%, 07/01/44

    965       942,245  
 

 

 

50    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Massachusetts (continued)  

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

  $ 2,120     $ 2,130,833  

Massachusetts Water Resources Authority, RB, Series A, 6.50%, 07/15/19(e)

    1,070       1,089,196  
   

 

 

 
    14,138,446  
Michigan — 0.7%  

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM), 6.25%, 07/01/19(a)

    2,495       2,532,201  

Michigan Strategic Fund, RB, I-75 Improvement Projects, AMT, 5.00%, 06/30/48

    1,775       1,936,596  
   

 

 

 
    4,468,797  
Minnesota — 0.7%  

City of Cologne Minnesota Charter School, LRB, Cologne Academy Project, Series A, 5.00%, 07/01/45

    1,500       1,476,150  

County of St. Paul Minnesota Housing & Redevelopment Authority, Refunding RB, Fairview Health Services, Series A, 4.00%, 11/15/43

    1,940       1,972,670  

Housing & Redevelopment Authority of The City of Saint Paul Minnesota, RB, Great River School Project, Series A, 5.50%, 07/01/52(b)

    695       710,512  
   

 

 

 
    4,159,332  
Mississippi — 5.8%  

County of Lowndes Mississippi, Refunding RB, Solid Waste Disposal & Pollution Control, Weyerhaeuser Co. Project:

   

Series A, 6.80%, 04/01/22

    9,160       10,196,454  

Series B, 6.70%, 04/01/22

    4,500       4,996,035  

Mississippi Business Finance Corp., Refunding RB, System Energy Resource, Inc. Project, 5.88%, 04/01/22

    9,305       9,322,866  

Mississippi Development Bank, Refunding RB, Municipal Energy Agency Of Mississippi, Series A (AGM), 4.00%, 03/01/41

    3,000       3,043,950  

State of Mississippi, RB, Series A:

   

5.00%, 10/15/37

    1,105       1,263,689  

4.00%, 10/15/38

    5,535       5,683,338  
   

 

 

 
    34,506,332  
Montana — 0.1%  

Montana State Board of Housing, RB, S/F, Series B-2:

   

3.50%, 12/01/42

    335       332,936  

3.60%, 12/01/47

    515       511,838  
   

 

 

 
    844,774  
Nebraska — 1.1%  

Central Plains Nebraska Energy Project, RB, Gas Project No. 3, 5.00%, 09/01/42

    6,200       6,654,956  
   

 

 

 
Nevada — 1.5%  

City of Carson City Nevada, Refunding RB, Carson Tahoe Regional Healthcare Project, 5.00%, 09/01/42

    2,250       2,413,327  

County of Clark Nevada, GO, Stadium Improvement, Series A:

   

5.00%, 06/01/36

    4,080       4,752,262  

5.00%, 06/01/37

    1,500       1,739,220  
   

 

 

 
    8,904,809  
New Jersey — 12.0%  

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/44

    1,400       1,489,208  

New Jersey EDA, RB:

   

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

    1,530       1,726,682  

Goethals Bridge Replacement Project, AMT, Private Activity Bond, 5.38%, 01/01/43

    10,000       10,871,600  

Goethals Bridge Replacement Project, AMT, Private Activity Bond, 5.13%, 01/01/34

    1,050       1,147,020  

School Facilities Construction, Series UU, 5.00%, 06/15/40

    3,390       3,545,296  
Security   Par
(000)
    Value  
New Jersey (continued)  

New Jersey EDA, Refunding RB, School Facilities Construction:

   

5.25%, 06/15/19(a)

  $ 2,650     $ 2,677,189  

Series AA, 5.25%, 06/15/19(a)

    700       707,182  

Series AA, 5.25%, 12/15/33

    6,650       6,704,264  

New Jersey Housing & Mortgage Finance Agency, Refunding RB, S/F Housing, Series BB, AMT, 3.80%, 10/01/32

    4,880       4,946,270  

New Jersey Transportation Trust Fund Authority, RB:

   

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

    7,260       2,922,150  

Transportation Program, Series AA, 5.25%, 06/15/33

    8,750       9,318,575  

Transportation Program, Series AA, 5.25%, 06/15/41

    780       830,131  

Transportation Program, Series AA, 5.00%, 06/15/44

    4,450       4,638,057  

Transportation System, Series B, 5.50%, 06/15/31

    8,000       8,410,080  

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

    5,430       5,968,765  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.25%, 06/01/46

    4,550       4,909,950  

Sub-Series B, 5.00%, 06/01/46

    665       673,299  
   

 

 

 
    71,485,718  
New York — 5.4%  

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 01/01/35(b)

    2,145       2,279,899  

City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    4,150       4,193,326  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A,
6.25%, 06/01/41(b)

    3,500       3,593,345  

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 06/01/45

    4,435       4,327,363  

New York Counties Tobacco Trust IV, Refunding RB, Tobacco Settlement Pass-Through Bonds, Series A, 5.00%, 06/01/38

    3,675       3,603,521  

New York Liberty Development Corp., Refunding RB, 3 World Trade Center Project, Class 2(b):

   

5.15%, 11/15/34

    460       493,709  

5.38%, 11/15/40

    1,145       1,212,463  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    3,070       3,183,345  

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       3,349,646  

TSASC, Inc., Refunding RB:

   

Series A, 5.00%, 06/01/41

    1,785       1,891,154  

Tobacco Settlement Bonds, Subordinate, Series B, 5.00%, 06/01/48

    1,420       1,360,900  

Westchester New York Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 5.13%, 06/01/51

    2,740       2,760,851  
   

 

 

 
    32,249,522  
Ohio — 4.2%  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2:

   

5.75%, 06/01/34

    950       885,618  

5.88%, 06/01/47

    2,525       2,364,082  

County of Allen Ohio Hospital Facilities Revenue, Refunding RB, Catholic Healthcare Partners, Series A, 5.25%, 06/01/20(a)

    2,875       2,998,337  

County of Butler Port Authority, RB, StoryPoint Fairfield Project, Series A-1(b):

   

6.38%, 01/15/43

    675       692,321  

6.50%, 01/15/52

    390       400,819  

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 07/01/40

    1,690       1,805,630  

County of Lucas Ohio, Refunding RB, Promedica Healthcare, Series A, 6.50%, 11/15/21(a)

    1,915       2,154,643  
 

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Ohio (continued)  

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

  $ 7,430     $ 8,110,068  

County of Montgomery Ohio, Refunding RB, Catholic Health:

   

5.50%, 05/01/19(a)

    1,910       1,921,555  

Series A, 5.50%, 05/01/34

    3,560       3,579,972  
   

 

 

 
    24,913,045  
Oklahoma — 0.4%  

Oklahoma Development Finance Authority, RB, OU Medicine Project, Series B, 5.25%, 08/15/48

    2,205       2,409,558  
   

 

 

 
Oregon — 0.2%  

State of Oregon Health & Science University, RB, Series A, 5.00%, 07/01/42

    800       907,024  
   

 

 

 
Pennsylvania — 8.3%  

Allentown Neighborhood Improvement Zone Development Authority, RB, City Center Project, 5.00%, 05/01/42(b)

    1,725       1,836,556  

Altoona Area School District, GO, (BAM), 5.00%, 12/01/36

    365       411,822  

County of Delaware Pennsylvania IDA, Refunding RB, Covanta Project, 5.00%, 07/01/43

    5,000       5,035,350  

County of Delaware Springfield School District, GO:

   

5.00%, 03/01/40

    2,955       3,351,000  

5.00%, 03/01/43

    2,145       2,419,903  

County of Montgomery Higher Education & Health Authority, Refunding RB, Thomas Jefferson University, Series A, 5.00%, 09/01/48

    3,330       3,677,186  

County of Montgomery Pennsylvania IDA, Refunding RB, Whitemarsh Continuing Care Retirement Community, 5.25%, 01/01/40

    4,170       4,128,008  

County of Northampton Pennsylvania General Purpose Authority, Refunding RB, Lafayette College, 4.00%, 11/01/38

    1,855       1,919,869  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/36

    4,385       4,988,508  

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Rapid Bridge Replacement, 5.00%, 12/31/38

    2,565       2,769,174  

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

    3,850       3,885,766  

Pennsylvania Housing Finance Agency, RB, S/F, Series 125B, 3.65%, 10/01/42

    7,000       6,862,520  

Pennsylvania Turnpike Commission, Refunding RB, 2nd Series, Subordinate, Special Motor License Fund, 5.00%, 12/01/41

    1,700       1,887,527  

Pennsylvania Turnpike Commission, RB:

