BLACKROCK MUNIVEST FUND, INC.

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 811-05611

Name of Fund: BlackRock MuniVest Fund, Inc. (MVF)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

Inc., 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: 08/31/2017

Date of reporting period: 02/28/2017


Item 1 – Report to Stockholders


FEBRUARY 28, 2017

 

 

 

 

 

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)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

 

Dear Shareholder,

Risk assets, such as stocks and high yield bonds, enjoyed strong performance in the 12 months ended February 28, 2017. It was a different story for higher-quality assets such as U.S. Treasuries, which generated muted returns after struggling in the latter part of 2016 as reflationary expectations in the United States helped drive a pick-up in global growth and investors braced for higher interest rates.

Markets showed great resilience during the period. Big surprises such as the United Kingdom’s vote to leave the European Union and the outcome of the U.S. presidential election brought spikes in equity market volatility, but they were ultimately short-lived. Instead, investors used the sell-offs to seize upon buying opportunities, allowing markets to quickly rebound. We believe this reinforces the case for taking the long view rather than reacting to short-term market noise.

The global reflationary theme — rising nominal growth, wages and inflation — was the dominant driver of asset returns during the period, outweighing significant political upheavals and uncertainty. This trend accelerated after the U.S. election and continued into the beginning of 2017, stoked by expectations for an extra boost to U.S. growth via fiscal policy.

Although economic momentum is gaining traction, the capacity for rapid global growth is restrained by structural factors including an aging population, low productivity growth and excess savings. A tempered economic growth trend and high valuations across most assets have set the stage for muted investment returns going forward.

Equity markets still have room to move, although the disparity between winners and losers is widening, making selectivity increasingly important. Fixed income investors are also facing challenges as bond markets recalibrate to accommodate rising rates and higher inflation expectations. And in a world where political risk and policy uncertainty abound, there is no lack of potential catalysts for higher volatility.

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, 2017  
    6-month     12-month  

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

    10.01     24.98

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

    12.61       36.11  

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

    4.90       15.75  

Emerging market equities
(MSCI Emerging Markets Index)

    5.51       29.46  

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

    0.22       0.39  

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

    (6.17     (4.09

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

    (2.19     1.42  

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

    (2.51     0.76  

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

    5.43       21.83  
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 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

     62  

Financial Highlights

     64  

Notes to Financial Statements

     70  

Officers and Trustees

     81  

Additional Information

     82  

 

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    3


Municipal Market Overview     

 

For the Reporting Period Ended February 28, 2017      

Municipal Market Conditions

Municipal bonds generated modestly positive performance for the period, in spite of vastly rising interest rates as a result of generally stronger economic data, signs of inflation pressures, Federal Reserve (“Fed”) monetary policy normalization, and market expectations for pro-growth fiscal policy. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments. Investors favored the income, relative yield, and stability of municipal bonds amid bouts of interest rate volatility (bond prices rise as rates fall) resulting from the United Kingdom’s decision to leave the European Union, the contentious U.S. election, and widening central bank divergence — i.e., policy easing outside the United States while the Fed slowly commences policy tightening. During the 12 months ended February 28, 2017, municipal bond funds garnered net inflows of approximately $22 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained robust from a historical perspective at $443 billion (significantly above the $393 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 60%) as issuers continued to take advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

 

S&P Municipal Bond Index

Total Returns as of February 28, 2017

  6 months: (2.51)%

12 months: 0.76%

A Closer Look at Yields

 

LOGO

From February 29, 2016 to February 28, 2017, yields on AAA-rated 30-year municipal bonds increased by 25 basis points (“bps”) from 2.80% to 3.05%, while 10-year rates rose by 53 bps from 1.76% to 2.29% and 5-year rates increased 57 bps from 0.93% to 1.50% (as measured by Thomson Municipal Market Data). The municipal yield curve modestly flattened over the 12-month period with the spread between 2- and 30-year maturities flattening by 17 bps and the spread between 10- and 30-year maturities flattening by 28 bps.

 

During the same time period, on a relative basis, tax-exempt municipal bonds broadly outperformed U.S. Treasuries with the greatest outperformance experienced in the long-end of the yield curve. In absolute terms, the positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly scarce. More broadly, municipal bonds came under pressure post the November U.S. election as a result of uncertainty surrounding potential tax-reform, erasing a bulk of year-to-date performance and influencing a strong pattern of mutual fund inflows to turn negative in the closing months of the period. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

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

The opinions expressed are those of BlackRock as of February 28, 2017, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (AMT). Capital gains distributions, if any, are taxable.

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

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


The Benefits and Risks of Leveraging     

 

 

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

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

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

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or

negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

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 Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. 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”) and Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOB Trusts”) as described in the Notes to Financial Statements.

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

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

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset 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.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    5


Trust Summary as of February 28, 2017    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, 2017 ($15.55)1

  5.79%

Tax Equivalent Yield2

  10.23%

Current Monthly Distribution per Common Share3

  $0.0750

Current Annualized Distribution per Common Share3

  $0.9000

Economic Leverage as of February 28, 20174

  38%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

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

 

  3   

The monthly distribution per Common Share, declared on March 1, 2017, was decreased to $0.0635 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4   

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

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BBK1,2

    (10.01 )%      (7.82 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3 . . . . . .

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

In this environment, the Trust’s positions in longer-dated and longer-duration bonds were the largest detractors from performance. (Duration is a measure of interest rate sensitivity.) Exposure to lower-coupon and zero-coupon bonds, which experienced greater price deterioration than the market as a whole, also detracted from returns. Conversely, positions in pre-refunded issues benefited performance as their low duration and higher quality enabled them to hold up better than longer-duration bonds.

 

 

Positions in the transportation, education and utilities sectors, which were among the weaker performing sectors for the period, negatively impacted performance. The Trust’s exposure to school district bonds, which were adversely affected by their longer duration, was an additional detractor.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive 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    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $15.55        $18.22        (14.65)%        $18.55        $14.78  

Net Asset Value

     $15.64        $17.89        (12.58)%        $17.89        $15.30  

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Health

    23     24

County/City/Special District/School District

    19       17  

Transportation

    15       15  

Education

    14       14  

Utilities

    12       13  

State

      8         9  

Corporate

      5         5  

Tobacco

      3         2  

Housing

      1         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 Schedule3       

Calendar Year Ended December 31,

 

2017

      4

2018

      6  

2019

      4  

2020

      7  

2021

    11  

 

  3   

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

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      4       4

AA/Aa

    31       47  

A

    26       27  

BBB/Baa

    13       11  

BB/Ba

      6         5  

B

      1         1  

N/R2

    19         5  

 

  1   

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

 

  2   

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, 2017 and August 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% and 3%, respectively, of the Trust’s total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    7


Trust Summary as of February 28, 2017    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, 2017 ($14.50)1

  5.67%

Tax Equivalent Yield2

  10.02%

Current Monthly Distribution per Common Share3

  $0.0685

Current Annualized Distribution per Common Share3

  $0.8220

Economic Leverage as of February 28, 20174

  39%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

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

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BAF1,2

    (5.56 )%      (4.36 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3. . . . . .

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

Positions in longer-dated maturities, which have higher interest rate sensitivity, generally experienced the largest price declines. The Trust’s exposure to 4% coupon bonds also detracted, as lower coupons typically underperform in a rising rate environment. Positions in high-quality, short-duration bonds such as pre-refunded securities performed relatively well compared to longer-duration positions. (Duration is a measure of interest rate sensitivity.)

 

 

From a sector allocation perspective, the Trust’s exposure to the transportation and utilities sectors were the largest detractors.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive 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.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Income Investment Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.50        $15.79        (8.17 )%     $ 16.30      $ 13.68  

Net Asset Value

     $15.40        $16.56        (7.00 )%     $ 16.56      $ 15.07  

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    31     28

County/City/Special District/School District

    29       27  

Utilities

    14       17  

Health

    13       14  

State

      5         6  

Education

      5         5  

Tobacco

      1         1  

Corporate

      1         1  

Housing

      1         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 Schedule2       

Calendar Year Ended December 31,

 

2017

     

2018

    13

2019

    18  

2020

      3  

2021

    29  

 

  2   

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

 

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      3       3

AA/Aa

    72       74  

A

    19       19  

BBB/Baa

      5         4  

N/R

      1        

 

  1   

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

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    9


Trust Summary as of February 28, 2017    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, 2017 ($14.04)1

  5.64%

Tax Equivalent Yield2

  9.96%

Current Monthly Distribution per Common Share3

  $0.0660

Current Annualized Distribution per Common Share3

  $0.7920

Economic Leverage as of February 28, 20174

  39%

 

  1  

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

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

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BYM1,2

    (7.19 )%      (5.44 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

Positions in longer-dated maturities, which have higher interest rate sensitivity, generally experienced the largest price declines. Conversely, the Trust’s positions in high-quality, short-dated issues performed relatively well and helped mitigate the impact of the market downturn. The Trust’s holdings in zero-coupon bonds also detracted, as their longer durations accentuated negative price performance in a rising rate environment. (Duration is a measure of interest-rate sensitivity.)

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

Holdings in tax-backed (state) issues underperformed. The health care sector also lagged, reflecting the increased uncertainty surrounding the future of the Affordable Care Act following the November 2016 election.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive 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    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Income Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.04        $15.55        (9.71 )%     $ 15.79      $ 13.50  

Net Asset Value

     $14.92        $16.22        (8.01 )%     $ 16.22      $ 14.64  

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    30     28

County/City/Special District/School District

    23       25  

Utilities

    12       12  

Health

    11       11  

Education

      9         7  

State

      9       11  

Tobacco

      3         3  

Corporate

      2         2  

Housing

      1         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 Schedule2       

Calendar Year Ended December 31,

 

2017

      8

2018

    15  

2019

      8  

2020

      8  

2021

      8  

 

  2   

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

 

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

    13     14

AA/Aa

    55       54  

A

    25       24  

BBB/Baa

      6         7  

N/R

      1         1  

 

  1   

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

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    11


Trust Summary as of February 28, 2017    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 MKT

   BLE

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of February 28, 2017 ($14.86)1

   5.94%

Tax Equivalent Yield2

   10.49%

Current Monthly Distribution per Common Share3

   $0.0735

Current Annualized Distribution per Common Share3

   $0.8820

Economic Leverage as of February 28, 20174

   39%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

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

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BLE1,2

    (6.32 )%      (4.72 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

Positions in longer-dated, lower-rated investment-grade bonds in the transportation, utilities and health care sectors generally experienced the largest declines. Conversely, holdings in higher-quality, short-dated issues produced better relative performance and helped mitigate the impact of the market downturn.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive 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.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock Municipal Income Trust II

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

   $ 14.86      $ 16.34        (9.06 )%     $ 16.38      $ 13.87  

Net Asset Value

   $ 14.91      $ 16.12        (7.51 )%     $ 16.12      $ 14.59  

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    23     22

Utilities

    16       17  

County/City/Special District/School District

    14       13  

Health

    12       12  

State

    10       11  

Education

    10       10  

Corporate

      7         7  

Tobacco

      7         7  

Housing

      1         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 Schedule3       

Calendar Year Ended December 31,

 

2017

    10

2018

      5  

2019

    17  

2020

    13  

2021

    15  

 

  3  

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

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      7       7

AA/Aa

    42       43  

A

    19       20  

BBB/Baa

    18       17  

BB/Ba

      4         4  

B

      2         2  

N/R2

      8         7  

 

  1   

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

 

  2   

The investment 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, 2017 and August 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and 2%, respectively, of the Trust’s total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    13


Trust Summary as of February 28, 2017    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, 2017 ($14.48)1

   5.93%

Tax Equivalent Yield2

   10.48%

Current Monthly Distribution per Common Share3

   $0.0715

Current Annualized Distribution per Common Share3

   $0.8580

Economic Leverage as of February 28, 20174

   42%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

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

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

MFL1,2

    (5.99 )%      (4.95 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3. . . . . .

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

Positions in longer-dated maturities detracted from performance due to their higher degree of interest rate sensitivity. Conversely, positions in shorter-dated issues held up better in the down market.

 

 

The Trust’s holdings in higher-rated securities (those rated AA and AAA), which were more affected by rising rates due to their lower yield spreads, detracted from returns. Lower-rated investment-grade bonds performed somewhat better, as high-yield products experienced stronger demand.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive 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    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock MuniHoldings Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary      

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

     $14.48        $15.86        (8.70)%        $16.16        $13.52  

Net Asset Value

     $14.64        $15.86        (7.69)%        $15.86        $14.32  

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Transportation

    39     37

Health

    16       12  

Utilities

    14       14  

County/City/Special District/School District

    12       12  

State

    12       14  

Education

      5         9  

Tobacco

      1         1  

Housing

      1         1  

Corporate1

           

 

  1   

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 Schedule3       

Calendar Year Ended December 31,

 

2017

      1

2018

    10  

2019

    21  

2020

      4  

2021

    18  
  3   

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

Credit Quality Allocation2   2/28/17     8/31/16  

AAA/Aaa

      8       6

AA/Aa

    62       65  

A

    28       25  

BBB/Baa

    2         4  

 

  2   

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

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    15


Trust Summary as of February 28, 2017    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 stock) 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 MKT

   MVF

Initial Offering Date

   September 29, 1988

Yield on Closing Market Price as of February 28, 2017 ($10.00)1

   5.94%

Tax Equivalent Yield2

   10.49%

Current Monthly Distribution per Common Share3

   $0.0495

Current Annualized Distribution per Common Share3

   $0.5940

Economic Leverage as of February 28, 20174

   39%

 

  1  

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2  

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

 

  3  

The monthly distribution per Common Share, declared on March 1, 2017, was decreased to $0.046 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4  

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

 

Performance

Returns for the six months ended February 28, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

MVF1,2

    (4.28 )%      (4.46 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (6.50 )%      (5.12 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

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

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

 

 

Municipal bonds lost ground in the six-month reporting period. Municipal bonds initially traded lower through September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The downturn accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. While the municipal market subsequently retraced some of its losses in the second half of the period, the modest rally was insufficient to make up for the earlier downturn.

 

 

At the sector level, hospital and transportation issues represented the largest detractors from Trust performance due to their higher weightings in the portfolio. Lower-rated bonds also underperformed, as investors responded to market weakness by gravitating to higher-quality issues. Reinvestment was a further drag on results, since the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at materially lower prevailing rates. Positions in zero-coupon bonds, which have longer durations relative to standard coupon bonds, also lagged.

 

 

The Trust continued to employ leverage, which helped augment income. However, since leverage also amplifies the effect of market movements, it was a net detractor from overall performance.

 

 

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns. Positions in pre-refunded issues also benefited performance as their low duration (interest rate sensitivity) enabled them to hold up better than longer-duration bonds at a time of rising yields.

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    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


     BlackRock MuniVest Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                              

 

      2/28/17      8/31/16      Change      High      Low  

Market Price

   $ 10.00      $ 10.77        (7.15 )%     $ 10.95      $ 9.51  

Net Asset Value

   $ 9.62      $ 10.38        (7.32 )%     $ 10.38      $ 9.48  

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   2/28/17     8/31/16  

Health

    24     26

Transportation

    23       24  

County/City/Special District/School District

    12       10  

Education

    10       10  

Corporate

      9         9  

State

      7         7  

Utilities

      6         6  

Housing

      4         4  

Tobacco

      5         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 Schedule3       

Calendar Year Ended December 31,

 

2017

    11

2018

    14  

2019

    19  

2020

    15  

2021

      5  

 

  3   

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

Credit Quality Allocation1   2/28/17     8/31/16  

AAA/Aaa

      9       9

AA/Aa

    43       40  

A

    19       23  

BBB/Baa

    14       14  

BB/Ba

      4         3  

B

      1         2  

N/R2

    10         9  

 

  1   

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

 

  2   

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, 2017 and August 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 2% of the Trust’s total investments.

 

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    17


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Arizona — 9.4%

    

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

   $ 2,200     $ 2,316,490  

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

     460       455,837  

County of Maricopa Arizona IDA, Refunding RB, Banner Health Obligation Group, Series A:

    

3.25%, 1/01/37

     1,805       1,701,194  

4.00%, 1/01/38

     1,250       1,259,063  

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

    

4.75%, 7/01/21 (b)

     680       775,928  

4.75%, 7/01/31

     3,070       3,354,435  

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     1,500       1,696,590  

5.00%, 12/01/37

     2,065       2,347,926  

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

     500       561,865  

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

     900       1,072,107  
    

 

 

 
               15,541,435  

Arkansas — 3.4%

    

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

     905       922,105  

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

     840       858,379  

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

     1,200       1,322,616  

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

     2,025       2,061,045  

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

     465       510,021  
    

 

 

 
               5,674,166  

California — 21.7%

    

California Health Facilities Financing Authority, RB, Sutter Health:

    

Series A, 3.25%, 11/15/36

     420       393,700  

Series B, 5.88%, 8/15/31

     1,900       2,167,102  

California Health Facilities Financing Authority, Refunding RB, Adventist Health System West, Series A, 3.00%, 3/01/39

     710       586,609  

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

     2,285       2,287,605  

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

     1,550       1,565,330  

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (a)

     225       236,428  

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

     1,000       1,060,480  

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

     2,000       2,267,320  

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

     1,650       1,608,932  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

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

   $ 8,000     $ 3,032,080  

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

    

0.00%, 8/01/30 (d)

     1,500       922,800  

0.00%, 8/01/33 (d)

     4,000       1,595,800  

0.00%, 8/01/39 (c)

     2,605       2,227,431  

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

     2,800       3,141,488  

State of California, GO, Refunding, Various Purposes:

    

5.00%, 2/01/38

     3,000       3,351,030  

4.00%, 10/01/44

     1,080       1,102,680  

State of California, GO, Various Purposes:

    

5.75%, 4/01/31

     2,000       2,186,320  

6.00%, 3/01/33

     1,000       1,132,950  

6.50%, 4/01/33

     1,950       2,170,798  

5.50%, 3/01/40

     2,350       2,613,270  
    

 

 

 
               35,650,153  

Colorado — 0.7%

    

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

     1,070       1,142,610  

Connecticut — 1.1%

    

Connecticut State Health & Educational Facility Authority, Refunding RB, Lawrence & Memorial Hospital, Series F, 5.00%, 7/01/36

     550       586,591  

South Central Connecticut Regional Water Authority, Refunding RB, Thirty Second, Series B, 4.00%, 8/01/36

     1,235       1,269,185  
    

 

 

 
               1,855,776  

Delaware — 2.8%

    

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

     1,200       1,289,856  

Delaware Transportation Authority, RB:

    

5.00%, 6/01/45

     2,000       2,234,720  

5.00%, 6/01/55

     950       1,032,203  
    

 

 

 
               4,556,779  

Florida — 3.8%

    

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

     600       600,786  

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

     4,135       4,877,232  

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

     125       130,390  

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

     860       601,596  
    

 

 

 
               6,210,004  
 
Portfolio Abbreviations

 

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

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

Hawaii — 0.3%

    

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

   $ 400     $ 423,824  

Idaho — 0.3%

    

Idaho Health Facilities Authority, RB, St. Lukes Health System Project, Series A, 5.00%, 3/01/39

     500       536,610  

Illinois — 4.1%

    

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

     1,600       1,628,144  

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

     870       922,644  

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

     665       709,256  

Illinois Finance Authority, Refunding RB:

    

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

     360       395,967  

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

     1,000       1,043,140  

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

     1,150       1,306,848  

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

     665       663,218  
    

 

 

 
               6,669,217  

Iowa — 0.3%

    

Iowa Higher Education Loan Authority, RB, Private College Facility, Grinnell College Project, 4.00%, 12/01/36

     425       444,571  

Kansas — 3.3%

    

County of Johnson Kansas Unified School District No. 512 Shawnee Mission, GO, Refunding, Series B, 3.00%, 10/01/37

     1,210       1,076,380  

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

     4,000       4,436,611  
    

 

 

 
               5,512,991  

Kentucky — 2.9%

    

County of Louisville & Jefferson Kentucky Metropolitan Government, Refunding RB, Norton Healthcare, Inc., 4.00%, 10/01/35

     930       921,537  

Kentucky Bond Development Corp., Refunding RB, Saint Elizabeth Medical Center, Inc., 4.00%, 5/01/35

     550       559,713  

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

     1,830       1,916,120  

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

    

0.00%, 7/01/34

     500       415,510  

0.00%, 7/01/39

     830       675,354  

0.00%, 7/01/43

     270       220,123  
    

 

 

 
               4,708,357  

Louisiana — 1.6%

    

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

     860       940,040  

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

     1,050       1,198,334  

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

     400       441,144  
    

 

 

 
               2,579,518  
Municipal Bonds   

Par  

(000)

    Value  

Maryland — 0.9%

    

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

    

5.13%, 7/01/36

   $ 170     $ 168,915  

5.25%, 7/01/44

     170       168,113  

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

     1,000       1,107,680  
    

 

 

 
               1,444,708  

Massachusetts — 3.8%

    

Massachusetts Development Finance Agency, RB:

    

Dana-Farber Cancer Institute Issue, Series N, 5.00%, 12/01/46

     390       430,182  

Emerson College Issue, Series A, 5.25%, 1/01/42

     565       622,444  

Emerson College Issue, Series A, 5.00%, 1/01/47

     630       676,563  

Massachusetts Development Finance Agency, Refunding RB:

    

Boston College Issue, Series T, 3.63%, 7/01/39

     310       306,010  

Boston College Issue, Series T, 4.00%, 7/01/42

     1,790       1,824,923  

Emmanuel College Issue, Series A, 4.00%, 10/01/46

     865       805,315  

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

     400       417,904  

WGBH Educational Foundation Issue, 3.00%, 1/01/42

     1,415       1,186,746  
    

 

 

 
               6,270,087  

Michigan — 2.4%

    

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

     240       251,547  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 4.00%, 11/15/46

     1,540       1,492,999  

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

     2,100       2,144,877  

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

     40       43,056  
    

 

 

 
               3,932,479  

Minnesota — 4.6%

    

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

     3,890       4,197,232  

City of St. Cloud Minnesota, Refunding RB, CentraCare Health System, Series A, 3.25%, 5/01/39

     435       396,903  

Minneapolis-St. Paul Metropolitan Airports Commission, Refunding ARB, Sub Series D, AMT, 5.00%, 1/01/41

     290       318,588  

Minnesota Higher Education Facilities Authority, RB:

    

Augsburg College, Series B, 4.25%, 5/01/40

     1,185       1,185,214  

College of St. Benedict, Series 8-K, 5.00%, 3/01/37

     660       718,885  

College of St. Benedict, Series 8-K, 4.00%, 3/01/43

     385       384,380  

Minnesota Higher Education Facilities Authority, Refunding RB, University of St. Thomas, Series 8-L, 4.00%, 4/01/39

     380       388,132  
    

 

 

 
               7,589,334  

Mississippi — 2.0%

    

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

     400       439,636  

Mississippi Development Bank, RB, Special Obligation:

    

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

     845       907,910  

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

     1,750       1,890,665  
    

 

 

 
               3,238,211  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    19


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

Missouri — 3.2%

    

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

   $ 900     $ 955,314  

Missouri State Health & Educational Facilities Authority, RB:

    

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

     500       556,130  

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

     320       334,010  

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

     500       548,420  

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

     300       306,480  

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

     1,000       1,105,550  

Missouri State Health & Educational Facilities Authority, Refunding RB, Kansas City University of Medicine and Biosciences, Series A:

    

5.00%, 6/01/42

     540       595,560  

5.00%, 6/01/47

     770       845,699  
    

 

 

 
               5,247,163  

Montana — 0.7%

    

County of Cascade Montana High School District A Great Falls, GO:

    

4.00%, 7/01/34

     570       602,650  

4.00%, 7/01/35

     550       579,040  
    

 

 

 
               1,181,690  

Nebraska — 4.7%

    

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

     600       634,866  

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

     400       429,356  

County of Sarpy Nebraska Hospital Authority No. 1, Refunding RB, Nebraska Medicine:

    

3.00%, 5/15/46

     1,925       1,580,540  

4.00%, 5/15/51

     975       976,443  

Gretna Public Schools, GO, Refunding, School Building, 3.00%, 12/15/39

     920       782,718  

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

     520       530,338  

Nebraska Public Power District, Refunding RB, Series A:

    

5.00%, 1/01/32

     250       277,002  

4.00%, 1/01/44

     400       404,196  

Public Power Generation Agency, Refunding RB:

    

3.13%, 1/01/35

     1,155       1,020,027  

3.25%, 1/01/36

     1,295       1,151,514  
    

 

 

 
               7,787,000  

Nevada — 1.3%

    

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

     1,050       1,024,285  

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

     1,000       1,036,990  
    

 

 

 
               2,061,275  

New Hampshire — 0.2%

    

New Hampshire Health and Education Facilities Authority Act, Refunding RB, Southern New Hampshire Medical Center, 3.50%, 10/01/34

     285       270,927  

New Jersey — 12.3%

    

County of Atlantic New Jersey Improvement Authority, RB, Stockton University Atlantic City, Series A (AGM), 4.00%, 7/01/46

     850       855,244  
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

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

   $ 915     $ 35,767  

New Jersey EDA, RB, AMT:

    

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

     660       717,182  

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

     200       217,392  

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

     7,500       8,663,175  

New Jersey Educational Facilities Authority, Refunding RB, College of New Jersey, 3.50%, 7/01/31

     900       891,549  

New Jersey Health Care Facilities Financing Authority, Refunding RB, Series A:

    

RWJ Barnabas Health Obligated Group, 4.00%, 7/01/43

     1,945       1,947,937  

St. Barnabas Health Care System, 4.63%, 7/01/21 (b)

     510       578,116  

St. Barnabas Health Care System, 5.63%, 7/01/21 (b)

     1,700       1,998,350  

St. Barnabas Health Care System, 5.00%, 7/01/25

     500       558,420  

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

     45       46,376  

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

     1,860       2,065,958  

New Jersey Transportation Trust Fund Authority, RB:

    

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

     1,000       372,030  

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

     900       899,937  

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

     400       399,360  
    

 

 

 
               20,246,793  

New Mexico — 1.1%

    

New Mexico Finance Authority, RB, Senior Lien Public Project Revolving Fund ,Series A (g):

    

3.25%, 6/01/33

     545       534,214  

3.25%, 6/01/34

     840       817,463  

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

     450       498,524  
    

 

 

 
               1,850,201  

New York — 7.5%

    

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

     940       1,052,010  

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

     925       927,072  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, Series A, 4.75%, 6/15/30

     2,435       2,460,787  

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

     900       934,668  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through, 4.00%, 6/01/51

     500       459,620  

County of Nassau New York, GO, Series A, 5.00%, 1/15/30

     750       875,962  

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

     1,160       1,115,294  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

     850       915,118  
 

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

    

New York City Water & Sewer System, Refunding RB, Series A, 4.75%, 6/15/17 (b)(g)

   $ 565     $ 571,944  

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     800       871,056  

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

     405       439,636  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT, 5.00%, 8/01/31

     1,295       1,348,069  

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

     400       402,556  
    

 

 

 
               12,373,792  

North Carolina — 0.3%

    

City of Raleigh North Carolina Combined Enterprise System Revenue, Refunding RB, Series B, 3.00%, 3/01/37

     550       512,903  

North Dakota — 0.5%

    

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

     225       231,156  

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

     480       550,349  
    

 

 

 
               781,505  

Ohio — 1.2%

    

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

     2,000       2,030,260  

Oklahoma — 3.0%

    

Norman Oklahoma Regional Hospital Authority, Refunding RB, 4.00%, 9/01/37

     1,855       1,847,283  

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

     720       791,107  

Oklahoma Development Finance Authority, RB, State System of Higher Education Master Real Property, Series F, 4.00%, 6/01/36

     670       686,663  

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

     620       629,344  

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

     990       1,027,422  
    

 

 

 
               4,981,819  

Oregon — 3.6%

    

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

     1,000       384,660  

Klamath Falls Intercommunity Hospital Authority, Refunding RB, Sky Lakes Medical Center Project:

    

3.00%, 9/01/35

     705       619,342  

3.00%, 9/01/41

     350       292,744  

Oregon Health & Science University, RB, Series A, 4.00%, 7/01/37

     675       694,001  

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

     575       579,439  

State of Oregon Facilities Authority, Refunding RB, Legacy Health Project, Series A, 4.00%, 6/01/41

     1,630       1,648,810  

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

     1,475       1,634,079  
    

 

 

 
               5,853,075  

Pennsylvania — 4.5%

    

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

     1,695       1,638,031  
Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

    

Delaware River Port Authority, RB:

    

4.50%, 1/01/32

   $ 1,500     $ 1,622,745  

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

     2,600       2,828,670  

Pottsville Hospital Authority, Refunding RB, Lehigh Valley Health Network, Series B, 5.00%, 7/01/45

     1,250       1,351,863  
    

 

 

 
               7,441,309  

Puerto Rico — 0.9%

    

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

    

5.50%, 5/15/39

     940       943,572  

5.63%, 5/15/43

     515       515,669  
    

 

 

 
               1,459,241  

Rhode Island — 4.7%

    

Rhode Island Commerce Corp., RB, Airport Corporation:

    

5.00%, 7/01/41

     270       296,600  

5.00%, 7/01/46

     335       366,624  

Rhode Island Health & Educational Building Corp., Refunding RB, University of Rhode Island, Series B, 4.00%, 9/15/34

     660       679,543  

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

     1,540       1,721,058  

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

     900       963,540  

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/40

     1,000       1,043,920  

Series B, 4.50%, 6/01/45

     2,730       2,628,389  
    

 

 

 
               7,699,674  

South Dakota — 1.0%

    

Dakota Valley School District No. 61-8, GO, Refunding, 3.00%, 7/15/39

     1,920       1,662,490  

Tennessee — 4.2%

    

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

     1,950       2,023,262  

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

     875       914,856  

County of Knox Tennessee Health Educational & Housing Facility Board, RB, University Health System, Inc., 4.00%, 9/01/40

     2,040       2,006,381  

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

     275       302,324  

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

     800       846,144  

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/40

     675       744,302  

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

     135       146,221  
    

 

 

 
               6,983,490  

Texas — 8.6%

    

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

     11,690       3,313,647  

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

     1,500       1,639,815  

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

     10,760       4,249,770  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    21


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

    

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

   $ 4,000     $ 1,870,440  

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

     760       855,707  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     2,000       2,283,460  
    

 

 

 
               14,212,839  

Utah — 0.2%

    

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

     400       400,724  

Vermont — 1.0%

    

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

     800       815,736  

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

     875       894,136  
    

 

 

 
               1,709,872  

Virginia — 0.8%

    

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 3/01/36

     490       471,478  

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

     725       812,384  
    

 

 

 
               1,283,862  

West Virginia — 0.6%

    

County of Berkeley West Virginia Public Service Sewer District, Refunding RB, (BAM):

    

5.00%, 6/01/36

     385       424,863  

3.38%, 6/01/46

     580       520,086  
    

 

 

 
               944,949  

Wisconsin — 2.0%

    

Public Finance Authority, Refunding RB, National Gypsum Co., AMT, 4.00%, 8/01/35

     280       261,884  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     600       602,364  

The Monroe Clinic, Inc., 3.00%, 2/15/35

     1,055       925,678  

The Monroe Clinic, Inc., 4.00%, 2/15/38

     770       768,907  

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

     665       735,651  
    

 

 

 
               3,294,484  
Total Municipal Bonds — 137.5%       226,252,167  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
              

Colorado — 2.4%

    

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

     3,750       3,932,888  

Connecticut — 1.7%

    

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

     2,611       2,866,404  

Georgia — 2.7%

    

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

     4,003       4,511,365  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

New Jersey — 0.9%

    

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

   $ 1,400     $ 1,423,875  

New York — 13.1%

    

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

     3,990       4,240,093  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (b)

     104       109,801  

5.75%, 6/15/40

     346       367,223  

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

    

Fiscal 2013, Series CC, 5.00%, 6/15/47

     6,000       6,633,391  

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

     405       442,673  

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

     2,500       2,840,843  

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

     2,505       2,832,567  

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

     2,199       2,320,549  

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

     1,560       1,773,829  
    

 

 

 
               21,560,969  

Ohio — 2.1%

    

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

     1,260       1,320,581  

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

     2,000       2,060,740  
    

 

 

 
               3,381,321  

Texas — 1.1%

    

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

     1,580       1,762,142  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 24.0%
      39,438,964  
Total Long-Term Investments
(Cost — $253,567,656) — 161.5%
      265,691,131  
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (j)(k)

     187,622       187,660  
Total Short-Term Securities
(Cost — $187,641) — 0.1%
      187,660  
Total Investments (Cost — $253,755,297) — 161.6%       265,878,791  
Other Assets Less Liabilities — 0.6%       999,078  

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (13.6)%

 

    (22,442,176

VMTP Shares at Liquidation Value — (48.6)%

 

    (79,900,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 164,535,693  
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Bond Trust (BBK)

 

 

Notes to Schedule of Investments

 

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

 

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

 

(c)   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)   Non-income producing security.

 

(f)   Issuer filed for bankruptcy and/or is in default.

 

(g)   When-issued security.

 

(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 February 15, 2019 to June 15, 2019, is $2,411,645. See Note 4 of the Notes to Financial Statements for details.

 

(j)   During the six months ended February 28, 2017, 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 August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income     Net
Realized
Gain1
    Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    2,139,553       (1,951,931     187,622     $ 187,660     $ 6,585     $ 966     $ 19  

1    Includes net capital gain distributions.

     

     

 

(k)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  

Contracts

Short

       Issue   Expiration     Notional
Value
   

Unrealized

Appreciation
(Depreciation)

        
  (25      5-Year U.S. Treasury Note     June 2017     $ 2,942,578     $ 3,047    
  (88      10-Year U.S. Treasury Note     June 2017     $ 10,962,875       4,911    
  (103      Long U.S. Treasury Bond     June 2017     $ 15,620,594       (68,963  
  (19      Ultra U.S. Treasury Bond     June 2017     $ 3,073,844       (20,298        
  Total              $ (81,303  
          

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                           $ 7,958           $ 7,958  

Liabilities — Derivative Financial Instruments

                                                       

Futures contracts

   Net unrealized depreciation1                           $ 89,261           $ 89,261  

1    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, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                          $ 1,024,535           $ 1,024,535  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                          $ (95,168         $ (95,168

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    23


Schedule of Investments (concluded)

  

BlackRock Municipal Bond Trust (BBK)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 241,875 1 

Average notional value of contracts — short

  $ 19,797,797  

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

    

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

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

           $ 265,691,131                 $ 265,691,131  

Short-Term Securities

  $ 187,660                            187,660  
 

 

 

 

Total

  $ 187,660        $ 265,691,131                 $ 265,878,791  
 

 

 

 
Derivative Financial Instruments2                        

Assets:

                

Interest rate contracts

  $ 7,958                          $ 7,958  

Liabilities:

                

Interest rate contracts

    (89,261                          (89,261
 

 

 

 

Total

  $ (81,303                        $ (81,303
 

 

 

 

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

     

2    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

           $ (22,403,733               $ (22,403,733

VMTP Shares at Liquidation Value

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

 

 

 

Total

           $ (102,303,733               $ (102,303,733
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 1.9%

    

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

    

6.00%, 6/01/19

   $ 1,000     $ 1,109,060  

6.13%, 6/01/19

     1,000       1,111,840  

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

     335       371,870  
    

 

 

 
               2,592,770  

California — 14.8%

    

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18 (a)

     2,005       2,145,149  

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

     1,120       1,274,437  

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

     1,175       1,241,047  

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 7/01/18 (a)

     1,400       1,487,234  

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

     1,025       1,207,409  

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 4/01/19 (a)

     3,210       3,511,066  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 8/01/21 (a)

     1,000       1,177,500  

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 8/01/19 (a)

     1,125       1,242,281  

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

    

5.50%, 11/01/30

     1,000       1,187,470  

5.50%, 11/01/31

     1,500       1,775,115  

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

     505       591,244  

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

     380       445,288  

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

     2,355       2,705,047  
    

 

 

 
               19,990,287  

Colorado — 3.9%

    

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

     3,250       3,734,965  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 5/15/19 (a)

     1,425       1,578,302  
    

 

 

 
               5,313,267  

Florida — 9.4%

    

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

     4,525       5,110,264  

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

     205       235,301  

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

     4,215       5,024,406  

Orange County Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project, 5.00%, 8/01/41

     1,305       1,378,237  

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

     745       858,784  
    

 

 

 
               12,606,992  

Georgia — 2.2%

    

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

     2,500       2,913,300  
Municipal Bonds   

Par  

(000)

    Value  

Illinois — 20.8%

    

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

   $ 1,000     $ 1,087,580  

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

    

Series A, 5.75%, 1/01/39

     825       928,406  

Series C, 6.50%, 1/01/21 (a)

     3,740       4,464,849  

City of Chicago Illinois Transit Authority, RB:

    

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

     1,300       1,414,257  

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

     3,185       3,404,128  

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

     3,000       3,199,650  

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

     3,000       3,145,680  

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

     1,480       1,556,457  

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

    

5.50%, 12/01/38

     855       918,715  

5.25%, 12/01/43

     1,430       1,511,424  

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

     1,885       2,140,681  

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     915       1,033,008  

6.00%, 6/01/28

     260       295,461  

State of Illinois, GO:

    

5.25%, 2/01/31

     610       627,074  

5.25%, 2/01/32

     1,000       1,023,250  

5.50%, 7/01/33

     1,000       1,042,810  

5.50%, 7/01/38

     270       280,808  
    

 

 

 
               28,074,238  

Indiana — 1.9%

    

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC):

    

5.50%, 1/01/19 (a)

     470       508,672  

5.50%, 1/01/38

     1,945       2,077,668  
    

 

 

 
               2,586,340  

Kentucky — 0.7%

    

Kentucky State Property & Building Commission, Refunding RB, Project No. 93, (AGC):

    

5.25%, 2/01/19 (a)

     800       863,960  

5.25%, 2/01/27

     100       107,124  
    

 

 

 
               971,084  

Louisiana — 1.0%

    

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

    

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

     375       405,746  

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

     150       162,012  

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

     790       834,833  
    

 

 

 
               1,402,591  

Massachusetts — 1.0%

    

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 1/01/47

     695       746,367  

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

     500       533,330  
    

 

 

 
               1,279,697  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    25


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds   

Par  

(000)

    Value  

Michigan — 2.4%

    

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

    

6.25%, 7/01/19 (a)

   $ 1,695     $ 1,895,383  

6.25%, 7/01/36

     5       5,397  

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

     1,205       1,336,092  
    

 

 

 
               3,236,872  

Minnesota — 3.0%

    

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

    

6.50%, 11/15/18 (a)

     565       618,019  

6.50%, 11/15/38

     3,115       3,361,023  
    

 

 

 
               3,979,042  

Mississippi — 1.8%

    

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

     1,000       1,274,670  

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

     1,000       1,141,240  
    

 

 

 
               2,415,910  

Nevada — 5.8%

    

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

     5,410       5,636,625  

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 7/01/19 (a)

     2,000       2,193,280  
    

 

 

 
               7,829,905  

New Jersey — 5.0%

    

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

     1,300       1,402,310  

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

     1,540       1,594,716  

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

    

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

     2,000       2,108,500  

Series AA, 5.50%, 6/15/39

     1,620       1,685,335  
    

 

 

 
               6,790,861  

New York — 4.5%

    

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

     2,465       2,654,509  

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     1,565       1,776,166  

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

     1,000       1,136,510  

Westchester Tobacco Asset Securitization, Refunding RB, Sub-Series C, 4.00%, 6/01/42

     435       432,581  
    

 

 

 
               5,999,766  

Ohio — 0.4%

    

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

     470       537,553  

Oregon — 0.2%

    

Clackamas County School District No 12 North Clackamas, GO, Series A, 0.00%, 6/15/38 (b)(c)

     510       200,955  

Pennsylvania — 2.6%

    

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

     1,720       1,901,236  

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

     1,500       1,656,945  
    

 

 

 
               3,558,181  
Municipal Bonds   

Par  

(000)

    Value  

South Carolina — 1.6%

    

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

   $ 1,525     $ 1,750,502  

State of South Carolina Public Service Authority, Refunding RB, Series C, 5.00%, 12/01/46

     375       407,355  
    

 

 

 
               2,157,857  

Texas — 13.2%

    

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

     1,000       1,062,130  

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

     980       1,110,771  

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

     3,365       3,673,806  

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

    

5.38%, 5/15/19 (a)

     945       1,034,208  

6.00%, 5/15/19 (a)

     2,465       2,731,319  

6.00%, 5/15/19 (a)

     2,100       2,326,884  

6.00%, 11/15/35

     135       149,187  

6.00%, 11/15/36

     115       127,085  

5.38%, 11/15/38

     55       59,339  

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

    

6.50%, 1/01/19 (a)

     205       225,164  

6.50%, 7/01/37

     795       854,689  

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

     1,000       1,148,660  

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

    

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

     1,000       1,141,990  

Series K-1 (AGC), 5.75%, 1/01/19 (a)

     1,500       1,628,805  

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

     440       495,409  
    

 

 

 
               17,769,446  

Virginia — 1.1%

    

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

     370       408,721  

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

     1,000       1,097,480  
    

 

 

 
               1,506,201  

Washington — 1.5%

    

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

     1,025       1,145,294  

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

     795       894,049  
    

 

 

 
               2,039,343  

Wisconsin — 0.9%

    

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     1,170       1,174,428  
Total Municipal Bonds — 101.6%              136,926,886  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
              

Alabama — 0.8%

    

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     1,000       1,028,040  
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

California — 11.3%

    

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

   $ 2,775     $ 3,152,761  

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

     10,680       12,088,371  
    

 

 

 
               15,241,132  

Connecticut — 1.1%

    

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

     1,306       1,433,202  

District of Columbia — 0.6%

    

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

     759       820,592  

Illinois — 7.5%

    

State of Illinois Toll Highway Authority, RB, Senior:

    

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

     825       908,949  

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

     2,999       3,117,975  

Priority, Series C, 5.00%, 1/01/38

     2,252       2,472,321  

Series B, 5.00%, 1/01/40

     3,329       3,684,186  
    

 

 

 
               10,183,431  

Michigan — 2.2%

    

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

     2,650       2,920,962  

Nevada — 5.0%

    

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

     2,000       2,137,360  

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

     4,100       4,610,942  
    

 

 

 
               6,748,302  

New Jersey — 6.5%

    

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

    

6.00%, 12/15/18

     986       1,075,599  

6.00%, 12/15/18

     14       15,221  

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

     6,020       6,693,036  

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

     1,000       1,017,053  
    

 

 

 
               8,800,909  

New York — 14.3%

    

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

    

Series BB, 5.25%, 6/15/44

     4,993       5,664,030  

Series FF, 5.00%, 6/15/45

     3,019       3,339,099  

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

     900       961,495  

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

     1,000       1,136,337  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

New York (continued)

    

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

   $ 2,540     $ 2,887,041  

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

     2,955       3,341,412  

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

     1,740       1,985,861  
    

 

 

 
               19,315,275  

North Carolina — 2.0%

    

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

     2,400       2,693,448  

Pennsylvania — 2.0%

    

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 8/15/38

     1,349       1,491,695  

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

     1,094       1,250,543  
    

 

 

 
               2,742,238  

Texas — 5.6%

    

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

     4,456       4,894,337  

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

     2,310       2,636,519  
    

 

 

 
               7,530,856  

Utah — 0.8%

    

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

     1,005       1,065,125  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 59.7%
             80,523,512  
Total Long-Term Investments
(Cost — $202,949,710) — 161.3%
             217,450,398  
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (f)(g)

     222,765       222,810  
Total Short-Term Securities
(Cost — $222,788) — 0.2%
             222,810  
Total Investments (Cost — $203,172,498) — 161.5%       217,673,208  
Other Assets Less Liabilities — 3.1%       4,147,863  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (32.2)%

 

    (43,361,634
Loan for TOB Trust Certificates — (1.1)%       (1,499,475

VMTP Shares at Liquidation Value — (31.3)%

 

    (42,200,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 134,759,962  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Zero-coupon bond.

 

(c)   When-issued security.

 

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    27


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

 

(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 May 7, 2018 to July 1, 2020, is $7,481,044. See Note 4 of the Notes to Financial Statements for details.