   

Series A-1, 5.00%, 12/01/41

    440       483,582  

Sub-Series B-1, 5.25%, 06/01/47

    5,680       6,285,942  
   

 

 

 
    49,942,713  
Puerto Rico — 1.3%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

   

5.50%, 05/15/39

    1,340       1,353,722  

5.63%, 05/15/43

    1,335       1,348,937  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    51       50,936  

4.75%, 07/01/53

    1,362       1,250,684  

5.00%, 07/01/58

    4,026       3,816,849  
   

 

 

 
    7,821,128  
Rhode Island — 1.4%  

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

   

4.50%, 06/01/45

    6,820       6,399,956  

5.00%, 06/01/50

    2,000       2,011,560  
   

 

 

 
    8,411,516  
Security   Par
(000)
    Value  
South Carolina — 1.8%  

State of South Carolina Jobs EDA, Refunding RB, Prisma Health Obligated Group, Series A, 5.00%, 05/01/43

  $ 2,690     $ 2,959,188  

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

    750       811,560  

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

    6,450       7,052,430  
   

 

 

 
    10,823,178  
Texas — 11.4%  

Central Texas Regional Mobility Authority, RB, Senior Lien, Series A:

   

5.00%, 01/01/40

    1,215       1,330,498  

5.00%, 01/01/45

    3,500       3,801,770  

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien:

   

5.75%, 01/01/21(a)

    1,000       1,070,580  

6.00%, 01/01/21(a)

    4,300       4,622,672  

Series A, 5.00%, 01/01/43

    6,925       7,364,045  

City of Houston Texas Airport System, Refunding ARB, United Airlines, Inc. Terminal E Project, AMT, 5.00%, 07/01/29

    2,665       2,915,137  

City of Houston Texas Airport System Revenue, Refunding RB, Sub-Series D, 5.00%, 07/01/37

    4,005       4,633,184  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 01/01/23(a)

    850       1,010,557  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare, 6.00%, 08/15/20(a)

    4,630       4,914,050  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, 5.00%, 10/01/44

    3,500       3,663,415  

La Vernia Higher Education Finance Corp., RB, KIPP, Inc., Series A, 6.25%, 08/15/19(a)

    925       943,824  

Love Field Airport Modernization Corp., RB, Southwest Airlines Co. Project, 5.25%, 11/01/40

    1,100       1,142,625  

New Hope Cultural Education Facilities Corp., RB:

   

Collegiate Housing Tarleton State University Project, 5.00%, 04/01/35

    500       528,925  

Jubilee Academic Center Project, Series A,
5.00%, 08/15/37(b)

    2,000       2,005,420  

New Hope Cultural Education Facilities Corp., Refunding RB, 1st Mortgage, Morningside Ministries Project, 6.25%, 01/01/33

    1,600       1,732,896  

North Texas Education Finance Corp., ERB, Uplift Education, Series A, 5.13%, 12/01/42

    1,000       1,038,140  

North Texas Tollway Authority, Refunding RB, Series A:

   

1st Tier System, 6.25%, 01/01/39

    655       657,070  

1st Tier, 5.00%, 01/01/48

    5,350       5,980,123  

5.00%, 01/01/38

    5,000       5,514,500  

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

   

LBJ Infrastructure Group LLC, 7.00%, 06/30/40

    8,000       8,495,200  

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

    4,710       4,888,038  
   

 

 

 
    68,252,669  
Virginia — 4.3%  

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:

   

5.38%, 03/01/36

    430       443,369  

5.50%, 03/01/46

    1,475       1,521,138  

City of Portsmouth Virginia, GO, Refunding Series D, 5.00%, 07/15/20(a)

    3,030       3,167,107  

County of Fairfax Virginia IDA, Refunding RB, Health Care-Inova Health, 5.50%, 05/15/19(a)

    735       740,630  

Tobacco Settlement Financing Corp., Refunding RB, Senior Series B-1, 5.00%, 06/01/47

    3,665       3,491,206  
 

 

 

52    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Virginia (continued)  

Virginia Small Business Financing Authority, RB, AMT:

   

Senior Lien, Elizabeth River Crossings OpCo LLC Project, 6.00%, 01/01/37

  $ 2,150     $ 2,347,563  

Senior Lien, Elizabeth River Crossings OpCo LLC Project, 5.50%, 01/01/42

    5,140       5,486,385  

Transform 66 P3 Project, 5.00%, 12/31/49

    7,895       8,506,705  
   

 

 

 
    25,704,103  
Washington — 3.8%  

Port of Seattle Washington, ARB, AMT:

   

Intermediate Lien, Series C, 5.00%, 05/01/37

    4,905       5,494,875  

Series A, 5.00%, 05/01/43

    1,295       1,429,719  

State of Washington, COP, Series B:

   

5.00%, 07/01/36

    1,725       2,010,643  

5.00%, 07/01/38

    2,300       2,648,887  

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 01/01/45

    4,010       4,361,717  

Washington Health Care Facilities Authority, Refunding RB, Catholic Health Initiatives, Series D, 6.38%, 10/01/36

    7,000       7,022,610  
   

 

 

 
    22,968,451  
West Virginia — 0.4%  

West Virginia Hospital Finance Authority, Refunding RB, Improvement, Charleston Area Medical Center, Inc., Series A, 5.63%, 09/01/32

    2,500       2,538,300  
   

 

 

 
Wisconsin — 1.3%  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

   

Froedtert & Community Health, Inc., Obligated Group: Series C, 5.25%, 04/01/19(a)

    3,100       3,108,556  

Milwaukee Regional Medical Center Thermal Service, 5.00%, 04/01/44

    4,080       4,603,586  
   

 

 

 
    7,712,142  
Wyoming — 1.3%  

County of Sweetwater Wyoming, Refunding RB, Idaho Power Co. Project, Remarketing, 5.25%, 07/15/26

    4,500       4,569,435  

State of Wyoming Municipal Power Agency, Inc., Refunding RB, Series A (BAM), 5.00%, 01/01/42

    1,120       1,242,595  

Wyoming Community Development Authority, Refunding RB, Series 2 & 3, 4.05%, 12/01/38

    2,215       2,258,060  
   

 

 

 
    8,070,090  
   

 

 

 

Total Municipal Bonds — 123.7%
(Cost — $715,580,189)

 

    740,144,356  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(f)

 

Arizona — 0.6%

 

City of Phoenix Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 07/01/19(a)

    3,500       3,538,325  
   

 

 

 
California — 6.2%  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2 Bonds, 5.00%, 10/01/47

    14,998       16,887,825  

University of California, RB, Series O(a):

   

General, 5.25%, 05/15/19

    5,675       5,723,777  

Prefunded -General, 5.25%, 05/15/19

    3,235       3,262,805  

Unrefunded Balance-2016, General, 5.25%, 05/15/19

    11,090       11,185,318  
   

 

 

 
    37,059,725  
Colorado — 1.3%  

City & County of Denver Colorado Airport System Revenue, Refunding ARB, Sub-System, Series A, AMT, 5.25%, 12/01/43(g)

    6,504       7,484,760  
   

 

 

 
Security   Par
(000)
    Value  
Florida — 2.6%  

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/20(a)

  $ 14,747     $ 15,514,006  
   

 

 

 
Illinois — 2.0%  

State of Illinois Toll Highway Authority, RB, Series B, 5.00%, 01/01/40

    10,976       12,153,092  
   

 

 

 
Kentucky — 1.6%  

County of Louisville & Jefferson Kentucky Metropolitan Government Parking Authority, RB, River City, Inc., 1st Mortgage, Series A, 5.38%, 12/01/19(a)

    9,195       9,442,652  
   

 

 

 
Maryland — 0.9%  

City of Baltimore Maryland, RB, Wastewater Project, Series A, 5.00%, 07/01/46

    4,898       5,490,269  
   

 

 

 
Nevada — 2.7%  

County of Clark Nevada Water Reclamation District, GO, Series B, 5.75%, 07/01/19(a)

    15,789       16,004,684  
   

 

 

 
New York — 1.8%  

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

    10,001       10,906,495  
   

 

 

 
Oregon — 0.3%  

State of Oregon Housing & Community Services Department, HRB, M/F Housing, Series A, AMT, 4.95%, 07/01/30

    1,604       1,626,742  
   

 

 

 
Pennsylvania — 2.0%  

Commonwealth of Pennsylvania, GO, 1st Series, 4.00%, 03/01/38(g)

    7,250       7,526,588  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38

    3,925       4,392,080  
   

 

 

 
    11,918,668  
Texas — 5.8%  

City of Houston Texas Higher Education Finance Corp., RB, Rice University Project, Series A, 5.00%, 05/15/20(a)

    10,000       10,395,462  

County of Harris Texas Health Facilities Development Corp., Refunding RB, School Health Care System, Series B, 5.75%, 07/01/27(e)

    20,370       24,481,480  
   

 

 

 
    34,876,942  
Virginia — 2.2%  

County of Fairfax Virginia EDA, RB, Metrorail Parking System Project, 5.00%, 04/01/47(g)

    6,960       7,869,150  

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

    5,002       5,176,015  
   

 

 

 
    13,045,165  
Washington — 1.9%  

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

    10,000       11,551,650  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 31.9%
(Cost — $182,818,179)

 

    190,613,175  
 

 

 

 

Total Long-Term Investments — 155.6%
(Cost — $898,398,368)

 

    930,757,531  
   

 

 

 

Other Assets Less Liabilities — 1.8%

 

    10,570,619  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (16.6)%

 

    (99,474,489

VMTP Shares, at Liquidation Value — (40.8)%

 

    (243,800,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 598,053,661  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

 

 

(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) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(e) 

Security is collateralized by municipal bonds or U.S. Treasury obligations.