 

(f)   During the six months ended February 28, 2017, 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 August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income    

Net

Realized
Gain

    Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    704,474       (481,709     222,765     $ 222,810     $ 1,039     $ 157     $ 22  

 

(g)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Contracts
Short
       Issue   Expiration     Notional
Value
    Unrealized
Appreciation
(Depreciation)
               
  (46      5-Year U.S. Treasury Note     June 2017     $ 5,414,344     $ 6,839      
  (71      10-Year U.S. Treasury Note     June 2017     $ 8,845,047       4,121      
  (45      Long U.S. Treasury Bond     June 2017     $ 6,824,531       (31,109    
  (7      Ultra U.S. Treasury Bond     June 2017     $ 1,132,469       (7,435                
  Total              $ (27,584    
          

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                           $ 10,960           $ 10,960  

Liabilities — Derivative Financial Instruments

                                                       

Futures contracts

   Net unrealized depreciation1                           $ 38,544           $ 38,544  

1   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, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                          $ 515,440           $ 515,440  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                          $ (40,489         $ (40,489

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — short

  $ 13,195,563  

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

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Investment Quality Trust (BAF)

 

 

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 Investments1

           $ 217,450,398                 $ 217,450,398  

Short-Term Securities

  $ 222,810                            222,810  
 

 

 

 

Total

  $ 222,810        $ 217,450,398                 $ 217,673,208  
 

 

 

 
                
Derivative Financial Instruments2                                         

Assets:

 

Interest rate contracts

  $ 10,960                          $ 10,960  

Liabilities:

 

Interest rate contracts

    (38,544                          (38,544
 

 

 

 

Total

  $ (27,584                        $ (27,584
 

 

 

 

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

    

2   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

           $ (43,297,138               $ (43,297,138

Loan for TOB Trust Certificates

             (1,499,475                 (1,499,475

VMTP Shares at Liquidation Value

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

 

 

 

Total

           $ (86,996,613               $ (86,996,613
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    29


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 4.2%

    

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

   $ 5,800     $ 6,409,290  

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

     1,495       1,658,045  

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

     1,165       1,160,305  

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

     2,800       2,810,836  

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

     3,800       4,341,196  
    

 

 

 
               16,379,672  

Alaska — 0.3%

    

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

     1,070       1,186,341  

Arizona — 0.7%

    

County of Maricopa Arizona IDA, Refunding RB, Banner Health Obligation Group, Series A:

    

3.25%, 1/01/37

     805       758,705  

5.00%, 1/01/38

     440       496,091  

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

    

5.00%, 10/01/27

     1,250       1,357,950  

5.25%, 10/01/28

     250       273,105  
    

 

 

 
               2,885,851  

California — 13.9%

    

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

     625       678,037  

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

     10,100       12,615,203  

California State University, Refunding RB (AGM):

    

5.00%, 11/01/32

     2,150       2,164,534  

Systemwide, Series A, 5.00%, 5/01/17 (a)

     1,540       1,551,920  

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

     1,620       1,763,111  

Coast Community College District, GO, CAB, Election of 2002, Series C (AGM), 5.00%, 8/01/18 (a)(b)

     7,450       7,892,008  

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

    

0.00%, 2/01/18

     13,575       6,781,663  

0.00%, 2/01/18

     14,150       6,708,798  

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

     1,580       1,125,955  

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

    

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

     2,000       822,000  

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

     725       320,479  

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

     775       321,547  

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

     1,155       449,815  

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

     770       281,959  

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

     1,400       814,800  

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

     1,100       1,231,241  

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

     3,000       3,329,130  

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

     1,415       1,670,719  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

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

   $ 10,000     $ 4,185,500  
    

 

 

 
               54,708,419  

Colorado — 0.6%

    

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

     960       1,057,949  

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

     1,305       1,430,228  
    

 

 

 
               2,488,177  

District of Columbia — 2.5%

    

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

     9,500       9,701,875  

Florida — 13.6%

    

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

    

5.00%, 10/01/32

     3,000       3,064,410  

5.00%, 10/01/37

     5,000       5,107,350  

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

     1,795       1,919,681  

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 7/01/18 (a)

     1,400       1,481,606  

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

     6,750       7,210,147  

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

     3,475       3,526,708  

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

     2,770       3,301,923  

County of Miami-Dade Florida Aviation, Refunding ARB:

    

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

     5,000       5,546,600  

Series A, 5.50%, 10/01/36

     5,000       5,485,650  

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

     3,910       4,259,671  

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

     1,300       1,357,525  

County of Orange Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project, 5.00%, 8/01/47

     900       946,233  

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

     300       320,616  

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

     6,150       6,302,889  

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

     1,340       1,539,647  

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

     2,000       2,333,460  
    

 

 

 
               53,704,116  

Georgia — 2.9%

    

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

     7,500       8,739,900  

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

     1,250       1,290,288  

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

     545       627,916  
 

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

Georgia (continued)

    

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

    

5.00%, 4/01/33

   $ 155     $ 166,761  

5.00%, 4/01/44

     595       632,158  
    

 

 

 
               11,457,023  

Hawaii — 1.4%

    

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

     5,000       5,516,750  

Illinois — 13.4%

    

City of Chicago Illinois, GO, Refunding, Series A, Project, 5.25%, 1/01/33

     1,315       1,291,330  

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

     1,715       1,742,886  

City of Chicago Illinois O’Hare International Airport, RB, Senior Lien, Series D, 5.25%, 1/01/42

     3,300       3,765,333  

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

     9,800       10,796,464  

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

     1,525       1,706,795  

City of Chicago Illinois Transit Authority, RB:

    

5.25%, 12/01/49

     3,500       3,820,950  

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

     650       694,720  

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

    

5.13%, 12/01/38

     7,700       8,084,769  

5.50%, 12/01/38

     1,000       1,074,520  

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

     210       223,117  

Illinois Finance Authority, Refunding RB:

    

Silver Cross Hospital and Medical Centers, 4.13%, 8/15/37

     3,130       3,074,724  

Silver Cross Hospital and Medical Centers, 5.00%, 8/15/44

     390       410,323  

University of Chicago Medical Center, Series B, 4.00%, 8/15/41

     900       905,139  

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

     710       806,837  

State of Illinois, GO:

    

5.25%, 2/01/33

     2,435       2,484,431  

5.50%, 7/01/33

     880       917,673  

5.25%, 2/01/34

     5,910       6,016,084  

5.50%, 7/01/38

     1,475       1,534,044  

5.00%, 2/01/39

     2,200       2,194,104  

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

     1,020       1,100,692  
    

 

 

 
               52,644,935  

Indiana — 1.9%

    

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

     1,100       1,241,251  

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC):

    

5.50%, 1/01/19 (a)

     1,125       1,217,565  

5.50%, 1/01/38

     4,625       4,940,471  
    

 

 

 
               7,399,287  

Iowa — 2.3%

    

Iowa Finance Authority, RB, Iowa Health Care Facilities:

    

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

     3,000       3,475,110  

Series A (AGC), 5.63%, 8/15/19 (a)

     5,000       5,547,500  
    

 

 

 
               9,022,610  
Municipal Bonds   

Par  

(000)

    Value  

Kentucky — 0.4%

    

State of Kentucky Property & Building Commission, Refunding RB, Project No. 93 (AGC):

    

5.25%, 2/01/19 (a)

   $ 1,330     $ 1,436,333  

5.25%, 2/01/29

     170       181,977  
    

 

 

 
               1,618,310  

Louisiana — 0.2%

    

Louisiana Public Facilities Authority, RB, Provident Group-Flagship Properties LLC, Series A, 5.00%, 7/01/56

     790       830,811  

Massachusetts — 1.2%

    

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 1/01/47

     2,370       2,545,167  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/43

     420       444,587  

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

     1,395       1,562,944  
    

 

 

 
               4,552,698  

Michigan — 5.7%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, 2nd Lien, Series E (BHAC), 5.75%, 7/01/18 (a)

     3,000       3,191,070  

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

     1,100       1,248,280  

Michigan Finance Authority, Refunding RB:

    

Henry Ford Health System, 3.25%, 11/15/42

     995       827,910  

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

     30       34,839  

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

     9,020       10,107,090  

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

     1,560       1,684,191  

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

    

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

     2,000       2,233,100  

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

     800       892,128  

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

     1,500       1,674,825  

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

     430       472,050  
    

 

 

 
               22,365,483  

Nebraska — 1.8%

    

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

     6,345       6,890,289  

Nevada — 2.0%

    

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

    

5.25%, 7/01/42

     3,000       3,250,620  

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

     4,100       4,444,892  
    

 

 

 
               7,695,512  

New Jersey — 6.5%

    

New Jersey EDA, RB, Series WW:

    

5.25%, 6/15/33

     170       174,704  

5.00%, 6/15/34

     225       226,656  

5.00%, 6/15/36

     1,395       1,399,603  

5.25%, 6/15/40

     400       405,880  

New Jersey Transportation Trust Fund Authority, RB:

    

5.00%, 6/15/36

     5,070       5,085,920  

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

     5,845       1,814,230  

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

     1,660       1,704,604  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    31


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

New Jersey Transportation Trust Fund Authority, RB (continued):

    

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

   $ 1,945     $ 1,946,031  

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

     3,000       3,085,140  

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

     3,785       3,937,649  

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

     5,000       5,084,100  

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

     900       917,397  
    

 

 

 
               25,781,914  

New Mexico — 0.1%

    

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

     405       448,671  

New York — 2.7%

    

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

     1,950       2,102,880  

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

     1,650       1,891,362  

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

     4,500       4,540,365  

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

     770       875,059  

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

     1,300       1,416,870  
    

 

 

 
               10,826,536  

Ohio — 0.7%

    

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

     610       719,025  

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

    

5.25%, 2/15/32

     780       888,420  

5.25%, 2/15/33

     1,095       1,242,683  
    

 

 

 
               2,850,128  

Oregon — 0.1%

    

Clackamas County School District No. 12 North Clackamas, GO, Series A, 0.00%, 6/15/38 (c)(d)

     1,115       439,343  

Pennsylvania — 3.5%

    

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

     1,770       1,786,992  

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

     4,245       4,672,726  

Pennsylvania Turnpike Commission, RB:

    

Series A, 5.00%, 12/01/38

     695       760,810  

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

     2,730       3,005,921  

Series B, 5.00%, 12/01/40

     1,060       1,168,067  

Series C, 5.50%, 12/01/33

     630       731,102  

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

     625       732,719  

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

     850       932,407  
    

 

 

 
               13,790,744  

Rhode Island — 1.5%

    

Rhode Island Commerce Corp., RB, Airport Corporation, 5.00%, 7/01/46

     250       273,600  

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

     5,855       5,637,077  
    

 

 

 
               5,910,677  
Municipal Bonds   

Par  

(000)

    Value  

South Carolina — 4.6%

    

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

   $ 260     $ 303,303  

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

     5,000       5,459,900  

State of South Carolina Public Service Authority, RB, Santee Cooper:

    

Series A, 5.50%, 12/01/54

     6,960       7,797,705  

Series E, 5.50%, 12/01/53

     610       682,505  

State of South Carolina Public Service Authority, Refunding RB:

    

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

     2,360       2,568,317  

Series E, 5.25%, 12/01/55

     1,185       1,292,551  
    

 

 

 
               18,104,281  

Tennessee — 0.2%

    

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/40

     740       815,976  

Texas — 17.7%

    

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

     1,050       439,992  

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

     615       687,668  

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

     10,030       6,626,520  

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

    

0.00%, 8/15/25

     7,485       6,122,206  

0.00%, 8/15/28

     10,915       8,171,624  

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

    

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

     16,890       5,263,262  

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

     5,785       1,973,553  

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

     6,160       1,971,262  

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

     2,340       1,027,751  

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

     1,090       1,250,808  

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

     3,775       1,495,730  

North Texas Tollway Authority, RB:

    

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

     1,975       748,624  

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

     2,500       2,746,275  

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

     1,000       1,171,620  

North Texas Tollway Authority, Refunding RB:

    

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

     8,650       9,011,310  

1st Tier System (NPFGC), 5.75%, 1/01/40

     2,785       2,878,548  

1st Tier System, Series A, 6.00%, 1/01/19 (a)

     510       556,114  

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

     115       124,868  

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

     11,615       12,100,159  

Series B, 5.00%, 1/01/40

     385       425,529  

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

    

5.00%, 12/15/32

     2,540       2,698,471  

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

     2,105       2,243,109  
    

 

 

 
               69,735,003  
 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

Utah — 2.1%

    

Salt Lake City Corp. Airport Revenue, RB, Series B, 5.00%, 7/01/42

   $ 2,575     $ 2,919,561  

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

     5,000       5,264,750  
    

 

 

 
               8,184,311  

Washington — 1.8%

    

Washington Health Care Facilities Authority, RB:

    

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

     2,000       2,167,660  

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

     4,000       4,265,800  

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

     675       725,706  
    

 

 

 
               7,159,166  

Wisconsin — 1.8%

    

Public Finance Authority, RB, KU Campus Development Corp., Central District Development Project, 5.00%, 3/01/46

     5,100       5,591,691  

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

     1,500       1,624,935  
    

 

 

 
               7,216,626  
Total Municipal Bonds — 112.3%              442,311,535  
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
              

Arizona — 0.4%

    

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 7/01/19 (a)

     1,300       1,418,131  

California — 3.6%

    

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

    

5.00%, 5/01/18 (a)

     3,292       3,441,275  

5.00%, 11/01/33

     86       90,049  

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

    

5.00%, 5/01/18

     808       848,023  

5.00%, 5/01/18

     4,062       4,263,627  

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

     5,000       5,093,050  

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (a)

     449       494,121  
    

 

 

 
               14,230,145  

Connecticut — 0.4%

    

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

     1,561       1,713,253  

District of Columbia — 0.3%

    

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

     1,080       1,202,208  

Florida — 6.9%

    

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

     3,500       3,913,455  

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

     1,950       2,156,115  

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

     10,101       11,146,322  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

Florida (continued)

    

County of Orange Florida School Board, COP, Series A (AGC), 5.50%, 8/01/19 (a)

   $ 6,096     $ 6,740,841  

State of Florida Board of Education, GO, Refunding, Series C, 5.00%, 6/01/18 (f)

     2,999       3,061,995  
    

 

 

 
               27,018,728  

Illinois — 6.3%

    

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

     2,400       2,733,096  

State of Illinois, RB, Build Illinois, Series B, 5.25%, 6/15/19 (a)(f)

     1,400       1,530,521  

State of Illinois Toll Highway Authority, RB:

    

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

     3,045       3,354,848  

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

     4,499       4,676,962  

Senior Priority, Series C, 5.00%, 1/01/38

     2,658       2,917,339  

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

     1,170       1,294,444  

Series A, 5.00%, 1/01/38

     7,714       8,496,022  
    

 

 

 
               25,003,232  

Kansas — 1.6%

    

County of Wyandotte Kansas Unified School District, GO, Series A, 5.50%, 9/01/47

     5,363       6,371,474  

Maryland — 0.9%

    

City of Baltimore Maryland Water Utility Fund, RB, Sub-Water Projects, Series A, 5.00%, 7/01/41

     3,139       3,552,970  

Massachusetts — 0.5%

    

Commonwealth of Massachusetts, GO, Series A, 5.00%, 3/01/46

     1,661       1,860,013  

Michigan — 0.9%

    

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

     2,220       2,417,405  

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

     960       1,058,160  
    

 

 

 
               3,475,565  

Nevada — 2.9%

    

City of Las Vegas Nevada, GO, Limited Tax, Performing Arts Center, 6.00%, 4/01/19 (a)(f)

     4,197       4,627,067  

County of Clark Nevada Water Reclamation District, GO, Limited Tax, Series B, 5.75%, 7/01/19 (a)

     2,024       2,243,252  

Las Vegas Valley Water District Nevada, GO, Refunding, Water Improvement, Series A, 5.00%, 6/01/46

     3,900       4,382,001  
    

 

 

 
               11,252,320  

New Jersey — 0.8%

    

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 5/01/51

     920       1,047,687  

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

     2,000       2,034,106  
    

 

 

 
               3,081,793  

New York — 13.5%

    

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series FF, 5.00%, 6/15/39

     8,355       9,455,938  

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

     6,240       6,898,727  

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

     1,845       2,100,699  

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

     3,850       4,416,720  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    33


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

New York (continued)

    

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

   $ 1,700     $ 1,932,271  

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

     12,500       14,457,125  

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

     5,720       6,328,322  

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

     2,561       2,949,453  

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

     4,500       4,804,380  
    

 

 

 
               53,343,635  

Ohio — 0.2%

    

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

     620       664,398  

Pennsylvania — 1.7%

    

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB (BAM), 5.00%, 8/15/42

     1,020       1,126,509  

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

     4,997       5,710,680  
    

 

 

 
               6,837,189  

South Carolina — 1.3%

    

South Carolina Public Service Authority, Refunding RB, Series A 5.50%, 1/01/19 (a)(f)

     601       650,417  

State of South Carolina Public Service Authority, Refunding RB, Series B, 5.00%, 12/01/56

     4,260       4,561,992  
    

 

 

 
               5,212,409  

Texas — 2.4%

    

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

     4,167       4,395,431  

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

     719       790,117  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Texas Health Resources System, Series A, 5.00%, 2/15/41

     3,920       4,360,138  
    

 

 

 
               9,545,686  

Virginia — 0.1%

    

County of Fairfax Virginia IDA, Refunding RB, Health Care, Inova Health System:

    

5.50%, 5/15/19 (a)

     140       151,775  

5.50%, 5/15/35

     260       281,979  
    

 

 

 
               433,754  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

Washington — 1.9%

    

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

   $ 3,494     $ 3,595,244  

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

     3,210       3,737,852  
    

 

 

 
               7,333,096  

Wisconsin — 1.6%

    

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

    

Series A, 5.00%, 4/01/42

     3,520       3,789,632  

Series C, 5.25%, 4/01/39

     2,500       2,627,700  
    

 

 

 
               6,417,332  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 48.2%
             189,967,331  

Total Long-Term Investments

(Cost — $594,094,193) — 160.5%

             632,278,866  
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (g)(h)

     9,844,770       9,846,739  

Total Short-Term Securities

(Cost — $9,846,348) — 2.5%

 

 

    9,846,739  
Total Investments (Cost — $603,940,541) — 163.0%       642,125,605  
Other Assets Less Liabilities — 0.3%       1,349,034  

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (28.0)%

 

    (110,141,570
Loan for TOB Trust — (0.5)%       (2,249,213

VMTP Shares at Liquidation Value — (34.8)%

 

    (137,200,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 393,883,856  
    

 

 

 

 

 
Notes to Schedule of Investments

 

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

 

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

 

(c)   Zero-coupon bond.

 

(d)   When-issued security.

 

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

 

(f)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between April 1, 2017 to December 1, 2029, is $12,093,907. See Note 4 of the Notes to Financial Statements for details.

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

 

(g)   During the six months ended February 28, 2017, 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 August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income    

Net

Realized
Gain1

    Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    3,605,050       6,239,720       9,844,770     $ 9,846,739     $ 9,516     $ 4,322     $ 391  

1    Includes net capital gain distributions.

     

 

(h)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Contracts
Short
       Issue   Expiration     Notional
Value
    Unrealized
Appreciation
(Depreciation)
        
  (78      5-Year U.S. Treasury Note     June 2017     $ 9,180,844     $ 9,418    
  (221      10-Year U.S. Treasury Note     June 2017     $ 27,531,766       1,480    
  (178      Long U.S. Treasury Bond     June 2017     $ 26,994,812       (131,874  
  (22      Ultra U.S. Treasury Bond     June 2017     $ 3,559,187       (33,418        
  Total              $ (154,394  
          

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                           $ 10,898           $ 10,898  

Liabilities — Derivative Financial Instruments

                                                       

Futures contracts

   Net unrealized depreciation1                           $ 165,292           $ 165,292  

1   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, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                          $ 1,894,502           $ 1,894,502  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                          $ (185,324         $ (185,324

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

  $ 1,088,117 1  

Average notional value of contracts — short

  $ 44,247,297  

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

    

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    35


Schedule of Investments (concluded)

  

BlackRock Municipal Income Quality Trust (BYM)

 

 

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 Investments1

           $ 632,278,866                 $ 632,278,866  

Short-Term Securities

  $ 9,846,739                            9,846,739  
 

 

 

 

Total

  $ 9,846,739        $ 632,278,866                 $ 642,125,605  
 

 

 

 
                
Derivative Financial Instruments2  

Assets:

 

Interest rate contracts

  $ 10,898                          $ 10,898  

Liabilities:

 

Interest rate contracts

    (165,292                          (165,292
 

 

 

 

Total

  $ (154,394                        $ (154,394
 

 

 

 

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

     

2    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

           $ (109,945,937               $ (109,945,937

Loan for TOB Trust Certificates

         (2,249,213             (2,249,213

VMTP Shares at Liquidation Value

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

 

 

 

Total

           $ (249,395,150               $ (249,395,150
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock Municipal Income Trust II (BLE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 2.6%

    

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

   $ 1,620     $ 1,626,269  

County of Jefferson Alabama Sewer, Refunding RB:

    

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

     540       599,643  

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

     1,320       1,485,977  

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

     3,220       3,886,057  

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

     1,170       1,349,279  
    

 

 

 
               8,947,225  

Arizona — 2.7%

    

City of Phoenix Arizona IDA, RB, Legacy Traditional Schools Projects, Series A, 5.00%, 7/01/46 (a)

     1,825       1,814,452  

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     5,635       6,373,523  

5.00%, 12/01/37

     1,000       1,137,010  
    

 

 

 
               9,324,985  

California — 11.1%

    

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

     2,480       2,716,270  

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

     3,500       3,982,615  

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

     1,365       1,536,649  

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

    

5.25%, 8/15/39

     160       175,607  

5.25%, 8/15/49

     395       431,107  

California Municipal Finance Authority, Refunding RB, Community Medical Centers, Series A:

    

5.00%, 2/01/36

     345       379,855  

5.00%, 2/01/37

     260       285,589  

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

     1,655       1,716,467  

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

     685       709,605  

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

    

Senior, 5.00%, 5/15/40

     6,500       7,185,360  

5.25%, 5/15/39

     860       931,982  

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

     380       454,043  

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

    

0.00%, 8/01/33

     3,000       1,557,780  

0.00%, 8/01/43

     2,500       747,775  

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     1,760       1,993,992  

6.50%, 4/01/33

     10,645       11,850,333  

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

    

Series I, 5.00%, 11/01/38

     825       924,107  

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

     1,280       1,458,675  
    

 

 

 
               39,037,811  

Colorado — 0.7%

    

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

     2,330       2,419,402  
Municipal Bonds   

Par  

(000)

    Value  

Connecticut — 3.3%

    

Connecticut State Health & Educational Facility Authority, RB:

    

Ascension Health Senior Credit, Series A, 5.00%, 11/15/40

   $ 1,005     $ 1,072,405  

Yale University Issue, Series T-1, 4.70%, 7/01/29

     5,180       5,247,703  

Yale University Issue, Series X-3, 4.85%, 7/01/37

     5,130       5,194,022  
    

 

 

 
               11,514,130  

Delaware — 2.0%

    

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

     1,240       1,332,851  

Delaware Transportation Authority, RB, 5.00%, 6/01/55

     1,260       1,369,028  

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

     4,275       4,426,976  
    

 

 

 
               7,128,855  

District of Columbia — 4.9%

    

District of Columbia, Refunding RB:

    

Georgetown University, 5.00%, 4/01/35

     465       529,370  

Georgetown University, 5.00%, 4/01/36

     465       527,668  

Georgetown University, 5.00%, 4/01/42

     540       607,862  

Kipp Charter School, Series A, 6.00%, 7/01/43

     820       941,672  

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

     11,500       11,744,375  

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

    

5.00%, 10/01/39

     550       591,387  

5.25%, 10/01/44

     2,000       2,158,980  
    

 

 

 
               17,101,314  

Florida — 5.4%

    

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

     1,445       1,574,862  

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

     1,665       1,778,320  

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 5/01/45

     1,450       1,570,162  

County of Miami-Dade Florida Aviation, Refunding, AMT, Miami International Airport, 5.25%, 10/01/38

     1,625       1,708,216  

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport, Series A-1, 5.38%, 10/01/41

     1,255       1,384,541  

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

     5,000       5,517,250  

Mid-Bay Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21 (b)

     3,300       4,142,127  

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

     1,795       1,255,656  
    

 

 

 
               18,931,134  

Georgia — 0.5%

    

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

     555       639,438  

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

     915       996,691  
    

 

 

 
               1,636,129  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    37


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds   

Par  

(000)

    Value  

Hawaii — 0.5%

    

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

   $ 1,480     $ 1,622,124  

Idaho — 0.3%

    

Idaho Health Facilities Authority, RB, Trinity Health Credit Group, 5.00%, 12/01/46

     805       895,063  

Illinois — 19.9%

    

City of Chicago IL, GO, Refunding, Project, Series A, 5.25%, 1/01/32

     4,940       4,874,545  

City of Chicago Illinois, GO, Project, Series A, 5.00%, 1/01/34

     3,050       2,912,689  

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

    

Series A, 5.75%, 1/01/39

     5,000       5,626,700  

Series C, 6.50%, 1/01/21 (b)

     6,430       7,676,198  

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

     1,150       1,226,533  

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

     3,130       3,316,673  

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

     845       907,969  

Illinois Finance Authority, Refunding RB:

    

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

     1,060       1,160,308  

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

     1,750       1,925,560  

Presence Health Network, Series C, 4.00%, 2/15/41

     1,545       1,290,770  

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

     7,445       7,633,284  

Illinois State Toll Highway Authority, RB:

    

Senior, Series C, 5.00%, 1/01/36

     2,815       3,098,189  

Senior, Series C, 5.00%, 1/01/37

     3,005       3,300,842  

Series A, 5.00%, 1/01/38

     2,160       2,378,873  

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

    

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

     6,725       7,012,763  

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

     2,725       2,737,944  

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     520       587,064  

6.00%, 6/01/28

     1,255       1,426,169  

State of Illinois, GO:

    

5.00%, 2/01/39

     1,640       1,635,605  

Series A, 5.00%, 4/01/35

     2,500       2,505,100  

Series A, 5.00%, 4/01/38

     3,885       3,869,771  

State of Illinois, RB, Build Illinois, Series B, 5.25%, 6/15/19 (b)

     685       749,089  

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

    

5.00%, 4/01/39

     860       928,035  

5.00%, 4/01/44

     1,050       1,129,674  
    

 

 

 
               69,910,347  

Indiana — 4.8%

    

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

    

6.75%, 1/01/34

     845       996,956  

7.00%, 1/01/44

     3,535       4,211,811  

Indiana Finance Authority, RB, Series A:

    

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

     3,510       3,960,719  

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

     485       508,440  

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

     1,610       1,687,811  
Municipal Bonds   

Par  

(000)

    Value  

Indiana (continued)

    

Indiana Finance Authority, RB, Series A (continued):

    

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 1/01/51

   $ 435     $ 461,814  

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

     915       986,343  

Indiana Finance Authority, Refunding RB, Marquette Project, 4.75%, 3/01/32

     1,180       1,173,734  

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

     1,200       1,308,972  

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

     1,380       1,531,662  
    

 

 

 
               16,828,262  

Iowa — 2.0%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.00%, 12/01/19

     520       520,661  

5.50%, 12/01/22

     2,550       2,564,637  

5.25%, 12/01/25

     500       502,950  

5.88%, 12/01/26 (a)

     445       450,264  

Iowa Student Loan Liquidity Corp., Refunding RB, Student Loan, Senior Series A-1, AMT, 5.15%, 12/01/22

     1,215       1,287,949  

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.63%, 6/01/46

     1,610       1,609,871  
    

 

 

 
               6,936,332  

Kentucky — 0.6%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     1,060       1,098,170  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (f)

     1,280       1,043,546  
    

 

 

 
               2,141,716  

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       4,165,636  

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

    

5.50%, 5/15/30

     1,100       1,178,507  

5.25%, 5/15/31

     935       1,004,798  

5.25%, 5/15/32

     1,195       1,297,662  

5.25%, 5/15/33

     1,300       1,405,248  

5.25%, 5/15/35

     795       863,815  
    

 

 

 
               9,915,666  

Maryland — 1.3%

    

Maryland EDC, RB, Transportation Facilities Project, Series A, 5.75%, 6/01/35

     475       510,112  

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

     800       790,792  

Maryland Health & Higher Educational Facilities Authority, RB, Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

     455       507,143  

Maryland Health & Higher Educational Facilities Authority, Refunding RB, Charlestown Community Project, 6.25%, 1/01/21 (b)

     2,400       2,838,768  
    

 

 

 
               4,646,815  

Massachusetts — 1.5%

    

Commonwealth of Massachusetts, GO, Series E, 3.00%, 4/01/44

     3,105       2,633,537  
 

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (continued)

    

Massachusetts Development Finance Agency, Refunding RB, Covanta Energy Project, Series C, AMT, 5.25%, 11/01/42 (a)

   $ 1,530     $ 1,536,227  

Massachusetts Health & Educational Facilities Authority, Refunding RB, Partners Healthcare System, Series J1, 5.00%, 7/01/39

     955       1,027,723  
    

 

 

 
               5,197,487  

Michigan — 2.7%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A, 5.25%, 7/01/39

     4,825       5,203,666  

Kalamazoo Hospital Finance Authority, Refunding RB, Bronson Methodist Hospital:

    

5.50%, 5/15/20 (b)

     830       938,954  

5.50%, 5/15/36

     670       731,238  

Michigan Finance Authority, Refunding RB:

    

Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 7/01/44

     940       998,694  

Henry Ford Health System, 4.00%, 11/15/46

     1,540       1,492,999  
    

 

 

 
               9,365,551  

Minnesota — 0.2%

    

Minnesota Higher Education Facilities Authority, RB, Augsburg College, Series A, 5.00%, 5/01/46

     670       711,319  

Missouri — 2.0%

    

370/Missouri Bottom Road/Taussig Road Transportation Development District, RB, 7.20%, 5/01/33

     6,000       5,092,800  

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

     275       303,113  

State of Missouri Health & Educational Facilities Authority, RB, Senior Living Facilities, Lutheran Senior Services, 5.50%, 2/01/42

     1,135       1,194,327  

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

     265       286,242  
    

 

 

 
               6,876,482  

Multi-State — 2.0%

    

Centerline Equity Issuer Trust (a):

    

Series A-4-2, 6.00%, 5/15/19

     3,500       3,796,625  

Series B-3-2, 6.30%, 5/15/19

     3,000       3,273,330  
    

 

 

 
               7,069,955  

Nebraska — 1.6%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

    

5.25%, 9/01/37

     895       971,916  

5.00%, 9/01/42

     1,570       1,661,233  

County of Lancaster Nebraska Hospital Authority No. 1, Refunding RB, Immanuel Obligation Group, Health Facilities, 5.63%, 1/01/40

     1,245       1,349,256  

County of Sarpy Nebraska Hospital Authority No. 1, Refunding RB, Immanuel Obligation Group, 5.63%, 1/01/40

     1,635       1,738,594  
    

 

 

 
               5,720,999  

New Jersey — 8.4%

    

Casino Reinvestment Development Authority, Refunding RB:

    

5.25%, 11/01/39

     1,805       1,800,108  

5.25%, 11/01/44

     1,640       1,620,992  

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 7/01/45 (a)

     1,165       1,151,369  
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT:

    

4.88%, 9/15/19

   $ 670     $ 696,646  

5.13%, 9/15/23

     2,130       2,252,326  

5.25%, 9/15/29

     2,130       2,244,147  

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

     7,475       8,634,298  

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/43

     2,160       2,373,905  

Series E, 5.00%, 1/01/45

     2,810       3,121,151  

New Jersey Transportation Trust Fund Authority, RB:

    

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

     1,355       1,355,623  

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

     730       730,387  

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

     2,690       2,735,246  

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

     570       635,499  
    

 

 

 
               29,351,697  

New York — 7.3%

    

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     2,680       2,992,568  

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

     2,000       2,077,040  

County of Westchester New York Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44

     819       862,131  

Metropolitan Transportation Authority, RB, Series B:

    

5.25%, 11/15/38

     2,555       2,918,168  

5.25%, 11/15/39

     910       1,038,719  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

     1,135       1,221,952  

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     1,335       1,453,575  

3 World Trade Center Project, Class 1, 5.00%, 11/15/44 (a)

     4,320       4,514,443  

3 World Trade Center Project, Class 2, 5.15%, 11/15/34 (a)

     365       390,503  

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

     910       987,823  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     675       709,594  

5.00%, 8/01/31

     1,620       1,686,388  

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

     1,145       1,152,317  

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC Project, Series 8:

    

6.00%, 12/01/42

     1,635       1,837,740  

Special Project, 6.00%, 12/01/36

     1,410       1,588,774  
    

 

 

 
               25,431,735  

North Carolina — 1.4%

    

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       1,062,380  

North Carolina Medical Care Commission, RB, Health Care Facilities, Duke University Health System, Series A, 5.00%, 6/01/19 (b)

     1,525       1,659,185  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    39


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds   

Par  

(000)

    Value  

North Carolina (continued)

    

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage:

    

Aldersgate, 6.25%, 7/01/35

   $ 1,530     $ 1,675,304  

Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/41

     625       688,037  
    

 

 

 
               5,084,906  

Ohio — 3.5%

    

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 5.88%, 6/01/47

     3,550       3,415,313  

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

     3,405       3,677,264  

County of Franklin Ohio, RB:

    

Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     710       779,012  

Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

     435       482,493  

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.00%, 5/01/39

     3,025       3,128,062  

State of Ohio, RB, Portsmouth Bypass Project, AMT, 5.00%, 6/30/53

     870       915,362  
    

 

 

 
               12,397,506  

Pennsylvania — 2.9%

    

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A, 5.00%, 5/01/42

     2,500       2,593,200  

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 7/01/42

     685       731,094  

Pennsylvania Economic Development Financing Authority, RB:

    

Aqua Pennsylvania, Inc. Project, Series B, 5.00%, 11/15/40

     2,065       2,234,206  

Pennsylvania Bridge Finco LP, AMT, 5.00%, 6/30/42

     3,030       3,254,250  

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

     1,190       1,298,469  
    

 

 

 
               10,111,219  

Puerto Rico — 0.9%

    

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, 5.50%, 5/15/39

     2,000       2,007,600  

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

     1,100       1,101,430  
    

 

 

 
               3,109,030  

Rhode Island — 2.2%

    

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/35

     1,690       1,774,990  

Series B, 4.50%, 6/01/45

     2,850       2,743,923  

Series B, 5.00%, 6/01/50

     3,175       3,209,004  
    

 

 

 
               7,727,917  

South Carolina — 3.7%

    

State of South Carolina Ports Authority, RB:

    

5.25%, 7/01/40

     3,595       3,925,668  

AMT, 5.25%, 7/01/55

     1,390       1,505,662  

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

     3,575       4,005,287  

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

     3,385       3,692,223  
    

 

 

 
               13,128,840  
Municipal Bonds   

Par  

(000)

    Value  

Tennessee — 0.7%

    

City of Chattanooga Tennessee Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

   $ 1,470     $ 1,520,656  

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/40

     740       815,976  
    

 

 

 
               2,336,632  

Texas — 11.4%

    

Central Texas Regional Mobility Authority, Refunding RB:

    

Senior Lien, 6.25%, 1/01/21 (b)

     2,350       2,774,786  

Sub-Lien, 5.00%, 1/01/33

     390       416,399  

City of Austin Texas Airport System, ARB, Revenue, AMT, 5.00%, 11/15/39

     665       725,781  

City of Dallas Texas Waterworks & Sewer System Revenue, Refunding RB, 5.00%, 10/01/20 (b)

     765       863,708  

City of Houston Texas Airport System, Refunding ARB:

    

Senior Lien, Series A, 5.50%, 7/01/39

     1,675       1,764,328  

United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     460       483,193  

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

    

6.00%, 5/15/19 (b)

     8,665       9,601,167  

6.00%, 11/15/35

     480       530,443  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/23 (b)

     485       609,432  

County of Harris Texas-Houston Sports Authority, Refunding RB, 3rd Lien, Series A-3 (NPFGC), 0.00%, 11/15/36 (c)

     25,375       8,937,582  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A, 0.00%, 9/15/37 (c)

     6,055       2,515,368  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare, 6.00%, 8/15/20 (b)

     4,085       4,734,760  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien:

    

LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     3,000       3,425,190  

NTE Mobility Partners LLC, North Tarrant Express Managed Lanes Project, 6.88%, 12/31/39

     2,250       2,543,243  
    

 

 

 
               39,925,380  

Utah — 0.8%

    

Salt Lake City Corp. Airport Revenue, RB, Series A, AMT, 5.00%, 7/01/47

     2,065       2,286,347  

Utah State Charter School Finance Authority, RB, Ogden Preparatory Academy, Series A, 3.25%, 10/15/42

     435       376,571  
    

 

 

 
               2,662,918  

Virginia — 1.2%

    

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

    

5.25%, 1/01/32

     1,755       1,880,833  

6.00%, 1/01/37

     2,120       2,375,524  
    

 

 

 
               4,256,357  

Washington — 3.3%

    

City of Bellingham Washington Water & Sewer, RB, 5.00%, 8/01/36

     5,050       5,615,398  
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Municipal Bonds   

Par  

(000)

    Value  

Washington (continued)

    

Grant County Public Utility District No. 2, Refunding RB, Series A, 5.00%, 1/01/43

   $ 2,335     $ 2,604,903  

Port of Seattle Washington, RB, Series C, AMT, 5.00%, 4/01/40

     815       893,012  

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     2,445       2,632,800  
    

 

 

 
               11,746,113  

Wisconsin — 0.8%

    

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

     910       985,794  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     1,955       1,962,703  
    

 

 

 
               2,948,497  

Wyoming — 1.5%

    

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

     3,355       3,658,560  

Wyoming Municipal Power Agency, Inc., RB, Series A, 5.50%, 1/01/18 (b)

     1,550       1,611,364  
    

 

 

 
               5,269,924  
Total Municipal Bonds — 125.4%              439,367,774  
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
 

Alabama — 0.5%

    

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     1,820       1,871,033  

California — 6.5%

    

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%, 10/01/18 (b)(h)

     2,850       3,049,215  

City & County of San Francisco California Public Utilities Commission, RB, Water Revenue, Series B, 5.00%, 11/01/19 (b)

     10,335       11,415,524  

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

     2,530       2,577,083  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No.2, Series A, 5.00%, 10/01/47

     3,345       3,790,471  

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (b)

     1,840       2,025,898  
    

 

 

 
               22,858,191  

Colorado — 2.1%

    

Colorado Health Facilities Authority, RB, Catholic Health (AGM) (b):

    

Series C-3, 5.10%, 4/29/18

     4,230       4,440,273  

Series C-7, 5.00%, 5/01/18

     2,710       2,842,167  
    

 

 

 
               7,282,440  

Georgia — 1.4%

    

Private Colleges & Universities Authority, Refunding RB, Emory University, Series C, 5.00%, 9/01/18 (b)

     4,638       4,925,409  
Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
  

Par  

(000)

    Value  

Massachusetts — 0.8%

    

Massachusetts School Building Authority, RB, Senior, Series B, 5.00%, 10/15/41

   $ 2,461     $ 2,768,217  

New Hampshire — 0.7%

    

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (b)(h)

     2,219       2,426,019  

New York — 12.6%

    

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

    

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

     1,710       1,869,064  

Series HH, 5.00%, 6/15/31 (h)

     9,150       10,318,638  

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

     1,750       1,988,590  

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

     5,120       5,819,547  

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

     11,670       13,196,031  

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

     7,040       8,034,748  

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     2,790       3,181,856  
    

 

 

 
               44,408,474  

North Carolina — 0.9%

    

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

     2,740       3,075,020  

Pennsylvania — 0.8%

    

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

     2,521       2,881,064  

Texas — 3.1%

    

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

     2,660       2,966,645  

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

     3,720       4,154,756  

University of Texas, Refunding RB, Financing System, Series B, 5.00%, 8/15/43

     3,347       3,773,148  
    

 

 

 
               10,894,549  

Utah — 1.2%

    

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

     3,959       4,196,909  

Virginia — 1.8%

    

University of Virginia, Refunding RB, GO, 5.00%, 6/01/18 (b)

     5,909       6,215,673  

Washington — 3.4%

    

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

     3,029       3,116,906  

State of Washington, GO, Various Purposes, Series E, 5.00%, 2/01/19 (b)

     8,113       8,733,147  
    

 

 

 
               11,850,053  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 35.8%
             125,653,051  

Total Long-Term Investments

(Cost — $532,437,694) — 161.2%

 

 

    565,020,825  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    41


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust II (BLE)

 

Short-Term Securities    Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (i)(j)

     2,508,870     $ 2,509,371  

Total Short-Term Securities

(Cost — $2,509,048) — 0.7%

             2,509,371  
Total Investments (Cost — $534,946,742) — 161.9%       567,530,196  
Other Assets Less Liabilities — 1.9%       6,409,511  

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (20.6)%

 

    (72,164,512

VMTP Shares at Liquidation Value — (43.2)%

 

    (151,300,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 350,475,195  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

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

 

(c)   Zero-coupon bond.

 

(d)   Non-income producing security.

 

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

 

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

 

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

 

(h)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between June 1, 2017 to November 15, 2019, is $14,496,613. See Note 4 of the Notes to Financial Statements for details.

 

(i)   During the six months ended February 28, 2017, 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 August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income     Net
Realized
Gain1
    Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    3,509,584       (1,000,714     2,508,870     $ 2,509,371     $ 7,565     $ 797     $ 323  

1    Includes net capital gain distributions.

             

 

(j)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts                        
Contracts
Short
       Issue   Expiration     Notional
Value
    Unrealized
Appreciation
(Depreciation)
        
  (105      5-Year U.S. Treasury Note     June 2017     $ 12,358,828     $ 13,705    
  (143      10-Year U.S. Treasury Note     June 2017     $ 17,814,672       2,625    
  (120      Long U.S. Treasury Bond     June 2017     $ 18,198,750       (86,753  
  (31      Ultra U.S. Treasury Bond     June 2017     $ 5,015,219       (33,805        
 

Total

      $ (104,228  
          

 

 

 

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Trust II (BLE)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                           $ 16,330           $ 16,330          

Liabilities — Derivative Financial Instruments

                                                               

Futures contracts

   Net unrealized depreciation1                           $ 120,558           $ 120,558          

1   Includes cumulative appreciation (depreciation) on futures contracts 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, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                          $ 1,356,784           $ 1,356,784          

Net Change in Unrealized Appreciation (Depreciation) on:

                                                               

Futures contracts

                          $ (130,999         $ (130,999        

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts – short

  $ 31,991,867  

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 Investments1

           $ 565,020,825                 $ 565,020,825  

Short-Term Securities

  $ 2,509,371                            2,509,371  
 

 

 

 

Total

  $ 2,509,371        $ 565,020,825                 $ 567,530,196  
 

 

 

 
                
Derivative Financial Instruments2  

Assets:

                

Interest rate contracts

  $ 16,330                          $ 16,330  

Liabilities:

                

Interest rate contracts

    (120,558                          (120,558
 

 

 

 

Total

  $ (104,228                        $ (104,228
 

 

 

 

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

     

2    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 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

           $ (72,040,526               $ (72,040,526

VMTP Shares at Liquidation Value

             (151,300,000                 (151,300,000
 

 

 

 

Total

           $ (223,340,526               $ (223,340,526
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    43


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 3.5%

    

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

    

6.00%, 6/01/19

   $ 10,995     $ 12,194,115  

6.13%, 6/01/19

     4,980       5,536,963  

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

     1,745       1,937,055  
    

 

 

 
               19,668,133  

Arizona — 0.5%

    

University of Arizona Board of Regents, Refunding RB, Series A, 5.00%, 6/01/40

     2,300       2,584,050  

California — 23.1%

    

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18 (a)

     5,000       5,349,500  

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

     5,370       6,110,469  

Chabot-Las Positas Community College District, GO, Refunding, 4.00%, 8/01/37

     10,000       10,333,300  

City & County of San Francisco California Airports Commission, Refunding ARB, AMT, Series A:

    

2nd, 5.50%, 5/01/28

     3,330       3,850,113  

2nd, 5.25%, 5/01/33

     2,600       2,887,144  

5.00%, 5/01/44

     3,430       3,740,141  

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

     5,000       5,281,050  

City of Manteca California Financing Authority, RB, Manteca Sewer (AGC):

    

5.63%, 12/01/33

     2,450       2,708,328  

5.75%, 12/01/36

     3,285       3,623,651  

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

     4,450       5,044,787  

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 7/01/18 (a)

     5,600       5,948,936  

Irvine Ranch Water District, Special Assessment Bonds, 5.25%, 2/01/46

     7,000       8,284,570  

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

     4,365       5,141,795  

Metropolitan Water District of Southern California, Refunding RB, Series A, 5.00%, 7/01/32

     5,625       6,631,537  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 8/01/21 (a)

     3,110       3,662,025  

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 8/01/19 (a)

     2,000       2,208,500  

State of California, GO, Various Purposes (AGC), 5.50%, 11/01/39

     15,000       16,517,100  

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

    

5.50%, 11/01/30

     4,500       5,343,615  

5.50%, 11/01/31

     2,615       3,094,617  

5.50%, 11/01/33

     2,000       2,361,440  

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

     3,240       3,793,327  

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

     1,685       1,974,500  

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

     12,250       14,070,840  
    

 

 

 
               127,961,285  
Municipal Bonds    Par  
(000)
    Value  

Colorado — 2.2%

    

City & County of Denver Colorado Airport System, ARB, Series A, AMT:

    

5.50%, 11/15/28

   $ 2,700     $ 3,070,197  

5.50%, 11/15/30

     1,040       1,174,888  

5.50%, 11/15/31

     1,250       1,409,513  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 5/15/19 (a)

     5,925       6,562,411  
    

 

 

 
               12,217,009  

District of Columbia — 0.6%

    

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

     3,000       3,241,710  

Florida — 7.3%

    

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

     1,250       1,434,763  

County of Hillsborough Florida Aviation Authority, Refunding ARB, Tampa International Airport, Series A, AMT:

    

5.50%, 10/01/29

     5,360       6,059,212  

5.25%, 10/01/30

     3,255       3,618,974  

County of Lee Florida, Refunding ARB, Series A, AMT, 5.38%, 10/01/32

     7,100       7,888,597  

County of Lee Florida HFA, RB, S/F Housing, Multi-County Program, Series A-2, AMT (Ginnie Mae), 6.00%, 9/01/40

     575       580,313  

County of Manatee Florida HFA, RB, S/F Housing, Series A, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 5.90%, 9/01/40

     270       273,896  

County of Miami-Dade Florida, RB, Seaport Department:

    

Series A, 5.38%, 10/01/33

     3,145       3,551,523  

Series B, AMT, 6.25%, 10/01/38

     1,405       1,666,063  

Series B, AMT, 6.00%, 10/01/42

     1,885       2,173,367  

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

     2,870       3,318,036  

County of Miami-Dade Florida Aviation, Refunding ARB, Series A, AMT, 5.00%, 10/01/31