(f) 

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.

(g) 

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 November 15, 2019 to June 1, 2026, is $16,153,828. See Note 4 of the Notes to Financial Statements for details.

 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate 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
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class(b)

     159,172        (159,172           $      $ 25,216      $ 1,773      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

No longer held by the Trust as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     86          06/19/19        $ 10,492        $ 54,490  

Long U.S. Treasury Bond

     260          06/19/19          37,562          427,925  

5-Year U.S. Treasury Note

     33          06/28/19          3,781          11,292  
                 

 

 

 
                  $ 493,707  
                 

 

 

 

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:

 

     

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 493,707      $      $ 493,707  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on 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 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contract
    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (1,304,252    $      $ (1,304,252
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 453,402      $      $ 453,402  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

54    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

   $ 45,093,813  

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(a)

   $        $ 930,757,531        $        $ 930,757,531  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 493,707        $        $             —        $ 493,707  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are 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  

Liabilities:

 

TOB Trust Certificates

   $        $ (99,033,917      $        $ (99,033,917

VMTP Shares at Liquidation Value

              (243,800,000                 (243,800,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (342,833,917      $             —        $ (342,833,917
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      55  


 

Statements of Assets and Liabilities  (unaudited)

February 28, 2019

 

     BBK      BAF      BYM      BLE  

ASSETS

 

Investments at value — unaffiliated(a)

  $ 264,825,324      $ 220,604,242      $ 623,497,153      $ 549,175,196  

Investments at value — affiliated(b)

    189,772        589,614        3,558,757        999,594  

Cash

    126,422        70,338        295,688        176,852  

Cash pledged for futures contracts

    266,050        158,800        628,050        370,800  

Receivables:

 

Interest — unaffiliated

    2,905,967        2,276,339        6,670,797        6,491,775  

Dividends — affiliated

    1,162        530        8,158        2,144  

Variation margin on futures contracts

    45,406        27,057        107,952        63,280  

Prepaid expenses

    9,334        9,124        11,052        9,985  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    268,369,437        223,736,044        634,777,607        557,289,626  
 

 

 

    

 

 

    

 

 

    

 

 

 

ACCRUED LIABILITIES

 

Payables:

 

Income dividend distributions — Common Shares

    668,208        511,841        1,373,126        1,364,732  

Investment advisory fees

    133,068        93,873        265,875        234,347  

Interest expense and fees

    64,932        171,561        462,929        243,736  

Trustees’ and Officer’s fees

    31,808        23,480        73,533        67,530  

Other accrued expenses

    90,658        80,790        126,014        114,760  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total accrued liabilities

    988,674        881,545        2,301,477        2,025,105  
 

 

 

    

 

 

    

 

 

    

 

 

 

OTHER LIABILITIES

 

TOB Trust Certificates

    23,564,266        51,608,191        108,777,798        64,522,879  

VMTP Shares, at liquidation value of $100,000 per share(c)(d)

    79,900,000        42,200,000        137,200,000        151,300,000  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total other liabilities

    103,464,266        93,808,191        245,977,798        215,822,879  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    104,452,940        94,689,736        248,279,275        217,847,984  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 163,916,497      $ 129,046,308      $ 386,498,332      $ 339,441,642  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

 

Paid-in capital(e)(f)(g)

  $ 149,545,188      $ 124,019,631      $ 362,795,037      $ 327,395,423  

Accumulated earnings

    14,371,309        5,026,677        23,703,295        12,046,219  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 163,916,497      $ 129,046,308      $ 386,498,332      $ 339,441,642  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value per Common Share

  $ 15.58      $ 14.75      $ 14.64      $ 14.43  
 

 

 

    

 

 

    

 

 

    

 

 

 

(a) Investments at cost — unaffiliated

  $ 250,347,602      $ 211,759,669      $ 591,754,720      $ 527,273,189  

(b) Investments at cost — affiliated

  $ 189,772      $ 589,614      $ 3,558,757      $ 999,594  

(c)  Preferred Shares outstanding, par value $0.10 per share

    799        422        1,372        1,513  

(d) Preferred Shares authorized

    unlimited        unlimited        unlimited        unlimited  

(e) Par value per Common Share

  $ 0.001      $ 0.001      $ 0.001      $ 0.001  

(f)  Common Shares outstanding

    10,522,957        8,749,418        26,406,273        23,529,861  

(g) Common Shares authorized

    unlimited        unlimited        unlimited        unlimited  

See notes to financial statements.

 

 

56    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities  (unaudited) (continued)

February 28, 2019

 

     MFL      MVF  

ASSETS

 

Investments at value — unaffiliated(a)

  $ 875,419,277      $ 930,757,531  

Investments at value — affiliated(b)

    2,392,995         

Cash

    328,775         

Cash pledged for futures contracts

    747,150        791,500  

Receivables:

 

Interest — unaffiliated

    11,109,197        11,662,920  

Dividends — affiliated

    1,860        361  

Investments sold

    85,000        1,384,950  

Variation margin on futures contracts

    128,561        136,429  

Prepaid expenses

    15,475        23,245  
 

 

 

    

 

 

 

Total assets

    890,228,290        944,756,936  
 

 

 

    

 

 

 

ACCRUED LIABILITIES

 

Bank overdraft

           221,944  

Payables:

 

Income dividend distributions — Common Shares

    2,141,136        2,496,200  

Investment advisory fees

    343,254        360,388  

Interest expense and fees

    374,936        440,572  

Trustees’ and Officer’s fees

    318,757        151,047  

Other accrued expenses

    189,894        199,207  
 

 

 

    

 

 

 

Total accrued liabilities

    3,367,977        3,869,358  
 

 

 

    

 

 

 

OTHER LIABILITIES

 

TOB Trust Certificates

    82,671,903        99,033,917  

VMTP Shares, at liquidation value of $100,000 per share(c)(d)

           243,800,000  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs(c)(d)

    274,221,546         
 

 

 

    

 

 

 

Total other liabilities

    356,893,449        342,833,917  
 

 

 

    

 

 

 

Total liabilities

    360,261,426        346,703,275  
 

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 529,966,864      $ 598,053,661  
 

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

 

Paid-in capital(e)(f)(g)

  $ 513,591,274      $ 582,474,297  

Accumulated earnings

    16,375,590        15,579,364  
 

 

 

    

 

 

 

Net Assets

  $ 529,966,864      $ 598,053,661  
 

 

 

    

 

 

 

Net asset value per Common Share

  $ 13.98      $ 9.22  
 

 

 

    

 

 

 

(a) Investments at cost — unaffiliated

  $ 847,994,674      $ 898,398,368  

(b) Investments at cost — affiliated

  $ 2,392,995      $  

(c)  Preferred Shares outstanding, par value $0.10 per share

    2,746        2,438  

(d) Preferred Shares authorized

    1,000,000        10,000,000  

(e) Par value per Common Share .