     5,465       5,970,676  

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

     3,225       3,717,554  
    

 

 

 
               40,252,974  

Hawaii — 1.9%

    

State of Hawaii, Department of Transportation, COP, AMT:

    

5.25%, 8/01/25

     1,350       1,522,220  

5.25%, 8/01/26

     2,500       2,796,625  

State of Hawaii, Department of Transportation, RB, Series A, AMT, 5.00%, 7/01/45

     5,985       6,445,246  
    

 

 

 
               10,764,091  

Illinois — 19.0%

    

City of Chicago Illinois Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT:

    

5.50%, 1/01/30

     6,500       7,353,385  

5.50%, 1/01/32

     6,275       7,027,498  

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

     8,020       8,505,290  

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

    

Series A, 5.75%, 1/01/39

     7,395       8,321,889  

Series C, 6.50%, 1/01/21 (a)

     16,800       20,056,008  

City of Chicago Illinois O’Hare International Airport, RB, Senior Lien, Series D, 5.25%, 1/01/42

     2,630       3,000,856  
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

Municipal Bonds    Par  
(000)
    Value  

Illinois (continued)

    

City of Chicago Illinois Transit Authority, RB:

    

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

   $ 6,000     $ 6,527,340  

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

     10,960       11,689,388  

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

     7,735       8,110,612  

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

     1,500       1,611,780  

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

     4,000       4,542,560  

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     4,365       4,927,954  

6.00%, 6/01/28

     1,245       1,414,806  

State of Illinois, GO, 5.50%, 7/01/33

     2,500       2,607,025  

State of Illinois Finance Authority, RB, University of Chicago, Series B, 5.50%, 7/01/18 (a)

     9,000       9,558,270  
    

 

 

 
               105,254,661  

Indiana — 4.6%

    

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 7/01/40

     1,240       1,299,929  

Indiana Finance Authority, Refunding RB, Stadium Project, Series A, 5.25%, 2/01/37

     3,130       3,597,998  

Indiana Municipal Power Agency, Refunding RB, Series A:

    

5.25%, 1/01/32

     1,500       1,700,010  

5.25%, 1/01/33

     1,500       1,693,530  

Indiana University, Refunding RB, Series A, 5.00%, 6/01/41

     1,830       2,103,128  

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC):

    

5.50%, 1/01/19 (a)

     2,760       2,987,093  

5.50%, 1/01/38

     11,345       12,118,842  
    

 

 

 
               25,500,530  

Kansas — 0.9%

    

County of Wyandotte Unified School District No. 500 Kansas City, GO, Improvement, Series A, 5.50%, 9/01/47

     4,000       4,751,960  

Kentucky — 0.1%

    

Kentucky State Property & Building Commission, Refunding RB, Project No. 93, (AGC):

    

5.25%, 2/01/19 (a)

     355       383,382  

5.25%, 2/01/27

     45       48,206  
    

 

 

 
               431,588  

Louisiana — 1.0%

    

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

    

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

     500       540,995  

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

     720       777,658  

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

     3,735       3,946,961  
    

 

 

 
               5,265,614  

Massachusetts — 1.1%

    

Massachusetts Development Finance Agency, Refunding RB, Partners Healthcare System, 5.00%, 7/01/41

     4,710       5,201,441  

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/27

     1,000       1,115,110  
    

 

 

 
               6,316,551  
Municipal Bonds    Par  
(000)
    Value  

Michigan — 3.6%

    

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

    

6.25%, 7/01/19 (a)

   $ 6,310     $ 7,055,968  

6.25%, 7/01/36

     10       10,795  

Hudsonville Michigan Public Schools, GO, School Building & Site (Q-SBLF), 5.25%, 5/01/41

     6,015       6,697,101  

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

     5,780       6,408,806  
    

 

 

 
               20,172,670  

Minnesota — 1.6%

    

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

     8,375       9,036,458  

Mississippi — 2.9%

    

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM):

    

6.88%, 12/01/40

     6,405       8,164,261  

Special Obligation, 6.75%, 12/01/31

     3,775       4,782,623  

Special Obligation, 6.75%, 12/01/33

     2,350       2,977,262  
    

 

 

 
               15,924,146  

Nevada — 4.3%

    

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A (AGM), 5.25%, 7/01/39

     11,175       12,115,041  

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

     11,245       11,716,053  
    

 

 

 
               23,831,094  

New Jersey — 6.3%

    

New Jersey EDA, RB, Goethals Bridge Replacement Project, AMT, Private Activity Bond:

    

5.38%, 1/01/43

     7,000       7,409,640  

(AGM), 5.00%, 1/01/31

     2,425       2,656,078  

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

     6,500       7,011,550  

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT, 5.75%, 12/01/28

     3,215       3,500,910  

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

    

Series A, 5.50%, 6/15/41

     5,410       5,563,536  

Series AA, 5.50%, 6/15/39

     8,175       8,504,698  
    

 

 

 
               34,646,412  

New York — 10.4%

    

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

    

2nd General Resolution, Fiscal 2009, Series EE, 5.25%, 6/15/40

     7,500       8,157,225  

Water & Sewer System, 2nd General Resolution, Series EE, 5.38%, 6/15/43

     3,475       3,923,032  

Water & Sewer System, Series FF-2, 5.50%, 6/15/40

     4,000       4,372,080  

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     4,000       4,539,720  

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

     4,490       5,102,930  

Metropolitan Transportation Authority, Refunding RB:

    

Series B, 5.00%, 11/15/37

     6,140       6,941,208  

Series C-1, 5.25%, 11/15/56

     5,410       6,149,601  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 7/15/36

     10,000       11,182,200  

Triborough Bridge & Tunnel Authority, RB, Series A, 5.00%, 11/15/38

     1,750       2,012,640  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    45


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

    

Triborough Bridge & Tunnel Authority, Refunding RB, Series B, 5.00%, 11/15/38

   $ 4,500     $ 5,175,360  
    

 

 

 
               57,555,996  

Ohio — 1.5%

    

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

    

5.25%, 2/15/31

     5,145       5,884,491  

5.25%, 2/15/32

     2,250       2,562,750  
    

 

 

 
               8,447,241  

Pennsylvania — 4.4%

    

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/46

     18,570       21,171,471  

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

     3,000       3,313,890  
    

 

 

 
               24,485,361  

South Carolina — 6.6%

    

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

     6,735       7,730,904  

County of Charleston South Carolina Airport District, ARB, Series A, AMT:

    

5.25%, 7/01/25

     4,490       5,094,354  

5.50%, 7/01/38

     3,000       3,325,830  

6.00%, 7/01/38

     5,270       5,993,940  

5.50%, 7/01/41

     4,170       4,630,410  

South Carolina Ports Authority, RB, AMT, 5.25%, 7/01/50

     3,445       3,735,000  

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

     5,500       5,999,180  
    

 

 

 
               36,509,618  

Texas — 13.3%

    

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

     4,190       4,749,114  

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

    

6.00%, 5/15/19 (a)

     12,030       13,329,721  

6.00%, 5/15/19 (a)

     8,940       9,905,878  

6.00%, 11/15/35

     670       740,410  

6.00%, 11/15/36

     495       547,020  

5.38%, 11/15/38

     265       285,906  

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

     1,450       1,558,866  

Dallas-Fort Worth International Airport, ARB, Joint Improvement, AMT:

    

Series A, 5.00%, 11/01/38

     5,580       5,911,452  

Series H, 5.00%, 11/01/37

     4,575       4,909,204  

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

     3,735       4,290,245  

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

    

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

     5,555       6,343,754  

Series K-1 (AGC), 5.75%, 1/01/19 (a)

     12,150       13,193,320  

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

     7,170       8,072,918  
    

 

 

 
               73,837,808  

Virginia — 1.2%

    

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

     1,750       1,933,138  

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

     4,300       4,719,164  
    

 

 

 
               6,652,302  
Municipal Bonds    Par  
(000)
    Value  

Washington — 1.5%

    

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

   $ 4,200     $ 4,692,912  

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

     3,290       3,699,901  
    

 

 

 
               8,392,813  
Total Municipal Bonds — 123.4%              683,702,075  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (b)
              

Alabama — 8.1%

    

City of Birmingham Alabama Special Care Facilities Financing Authority, Refunding RB, Senior Credit:

    

Ascension Health, Series C, 5.00%, 11/15/46

     11,920       13,497,851  

Ascension Group, Series B, 5.00%, 11/15/46

     27,798       31,383,733  
    

 

 

 
               44,881,584  

California — 5.1%

    

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

     2,400       2,601,816  

State of California, GO, Refunding, Various Purposes, 4.00%, 9/01/34

     13,790       14,332,361  

University of California, Refunding RB, 5.00%, 5/15/38

     10,000       11,477,700  
    

 

 

 
               28,411,877  

Florida — 2.0%

    

County of Hillsborough Florida Aviation Authority, ARB, Tampa International Airport, Series A, AMT (AGC), 5.50%, 10/01/38

     10,657       11,242,420  

Indiana — 1.9%

    

Indiana Health & Educational Facilities Financing Authority, Refunding RB, St. Francis, Series E (AGM), 5.25%, 5/01/18 (a)

     9,850       10,354,320  

Massachusetts — 2.8%

    

Commonwealth of Massachusetts, GO, Series G, 4.00%, 9/01/42

     15,000       15,333,600  

Nevada — 2.5%

    

County of Clark Nevada Water Reclamation District, GO (a):

    

Limited Tax, 6.00%, 7/01/18

     8,000       8,549,440  

Series B, 5.50%, 7/01/19

     5,008       5,521,325  
    

 

 

 
               14,070,765  

New Jersey — 3.4%

    

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

     7,402       7,664,890  

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

    

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

     8,000       8,188,000  

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

     2,961       3,010,478  
    

 

 

 
               18,863,368  

New York — 12.2%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     4,995       5,459,635  

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

     5,619       6,003,999  

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

     9,249       10,511,117  
 

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

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

New York (continued)

    

New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Fiscal 2017, Sub-Series B-1, 5.00%, 8/01/40

   $ 5,000     $ 5,692,250  

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

     13,950       15,774,176  

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

     8,200       9,358,656  

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

     13,500       14,537,745  
    

 

 

 
               67,337,578  

Texas — 7.5%

    

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/19 (a)(c)

     12,027       12,974,347  

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

     9,640       11,002,614  

State of Texas, GO, Texas Transportation Commission, Highway Improvement, 5.00%, 4/01/43

     15,550       17,716,115  
    

 

 

 
               41,693,076  
Municipal Bonds Transferred to
Tender Option Bond Trusts (b)
   Par  
(000)
    Value  

Utah — 2.8%

    

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

   $ 6,373     $ 6,756,389  

County of Utah Utah, RB, IHS Health Services, Inc., Series B, 5.00%, 5/15/46

     7,500       8,486,400  
    

 

 

 
               15,242,789  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 48.3%
             267,431,377  
Total Investments (Cost — $898,565,237) — 171.7%       951,133,452  
Other Assets Less Liabilities — 2.0%       11,291,257  

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (24.2)%

 

    (134,181,105

VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (49.5)%

 

    (274,187,674
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 554,055,930  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   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.

 

(c)   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 September 6, 2018 to November 15, 2019, is $19,874,974. See Note 4 of the Notes to Financial Statements for details.

During the six months ended February 28, 2017, 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 August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income    

Net

Realized
Gain1

    Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    3,476,692       (3,476,692               $ 9,655     $ 1,790        

1    Includes net capital gain distributions.

     

     

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Contracts
Short
       Issue   Expiration   Notional
Value
    Unrealized
Appreciation
(Depreciation)
        
  (165      5-Year U.S. Treasury Note   June 2017   $ 19,421,016     $ 21,163    
  (342      10-Year U.S. Treasury Note   June 2017   $ 42,605,719       9,253    
  (211      Long U.S. Treasury Bond   June 2017   $ 31,999,469       (152,269  
  (38      Ultra U.S. Treasury Bond   June 2017   $ 6,147,687       (46,288        
 

Total

    $ (168,141  
          

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    47


Schedule of Investments (concluded)

  

BlackRock MuniHoldings Investment Quality Fund (MFL)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                                $ 30,416             $ 30,416    
Liabilities — Derivative Financial Instruments                                                               

Futures contracts

   Net unrealized depreciation1                                $ 198,557             $ 198,557          

1   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, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                               $ 2,220,727             $ 2,220,727          

Net Change in Unrealized Appreciation (Depreciation) on:

                                                                      

Futures contracts

                               $ (218,551           $ (218,551        

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — short

   $ 59,430,563  

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 Investments1

           $ 951,133,452                 $ 951,133,452  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 30,416                          $ 30,416  

Liabilities:

                

Interest rate contracts

    (198,557                          (198,557
 

 

 

 

Total

  $ (168,141                        $ (168,141
 

 

 

 

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

     

2   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

           $ (133,899,769               $ (133,899,769

VRDP Shares at Liquidation Value

             (274,600,000                 (274,600,000
 

 

 

 

Total

           $ (408,499,769               $ (408,499,769
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments February 28, 2017 (Unaudited)

  

BlackRock MuniVest Fund, Inc. (MVF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 1.9%

    

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A:

    

5.80%, 5/01/34

   $ 1,850     $ 2,055,202  

5.38%, 12/01/35

     1,000       1,110,060  

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

     7,610       8,693,816  
    

 

 

 
               11,859,078  

Alaska — 0.5%

    

City of Anchorage Alaska Electric Revenue, Refunding RB, Series A, 5.00%, 12/01/41

     3,000       3,324,780  

Arizona — 3.9%

    

Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, Series A, 5.38%, 7/01/50 (b)

     2,500       2,531,875  

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Junior Lien, Series A, 5.00%, 7/01/40

     2,000       2,176,720  

City of Phoenix Arizona IDA, RB, Candeo School, Inc. Project:

    

6.63%, 7/01/33

     2,245       2,507,126  

6.88%, 7/01/44

     3,440       3,861,435  

City of Phoenix Arizona IDA, Refunding RB (b):

    

Basis Schools, Inc. Projects, 5.00%, 7/01/35

     600       603,210  

Basis Schools, Inc. Projects, 5.00%, 7/01/45

     760       753,122  

Basis Schools, Inc. Projects, Series A, 5.00%, 7/01/35

     1,125       1,131,019  

Legacy Traditional School Projects, 5.00%, 7/01/45

     700       696,801  

County of Maricopa Arizona Pollution Control Corp., Refunding RB, Southern California Edison Co., Series A, 5.00%, 6/01/35

     3,300       3,596,868  

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

     5,725       6,509,382  
    

 

 

 
               24,367,558  

California — 7.3%

    

California Health Facilities Financing Authority, RB:

    

St. Joseph Health System, Series A, 5.75%, 7/01/39

     5,000       5,424,300  

Sutter Health, Series B, 6.00%, 8/15/42

     5,600       6,372,184  

California Health Facilities Financing Authority, Refunding RB, Dignity Health, Series A, 6.00%, 7/01/19 (a)

     1,055       1,175,988  

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A, 5.25%, 5/15/39

     1,200       1,300,440  

Golden Empire Schools Financing Authority, Refunding RB, Kern High School District Projects, 1.12%, 5/01/17 (c)

     5,710       5,710,000  

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

     9,585       10,727,340  

Oakland Unified School District/Alameda County, GO, Series A, 5.00%, 8/01/40

     1,000       1,126,480  

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement District No. 2007-1, Election of 2008, Series B, 0.00%, 8/01/46 (d)

     10,000       2,730,900  

State of California, GO, Various Purposes, 6.50%, 4/01/33

     9,675       10,770,500  
    

 

 

 
               45,338,132  

Colorado — 0.7%

    

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

     2,500       2,669,650  

Copperleaf Metropolitan District No. 2, GO, Refunding, 5.75%, 12/01/45

     1,000       1,020,300  
Municipal Bonds    Par  
(000)
    Value  

Colorado (continued)

    

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

   $ 385     $ 424,282  
    

 

 

 
               4,114,232  

Connecticut — 2.9%

    

Connecticut State Health & Educational Facility Authority, RB, Yale University, Series Z3, 5.05%, 7/01/42

     12,000       12,163,440  

University of Connecticut, RB, Series A, 5.00%, 1/15/36

     5,470       6,101,785  
    

 

 

 
               18,265,225  

Delaware — 0.4%

    

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

     2,500       2,687,200  

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       446,229  

5.25%, 10/01/44

     650       701,668  
    

 

 

 
               1,147,897  

Florida — 9.3%

    

City of Jacksonville Florida, Refunding RB, Brooks Rehabilitation Project, 4.00%, 11/01/40

     1,770       1,706,829  

City of Tampa Florida, RB, Baycare Health System, Series A, 4.00%, 11/15/46

     2,345       2,355,670  

County of Miami-Dade Florida, GO, Building Better Communities Program (a):

    

Series B, 6.38%, 7/01/18

     4,630       4,969,194  

Series B-1, 5.63%, 7/01/18

     5,000       5,316,400  

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

     3,750       4,146,375  

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

    

Series A, AMT (AGC), 5.00%, 10/01/40

     10,000       10,165,500  

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

     10,290       11,352,134  

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

     4,625       5,025,109  

County of Miami-Dade Florida Expressway Authority, RB, Toll System, Series A (AGM), 5.00%, 7/01/35

     8,900       9,785,995  

Lakewood Ranch Stewardship District, Special Assessment Bonds, Lakewood National & Polo Run Projects:

    

4.63%, 5/01/27

     255       254,472  

5.25%, 5/01/37

     470       469,962  

5.38%, 5/01/47

     770       771,432  

Orange County Health Facilities Authority, Refunding RB, Series B, 5.00%, 10/01/44

     1,000       1,092,310  
    

 

 

 
               57,411,382  

Georgia — 1.4%

    

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series B, AMT, 5.00%, 1/01/29

     1,070       1,159,602  

County of DeKalb Georgia Hospital Authority, Refunding RB, DeKalb Medical Center, Inc. Project, 6.13%, 9/01/40

     3,570       3,910,185  

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

     3,335       3,632,749  
    

 

 

 
               8,702,536  

Hawaii — 0.9%

    

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

     5,000       5,516,750  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    49


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds    Par  
(000)
    Value  

Illinois — 10.7%

    

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

   $ 4,640     $ 4,715,447  

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

     2,110       2,255,168  

City of Chicago Illinois Wastewater Transmission, Refunding RB, 2nd Lien, Series C, 5.00%, 1/01/39

     1,000       1,061,850  

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien (AGM), 5.25%, 11/01/33

     1,330       1,379,130  

County of Cook Illinois Community College District No. 508, GO, University & College Improvements, 5.25%, 12/01/31

     5,000       5,388,100  

Illinois Finance Authority, RB:

    

Advocate Health Care Network, Series D, 6.50%, 11/01/18 (a)

     9,700       10,596,765  

Memorial Health System, Series A, 5.25%, 7/01/44

     1,785       1,888,298  

Illinois Finance Authority, Refunding RB:

    

Northwestern Memorial Hospital, Series A, 6.00%, 8/15/39

     9,000       9,916,110  

OSF Healthcare System, 6.00%, 5/15/20 (a)

     3,205       3,682,545  

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

     1,785       1,963,339  

Presence Health Network, Series C, 4.00%, 2/15/41

     2,205       1,842,167  

Presence Health Network, Series C, 5.00%, 2/15/41

     3,600       3,630,852  

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

     2,645       3,005,752  

Regional Transportation Authority, RB:

    

Series A (AMBAC), 7.20%, 11/01/20

     1,595       1,790,930  

Series C (NPFGC), 7.75%, 6/01/20

     2,865       3,185,708  

Village of Hodgkins Illinois, RB, Metropolitan Biosolids Management LLC Project, AMT, 6.00%, 11/01/23

     10,000       10,015,000  
    

 

 

 
               66,317,161  

Indiana — 1.4%

    

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT, 6.75%, 1/01/34

     2,250       2,654,618  

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 7/01/40

     2,640       2,767,591  

Indiana Finance Authority, Refunding RB, Deaconess Health System, Series A, 5.00%, 3/01/39

     3,000       3,300,900  
    

 

 

 
               8,723,109  

Iowa — 0.9%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project, 5.25%, 12/01/25

     4,500       4,526,550  

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, CAB, Series B, 5.60%, 6/01/34

     1,000       1,000,030  
    

 

 

 
               5,526,580  

Kansas — 0.7%

    

Wyandotte County-Kansas City Unified Government Utility System, RB, Series A, 5.00%, 9/01/40

     3,700       4,113,956  

Kentucky — 3.1%

    

County of Louisville & Jefferson Kentucky Metropolitan Government, Refunding RB, Norton Healthcare, Inc., 4.00%, 10/01/35

     1,585       1,570,576  

County of Owen Kentucky, RB, Kentucky American Water Co. Project, Series B, 5.63%, 9/01/39

     1,000       1,076,020  

Kentucky Economic Development Finance Authority, Refunding RB, Hospital Facilities, St. Elizabeth Medical Center, Inc., Series A, 5.50%, 5/01/19 (a)

     8,000       8,753,760  
Municipal Bonds    Par  
(000)
    Value  

Kentucky (continued)

    

Lexington-Fayette Urban County Airport Board, Refunding GARB, Series A, 5.00%, 7/01/19 (a)

   $ 7,000     $ 7,632,730  
    

 

 

 
               19,033,086  

Louisiana — 3.3%

    

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

     2,615       2,984,421  

Parish of St. Charles Louisiana, RB, Valero Energy Corp., 4.00%, 12/01/40 (c)

     2,210       2,313,185  

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

    

5.25%, 5/15/31

     3,420       3,675,303  

5.25%, 5/15/32

     4,375       4,750,856  

5.25%, 5/15/33

     4,750       5,134,560  

5.25%, 5/15/35

     1,500       1,629,840  
    

 

 

 
               20,488,165  

Maine — 1.1%

    

Maine Health & Higher Educational Facilities Authority, RB, Series A, 5.00%, 7/01/39

     5,000       5,346,150  

Portland Housing Development Corp., Refunding RB, Senior Living, Retirement Facilities, Series A, 6.00%, 2/01/34

     1,190       1,191,464  
    

 

 

 
               6,537,614  

Maryland — 4.3%

    

County of Howard Maryland Housing Commission, RB, M/F Housing, Woodfield Oxford Square Apartments, 5.00%, 12/01/42

     7,715       8,525,847  

Maryland Community Development Administration, HRB, S/F Housing, Series H, AMT, 5.10%, 9/01/37

     1,405       1,409,552  

Maryland Community Development Administration, Refunding, HRB, Residential, Series D, AMT, 4.90%, 9/01/42

     3,250       3,260,010  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Charlestown Community Project, 6.25%, 1/01/21 (a)

     2,000       2,365,640  

Meritus Medical Center Issue, 5.00%, 7/01/40

     6,350       6,828,917  

University of Maryland Medical System, 5.00%, 7/01/19 (a)

     1,990       2,171,806  

University of Maryland Medical System, 5.13%, 7/01/19 (a)

     2,100       2,296,371  

University of Maryland Medical System, 5.00%, 7/01/34

     110       115,189  
    

 

 

 
               26,973,332  

Massachusetts — 3.1%

    

Massachusetts Bay Transportation Authority, Refunding RB, General Transportation System, Series A, 7.00%, 3/01/19

     740       765,071  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A:

    

5.00%, 1/01/47

     845       907,454  

5.25%, 1/01/42

     1,895       2,087,665  

Massachusetts HFA, RB, M/F Housing, Series A, AMT, 5.20%, 12/01/37

     2,865       2,891,472  

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

     5,070       5,393,415  

Massachusetts Water Resources Authority, RB, Series A, 6.50%, 7/15/19 (e)

     6,685       7,059,494  
    

 

 

 
               19,104,571  
 

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds    Par  
(000)
    Value  

Michigan — 2.4%

    

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

    

6.25%, 7/01/19 (a)

   $ 2,495     $ 2,789,959  

6.25%, 7/01/36

     5       5,398  

Michigan State Hospital Finance Authority, Refunding RB, McLaren Health Care, Series A, 5.75%, 5/15/18 (a)

     7,285       7,709,205  

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

     4,100       4,546,039  
    

 

 

 
               15,050,601  

Minnesota — 0.3%

    

City of Cologne Minnesota Charter School, LRB, Cologne Academy Project, Series A, 5.00%, 7/01/45

     1,500       1,549,200  

Mississippi — 4.8%

    

County of Lowndes Mississippi, Refunding RB, Solid Waste Disposal & Pollution Control, Weyerhaeuser Co. Project:

    

Series A, 6.80%, 4/01/22

     9,160       10,646,301  

Series B, 6.70%, 4/01/22

     4,500       5,212,665  

Mississippi Business Finance Corp., Refunding RB, System Energy Resource, Inc. Project, 5.88%, 4/01/22

     9,305       9,349,478  

Mississippi Development Bank, Refunding RB, Municipal Energy Agency of Mississippi, Series A (AGM), 4.00%, 3/01/41

     4,500       4,503,375  
    

 

 

 
               29,711,819  

Nebraska — 1.1%

 

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

     6,200       6,560,282  

New Hampshire — 0.7%

 

New Hampshire Housing Finance Authority, Refunding RB, S/F Housing, Acquisition, Series H, AMT, 5.15%, 1/01/40

     4,170       4,182,427  

New Jersey — 8.6%

 

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/44

     1,400       1,383,774  

New Jersey EDA, RB:

    

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

     1,530       1,662,559  

Goethals Bridge Replacement Project, AMT, Private Activity Bond, 5.38%, 1/01/43

     10,000       10,585,200  

Private Activity Bond, Goethals Bridge Replacement Project, AMT, 5.13%, 1/01/34

     1,050       1,107,687  

School Facilities Construction, Series UU, 5.00%, 6/15/40

     3,390       3,395,899  

New Jersey EDA, Refunding RB, School Facilities Construction:

    

5.25%, 6/15/19 (a)

     2,650       2,901,114  

Series AA, 5.25%, 6/15/19 (a)

     700       766,332  

Series AA, 5.25%, 12/15/33

     6,650       6,750,149  

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series AA, 6.38%, 10/01/28

     165       170,234  

New Jersey Transportation Trust Fund Authority, RB:

    

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

     7,260       2,253,431  

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

     8,750       8,985,112  

Transportation Program, Series AA, 5.25%, 6/15/41

     780       791,989  

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

     4,450       4,452,359  
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

 

New Jersey Transportation Trust Fund Authority, RB (continued):

    

Transportation System, Series B, 5.50%, 6/15/31

   $ 8,000     $ 8,398,400  
    

 

 

 
               53,604,239  

New York — 7.9%

    

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (b)

     2,145       2,250,620  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, Series FF-2, 5.50%, 6/15/40

     4,150       4,536,033  

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

     3,500       3,634,820  

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

     4,435       4,264,075  

Metropolitan Transportation Authority, RB, Series C:

    

6.25%, 11/15/18 (a)

     25       27,278  

6.25%, 11/15/18 (a)

     2,595       2,831,482  

6.50%, 11/15/18 (a)

     925       1,013,217  

6.50%, 11/15/18 (a)

     11,135       12,196,945  

6.25%, 11/15/23

     625       680,888  

6.50%, 11/15/28

     2,865       3,132,820  

New York Liberty Development Corp., Refunding RB, 3 World Trade Center Project, Class 2 (b):

    

5.15%, 11/15/34

     460       492,140  

5.38%, 11/15/40

     1,145       1,242,921  

New York Transportation Development Corp., RB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.25%, 1/01/50

     2,400       2,549,088  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     1,285       1,350,856  

5.00%, 8/01/31

     3,070       3,195,809  

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       3,566,290  

TSASC, Inc., Refunding RB, Series A, 5.00%, 6/01/41

     1,785       1,933,726  
    

 

 

 
               48,899,008  

Ohio — 3.5%

 

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

     2,875       3,104,885  

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     1,690       1,854,268  

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

     1,915       2,257,268  

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

     7,930       8,493,030  

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.50%, 5/01/34

     5,470       5,831,895  
    

 

 

 
               21,541,346  

Pennsylvania — 3.5%

 

City of Philadelphia Pennsylvania IDA, RB, Retirement Facilities, Rieder House Project, Series A, 6.10%, 7/01/33

     1,215       1,215,000  

County of Delaware Pennsylvania IDA, Refunding RB, Covanta Project, 5.00%, 7/01/43

     5,000       4,977,200  

County of Montgomery Pennsylvania IDA, Refunding RB, Whitemarsh Continuing Care Retirement Community, 5.25%, 1/01/40

     4,170       3,916,464  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    51


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds    Par  
(000)
    Value  

Pennsylvania (continued)

 

Delaware River Port Authority, RB, Series D, 5.00%, 1/01/40

   $ 195     $ 211,867  

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Rapid Bridge Finco LP, AMT, 5.00%, 12/31/38

     2,565       2,752,784  

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

     3,850       3,886,960  

Pennsylvania HFA, Refunding RB, S/F Housing Mortgage, Series 121, 3.10%, 10/01/36

     3,480       3,297,996  

Pennsylvania Turnpike Commission, RB:

    

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

     440       484,471  

Series B, 5.00%, 12/01/40

     1,110       1,223,164  
    

 

 

 
               21,965,906  

Puerto Rico — 0.9%

    

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, 5.50%, 5/15/39

     3,555       3,568,509  

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

     1,955       1,957,542  
    

 

 

 
               5,526,051  

Rhode Island — 1.6%

    

Rhode Island Health & Educational Building Corp., Refunding RB, Hospital Financing, LifeSpan Obligation Group, 5.00%, 5/15/39

     1,425       1,501,252  

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

    

4.50%, 6/01/45

     6,820       6,566,159  

5.00%, 6/01/50

     2,000       2,021,420  
    

 

 

 
               10,088,831  

South Carolina — 0.7%

    

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

     3,800       4,144,888  

Texas — 11.0%

    

Central Texas Regional Mobility Authority, RB, Senior Lien, Series A:

    

5.00%, 1/01/40

     1,215       1,312,917  

5.00%, 1/01/45

     3,500       3,771,740  

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien:

    

5.75%, 1/01/21 (a)

     1,000       1,162,120  

6.00%, 1/01/21 (a)

     4,300       5,037,192  

Series A, 5.00%, 1/01/43

     6,925       7,326,581  

City of Houston Texas Airport System, Refunding ARB, United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     2,665       2,799,369  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/23 (a)

     850       1,068,076  

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

    

7.13%, 12/01/18

     3,500       3,874,255  

7.25%, 12/01/18

     5,400       5,989,140  

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

    

6.00%, 8/15/20

     370       428,852  

6.00%, 8/15/20

     4,630       5,366,448  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, 5.00%, 10/01/44

     875       894,924  

La Vernia Higher Education Finance Corp., RB, KIPP, Inc., Series A, 6.25%, 8/15/19 (a)

     925       1,039,339  
Municipal Bonds    Par  
(000)
    Value  

Texas (continued)

    

Love Field Airport Modernization Corp., RB, Southwest Airlines Co. Project, 5.25%, 11/01/40

   $ 1,100     $ 1,189,012  

New Hope Cultural Education Facilities Corp., RB, Collegiate Housing Tarleton State University Project, 5.00%, 4/01/35

     500       526,130  

New Hope Cultural Education Facilities Corp., Refunding RB, 1st Mortgage, Morningside Ministries Project, 6.25%, 1/01/33

     1,600       1,776,112  

North Texas Education Finance Corp., ERB, Uplift Education, Series A, 5.13%, 12/01/42

     1,000       1,033,640  

North Texas Tollway Authority, Refunding RB, Series A:

    

1st Tier System, 6.25%, 1/01/19 (a)

     2,845       3,115,190  

1st Tier System, 6.25%, 1/01/39

     655       707,924  

5.00%, 1/01/38

     5,000       5,542,750  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien:

    

LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     8,000       9,133,840  

NTE Mobility Partners LLC, North Tarrant Express Managed Lanes Project, 6.88%, 12/31/39

     4,710       5,323,854  
    

 

 

 
               68,419,405  

Virginia — 3.7%

    

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:

    

5.38%, 3/01/36

     430       413,746  

5.50%, 3/01/46

     1,475       1,425,263  

City of Portsmouth Virginia, GO, Refunding Series D:

    

5.00%, 7/15/20 (a)

     3,030       3,406,417  

5.00%, 7/15/34

     75       82,794  

County of Fairfax Virginia EDA, Refunding RB, Goodwin House, Inc. (a):

    

5.13%, 10/01/17

     2,000       2,052,020  

5.13%, 10/01/17

     6,015       6,169,285  

Tobacco Settlement Financing Corp., Refunding RB, Senior Series B-1, 5.00%, 6/01/47

     1,895       1,753,823  

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

    

6.00%, 1/01/37

     2,150       2,409,139  

5.50%, 1/01/42

     5,140       5,496,510  
    

 

 

 
               23,208,997  

Washington — 1.9%

    

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     4,010       4,318,008  

Washington Health Care Facilities Authority, Refunding RB, Catholic Health Initiatives, Series D, 6.38%, 10/01/36

     7,000       7,455,630  
    

 

 

 
               11,773,638  

West Virginia — 0.4%

    

West Virginia Hospital Finance Authority, Refunding RB, Improvement, Charleston Area Medical Center, Inc., Series A, 5.63%, 9/01/32

     2,500       2,662,425  

Wisconsin — 1.0%

    

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

     6,100       6,411,588  

Wyoming — 1.4%

    

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

     4,500       4,907,160  

Wyoming Community Development Authority, Refunding RB, Series 2 & 3, 4.05%, 12/01/38

     2,475       2,495,122  
 

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Municipal Bonds    Par  
(000)
    Value  

Wyoming (continued)

    

Wyoming Municipal Power Agency, Inc., Refunding RB, Series A (BAM), 5.00%, 1/01/42

   $ 1,120     $ 1,248,922  
    

 

 

 
               8,651,204  
Total Municipal Bonds — 113.4%              703,504,199  
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
 

Arizona — 0.6%

    

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 7/01/19 (a)

     3,500       3,818,045  

California — 6.3%

    

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No.2, Series A, 5.00%, 10/01/47

     14,998       16,997,625  

University of California, RB, General, Series O (a):

    

5.25%, 5/15/19

     3,235       3,533,073  

5.25%, 5/15/19

     5,675       6,197,894  

5.25%, 5/15/19

     11,090       12,111,833  
    

 

 

 
               38,840,425  

District of Columbia — 1.3%

    

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

     7,495       8,039,420  

Florida — 2.6%

    

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

     14,747       16,272,377  

Illinois — 4.9%

    

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

     10,000       10,720,100  

State of Illinois Toll Highway Authority, RB, Series B, Senior:

    

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

     6,999       7,275,275  

5.00%, 1/01/40

     10,976       12,147,858  
    

 

 

 
               30,143,233  

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       10,249,667  

Maryland — 1.7%

    

City of Baltimore Maryland, RB, Wastewater Project, Sub-Series A, 5.00%, 7/01/46

     4,898       5,521,923  

State of Maryland Transportation Authority, RB, Transportation Facilities Project (AGM), 5.00%, 7/01/41

     4,710       4,924,870  
    

 

 

 
               10,446,793  

Nevada — 2.8%

    

County of Clark Nevada Water Reclamation District, GO, Limited Tax, Series B, 5.75%, 7/01/19 (a)

     15,789       17,497,364  

New York — 5.9%

    

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

    

5.00%, 6/15/18 (a)

     3,556       3,729,273  

5.00%, 6/15/37

     20,643       21,650,210  

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

     10,001       11,412,995  
    

 

 

 
               36,792,478  
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
   Par  
(000)
    Value  

North Carolina — 0.9%

    

North Carolina Capital Facilities Finance Agency, Refunding RB, Wake Forest University, 5.00%, 1/01/19 (a)

   $ 5,000     $ 5,366,850  

Ohio — 2.2%

    

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

     4,400       4,533,628  

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

     8,500       9,108,685  
    

 

 

 
               13,642,313  

Oregon — 1.2%

    

State of Oregon Housing & Community Services Department, HRB, M/F Housing, Series A, AMT, 4.95%, 7/01/30

     7,212       7,462,186  

Pennsylvania — 0.7%

    

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 8/15/38

     3,925       4,340,885  

Texas — 7.4%

    

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

     8,333       8,790,863  

City of Houston Texas Higher Education Finance Corp., RB, Rice University Project, Series A, 5.00%, 5/15/40

     10,000       10,971,884  

County of Harris Texas Health Facilities Development Corp., Refunding RB, School Health Care System, Series B, 5.75%, 7/01/27 (e)

     20,970       25,753,257  

Texas Department of Housing & Community Affairs, RB, S/F Mortgage, Series B, AMT, 5.25%, 9/01/32

     664       664,950  
    

 

 

 
               46,180,954  

Virginia — 4.0%

    

County of Fairfax Virginia EDA, RB, Metrorail Parking System, 5.00%, 4/01/47

     6,960       7,946,858  

County of Fairfax Virginia IDA, Refunding RB, Health Care, Inova Health System:

    

5.50%, 5/15/19 (a)

     734       796,821  

5.50%, 5/15/35

     1,364       1,480,390  

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

     7,999       8,966,579  

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

     5,002       5,400,271  
    

 

 

 
               24,590,919  

Washington — 6.0%

    

Central Puget Sound Regional Transit Authority, RB, Series A (a):

    

5.00%, 11/01/17

     5,500       5,659,280  

5.00%, 11/01/17

     5,500       5,659,280  

(AGM), 5.00%, 11/01/17

     14,007       14,411,835  

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

     10,000       11,644,400  
    

 

 

 
               37,374,795  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 50.1%
      311,058,704  
Total Long-Term Investments
(Cost — $954,552,371) — 163.5%
      1,014,562,903  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    53


Schedule of Investments (continued)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

Short-Term Securities    Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (h)(i)

     4,051,187     $ 4,051,997  
Total Short-Term Securities
(Cost — $4,051,406) — 0.6%
      4,051,997  
Total Investments (Cost — $958,603,777) — 164.1%       1,018,614,900  
Other Assets Less Liabilities — 1.0%       6,263,283  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (25.3)%

 

    (156,959,114
Loan for TOB Trust Certificates — (0.5)%       (3,498,775

VMTP Shares at Liquidation Value — (39.3)%

 

    (243,800,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 620,620,294  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

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

 

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

 

(d)   Zero-coupon bond.

 

(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 agreement, which expires on November 15, 2019, is $5,295,502. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the six months ended February 28, 2017, 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 August 31,
2016
    Net
Activity
    Shares Held
at February 28,
2017
    Value at
February 28,
2017
    Income     Net
Realized
Gain1
    Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    6,852,839       (2,801,652     4,051,187     $ 4,051,997     $ 22,402     $ 6,740     $ 591  

1   Includes net capital gain distributions.

    

     

 

(i)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Contracts
Short
       Issue   Expiration     Notional
Value
    Unrealized
Appreciation
(Depreciation)
        
  (176      5-Year U.S. Treasury Note     June 2017     $ 20,715,750     $ 16,355    
  (258      10-Year U.S. Treasury Note     June 2017     $ 32,141,156       (2,379  
  (198      Long U.S. Treasury Bond     June 2017     $ 30,027,938       (154,058  
  (36      Ultra U.S. Treasury Bond     June 2017     $ 5,824,125       (44,583        
  Total              $ (184,665  
          

 

 

 

 

See Notes to Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Schedule of Investments (concluded)

  

BlackRock MuniVest Fund, Inc. (MVF)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                           $ 16,355           $ 16,355          

Liabilities — Derivative Financial Instruments

                                                               

Futures contracts

   Net unrealized depreciation1                           $ 201,020           $ 201,020          

1  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, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                          $ 1,578,304           $ 1,578,304          

Net Change in Unrealized Appreciation (Depreciation) on:

                                                               

Futures contracts

                          $ (226,209         $ (226,209        

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:   

Average notional value of contracts — short

   $ 52,101,797  

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 Investments1

           $ 1,014,562,903                 $ 1,014,562,903  

Short-Term Securities

  $ 4,051,997                            4,051,997  
 

 

 

 

Total

  $ 4,051,997        $ 1,014,562,903                 $ 1,018,614,900  
 

 

 

 
                
Derivative Financial Instruments2                                         

Assets:

                

Interest rate contracts

  $ 16,355                          $ 16,355  

Liabilities:

                

Interest rate contracts

    (201,020                          (201,020
 

 

 

 

Total

  $ (184,665                        $ (184,665
 

 

 

 

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

    

2   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

           $ (156,696,838               $ (156,696,838

Loan for TOB Trust Certificates

             (3,498,775                 (3,498,775

VMTP Shares at Liquidation Value

             (243,800,000                 (243,800,000
 

 

 

 

Total

           $ (403,995,613               $ (403,995,613
 

 

 

 

During the six months ended February 28, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    55


Statements of Assets and Liabilities     

 

February 28, 2017 (Unaudited)   BlackRock
Municipal
Bond Trust
(BBK)
    BlackRock
Municipal Income
Investment
Quality Trust
(BAF)
    BlackRock
Municipal Income
Quality Trust
(BYM)
    BlackRock
Municipal
Income Trust II
(BLE)
 
       
Assets  

Investments at value — unaffiliated1

  $ 265,691,131     $ 217,450,398     $ 632,278,866     $ 565,020,825  

Investments at value — affiliated2

    187,660       222,810       9,846,739       2,509,371  

Cash

    30,538       31,237       90,150       16,605  

Cash pledged for futures contracts

    716,050       383,800       1,307,050       1,008,800  
Receivables:  

Interest — unaffiliated

    2,913,112       2,391,627       6,587,484       6,920,828  

Investments sold

    2,807,751       2,343,743       34,759       681,837  

Variation margin on futures contracts

    3,522       5,062       10,155       11,258  

Dividends — affiliated

    580       86       1,017       997  

TOB Trust

                5,570,000        

Prepaid expenses

    13,389       12,291       20,296       8,939  
 

 

 

 

Total assets

    272,363,733       222,841,054       655,746,516       576,179,460  
 

 

 

 
       
Accrued Liabilities  
Payables:  

Investments purchased

    4,379,186       198,191       9,977,465        

Income dividends — Common Shares

    789,119       599,335       1,742,814       1,727,274  

Investment advisory fees

    133,294       93,166       267,981       241,288  

Interest expense and fees

    38,443       64,496       195,633       123,986  

Variation margin on futures contracts

    39,063       16,375       61,750       50,219  

Officer’s and Trustees’ fees

    29,039       21,150       66,765       60,469  

Other accrued expenses

    116,163       91,766       155,102       160,503  
 

 

 

 

Total accrued liabilities

    5,524,307       1,084,479       12,467,510       2,363,739  
 

 

 

 
       
Other Liabilities  

TOB Trust Certificates

    22,403,733       43,297,138       109,945,937       72,040,526  

Loan for TOB Trust Certificates

          1,499,475       2,249,213        

VMTP Shares, at liquidation value of $100,000 per share3,4

    79,900,000       42,200,000       137,200,000       151,300,000  
 

 

 

 

Total other liabilities

    102,303,733       86,996,613       249,395,150       223,340,526  
 

 

 

 

Total liabilities

    107,828,040       88,081,092       261,862,660       225,704,265  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 164,535,693     $ 134,759,962     $ 393,883,856     $ 350,475,195  
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of  

Paid-in capital5,6,7

  $ 149,529,081     $ 124,019,631     $ 371,434,679     $ 333,383,570  

Undistributed net investment income

    1,697,728       1,581,249       2,999,995       3,230,550  

Accumulated net realized gain (loss)

    1,266,693       (5,314,044     (18,581,488     (18,618,151

Net unrealized appreciation (depreciation)

    12,042,191       14,473,126       38,030,670       32,479,226  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 164,535,693     $ 134,759,962     $ 393,883,856     $ 350,475,195  
 

 

 

 

Net asset value per Common Share

  $ 15.64     $ 15.40     $ 14.92     $ 14.91  
 

 

 

 

1   Investments at cost — unaffiliated

  $ 253,567,656     $ 202,949,710     $ 594,094,193     $ 532,437,694  

2   Investments at cost — affiliated

  $ 187,641     $ 222,788     $ 9,846,348     $ 2,509,048  

3   Preferred Shares outstanding, par value $0.001 per share

    799       422       1,372       1,513  

4   Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited       unlimited       unlimited       unlimited  

5   Par value per Common Share

  $ 0.001     $ 0.001     $ 0.001     $ 0.001  

6   Common Shares outstanding

    10,521,587       8,749,418       26,406,273       23,500,329  

7   Common Shares authorized

    unlimited       unlimited       unlimited       unlimited  

 

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Statements of Assets and Liabilities     

 

February 28, 2017 (Unaudited)   BlackRock
MuniHoldings
Investment
Quality Fund
(MFL)
    BlackRock
MuniVest
Fund, Inc.
(MVF)
 
   
Assets                

Investments at value — unaffiliated1

  $ 951,133,452     $ 1,014,562,903  

Investments at value — affiliated2

          4,051,997  

Cash

          32,556  

Cash pledged for futures contracts

    1,795,150       1,612,500  
Receivables:    

Dividends — affiliated

    476       2,750  

Interest — unaffiliated

    11,402,675       12,459,706  

Investments sold

    2,409,780       760,969  

Variation margin on futures contracts

    19,519       19,155  

TOB Trust

          3,485,000  

Prepaid expenses

    29,876       13,667  
 

 

 

 

Total assets

    966,790,928       1,037,001,203  
 

 

 

 
   
Accrued Liabilities                

Bank overdraft

    705,216        
Payables:    

Income dividends — Common Shares

    2,705,996       3,192,629  

Investment advisory fees

    358,277       389,649  

Investments purchased

          8,066,813  

Officer’s and Trustees’ fees

    280,813       158,997  

Interest expense and fees

    281,336       262,276  

Variation margin on futures contracts

    79,531       74,813  

Other accrued expenses

    236,386       240,119  
 

 