  $ 0.10      $ 0.10  

(f)  Common Shares outstanding

    37,896,208        64,836,371  

(g) Common Shares authorized

    unlimited        150,000,000  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      57  


 

Statements of Operations  (unaudited)

Six Months Ended February 28, 2019

 

     BBK     BAF     BYM     BLE  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 5,698,291     $ 4,704,014     $ 13,024,752     $ 12,776,220  

Dividends — affiliated

    20,642       8,450       33,661       25,441  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    5,718,933       4,712,464       13,058,413       12,801,661  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    856,919       599,516       1,714,828       1,512,395  

Professional

    29,305       26,782       40,733       37,835  

Accounting services

    26,741       23,489       33,821       33,821  

Rating agency

    21,496       21,475       21,530       21,538  

Transfer agent

    11,903       10,322       16,272       16,467  

Trustees and Officer

    8,579       6,835       19,232       18,019  

Custodian

    2,575       3,300       7,709       3,096  

Registration

    4,697       4,692       5,079       5,509  

Printing

    3,813       3,603       4,910       4,699  

Miscellaneous

    10,162       6,873       12,602       9,955  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    976,190       706,887       1,876,716       1,663,334  

Interest expense, fees and amortization of offering costs(a)

    1,296,487       1,095,758       3,013,244       2,681,144  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    2,272,677       1,802,645       4,889,960       4,344,478  

Less fees waived and/or reimbursed by the Manager

    (1,307     (555     (2,301     (1,688
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    2,271,370       1,802,090       4,887,659       4,342,790  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    3,447,563       2,910,374       8,170,754       8,458,871  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (389,699     11,270       (471,831     (346,622

Investments — affiliated

    194       412       235       (79

Futures contracts

    (254,903     (218,010     (663,840     (359,851

Capital gain distributions from investment companies — affiliated

    236       66             173  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (644,172     (206,262     (1,135,436     (706,379
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments — unaffiliated

    (595,216     (695,451     (443,211     (2,753,767

Investments — affiliated

                      (227

Futures contracts

    136,966       86,680       329,801       194,037  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (458,250     (608,771     (113,410     (2,559,957
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (1,102,422     (815,033     (1,248,846     (3,266,336
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 2,345,141     $ 2,095,341     $ 6,921,908     $ 5,192,535  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Related to TOB Trusts, VMTP Shares and/or VRDP Shares.

See notes to financial statements.

 

 

58    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations  (unaudited) (continued)

Six Months Ended February 28, 2019

 

     MFL     MVF  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 18,506,644     $ 21,782,362  

Dividends — affiliated

    16,874       25,216  
 

 

 

   

 

 

 

Total investment income

    18,523,518       21,807,578  
 

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    2,446,825       2,342,459  

Professional

    52,457       53,586  

Accounting services

    63,681       66,203  

Rating agency

    21,610       21,592  

Transfer agent

    21,038       26,059  

Trustees and Officer

    39,011       30,219  

Registration

    7,289       15,173  

Printing

    5,549       5,981  

Custodian

    6,943       10,137  

Liquidity fees

    13,868        

Remarketing fees on Preferred Shares

    13,617        

Miscellaneous

    11,591       16,276  
 

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    2,703,479       2,587,685  

Interest expense, fees and amortization of offering costs(a)

    4,348,136       4,336,830  
 

 

 

   

 

 

 

Total expenses

    7,051,615       6,924,515  

Less fees waived and/or reimbursed by the Manager

    (243,627     (1,762
 

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    6,807,988       6,922,753  
 

 

 

   

 

 

 

Net investment income

    11,715,530       14,884,825  
 

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    1,952,413       (352,589

Investments — affiliated

    540       1,599  

Futures contracts

    (921,207     (1,304,252

Capital gain distributions from investment companies — affiliated

    94       174  
 

 

 

   

 

 

 
    1,031,840       (1,655,068
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments — unaffiliated

    (4,416,924     (6,121,068

Futures contracts

    408,042       453,402  
 

 

 

   

 

 

 
    (4,008,882     (5,667,666
 

 

 

   

 

 

 

Net realized and unrealized loss

    (2,977,042     (7,322,734
 

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 8,738,488     $ 7,562,091  
 

 

 

   

 

 

 

 

(a) 

Related to TOB Trusts, VRDP Shares and/or VMTP Shares.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      59  


 

Statements of Changes in Net Assets

 

    BBK            BAF  
     Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
            Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

OPERATIONS

          

Net investment income

  $ 3,447,563     $ 7,391,439        $ 2,910,374     $ 6,444,710  

Net realized gain (loss)

    (644,172     953,349          (206,262     725,071  

Net change in unrealized appreciation (depreciation)

    (458,250     (5,906,242        (608,771     (7,394,607
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    2,345,141       2,438,546          2,095,341       (224,826
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

          

Decrease in net assets resulting from distributions to Common Shareholders

    (4,507,267     (8,064,592        (3,071,046     (7,017,033
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

          

Total decrease in net assets applicable to Common Shareholders

    (2,162,126     (5,626,046        (975,705     (7,241,859

Beginning of period

    166,078,623       171,704,669          130,022,013       137,263,872  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 163,916,497     $ 166,078,623        $ 129,046,308     $ 130,022,013  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

60    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets  (continued)

 

    BYM            BLE  
     Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
            Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

OPERATIONS

          

Net investment income

  $ 8,170,754     $ 17,739,356        $ 8,458,871     $ 17,822,092  

Net realized gain (loss)

    (1,135,436     1,927,259          (706,379     1,208,495  

Net change in unrealized appreciation (depreciation)

    (113,410     (18,246,948        (2,559,957     (15,379,159
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    6,921,908       1,419,667          5,192,535       3,651,428  
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

          

Decrease in net assets resulting from distributions to Common Shareholders

    (8,572,453     (17,745,015        (8,188,392     (18,242,150
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

          

Reinvestment of common distributions

                         127,225  
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

          

Total decrease in net assets applicable to Common Shareholders

    (1,650,545     (16,325,348        (2,995,857     (14,463,497

Beginning of period

    388,148,877       404,474,225          342,437,499       356,900,996  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 386,498,332     $ 388,148,877        $ 339,441,642     $ 342,437,499  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b)

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      61  


 

Statements of Changes in Net Assets  (continued)

 

 

    MFL            MVF  
     Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
            Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

OPERATIONS

          

Net investment income

  $ 11,715,530     $ 26,843,909        $ 14,884,825     $ 32,994,274  

Net realized gain (loss)

    1,031,840       5,357,512          (1,655,068     4,572,478  

Net change in unrealized appreciation (depreciation)

    (4,008,882     (33,990,948        (5,667,666     (29,636,180
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    8,738,488       (1,789,527        7,562,091       7,930,572  
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

          

Decrease in net assets resulting from distributions to Common Shareholders

    (12,846,815     (29,099,183        (15,480,332     (33,923,160
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

          

Reinvestment of common distributions

          580,514                1,475,965  
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

          

Total decrease in net assets applicable to Common Shareholders

    (4,108,327     (30,308,196        (7,918,241     (24,516,623

Beginning of period

    534,075,191       564,383,387          605,971,902       630,488,525  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 529,966,864     $ 534,075,191        $ 598,053,661     $ 605,971,902  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b)

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

62    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2019

 

     BBK     BAF     BYM     BLE  

CASH PROVIDED BY OPERATING ACTIVITIES

       

Net increase in net assets resulting from operations

  $ 2,345,141     $ 2,095,341     $ 6,921,908     $ 5,192,535  

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

    23,174,997       41,392,108       41,515,436       70,401,047  

Purchases of long-term investments

    (23,740,552     (44,169,411     (38,222,647     (71,799,831

Net proceeds from sales of short-term securities

    1,911,208       100,944       932,586       3,903,439  

Amortization of premium and accretion of discount on investments and other fees

    (162,263     549,165       252,726       513,442  

Net realized gain (gain) loss on investments

    389,505       (11,682     471,596       346,701  

Net unrealized (appreciation) depreciation on investments

    595,216       695,451       443,211       2,753,994  

(Increase) Decrease in Assets:

 

Receivables:

 

Interest — unaffiliated

    (41,955     176,684       (101,670     249,571  

Dividends — affiliated

    (529     255       (782     3,806  

Variation margin on futures contracts

    (45,406     (27,057     (107,952     (63,280

Prepaid expenses

    2,459       17,405       17,701       3,711  

Increase (Decrease) in Liabilities:

       

Payables:

       

Investment advisory fees

    (15,548     (9,625     (30,317     (26,961

Interest expense and fees

    7,785       23,222       56,716       14,372  

Trustees’ and Officer’s fees

    1,253       993       2,555       3,235  

Variation margin on futures contracts

    (3,469     (3,201     (9,672     (6,773

Other accrued expenses

    (34,479     (27,987     (46,592     (41,809
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    4,383,363       802,605       12,094,803       11,447,199  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH USED FOR FINANCING ACTIVITIES

       