 

 

Total accrued liabilities

    4,647,555       12,385,296  
 

 

 

 
   
Other Liabilities                

TOB Trust Certificates

    133,899,769       156,696,838  

Loan for TOB Trust Certificates

          3,498,775  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs3,4

    274,187,674        

VMTP Shares, at liquidation value of $100,000 per share3,4

          243,800,000  
 

 

 

 

Total other liabilities

    408,087,443       403,995,613  
 

 

 

 

Total liabilities

    412,734,998       416,380,909  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 554,055,930     $ 620,620,294  
 

 

 

 
   
Net Assets Applicable to Common Shareholders Consist of                

Paid-in capital5,6,7

  $ 526,483,427     $ 586,818,502  

Undistributed net investment income

    7,395,404       4,643,836  

Accumulated net realized loss

    (32,222,975     (30,668,502

Net unrealized appreciation (depreciation)

    52,400,074       59,826,458  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 554,055,930     $ 620,620,294  
 

 

 

 

Net asset value per Common Share

  $ 14.64     $ 9.62  
 

 

 

 

1   Investments at cost — unaffiliated

  $ 898,565,237     $ 954,552,371  

2   Investments at cost — affiliated

        $ 4,051,406  

3   Preferred Shares outstanding, par value $0.001 per share

    2,746       2,438  

4   Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    1,000,000       10,000,000  

5   Par value per Common Share

  $ 0.10     $ 0.10  

6   Common Shares outstanding

    37,846,094       64,497,606  

7   Common Shares authorized

    unlimited       150,000,000  

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    57


Statements of Operations     

 

Six Months Ended February 28, 2017 (Unaudited)  

BlackRock
Municipal

Bond Trust
(BBK)

    BlackRock
Municipal Income
Investment
Quality Trust
(BAF)
    BlackRock
Municipal Income
Quality Trust
(BYM)
   

BlackRock
Municipal

Income Trust II
(BLE)

 
       
Investment Income                                

Interest — unaffiliated

  $ 5,920,030     $ 4,852,332     $ 13,837,649     $ 13,446,860  

Dividends — affiliated

    6,585       1,039       9,516       7,565  
 

 

 

 

Total investment income

    5,926,615       4,853,371       13,847,165       13,454,425  
 

 

 

 
       
Expenses                                

Investment advisory

    893,123       606,364       1,753,812       1,592,867  

Professional

    32,261       29,693       46,664       43,489  

Accounting services

    21,521       16,428       29,718       29,718  

Rating agency

    18,968       18,905       19,066       19,090  

Transfer agent

    12,522       10,455       18,646       18,320  

Officer and Trustees

    9,824       7,483       22,357       19,889  

Custodian

    8,475       6,534       14,322       13,768  

Registration

    4,971       4,971       5,380       6,218  

Printing

    4,864       4,368       6,293       6,156  

Miscellaneous

    9,435       7,468       13,575       13,140  
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,015,964       712,669       1,929,833       1,762,655  

Interest expense, fees and amortization of offering costs1

    975,170       644,766       1,808,424       1,750,264  
 

 

 

 

Total expenses

    1,991,134       1,357,435       3,738,257       3,512,919  

Less fees waived by the Manager

    (1,114     (188     (1,727     (1,410
 

 

 

 

Total expenses after fees waived

    1,990,020       1,357,247       3,736,530       3,511,509  
 

 

 

 

Net investment income

    3,936,595       3,496,124       10,110,635       9,942,916  
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments — unaffiliated

    1,920,880       (250,626     (576,188     (1,976,012

Investments — affiliated

    570       157       847       648  

Futures contracts

    1,024,535       515,440       1,894,502       1,356,784  

Capital gain distributions from investment companies — affiliated

    396             3,475       149  
 

 

 

 
    2,946,381       264,971       1,322,636       (618,431
 

 

 

 
Net change in unrealized appreciation (depreciation) on:        

Investments — unaffiliated

    (21,616,375     (10,291,555     (35,296,696     (27,005,804

Investments — affiliated

    19       22       391       323  

Futures contracts

    (95,168     (40,489     (185,324     (130,999
 

 

 

 
    (21,711,524     (10,332,022     (35,481,629     (27,136,480
 

 

 

 

Net realized and unrealized loss

    (18,765,143     (10,067,051     (34,158,993     (27,754,911
 

 

 

 

Net Decrease in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ (14,828,548   $ (6,570,927   $ (24,048,358   $ (17,811,995
 

 

 

 

1   Related to TOB Trusts and/or VMTP Shares.

       

 

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Statements of Operations     

 

Six Months Ended February 28, 2017 (Unaudited)   BlackRock
MuniHoldings
Investment
Quality Fund
(MFL)
   

BlackRock
MuniVest

Fund, Inc.
(MVF)

 
   
Investment Income                

Interest — unaffiliated

  $ 20,655,028     $ 24,091,284  

Dividends — affiliated

    9,655       22,402  
 

 

 

 

Total investment income

    20,664,683       24,113,686  
 

 

 

 
   
Expenses                

Investment advisory

    2,658,405       2,564,725  

Professional

    62,669       64,267  

Accounting services

    55,932       57,706  

Rating agency

    19,299       19,247  

Transfer agent

    23,379       27,661  

Officer and Trustees

    44,040       38,745  

Custodian

    19,915       21,364  

Registration

    7,705       16,993  

Printing

    7,641       7,939  

Remarketing fees on Preferred Shares

    13,617        

Liquidity fees

    13,868        

Miscellaneous

    18,609       19,397  
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    2,945,079       2,838,044  

Interest expense, fees and amortization of offering costs1

    3,031,221       3,075,106  
 

 

 

 

Total expenses

    5,976,300       5,913,150  

Less fees waived by the Manager

    (283,413     (4,118
 

 

 

 

Total expenses after fees waived

    5,692,887       5,909,032  
 

 

 

 

Net investment income

    14,971,796       18,204,654  
 

 

 

 
   
Realized and Unrealized Gain (Loss)                
Net realized gain (loss) from:    

Investments — unaffiliated

    1,445,143       (2,907,700

Investments — affiliated

    1,349       1,400  

Futures contracts

    2,220,727       1,578,304  

Capital gain distributions from investment companies — affiliated

    441       5,340  
 

 

 

 
    3,667,660       (1,322,656
 

 

 

 
Net change in unrealized appreciation (depreciation) on:    

Investments — unaffiliated

    (48,443,774     (45,987,364

Investments — affiliated

          591  

Futures contracts

    (218,551     (226,209
 

 

 

 
    (48,662,325     (46,212,982
 

 

 

 

Net realized and unrealized loss

    (44,994,665     (47,535,638
 

 

 

 

Net Decrease in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ (30,022,869   $ (29,330,984
 

 

 

 

1   Related to TOB Trusts, VMTP Shares and/or VRDP Shares.

   

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    59


Statements of Changes in Net Assets     

 

    BlackRock Municipal
Bond Trust (BBK)
          BlackRock Municipal Income
Investment Quality Trust (BAF)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

          Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

 
         
Operations                                        

Net investment income

  $ 3,936,595     $ 9,337,529       $ 3,496,124     $ 7,223,541  

Net realized gain

    2,946,381       2,455,647         264,971       265,592  

Net change in unrealized appreciation (depreciation)

    (21,711,524     12,451,415         (10,332,022     6,427,068  
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    (14,828,548     24,244,591         (6,570,927     13,916,201  
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (4,733,915     (9,449,507       (3,596,011     (7,192,022

From net realized gain

    (4,092,513     (153,110              
 

 

 

     

 

 

 

Decrease in net assets resulting from distributions to Common Shareholders

    (8,826,428     (9,602,617       (3,596,011     (7,192,022
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

    83,910       101,508                
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    (23,571,066     14,743,482         (10,166,938     6,724,179  

Beginning of period

    188,106,759       173,363,277         144,926,900       138,202,721  
 

 

 

     

 

 

 

End of period

  $ 164,535,693     $ 188,106,759       $ 134,759,962     $ 144,926,900  
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,697,728     $ 2,495,048       $ 1,581,249     $ 1,681,136  
 

 

 

     

 

 

 

 

    BlackRock Municipal Income
Quality Trust (BYM)
          BlackRock Municipal Income
Trust II (BLE)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

          Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

 
         
Operations                                        

Net investment income

  $ 10,110,635     $ 21,546,402       $ 9,942,916     $ 21,726,079  

Net realized gain (loss)

    1,322,636       (331,103       (618,431     115,722  

Net change in unrealized appreciation (depreciation)

    (35,481,629     27,620,933         (27,136,480     20,413,932  
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    (24,048,358     48,836,232         (17,811,995     42,255,733  
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (10,456,884     (21,983,222       (10,440,412     (21,868,068
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

                  155,278       316,581  
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    (34,505,242     26,853,010         (28,097,129     20,704,246  

Beginning of period

    428,389,098       401,536,088         378,572,324       357,868,078  
 

 

 

     

 

 

 

End of period

  $ 393,883,856     $ 428,389,098       $ 350,475,195     $ 378,572,324  
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 2,999,995     $ 3,346,244       $ 3,230,550     $ 3,728,046  
 

 

 

     

 

 

 

 

  1  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Statements of Changes in Net Assets     

 

    BlackRock MuniHoldings
Investment Quality Fund (MFL)
          BlackRock MuniVest
Fund, Inc. (MVF)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

          Six Months Ended
February 28,
2017
(Unaudited)
   

Year Ended

August 31,
2016

 
         
Operations                                        

Net investment income

  $ 14,971,796     $ 32,591,123       $ 18,204,654     $ 38,991,048  

Net realized gain (loss)

    3,667,660       6,297,723         (1,322,656     1,172,461  

Net change in unrealized appreciation (depreciation)

    (48,662,325     19,383,609         (46,212,982     21,955,766  
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    (30,022,869     58,272,455         (29,330,984     62,119,275  
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (16,231,914     (32,440,515       (19,158,951     (40,498,987
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

    380,445       212,833         1,520,964       3,079,538  
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    (45,874,338     26,044,773         (46,968,971     24,699,826  

Beginning of period

    599,930,268       573,885,495         667,589,265       642,889,439  
 

 

 

     

 

 

 

End of period

  $ 554,055,930     $ 599,930,268       $ 620,620,294     $ 667,589,265  
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 7,395,404     $ 8,655,522       $ 4,643,836     $ 5,598,133  
 

 

 

     

 

 

 

 

  1  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    61


Statements of Cash Flows     

 

Six Months Ended February 28, 2017 (Unaudited)  

BlackRock
Municipal

Bond Trust
(BBK)

    BlackRock
Municipal
Income
Investment
Quality Trust
(BAF)
    BlackRock
Municipal
Income Quality
Trust
(BYM)
   

BlackRock
Municipal

Income Trust II
(BLE)

 
       
Cash Provided by (Used for) Operating Activities                                

Net decrease in net assets resulting from operations

  $ (14,828,548   $ (6,570,927   $ (24,048,358   $ (17,811,995

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

       

Proceeds from sales of long-term investments

    58,093,932       35,547,805       53,408,183       34,017,610  

Purchases of long-term investments

    (52,828,381     (39,221,245     (53,466,314     (30,545,100

Net proceeds from sales (purchases) of short-term securities

    1,952,482       481,843       (6,240,451     1,000,861  

Amortization of premium and accretion of discount on investments and other fees

    (247,662     466,893       (229,962     450,620  

Net realized (gain) loss on investments

    (1,921,450     250,469       575,341       1,975,364  

Net unrealized loss on investments

    21,616,356       10,291,533       35,296,305       27,005,481  

(Increase) Decrease in Assets:

       

Cash pledged for futures contracts

    (419,000     (238,000     (877,000     (594,000
Receivables:        

Interest — unaffiliated

    111,835       (24,917     (38,844     84,076  

Dividends — affiliated

    36       (25     (72     150  

Variation margin on futures contracts

    (3,522     (5,062     (10,155     (11,258

Prepaid expenses

    11,045       11,775       6,490       18,130  

Increase (Decrease) in Liabilities:

       
Payables:        

Investment advisory fees

    (185,217     (117,900     (349,706     (321,001

Interest expense and fees

    17,838       22,301       67,562       35,369  

Officer’s and Trustees’ fees

    192       (132     (124     (63

Variation margin on futures contracts

    31,704       13,438       52,891       40,500  

Other accrued expenses

    21,427       12,221       26,389       41,266  
 

 

 

 

Net cash provided by operating activities

    11,423,067       920,070       4,172,175       15,386,010  
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Proceeds from TOB Trust Certificates

          10,756,633       17,442,682       3,945,479  

Repayments of TOB Trust Certificates

    (2,650,383     (9,548,930     (13,317,036     (9,002,300

Proceeds from Loan for TOB Trust Certificates

          7,275,762       3,609,005        

Repayments of Loan for TOB Trust Certificates

          (5,776,287     (1,359,792     (33,182

Cash dividends paid to Common Shareholders

    (8,742,146     (3,596,011     (10,456,884     (10,284,402
 

 

 

 

Net cash used for financing activities

    (11,392,529     (888,833     (4,082,025     (15,374,405
 

 

 

 
       
Cash                                

Net increase in cash

    30,538       31,237       90,150       11,605  

Cash at beginning of period

                      5,000  
 

 

 

 

Cash at end of period

  $ 30,538     $ 31,237     $ 90,150     $ 16,605  
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the period for interest expense

  $ 957,332     $ 622,465     $ 1,740,862     $ 1,714,895  
 

 

 

 
       
Non-Cash Financing Activities                                

Capital shares issued in reinvestment of distributions paid to Common Shareholders

  $ 83,910                 $ 155,278  
 

 

 

 

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Statements of Cash Flows     

 

Six Months Ended February 28, 2017 (Unaudited)   BlackRock
MuniHoldings
Investment
Quality Fund
(MFL)
   

BlackRock
MuniVest

Fund, Inc.
(MVF)

 
   
Cash Provided by (Used for) Operating Activities                

Net decrease in net assets resulting from operations

  $ (30,022,869   $ (29,330,984

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

   

Proceeds from sales of long-term investments

    103,475,873       113,309,546  

Purchases of long-term investments

    (122,102,068     (112,683,629

Net proceeds from sales of short-term securities

    3,478,041       2,802,242  

Amortization of premium and accretion of discount on investments and other fees

    2,318,056       1,016,509  

Net realized (gain) loss on investments

    (1,446,492     2,906,300  

Net unrealized loss on investments

    48,443,774       45,986,773  

(Increase) Decrease in Assets:

   

Cash pledged for futures contracts

    (1,257,000     (1,124,000
Receivables:    

Interest — unaffiliated

    (138,668     353,466  

Dividends — affiliated

    242       208  

Variation margin on futures contracts

    (19,519     (19,155

Prepaid expenses

    354       23,608  

Increase (Decrease) in Liabilities:

   
Payables:    

Investment advisory fees

    (503,164     (515,966

Interest expense and fees

    130,232       75,045  

Officer’s and Trustees’ fees

    11,100       (4,308

Variation margin on futures contracts

    69,578       64,829  

Other accrued expenses

    85,157       49,260  
 

 

 

 

Net cash provided by operating activities

    2,522,627       22,909,744  
 

 

 

 
   
Cash Provided by (Used for) Financing Activities                

Proceeds from TOB Trust Certificates

    17,802,507       15,055,964  

Repayments of TOB Trust Certificates

    (5,189,065     (23,801,541

Proceeds from Loan for TOB Trust Certificates

    4,920,075       3,498,775  

Repayments of Loan for TOB Trust Certificates

    (4,920,075      

Cash dividends paid to Common Shareholders

    (15,849,683     (17,630,386

Increase in bank overdraft

    705,216        

Amortization of deferred offering costs

    8,398        
 

 

 

 

Net cash used for financing activities

    (2,522,627     (22,877,188
 

 

 

 
   
Cash                

Net increase in cash

          32,556  

Cash at beginning of period

           
 

 

 

 

Cash at end of period

        $ 32,556  
 

 

 

 
   
Supplemental Disclosure of Cash Flow Information                

Cash paid during the period for interest expense

  $ 2,892,591     $ 3,000,061  
 

 

 

 
   
Non-Cash Financing Activities                

Capital shares issued in reinvestment of distributions paid to Common Shareholders

  $ 380,445     $ 1,520,964  
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    63


Financial Highlights    BlackRock Municipal Bond Trust (BBK)

 

    Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended August 31,  
    2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 17.89     $ 16.49     $ 16.54     $ 14.18     $ 16.79     $ 14.48  
 

 

 

 

Net investment income1

    0.37       0.89       0.90       0.97       0.96       1.01  

Net realized and unrealized gain (loss)

    (1.78     1.42       0.03       2.43       (2.46     2.37  

Distributions to AMPS Shareholders from net investment income

                                  (0.01
 

 

 

 

Net increase (decrease) from investment operations

    (1.41     2.31       0.93       3.40       (1.50     3.37  
 

 

 

 
Distributions to Common Shareholders:2            

From net investment income

    (0.45     (0.90     (0.98     (0.96     (0.97     (1.06

From net realized gain

    (0.39     (0.01           (0.08     (0.14      
 

 

 

 

Total distributions to Common Shareholders

    (0.84     (0.91     (0.98     (1.04     (1.11     (1.06
 

 

 

 

Net asset value, end of period

  $ 15.64     $ 17.89     $ 16.49     $ 16.54     $ 14.18     $ 16.79  
 

 

 

 

Market price, end of period

  $ 15.55     $ 18.22     $ 15.23     $ 15.59     $ 13.49     $ 17.16  
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    (7.82)% 4      14.53%       5.96%       25.27%       (9.52)%       23.96%  
 

 

 

 

Based on market price

    (10.01)% 4      26.29%       3.83%       24.11%       (15.78)%       23.45%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    2.33% 5      1.78%       1.73%       1.84% 7      1.82%       1.69% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.33% 5      1.77%       1.73%       1.84% 7      1.82%       1.64% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.19% 5      1.16%       1.16%       1.19%       1.17%       1.18% 6,8 
 

 

 

 

Net investment income

    4.60% 5      5.18%       5.41%       6.29%       5.85%       6.39% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.04%  
 

 

 

 

Net investment income to Common Shareholders

    4.60% 5      5.18%       5.41%       6.29%       5.85%       6.35%  
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 164,536     $ 188,107     $ 173,363     $ 173,798     $ 149,003     $ 176,216  
 

 

 

 

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

  $  305,927     $  335,428     $  316,975     $  317,520     $  286,487     $  320,545  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 22,404     $ 25,054     $ 19,495     $ 19,495     $ 17,039     $ 14,489  
 

 

 

 

Portfolio turnover rate

    19%       29%       34%       32%       32%       46%  
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4  

Aggregate total return.

 

  5  

Annualized.

 

  6  

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7  

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8  

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.16%.

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Financial Highlights    BlackRock Municipal Income Investment Quality Trust  (BAF)

 

    Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended August 31,  
    2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 16.56     $ 15.80     $ 15.97     $ 13.83     $ 16.53     $ 14.50  
 

 

 

 

Net investment income1

    0.40       0.83       0.83       0.83       0.81       0.83  

Net realized and unrealized gain (loss)

    (1.15     0.75       (0.18     2.13       (2.68     2.09  

Distributions to AMPS Shareholders from net investment income

                                  (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    (0.75     1.58       0.65       2.96       (1.87     2.92  
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.41     (0.82     (0.82     (0.82     (0.83     (0.89
 

 

 

 

Net asset value, end of period

  $ 15.40     $ 16.56     $ 15.80     $ 15.97     $ 13.83     $ 16.53  
 

 

 

 

Market price, end of period

  $ 14.50     $ 15.79     $ 13.89     $ 14.18     $ 12.82     $ 16.24  
 

 

 

 
           
Total Return Applicable to Common Shareholders4        

Based on net asset value

    (4.36)% 5      10.57%       4.71%       22.67%       (11.69)%       20.76%  
 

 

 

 

Based on market price

    (5.56)% 5      19.92%       3.68%       17.50%       (16.68)%       23.59%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.99% 6      1.61%       1.50%       1.58%       1.63%       1.49% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.99% 6      1.61%       1.50%       1.58%       1.63%       1.49% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.05% 6      1.01%       1.00%       1.03%       1.03%       1.06% 7,9 
 

 

 

 

Net investment income

    5.13% 6      5.09%       5.16%       5.56%       5.02%       5.31% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.02%  
 

 

 

 

Net investment income to Common Shareholders

    5.13% 6      5.09%       5.16%       5.56%       5.02%       5.29%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $ 134,760     $ 144,927     $ 138,203     $ 139,723     $ 120,962     $ 144,587  
 

 

 

 

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

  $  419,336     $  443,429     $  427,495     $  431,097     $  386,639     $  442,624  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 44,797     $ 42,089     $ 33,470     $ 32,345     $ 33,845     $ 36,497  
 

 

 

 

Portfolio turnover rate

    15%       29%       13%       26%       43%       51%  
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Amount is greater than $(0.005) per share.

 

  3  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5  

Aggregate total return.

 

  6  

Annualized.

 

  7  

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8  

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9  

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.05%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    65


Financial Highlights    BlackRock Municipal Income Quality Trust (BYM)

 

    Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended August 31,  
    2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 16.22     $ 15.21     $ 15.56     $ 13.46     $ 16.11     $ 14.09  
 

 

 

 

Net investment income1

    0.38       0.82       0.84       0.86       0.91       0.93  

Net realized and unrealized gain (loss)

    (1.28     1.02       (0.33     2.16       (2.62     2.02  

Distributions to AMPS Shareholders from net investment income

                                  (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    (0.90     1.84       0.51       3.02       (1.71     2.95  
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.40     (0.83     (0.86     (0.92     (0.94     (0.93
 

 

 

 

Net asset value, end of period

  $ 14.92     $ 16.22     $ 15.21     $ 15.56     $ 13.46     $ 16.11  
 

 

 

 

Market price, end of period

  $ 14.04     $ 15.55     $ 13.67     $ 13.96     $ 12.59     $ 16.73  
 

 

 

 
           
Total Return Applicable to Common Shareholders4        

Based on net asset value

    (5.44)% 5      12.71%       3.85%       23.69%       (11.13)%       21.54%  
 

 

 

 

Based on market price

    (7.19)% 5      20.23%       4.03%       18.65%       (19.96)%       28.40%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.86% 6      1.56%       1.47%       1.55%       1.55%       1.46% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.86% 6      1.56%       1.47%       1.55%       1.55%       1.46% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    0.96% 6      0.95%       0.96%       0.98%       0.96%       1.00% 7,9 
 

 

 

 

Net investment income

    5.04% 6      5.19%       5.42%       5.89%       5.77%       6.12% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.03%  
 

 

 

 

Net investment income to Common Shareholders

    5.04% 6      5.19%       5.42%       5.89%       5.77%       6.09%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $ 393,884     $ 428,389     $ 401,536     $ 410,776     $ 355,372     $ 424,785  
 

 

 

 

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

  $  387,087     $  412,237     $  392,665     $  399,399     $  359,018     $  409,610  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 112,195     $ 100,250     $ 101,818     $ 93,816     $ 114,948     $ 105,454  
 

 

 

 

Portfolio turnover rate

    8%       10%       12%       20%       24%       17%  
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Amount is greater than $(0.005) per share.

 

  3  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5  

Aggregate total return.

 

  6  

Annualized.

 

  7  

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8  

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9  

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.99%.

 

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Financial Highlights    BlackRock Municipal Income Trust II (BLE)

 

    Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended August 31,  
    2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 16.12     $ 15.25     $ 15.48     $ 13.32     $ 16.10     $ 13.96  
 

 

 

 

Net investment income1

    0.42       0.93       0.92       0.93       0.97       1.02  

Net realized and unrealized gain (loss)

    (1.19     0.87       (0.19     2.22       (2.72     2.14  

Distributions to AMPS Shareholders from net investment income

                                  (0.01
 

 

 

 

Net increase (decrease) from investment operations

    (0.77     1.80       0.73       3.15       (1.75     3.15  
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.44     (0.93     (0.96     (0.99     (1.03     (1.01
 

 

 

 

Net asset value, end of period

  $ 14.91     $ 16.12     $ 15.25     $ 15.48     $ 13.32     $ 16.10  
 

 

 

 

Market price, end of period

  $ 14.86     $ 16.34     $ 14.18     $ 14.70     $ 13.20     $ 16.74  
 

 

 

 
           
Total Return Applicable to Common Shareholders3        

Based on net asset value

    (4.72)% 4      12.21%       5.01%       24.73%       (11.60)%       23.25%  
 

 

 

 

Based on market price

    (6.32)% 4      22.33%       2.83%       19.52%       (15.75)%       26.61%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.98% 5      1.62%       1.55%       1.64%       1.67%       1.55% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.98% 5      1.62%       1.55%       1.64%       1.67%       1.48% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.99% 5      0.98%       0.98%       1.01%       1.00%       0.96% 6,8 
 

 

 

 

Net investment income

    5.60% 5      5.90%       5.94%       6.49%       6.17%       6.74% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.03%  
 

 

 

 

Net investment income to Common Shareholders

    5.60% 5      5.90%       5.94%       6.49%       6.17%       6.71%  
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 350,475     $ 378,572     $ 357,868     $ 363,038     $ 312,329     $ 376,774  
 

 

 

 

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

  $ 331,643     $ 350,213     $ 336,529     $ 339,946     $ 306,430     $ 349,025  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 72,041     $ 77,130     $ 68,692     $ 68,692     $ 73,531     $ 88,876  
 

 

 

 

Portfolio turnover rate

    5%       7%       10%       16%       17%       24%  
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4  

Aggregate total return.

 

  5  

Annualized.

 

  6  

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7  

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8  

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.94%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    67


Financial Highlights    BlackRock MuniHoldings Investment Quality Fund (MFL)

 

    Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended August 31,  
    2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 15.86     $ 15.18     $ 15.46     $ 13.27     $ 15.96     $ 14.00  
 

 

 

 

Net investment income1

    0.40       0.86       0.89       0.89       0.87       0.86  

Net realized and unrealized gain (loss)

    (1.19     0.68       (0.31     2.16       (2.66     2.02  
 

 

 

 

Net increase (decrease) from investment operations

    (0.79     1.54       0.58       3.05       (1.79     2.88  
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.86     (0.86     (0.86     (0.90     (0.92
 

 

 

 

Net asset value, end of period

  $ 14.64     $ 15.86     $ 15.18     $ 15.46     $ 13.27     $ 15.96  
 

 

 

 

Market price, end of period

  $ 14.48     $ 15.86     $ 14.06     $ 13.92     $ 12.59     $ 16.13  
 

 

 

 
           
Total Return Applicable to Common Shareholders3        

Based on net asset value

    (4.95)% 4      10.56%       4.29%       24.24%       (11.70)%       21.22%  
 

 

 

 

Based on market price

    (5.99)% 4      19.37%       7.28%       17.91%       (17.11)%       23.93%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    2.13% 5      1.65%       1.54%       1.64%       1.71%       1.87%  
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.03% 5      1.60%       1.49%       1.57%       1.62%       1.80%  
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    0.95% 5,7      0.94% 7      0.95% 7      1.19% 7      1.29% 7      1.39% 7 
 

 

 

 

Net investment income to Common Shareholders

    5.33% 5      5.54%       5.73%       6.18%       5.55%       5.76%  
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 554,056     $ 599,930     $ 573,885     $ 584,690     $ 501,810     $ 602,780  
 

 

 

 

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

  $  301,768     $  318,474     $  308,990     $  312,924     $  282,742     $  319,152  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 133,900     $ 131,279     $ 85,502     $ 89,157     $ 95,959     $ 131,323  
 

 

 

 

Portfolio turnover rate

    10%       27%       13%       25%       59%       44%  
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4  

Aggregate total return.

 

  5  

Annualized.

 

  6  

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  7  

For the six months ended February 28, 2017 and the year ended August 31, 2016, August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.94%, 0.93%, 0.94%, 0.95%, 0.92% and 0.99%, respectively.

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Financial Highlights    BlackRock MuniVest Fund, Inc. (MVF)

 

    Six Months Ended
February 28,
2017
(Unaudited)
    Year Ended August 31,  
    2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 10.38     $ 10.04     $ 10.27     $ 9.14     $ 10.68     $ 9.55  
 

 

 

 

Net investment income1

    0.28       0.61       0.62       0.63       0.67       0.69  

Net realized and unrealized gain (loss)

    (0.74     0.36       (0.21     1.18       (1.50     1.16  

Distributions to AMPS Shareholders from net investment income

                                  (0.01
 

 

 

 

Net increase (decrease) from investment operations

    (0.46     0.97       0.41       1.81       (0.83     1.84  
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.30     (0.63     (0.64     (0.68     (0.71     (0.71
 

 

 

 

Net asset value, end of period

  $ 9.62     $ 10.38     $ 10.04     $ 10.27     $ 9.14     $ 10.68  
 

 

 

 

Market price, end of period

  $ 10.00     $ 10.77     $ 9.65     $ 9.83     $ 8.91     $ 11.28  
 

 

 

 
           
Total Return Applicable to Common Shareholders3        

Based on net asset value

    (4.46)% 4      9.96%       4.27%       20.70%       (8.39)%       19.85%  
 

 

 

 

Based on market price

    (4.28)% 4      18.70%       4.71%       18.50%       (15.45)%       24.24%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders        

Total expenses

    1.88% 5      1.55%       1.43%       1.49%       1.54%       1.51% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.88% 5      1.55%       1.43%       1.49%       1.54%       1.51% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.90% 5      0.89%       0.89%       0.91%       0.91%       0.98% 6,8 
 

 

 

 

Net investment income

    5.79% 5      5.95%       6.03%       6.53%       6.43%       6.79% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.05%  
 

 

 

 

Net investment income to Common Shareholders

    5.79% 5      5.95%       6.03%       6.53%       6.43%       6.74%  
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 620,620     $ 667,589     $ 642,889     $ 656,922     $ 584,718     $ 679,207  
 

 

 

 

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

  $  354,561     $  373,827     $  363,695     $  369,451     $  339,835     $  378,592  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 160,196     $ 161,957     $ 148,867     $ 145,111     $ 149,085     $ 199,256  
 

 

 

 

Portfolio turnover rate

    11%       13%       18%       14%       11%       11%  
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4  

Aggregate total return.

 

  5  

Annualized.

 

  6  

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7  

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8  

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.96%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    69


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Trust Name   Herein Referred to As    Organized    Diversification
Classification

BlackRock Municipal Bond 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/Directors of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., 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 borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared monthly 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 other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Trusts’ presentation in the Statements of Cash Flows.

 

                
70    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Trusts had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned have been utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

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 the Cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and 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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    71


Notes to Financial Statements (continued)     

 

Valued Investments. Level 3 investments include equity or debt issued by private companies. 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.

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 generally issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a Trust generally provide the Trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The Trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which each Trust has contributed bonds. If multiple BlackRock advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates may be purchased by the Liquidity Provider and are usually remarketed by a Remarketing Agent, which is typically an affiliated entity of the Liquidity Provider. The Remarketing Agent may also purchase the tendered TOB Trust Certificates for its own account in the event of a failed remarketing.

The TOB Trust may be collapsed without the consent of a Trust, upon the occurrence of tender option termination events (“TOTEs”) or mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs include the bankruptcy or default of the issuer of the municipal bonds held in the TOB Trust, a substantial downgrade in the credit quality of the issuer of the municipal bonds held in the TOB Trust, failure of any scheduled payment of principal or interest on the municipal bonds, and/or a judgment or ruling that interest on the municipal bond is subject to U.S. federal income taxation. MTEs may include, among other things, a failed remarketing of the TOB Trust Certificates, the inability of the TOB Trust to obtain renewal of the liquidity support agreement and a substantial decline in the market value of the municipal bonds held in the TOB Trust. Upon the occurrence of a TOTE or an MTE, the TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. In the case of an MTE, after the payment of fees, the TOB Trust Certificates holders would be paid before the TOB Residuals holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificates holders and the TOB Residuals holders would be paid pro rata in proportion to the respective face values of their certificates. During the six months ended February 28, 2017, no TOB Trusts in which a Trust participated were terminated without the consent of a Trust.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they generally 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 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. The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates would be shown as Loan for TOB Trust Certificates.

 

                
72    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

Volcker Rule Impact: On December 10, 2013, regulators published final rules implementing section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”), which precludes banking entities and their affiliates from sponsoring and investing in TOB Trusts. Banking entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and relationships with TOB Trusts established after December 31, 2013 (“Non-Legacy TOB Trusts”), and by July 21, 2017, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

As a result, a new structure for TOB Trusts has been designed in which no banking entity would sponsor the TOB Trust. Specifically, a Trust establishes, structures and “sponsors” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank are performed by, or on behalf of, the Trusts. The Trusts have restructured any Non-Legacy TOB Trusts and are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. Until all restructurings are completed, a Trust may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and new or restructured non-bank sponsored TOB Trusts.

Under the new TOB Trust structure, the Liquidity Provider or Remarketing Agent will no longer purchase the tendered TOB Trust Certificates even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Trust Certificates. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust 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 or the Liquidity Provider, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates or Loan for 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.

For the six months ended February 28, 2017, the following table is a summary of each Trust’s TOB Trusts:

 

     Underlying
Municipal
Bonds
Transferred to
TOB Trusts1
    Liability for
TOB Trust
Certificates2
   

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

  $ 39,438,964     $ 22,403,733     0.67% - 0.82%   $ 24,677,759       1.37%  

BAF

  $ 80,523,512     $ 43,297,138     0.65% - 0.89%   $ 42,333,679       1.38%  

BYM

  $ 189,967,331     $ 109,945,937     0.67% - 1.00%   $ 101,562,665       1.33%  

BLE

  $ 125,653,051     $ 72,040,526     0.65% - 0.89%   $ 74,531,253       1.34%  

MFL

  $ 267,431,377     $ 133,899,769     0.67% - 0.99%   $ 132,173,668       1.36%  

MVF

  $ 311,058,704     $ 156,696,838     0.65% - 0.79%   $ 156,772,379       1.35%  

 

  1  

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB 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 Trusts, as 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 Trusts, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.

 

  2  

The Trusts may invest in TOB Trusts that are 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. In such an event, the Liquidity Provider will typically either (i) fund the full amount owed under the liquidity facility and be subsequently reimbursed from only the proceeds of the liquidation of all or a portion of the municipal bonds held in the TOB Trust or the remarketing of the TOB Trust Certificates, or (ii) liquidate all or a portion of the municipal bonds held in the TOB Trust and then fund the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB Trust on a recourse basis, a Trust will usually enter into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider the amount of any Liquidation Shortfall. As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at February 28, 2017, 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, 2017.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    73


Notes to Financial Statements (continued)     

 

For the six months ended February 28, 2017, 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
 

BAF

  $ 1,499,475       0.25   $ 464,810       0.78

BYM

  $ 2,249,213       0.25   $ 306,745       0.80

BLE

              $ 1,650       0.78

MFL

              $ 1,685,330       0.78

MVF

  $ 3,498,775       0.25   $ 115,981       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: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), 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.

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 value of the contract at the time it was opened and the value 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:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory 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 MFL and MVF, pays the Manager a monthly fee at an annual rate equal to the following percentages 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 a Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, MFL and MVF each pays the Manager a monthly fee based on an annual rate of 0.55% and 0.50%, respectively, of the average daily value of the Trust’s net assets.

For purposes of calculating these fees, “net assets” mean the total assets of a Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of 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 NAV.

 

                
74    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

Expense Waivers: 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 by the Manager in the Statements of Operations. For the six months ended February 28, 2017, the amounts waived were as follows:

 

     BBK      BAF      BYM      BLE      MFL      MVF  

Amounts waived

  $ 1,114      $ 188      $ 1,727      $ 1,410      $ 1,452      $ 4,118  

Effective September 1, 2016, the Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of Trusts’ assets invested in affiliated equity or fixed-income mutual funds or affiliated exchange-traded funds that have a contractual management fee. Prior to September 1, 2016, the Manager did not waive such fees. On December 2, 2016, the Manager entered into a Master Advisory Fee Agreement (“Agreement”), contractually committing to this arrangement through June 30, 2017. 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.

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 preferred shares). This amount is included in fees waived by the Manager in the Statements of Operations. For the six months ended February 28, 2017, the waiver was $281,961.

Officers and Trustees: Certain officers and/or trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

7. Purchases and Sales:

For the six months ended February 28, 2017, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BBK      BAF      BYM      BLE      MFL      MVF  

Purchases

  $ 53,629,141      $ 33,708,640      $ 63,443,779      $ 30,545,100      $ 104,445,828      $ 120,750,442  

Sales

  $ 59,693,068      $ 36,350,608      $ 53,442,942      $ 34,499,447      $ 95,607,164      $ 113,531,936  

8. Income Tax Information

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no 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, 2016. 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, 2017, 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, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BBK      BAF      BYM      BLE      MFL      MVF  

No expiration date1

         $ 5,146,672      $ 6,788,126      $ 7,274,757      $ 20,594,174      $ 10,786,147  

2017

                  6,430,212        2,066,643        1,863,647        7,618,622  

2018

                  2,209,430        4,366,226        11,734,707         

2019

                         2,448,693               5,276,524  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

         $ 5,146,672      $ 15,427,768      $ 16,156,319      $ 34,192,528      $ 23,681,293  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of February 28, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

     BBK      BAF      BYM      BLE      MFL      MVF  

Tax cost

  $ 231,408,387      $ 158,640,465      $ 494,063,645      $ 463,758,859      $ 765,373,845      $ 800,686,640  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross unrealized appreciation

  $ 16,471,507      $ 14,934,749      $ 41,058,980      $ 36,704,259      $ 60,842,702      $ 63,192,263  

Gross unrealized depreciation

    (4,404,836      (698,619      (5,192,170      (4,973,448      (8,982,864      (5,459,616
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net unrealized appreciation

  $ 12,066,671      $ 14,236,130      $ 35,866,810      $ 31,730,811      $ 51,859,838      $ 57,732,647  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    75


Notes to Financial Statements (continued)     

 

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 and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

It is possible that regulators could take positions that could limit the market for non-bank sponsored TOB Trust transactions or the Trusts’ ability to hold TOB Residuals. Under the new TOB Trust structure, the Trusts will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

There can be no assurance that the Trusts can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residuals holdings prior to the compliance date for the Volcker Rule, which may require that the Trusts unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Trusts and any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

Should short-term interest rates rise, the Trusts’ investments in TOB Trust transactions may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”), which took effect in December 2016. The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trust transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule and Risk Retention Rules may adversely impact the municipal market, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. Any such developments could adversely affect the Trusts. The ultimate impact of these rules on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency).

 

                
76    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

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.

Concentration Risk: 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. BYM and MFL invested a significant portion of their 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.

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, including AMPS, without the approval of Common Shareholders.

MFL is authorized to issue an unlimited number of shares, including 1 million Preferred Shares, including AMPS, par value $0.10 per share.

MVF is authorized to issue 160 million shares, 150 million of which were initially classified as Common Shares, par value $0.10 per share and 10 million of which were classified as Preferred Shares, including AMPS, par value $0.10 per share.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     BBK      BLE      MFL      MVF  

Six Months Ended February 28, 2017

    4,967        9,956        24,980        154,630  

Year Ended August 31, 2016

    5,768        19,952        13,338        300,473  

For the six months ended February 28, 2017 and the year ended August 31, 2016 for BAF and BYM, shares issued and outstanding remained constant.

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trusts’ Common Shares as to the payment of dividends by the Trusts and distribution of assets upon dissolution or liquidation of a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a Trust fails to maintain asset coverage of at least 200% of the liquidation preference of the Trusts’ outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Trusts’ Preferred Shares or repurchasing such shares if a Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the voting rights of the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class on certain matters. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees to the Board of each Trust. The holders of Preferred Shares are also entitled to elect the full Board of Trustees if dividends on the Preferred Shares are not paid for a period of two years. The holders of Preferred Shares are also generally entitled to 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 a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended, (the “Securities Act”). The VRDP Shares include a liquidity feature and are currently in a special rate period, each as described below.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    77


Notes to Financial Statements (continued)     

 

As of period end, the VRDP Shares outstanding of MFL were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

MFL

    6/30/11        2,746      $ 274,600,000        7/01/41  

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 the Trust’s 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: MFL entered into a fee agreement with the liquidity provider that requires a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The fee agreement between the MFL and the liquidity provider is for a three-year term and is scheduled to expire on April 19, 2017, unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and 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 MFL will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: MFL may incur remarketing fees of 0.10% on the aggregate principal amount of all the Trust’s 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 no remarketing fees.

Dividends: Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VRDP Shares were assigned a long-term rating of Aa1 from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

For the six months ended February 28, 2017, the annualized dividend rate for MFL’s VRDP Shares was 1.53%.

Special Rate Period: On April 17, 2014, MFL commenced a three-year term ending April 19, 2017 (the “special rate period”), with respect to the VRDP Shares, during which time the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. The implementation of the special rate period resulted in a mandatory tender of the VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for MFL will be withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to April 19, 2017, the holder of the VRDP Shares and MFL may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert 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, the liquidity and fee agreements remain in effect and the VRDP Shares remain subject to mandatory redemption by MFL on the maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during the special rate period. During the special rate period, MFL 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. MFL pays a nominal fee at the annual rate of 0.01% to the liquidity provider and remarketing agent during the special rate period. MFL also pays 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.

If MFL redeems the VRDP Shares prior to the 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.

For the six months ended February 28, 2017, VRDP Shares issued and outstanding of MFL remained constant.

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Notes to Financial Statements (continued)     

 

VMTP Shares

BBK, BAF, BYM, BLE and MVF (collectively, the “VMTP Trusts”), have issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in privately negotiated offerings and sale of VMTP Shares exempt from registration under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and VMTP Trusts may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing documents generally require the consent of the holders of VMTP Shares.

As of period end, the VMTP Shares outstanding of each Trust were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Redemption Date  

BBK

    12/16/11        799      $ 79,900,000        1/02/19  

BAF

    12/16/11        422      $ 42,200,000        1/02/19  

BYM

    12/16/11        1,372      $ 137,200,000        1/02/19  

BLE

    12/16/11        1,513      $ 151,300,000        1/02/19  

MVF

    12/16/11        2,438      $ 243,800,000        1/02/19  

Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of a Trust’s VMTP Shares will be extended further or that a Trust’s VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to the term redemption date, each VMTP Trust is required to begin to segregate liquid assets with each Trust’s custodian to fund the redemption. In addition, each VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, a Trust’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Trust. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If Trusts redeem 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. 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. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VMTP Shares were assigned a long-term rating of Aa1 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. The dividend rate on the VMTP Shares is subject to a step-up spread if the Trusts fail to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

For the six months ended February 28, 2017, the average annualized dividend rates for the VMTP Shares were as follows:

 

     BBK      BAF      BYM      BLE      MVF  

Rate

    2.01%        1.65%        1.65%        1.65%        1.65%  

For the six months ended February 28, 2017, VMTP Shares issued and outstanding of each Trust remained constant.

Offering Costs: The 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 were 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 holders of the VRDP and VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    79


Notes to Financial Statements (concluded)     

 

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share            Preferred Shares3  
     Paid1     Declared2            Shares     Series     Declared  

BBK

  $ 0.0635     $ 0.0635         VMTP       W-7     $ 115,231  

BAF

  $ 0.0685     $ 0.0685         VMTP       W-7     $ 60,861  

BYM

  $ 0.0660     $ 0.0660         VMTP       W-7     $ 197,869  

BLE

  $ 0.0735     $ 0.0735         VMTP       W-7     $ 218,204  

MFL

  $ 0.0715     $ 0.0715         VRDP       W-7     $ 368,039  

MVF

  $ 0.0460     $ 0.0460               VMTP       W-7     $ 351,606  

 

  1  

Net investment income dividend paid on April 3, 2017 to Common Shareholders of record on March 15, 2017.

 

  2  

Net investment income dividend declared on April 3, 2017, payable to Common Shareholders of record on April 13, 2017.

 

  3  

Dividends declared for period March 1, 2017 to March 31, 2017.

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Barbara G. Novick, 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

 

       

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

  

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

  

VRDP Remarketing Agent

Citigroup Global Markets Inc.

New York, NY 10179

  

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Accounting Agent and Custodian

State Street Bank and

Trust Company

Boston, MA 02111

  

VRDP Tender and Paying Agent

and VMTP Redemption and

Paying Agent

The Bank of New York Mellon

New York, NY 10289

  

VRDP Liquidity Provider

Bank of America, N.A.1

New York, NY 10036

  

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

Boston, MA 02116

        

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

  1   

For MFL.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    81


Additional Information     

 

 

Trust Certification

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Effective September 26, 2016, BlackRock implemented a new methodology for calculating “effective duration” for BlackRock’s municipal bond portfolios. The new methodology replaces the model previously used by BlackRock to evaluate municipal bond duration, and is a common indicator of an investment’s sensitivity to interest rate movements. The new methodology is applied to each Trust’s duration reported for periods after September 26, 2016.

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.

 

                
82    SEMI-ANNUAL REPORT    FEBRUARY 28, 2017   


Additional Information (concluded)     

 

General Information (concluded)

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2017    83


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-6-2/17-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 – Not Applicable
Item 10 –    Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –    Controls and Procedures
   (a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
   (b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –    Exhibits attached hereto
   (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
   (a)(2) – Certifications – Attached hereto
   (a)(3) – Not Applicable
   (b) –    Certifications – Attached hereto

 

2


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

BlackRock MuniVest Fund, Inc.

 

By:       /s/ John M. Perlowski                            
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock MuniVest Fund, Inc.

Date: May 3, 2017

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 MuniVest Fund, Inc.

Date: May 3, 2017

By:       /s/ Neal J. Andrews                            
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock MuniVest Fund, Inc.

Date: May 3, 2017

 

3