Proceeds from TOB Trust Certificates

    798,979       4,160,000       516,720       8,916,923  

Repayments of TOB Trust Certificates

    (466,653     (1,744,221     (3,520,382     (11,890,878

Proceeds from Loan for TOB Trust Certificates

    466,653             516,600       785,631  

Repayments of Loan for TOB Trust Certificates

    (466,653           (516,600     (785,631

Cash dividends paid to Common Shareholders

    (4,507,267     (3,071,046     (8,572,453     (8,188,392
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (4,174,941     (655,267     (11,576,115     (11,162,347
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

       

Net increase in restricted and unrestricted cash and foreign currency

    208,422       147,338       518,688       284,852  

Restricted and unrestricted cash and foreign currency at beginning of period

    184,050       81,800       405,050       262,800  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 392,472     $ 229,138     $ 923,738     $ 547,652  
 

 

 

   

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

       

Cash paid during the period for interest expense

  $ 1,288,702     $ 1,072,536     $ 2,956,528     $ 2,666,772  
 

 

 

   

 

 

   

 

 

   

 

 

 
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES        

Cash

  $ 126,422     $ 70,338     $ 295,688     $ 176,852  

Cash pledged:

 

Futures contracts

    266,050       158,800       628,050       370,800  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 392,472     $ 229,138     $ 923,738     $ 547,652  
 

 

 

   

 

 

   

 

 

   

 

 

 
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES        

Cash pledged:

 

Futures contracts

  $ 184,050     $ 81,800     $ 405,050     $ 262,800  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

FINANCIAL STATEMENTS      63  


 

Statements of Cash Flows  (unaudited) (continued)

Six Months Ended February 28, 2019

 

     MFL     MVF  

CASH PROVIDED BY OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 8,738,488     $ 7,562,091  

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 and principal paydowns

    154,170,048       128,435,455  

Purchases of long-term investments

    (131,832,982     (109,279,196

Net proceeds from sales (purchases) of short-term securities

          160,787  

Net purchases of short-term securities

    (1,373,508      

Amortization of premium and accretion of discount on investments and other fees

    3,119,394       1,548,635  

Net realized (gain) loss on investments

    (1,952,953     350,990  

Net unrealized (appreciation) depreciation on investments

    4,416,924       6,121,068  

(Increase) Decrease in Assets:

 

Receivables:

 

Interest — unaffiliated

    220,168       396,018  

Dividends — affiliated

    (235     854  

Variation margin on futures contracts

    (128,561     (136,429

Prepaid expenses

    15,918       13,991  

Increase (Decrease) in Liabilities:

 

Payables:

 

Investment advisory fees

    (41,068     (49,683

Interest expense and fees

    (15,441     32,088  

Trustees’ and Officer’s fees

    5,498       (6,438

Variation margin on futures contracts

    (15,883     (6,344

Other accrued expenses

    (51,791     (65,737
 

 

 

   

 

 

 

Net cash provided by operating activities

    35,274,016       35,078,150  
 

 

 

   

 

 

 

CASH USED FOR FINANCING ACTIVITIES

 

Proceeds from TOB Trust Certificates

    10,003,907        

Repayments of TOB Trust Certificates

    (31,877,732     (19,150,830

Repayments of Loan for TOB Trust Certificates

           

Cash dividends paid to Common Shareholders

    (12,846,815     (15,642,423

Increase in bank overdraft

          221,944  

Amortization of deferred offering costs

    8,399        
 

 

 

   

 

 

 

Net cash used for financing activities

    (34,712,241     (34,571,309
 

 

 

   

 

 

 

CASH

 

Net increase in restricted and unrestricted cash and foreign currency

    561,775       506,841  

Restricted and unrestricted cash and foreign currency at beginning of period

    514,150       284,659  
 

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at beginning of period

  $ 1,075,925     $ 791,500  
 

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

   

Cash paid during the period for interest expense

  $ 4,355,178     $ 4,304,742  
 

 

 

   

 

 

 
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES    

Cash

  $ 328,775     $  

Cash pledged:

 

Futures contracts

    747,150       791,500  
 

 

 

   

 

 

 
  $ 1,075,925     $ 791,500  
 

 

 

   

 

 

 
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES    

Cash

  $ 110,000     $ 1,159  

Cash pledged:

 

Futures contracts

    404,150       283,500  
 

 

 

   

 

 

 
  $ 514,150     $ 284,659  
 

 

 

   

 

 

 

 

 

64    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  

(For a share outstanding throughout each period)

 

    BBK  
   

Six Months Ended

02/28/19
(unaudited)

          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 15.78       $ 16.32      $ 17.89      $ 16.49      $ 16.54      $ 14.18  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.33         0.70        0.74        0.89        0.90        0.97  

Net realized and unrealized gain (loss)

    (0.10       (0.47      (1.09      1.42        0.03        2.43  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.23         0.23        (0.35      2.31        0.93        3.40  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders(b)

                 

From net investment income

    (0.38       (0.77      (0.83      (0.90      (0.98      (0.96

From net realized gain

    (0.05              (0.39      (0.01             (0.08
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions to Common Shareholders

    (0.43       (0.77      (1.22      (0.91      (0.98      (1.04
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 15.58       $ 15.78      $ 16.32      $ 17.89      $ 16.49      $ 16.54  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 14.31       $ 14.35      $ 15.99      $ 18.22      $ 15.23      $ 15.59  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.82 %(d)        1.87      (1.44 )%       14.53      5.96      25.27
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    2.84 %(d)        (5.45 )%       (5.18 )%       26.29      3.83      24.11
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.82 %(e)        2.49      2.31      1.78      1.73      1.84 %(f) 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.82 %(e)        2.49      2.31      1.77      1.73      1.84 %(f) 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.21 %(e)        1.18      1.19      1.16      1.16      1.19
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.28 %(e)        4.39      4.55      5.18      5.41      6.29
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

 

Net assets applicable to Common Shareholders, end of period (000)

  $ 163,916       $ 166,079      $ 171,705      $ 188,107      $ 173,363      $ 173,798  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 79,900       $ 79,900      $ 79,900      $ 79,900      $ 79,900      $ 79,900  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 305,152       $ 307,858      $ 314,899      $ 335,428      $ 316,975      $ 317,520  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 23,564       $ 23,232      $ 22,404      $ 25,054      $ 19,495      $ 19,495  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    9       38      46      29      34      32
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      65  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BAF  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.86       $ 15.69      $ 16.56      $ 15.80      $ 15.97      $ 13.83  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.33         0.74        0.79        0.83        0.83        0.83  

Net realized and unrealized gain (loss)

    (0.09       (0.77      (0.84      0.75        (0.18      2.13  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.24         (0.03      (0.05      1.58        0.65        2.96  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.35       (0.80      (0.82      (0.82      (0.82      (0.82
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.75       $ 14.86      $ 15.69      $ 16.56      $ 15.80      $ 15.97  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.63       $ 13.54      $ 15.11      $ 15.79      $ 13.89      $ 14.18  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.94 %(d)        0.18      0.14      10.57      4.71      22.67
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    3.39 %(d)        (5.22 )%       1.15      19.92      3.68      17.50
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.84 %(e)        2.47      2.06      1.61      1.50      1.58
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.84 %(e)        2.47      2.06      1.61      1.50      1.58
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.11 %(e)        1.08      1.06      1.01      1.00      1.03
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.59 %(e)        4.84      5.06      5.09      5.16      5.56
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 129,046       $ 130,022      $ 137,264      $ 144,927      $ 138,203      $ 139,723  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 42,200       $ 42,200      $ 42,200      $ 42,200      $ 42,200      $ 42,200  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 405,797       $ 408,109      $ 425,270      $ 443,429      $ 427,495      $ 431,097  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 51,608       $ 49,192      $ 44,937      $ 42,089      $ 33,470      $ 32,345  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    19       28      31      29      13      26
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

66    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BYM  
   

Six Months Ended

02/28/19
(unaudited)

          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.70       $ 15.32      $ 16.22      $ 15.21      $ 15.56      $ 13.46  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.31         0.67        0.75        0.82        0.84        0.86  

Net realized and unrealized gain (loss)

    (0.05       (0.62      (0.87      1.02        (0.33      2.16  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.26         0.05        (0.12      1.84        0.51        3.02  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.32       (0.67      (0.78      (0.83      (0.86      (0.92
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.64       $ 14.70      $ 15.32      $ 16.22      $ 15.21      $ 15.56  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.32       $ 13.09      $ 14.84      $ 15.55      $ 13.67      $ 13.96  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    2.14 %(d)        0.80      (0.30 )%       12.71      3.85      23.69
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    4.36 %(d)        (7.34 )%       0.74      20.23      4.03      18.65
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.59 %(e)        2.23      1.93      1.56      1.47      1.55
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.59 %(e)        2.23      1.93      1.56      1.47      1.55
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization of offering costs(f)

    0.99 %(e)        0.97      0.97      0.95      0.96      0.98
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.32 %(e)        4.50      4.95      5.19      5.42      5.89
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 386,498       $ 388,149      $ 404,474      $ 428,389      $ 401,536      $ 410,776  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 137,200       $ 137,200      $ 137,200      $ 137,200      $ 137,200      $ 137,200  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 381,704       $ 382,907      $ 394,806      $ 412,237      $ 392,665      $ 399,399  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 108,778       $ 111,781      $ 101,288      $ 100,250      $ 101,818      $ 93,816  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    6       30      18      10      12      20
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

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.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      67  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BLE  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.55       $ 15.17      $ 16.12      $ 15.25      $ 15.48      $ 13.32  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.36         0.76        0.83        0.93        0.92        0.93  

Net realized and unrealized gain (loss)

    (0.13       (0.60      (0.89      0.87        (0.19      2.22  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.23         0.16        (0.06      1.80        0.73        3.15  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.35       (0.78      (0.89      (0.93      (0.96      (0.99
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.43       $ 14.55      $ 15.17      $ 16.12      $ 15.25      $ 15.48  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 14.05       $ 13.77      $ 15.45      $ 16.34      $ 14.18      $ 14.70  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.80 %(d)        1.35      (0.18 )%       12.21      5.01      24.73
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    4.73 %(d)        (5.82 )%       0.29      22.33      2.83      19.52
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.60 %(e)        2.32      2.02      1.62      1.55      1.64
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.60 %(e)        2.31      2.02      1.62      1.55      1.64
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    0.99 %(e)        0.98      0.99      0.98      0.98      1.01
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    5.06 %(e)        5.12      5.47      5.90      5.94      6.49
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 339,442       $ 342,437      $ 356,901      $ 378,572      $ 357,868      $ 363,038  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 151,300       $ 151,300      $ 151,300      $ 151,300      $ 151,300      $ 151,300  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 324,350       $ 326,330      $ 335,890      $ 350,213      $ 336,529      $ 339,946  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 64,523       $ 67,497      $ 71,274      $ 77,130      $ 68,692      $ 68,692  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    13       7      9      7      10      16
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

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.

See notes to financial statements.

 

 

68    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MFL  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.09       $ 14.91      $ 15.86      $ 15.18      $ 15.46      $ 13.27  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.31         0.71        0.78        0.86        0.89        0.89  

Net realized and unrealized gain (loss)

    (0.08       (0.76      (0.87      0.68        (0.31      2.16  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.23         (0.05      (0.09      1.54        0.58        3.05  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.34       (0.77      (0.86      (0.86      (0.86      (0.86
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 13.98       $ 14.09      $ 14.91      $ 15.86      $ 15.18      $ 15.46  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.02       $ 12.73      $ 15.03      $ 15.86      $ 14.06      $ 13.92  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.92 %(d)        (0.05 )%       (0.34 )%       10.56      4.29      24.24
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    5.07 %(d)        (10.42 )%       0.46      19.37      7.28      17.91
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.71 %(e)        2.51      2.17      1.65      1.54      1.64
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.61 %(e)        2.41      2.08      1.60      1.49      1.57
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)(g)

    0.94 %(e)        0.94      0.95      0.94      0.95      1.19
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.50 %(e)        4.91      5.22      5.54      5.73      6.18
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 529,967       $ 534,075      $ 564,383      $ 599,930      $ 573,885      $ 584,690  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

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

  $ 292,996       $ 294,492      $ 305,529      $ 318,474      $ 308,990      $ 312,924  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 82,672       $ 114,546      $ 123,111      $ 131,279      $ 85,502      $ 89,157  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    12       22      16      27      13      25
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(g) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

            0.94             0.93             0.94             0.93             0.94             0.95        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      69  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MVF  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 9.35       $ 9.75      $ 10.38      $ 10.04      $ 10.27      $ 9.14  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.23         0.51        0.56        0.61        0.62        0.63  

Net realized and unrealized gain (loss)

    (0.12       (0.39      (0.62      0.36        (0.21      1.18  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.11         0.12        (0.06      0.97        0.41        1.81  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.24       (0.52      (0.57      (0.63      (0.64      (0.68
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 9.22       $ 9.35      $ 9.75      $ 10.38      $ 10.04      $ 10.27  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 8.94       $ 8.81      $ 9.84      $ 10.77      $ 9.65      $ 9.83  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.38 %(d)        1.52      (0.38 )%       9.96      4.27      20.70
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    4.32 %(d)        (5.22 )%       (3.10 )%       18.70      4.71      18.50
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.35 %(e)        2.16      1.92      1.55      1.43      1.49
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.35 %(e)        2.16      1.92      1.55      1.43      1.49
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense fees, and amortization of offering costs(f)

    0.88 %(e)        0.89      0.91      0.89      0.89      0.91
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    5.05 %(e)        5.35      5.71      5.95      6.03      6.53
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 598,054       $ 605,972      $ 630,489      $ 667,589      $ 642,889      $ 656,922  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,800       $ 243,800      $ 243,800      $ 243,800      $ 243,800      $ 243,800  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 345,305       $ 348,553      $ 358,609      $ 373,827      $ 363,695      $ 369,451  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 99,034       $ 112,817      $ 139,989      $ 161,957      $ 148,867      $ 145,111  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    12       21      26      13      18      14
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

70    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


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 as a “Trust”:

 

Trust Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Municipal Bond Trust

  BBK    Delaware    Diversified

BlackRock Municipal Income Investment Quality Trust

  BAF    Delaware    Diversified

BlackRock Municipal Income Quality Trust

  BYM    Delaware    Diversified

BlackRock Municipal Income Trust II

  BLE    Delaware    Diversified

BlackRock MuniHoldings Investment Quality Fund

  MFL    Massachusetts    Diversified

BlackRock MuniVest Fund, Inc.

  MVF    Maryland    Diversified

The Boards of Trustees and Boards of Directors of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees and directors 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 non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income 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:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (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 an accrual basis.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts) or certain borrowings (e.g. TOB Trust 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 borrowings 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.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. 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 funds in the BlackRock Fixed-Income Complex 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 funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s 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 Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance to the Trusts.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate the impact of this guidance to the Trusts.

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.

 

 

NOTES TO FINANCIAL STATEMENTS      71  


Notes to Financial Statements  (unaudited) (continued)

 

 

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 various 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 oversee the pricing function for all financial instruments

Fair Value Inputs and Methodologies: The following methods 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.

 

   

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 investments, 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”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. 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 and 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. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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.

 

 

72    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

Municipal Bonds Transferred to TOB Trusts: Certain trusts leverage their assets through the use of “TOB Trust” transactions. The trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust 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 issued to the participating trusts that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that 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 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 trusts managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a trust has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the trusts ratably in proportion to their participation in the TOB Trust.

TOB Trusts are 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 are remarketed by a Remarketing Agent. In the event of a failed remarketing, 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 number of days the loan is outstanding.

The TOB Trust may be collapsed without the consent of a trust, upon the occurrence of a termination event, as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a 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. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Trusts) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.

While a trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a trust to borrow money for purposes of making investments. MVF’s management believes that the trust’s restrictions on borrowings do not apply to the trust’s TOB Trust transactions. 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.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a trust’s Schedules 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 pursuant to the liquidity facility 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 Trust 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 non-bank sponsored TOB Trusts, 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. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:

 

     Interest Expense      Liquidity Fees      Other Expenses      Total  

BBK

  $ 186,660      $ 49,531      $ 19,810      $ 256,001  

BAF

    398,928        105,262        43,187        547,377  

BYM

    888,458        247,385        69,965        1,205,808  

BLE

    523,961        140,477        50,591        715,029  

MFL

    768,921        207,361        84,054        1,060,336  

MVF

    842,957        249,821        74,769        1,167,547  

For the six months ended February 28, 2019, the following table is a summary of each Trust’s TOB Trusts:

 

     Underlying
Municipal Bonds
Transferred to
TOB Trusts
 (a)
     Liability for
TOB Trust
Certificates
 (b)
    

Range of
Interest Rates
on TOB Trust
Certificates at

Period End

     Average
TOB Trust
Certificates
Outstanding
     Daily Weighted
Average Rate
of Interest and
Other Expenses
on TOB Trusts
 

BBK

  $ 38,559,378      $ 23,564,266        1.75 — 1.80    $ 23,539,716        2.19

BAF

    89,822,783        51,608,191        1.75 — 1.95        49,744,690        2.22  

BYM

    173,596,377        108,777,798        1.71 — 2.02        110,167,251        2.21  

BLE

    106,418,160        64,522,879        1.71 — 1.95        65,951,004        2.19  

MFL

    166,794,255        82,671,903        1.75 — 1.80        96,774,703        2.21  

MVF

    190,613,175        99,033,917        1.73 — 1.90        105,769,199        2.23  

 

  (a) 

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 Trust 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 trust, as a TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the trust, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.

 

 

 

NOTES TO FINANCIAL STATEMENTS      73  


Notes to Financial Statements  (unaudited) (continued)

 

  (b) 

TOB Trusts may be structured on a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a trust invests in a TOB Trust on a recourse basis, a trust enters into a reimbursement agreement with the Liquidity Provider where a trust is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a Trust invests in recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple trusts participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at February 28, 2019, 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 28, 2019.

 

For the six months ended February 28, 2019, the following table is a summary of each Trust’s Loan for TOB Trust Certificates:

 

     Loans
Outstanding
at Period End
     Range of
Interest Rates
on Loans at
Period End
     Average
Loans
Outstanding
     Daily Weighted
Average Rate
of Interest and
Other Expenses
on Loans
 

BBK

                $ 2,578        0.78

BYM

                  33,603        0.78  

BLE

                  4,341        0.78  

 

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 their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”)

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

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 a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a 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. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. 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 market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative 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 at an annual rate equal to the following of the average weekly value of each Trust’s managed assets:

 

     BBK      BAF      BYM      BLE  

Investment advisory fees

    0.65      0.55      0.55      0.55

For purposes of calculating these fees, “managed assets” mean the total assets of each Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, MFL and MVF pays the Manager a monthly fee at an annual rate equal to 0.55% and 0.50%, respectively, of the average daily value of each Trust’s net assets.

For purposes of calculating these fees, “net assets” mean the total assets of each 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 shares). It is understood that the liquidation preference of any outstanding preferred stock (other than accumulated dividends) and TOB Trusts is not considered a liability in determining a Trust’s net asset value.

 

 

74    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

Expense Limitations, Waivers, Reimbursements and Recoupments: The Manager, for MFL, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOB Trusts that exceed 35% of total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). The voluntary waiver may be reduced or discontinued at any time without notice. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2019 the waiver was $242,472.

With respect to each Trust, 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 (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2019, the amounts waived were as follows:

 

     BBK      BAF      BYM      BLE      MFL      MVF  

Amounts waived

  $ 1,307      $ 555      $ 2,301      $ 1,688      $ 1,155      $ 1,762  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2019. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the six months ended February 28, 2019, there were no fees waived by the Manager pursuant to these arrangements.

Trustees and Officers: Certain trustees and/or officers of the Trusts are trustees and/or officers 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 Trustees and Officer in the Statements of Operations.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended February 28, 2019, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchase      Sales      Net Realized
Gain (Loss)
 

BAF

  $      $ 562,987      $ (41,862

 

7.

PURCHASES AND SALES

For the six months ended February 28, 2019, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BBK      BAF      BYM      BLE      MFL      MVF  

Purchases

  $ 22,268,469      $ 42,746,014      $ 35,702,700      $ 69,124,831      $ 108,276,382      $ 109,279,196  

Sales

    23,174,997        41,285,350        41,515,436        70,176,047        154,180,048        129,323,435  

 

8.

INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. 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 generally remains open for each of the four years ended August 31, 2018. 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 28, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of August 31, 2018, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BAF      BYM      BLE      MFL      MVF  

No expiration date(a)

  $ 3,682,816      $ 5,377,520      $ 7,804,136      $ 13,245,637      $ 8,518,168  

2019

                  2,448,693               5,276,524  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 3,682,816      $ 5,377,520      $ 10,252,829      $ 13,245,637      $ 13,794,692  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Must be utilized prior to losses subject to expiration.

 

 

 

NOTES TO FINANCIAL STATEMENTS      75  


Notes to Financial Statements  (unaudited) (continued)

 

As of February 28, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BBK     BAF     BYM     BLE     MFL     MVF  

Tax cost

  $ 226,981,433     $ 161,216,821     $ 487,910,489     $ 463,698,661     $ 767,857,222     $ 800,803,117  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 15,269,724     $ 9,101,363     $ 33,734,965     $ 25,523,964     $ 32,103,800     $ 34,538,853  

Gross unrealized depreciation

    (635,839     (635,162     (2,981,102     (3,340,778     (4,366,258     (3,124,649
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 14,633,885     $ 8,466,201     $ 30,753,863     $ 22,183,186     $ 27,737,542     $ 31,414,204  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

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, 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 or other instruments and may enter into certain transactions and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

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.

A Trust structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

Should short-term interest rates rise, the Trusts’ investments in the TOB Trusts 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 U.S. Securities and Exchange Commission (“SEC”) and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). 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 Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and the Trusts, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty 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.

 

 

76    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

Concentration Risk: BBK and MFL invests a substantial amount of its 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 Trust’s respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, BAF invested a significant portion of its assets in securities in the transportation and county, city, special district and school district sectors. MFL invested a significant portion of its assets in securities in the transportation sector. 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. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

 

10.

CAPITAL SHARE TRANSACTIONS

Each of 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, without the approval of Common Shareholders.

MFL is authorized to issue an unlimited number of shares, including 1 million Preferred Shares, par value $0.10 per share.

MVF is authorized to issue 160 million shares, 150 million of which were initially classified as Common Shares, par value $0.10 per share and 10 million of which were classified as Preferred Shares, par value $0.10 per share.

Common Shares

For the period shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     BLE      MFL      MVF  

Year Ended August 31, 2018

    8,405        39,363        152,734  

For the six months ended February 28, 2019, shares issued and outstanding remained constant for all the Trusts. For the year ended August 31, 2018, shares issued and outstanding remained constant for BBK, BAF and BYM.

On November 15, 2018, the Board of Trustees authorized each Trust to participate in an open market share repurchase program (the “Repurchase Program”). Under the Repurchase Program, each Trust may repurchase up to 5% of its outstanding common shares through November 30, 2019, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the six months ended February 28, 2019, the Trusts did not repurchase any shares.

Preferred Shares

A Trust’s Preferred Shares rank prior to its Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of the Trust. The 1940 Act prohibits the declaration of any dividend on Common Shares or the repurchase of Common Shares if the Trust fails to maintain asset coverage of at least 200% of the liquidation preference of the Trust’s 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 its Preferred Shares or repurchasing such shares if the Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.

Holders of Preferred Shares have voting rights equal to the voting rights of holders of Common Shares (one vote per share) and vote together with holders of Common Shares (one vote per share) as a single class on certain matters. Holders of Preferred Shares, voting as a separate class, are also entitled to (i) elect two members of the Board, (ii) elect the full Board if dividends on the Preferred Shares are not paid for a period of two years and (iii) a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, 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

MFL has issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings 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 may be subject to a special rate period. As of period end, the VRDP Shares outstanding were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Maturity
Date
 

MFL

    6/30/11        2,746      $ 274,600,000        7/01/41  

 

 

NOTES TO FINANCIAL STATEMENTS      77  


Notes to Financial Statements  (unaudited) (continued)

 

Redemption Terms: MFL is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, MFL is required to begin to segregate liquid assets with its custodian to fund the redemption. In addition, MFL is required to redeem certain of its outstanding VRDP Shares if it fails to comply with 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 MFL. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Liquidity Feature: VRDP Shares are subject to a fee agreement between MFL and the liquidity provider that requires a per annum liquidity fee and, in some cases, an upfront or initial commitment fee, payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations. The fee agreement is set to expire, unless renewed or terminated in advance, on April 15, 2020.

In the event a fee agreement is not renewed or is terminated in advance, and MFL does 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, MFL is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, MFL is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance that MFL will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: MFL may incur remarketing fees on the aggregate principal amount of all its VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), MFL may incur nominal or no remarketing fees.

Ratings: As of period end, the VRDP Shares were assigned the following long-term ratings:

 

     Moody’s      Fitch  

MFL

    Aa1        AAA  

Any 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 and Fitch. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories.

Special Rate Period: MFL may commence a “special rate period” with respect to its VRDP Shares, during which the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. During a special rate period, short-term ratings on VRDP Shares are withdrawn. The following VRDP Trust has commenced or is set to commence a special rate period:

 

     Commencement
Date
    

Expiration Date

as of period ended

February 28, 2019

 

MFL

    April 17, 2014        April 15, 2020  

Prior to the expiration date, the VRDP Trust and the VRDP Shares holder may mutually agree to extend the special rate period. If a special rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special rate period and will be remarketed and available for purchase by qualified institutional investors.

During the special rate period: (i) the liquidity and fee agreements remain in effect, (ii) VRDP Shares remain subject to mandatory redemption by the VRDP Trust on the maturity date, (iii) VRDP Shares will not be remarketed or subject to optional or mandatory tender events, (iv) the VRDP Trust is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period, (v) the VRDP Fund will pay dividends monthly based on the sum of the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares and (vi) the VRDP Trust will pay nominal or no fees to the liquidity provider and remarketing agent.

If MFL redeems the VRDP Shares prior to end of the special rate period and the VRDP Shares have long-term ratings above A1/A+ and its equivalent by all ratings agencies then rating the VRDP Shares, then such redemption may be 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 comply with minimum asset coverage requirements.

Dividends: Except during the Special Rate Period, 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. 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 based upon either short-term rating. 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.

For the six months ended February 28, 2019, the annualized dividend rate for the MFL’s VRDP Shares was 2.41%.

For the six months ended February 28, 2019, VRDP Shares issued and outstanding of MFL remained constant.

 

 

78    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

VMTP Shares

BBK, BAF, BYM, BLE and MVF (collectively, the “VMTP Trusts”) have each issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and a VMTP Trust may also be required to register its VMTP Shares for sale under the Securities Act under certain circumstances. As of period end, the VMTP Shares outstanding were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
    

Term
Redemption

Date

 

BBK

    12/16/11        799      $ 79,900,000        07/02/20  

BAF

    12/16/11        422        42,200,000        07/02/20  

BYM

    12/16/11        1,372        137,200,000        07/02/20  

BLE

    12/16/11        1,513        151,300,000        07/02/20  

MVF

    12/16/11        2,438        243,800,000        07/02/20  

Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that a term will be extended further or that any 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 the term redemption date, a VMTP Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. In addition, a VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, VMTP Shares may be redeemed, in whole or in part, at any time at the option of the VMTP Trust. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If a VMTP Trust redeems the VMTP Shares prior to the term redemption date and the VMTP Shares have long-term ratings above A1/A+ or its equivalent by the ratings agencies then rating the VMTP Shares, then such redemption may be 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 until the term redemption date, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.

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 SIFMA Municipal Swap Index or to a percentage of the one-month LIBOR rate, as set forth in the VMTP Shares governing instrument. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the ratings agencies then rating the VMTP Shares. As of period end, the VMTP Shares were assigned the following long-term ratings:

 

     Moody’s      Fitch  

BBK

    Aa1        AAA  

BAF

    Aa1        AAA  

BYM

    Aa1        AAA  

BLE

    Aa1        AAA  

MVF

    Aa1        AAA  

The dividend rate on the VMTP Shares is subject to a step-up spread if the VMTP Trusts fail to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

For the six months ended February 28, 2019, the average annualized dividend rates for the VMTP Shares were as follows:

 

     BBK     BAF     BYM     BLE     MVF  

Rate

    2.63     2.62     2.66     2.62     2.62

For the six months ended February 28, 2019, VMTP Shares issued and outstanding of each Trust remained constant.

Offering Costs: MFL and the VMTP Trusts incurred costs in connection with the issuance of VRDP and VMTP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP and VMTP Shares. With the exception of upfront fees paid to the liquidity provider which was amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Financial Reporting: The VRDP and VMTP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP and VMTP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. 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 and VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP and VMTP Shares are treated as equity for tax purposes. Dividends paid to

 

 

NOTES TO FINANCIAL STATEMENTS      79  


Notes to Financial Statements  (unaudited) (continued)

 

holders of the VRDP and VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP and VMTP Shares are included in interest expense, fees and amortization of offering costs in the Statements of Operations:

 

    

Dividend

Accrued

    

Deferred Offering Cost

Amortization

 

BBK

  $ 1,040,486      $  

BAF

    548,381         

BYM

    1,807,436         

BLE

    1,966,115         

MFL

    3,287,800        8,399  

MVF

    3,169,283         

 

11.

REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Funds have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to Financial Statements.

Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended August 31, 2018 were classified as follows:

 

     Net Investment Income  

BBK

  $ 8,064,592  

BAF

    7,017,033  

BYM

    17,745,015  

BLE

    18,242,150  

MFL

    29,099,183  

MVF

    33,923,160  

Undistributed net investment income as of August 31, 2018 is as follows:

 

     Undistributed
Net Investment Income
 

BBK

  $ 1,157,190  

BAF

    728,463  

BYM

    2,104,597  

BLE

    1,959,535  

MFL

    3,071,045  

MVF

    3,464,573  

 

12.

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:

 

     Common Dividend Per
Share
           Preferred Shares (c)  
     Paid (a)      Declared (b)            Shares      Series      Declared  

BBK

  $ 0.054500      $ 0.054500         VMTP        W-7      $ 180,246  

BAF

    0.058500        0.058500         VMTP        W-7        95,199  

BYM

    0.052000        0.052000         VMTP        W-7        309,510  

BLE

    0.058000        0.058000         VMTP        W-7        341,318  

MFL

    0.052500        0.052500         VRDP        W-7        582,227  

MVF

    0.038500        0.038500               VMTP        W-7        549,989  

 

  (a) 

Net investment income dividend paid on April 1, 2019 to Common Shareholders of record on March 15, 2019.

 
  (b) 

Net investment income dividend declared on April 1, 2019, payable to Common Shareholders of record on April 15, 2019.

 
  (c) 

Dividends declared for period March 1, 2019 to March 31, 2019.

 

 

 

80    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information

 

Richard E. Cavanagh, Co-Chair of the Board and Trustee

Karen P. Robards, Co-Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Henry Gabbay, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, 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 January 1, 2019, Richard E. Cavanagh and Karen P. Robards were appointed as a Co-Chair of the Board. Prior to January 1, 2019, Mr. Cavanagh served as Chair of the Board and Ms. Robards served as Vice Chair of the Board. In addition, effective January 1, 2019, Henry Gabbay was appointed as a Trustee of each Trust.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Custodian

State Street Bank and

Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

VRDP Tender and Paying Agent and VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10286

VRDP Liquidity Provider

Bank of America, N.A.

New York, NY 10036

VRDP Remarketing Agent

Merrill Lynch, Pierce, Fenner & Smith Incorporated

New York, NY 10036

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

 

 

TRUSTEE AND OFFICER INFORMATION      81  


Additional Information

 

Trust Certification

The 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. Except as disclosed on page xx, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.

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. Any reference to BlackRock’s website in this report 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 Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, 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. 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.

 

 

82    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

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.

 

 

ADDITIONAL INFORMATION      83  


Glossary of Terms Used in this Report

 

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

 

 

84    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


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.

 

LOGO

 

 

CEF-NTL-2/19-SAR    LOGO


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

 

Period

 

(a) Total

Number of  

Shares

Purchased

 

(b) Average

Price Paid per  

Share

 

(c) Total Number of

Shares Purchased as Part  

of Publicly Announced

Plans or Programs

 

(d) Maximum Number of

Shares that May Yet Be

Purchased Under the Plans  

or Programs1

September 1 – 30, 2018    

  N/A   N/A   N/A   N/A

October 1 – 31, 2018

  N/A   N/A   N/A   N/A

November 1- 30, 2018

  N/A   N/A   N/A   N/A

December 1 – 31, 2018

  0   $0   0   1,176,493

January 1 – 31, 2019

  0   $0   0   1,176,493

February 1 – 28, 2019

  0   $0   0   1,176,493

Total:

  0   $0   0   1,176,493

1The Fund announced an open market share repurchase program on November 15, 2018 pursuant to which the Fund was authorized to repurchase, through November 30, 2019, up to 5% of its common shares based on common shares outstanding on November 30, 2018, in open market transactions, subject to certain conditions.

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)

 

2


  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 –   Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable
Item 13 –   Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (a)(4) – Not Applicable
  (b) –   Certifications – Attached hereto

 

3


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 3, 2019

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 3, 2019
By:    /s/ Neal J. Andrews                                
   Neal J. Andrews
   Chief Financial Officer (principal financial officer) of
BlackRock Municipal Income Trust II

Date: May 3, 2019

 

4