BLACKROCK MUNIYIELD QUALITY FUND III, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-06540

Name of Fund: BlackRock MuniYield Quality Fund III, Inc. (MYI)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

Quality Fund III, 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: 07/31/2014

Date of reporting period: 04/30/2014

Item 1 – Schedule of Investments

Schedule of Investments April 30, 2014 (Unaudited)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Alabama — 0.6%

     

City of Birmingham Alabama, GO, CAB, Series A, 5.00%, 3/01/43 (a)

    $ 1,940      $ 1,757,271   

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 6/01/39

      3,605        4,163,847   
    

 

 

  
               5,921,118   

Alaska — 1.7%

     

Alaska Housing Finance Corp., RB, General Housing, Series B (NPFGC), 5.25%, 12/01/30

      2,000        2,115,000   

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

      2,690        2,963,062   

Borough of Matanuska-Susitna Alaska, RB, Goose Creek Correctional Center (AGC), 6.00%, 9/01/28

      10,150        12,209,942   
    

 

 

  
               17,288,004   

Arizona — 0.4%

     

City of Phoenix & County of Maricopa Arizona IDA, Refunding RB, S/F Housing, Series A-2, AMT (Fannie Mae), 5.80%, 7/01/40

      260        264,610   

State of Arizona, COP, Department of Administration, Series A (AGM), 5.00%, 10/01/27

      3,075        3,373,183   
    

 

 

  
               3,637,793   

California — 13.6%

     

Alameda Corridor Transportation Authority, Refunding RB, CAB, Subordinate Lien, Series A (AMBAC), 5.40%, 10/01/24 (a)

      10,000        10,788,500   

California Health Facilities Financing Authority, RB:

     

St. Joseph Health System, Series A, 5.75%, 7/01/39

      1,550        1,784,298   

Sutter Health, Series B, 5.88%, 8/15/31

      3,200        3,797,184   

California Health Facilities Financing Authority, Refunding RB, Saint Joseph’s Health System, Series A, 5.00%, 7/01/37

      2,965        3,202,378   

California HFA, RB, S/F Housing, Home Mortgage, Series K, AMT, 5.50%, 2/01/42

      1,740        1,776,418   
Municipal Bonds   

Par  

(000)

     Value  

California (continued)

     

California State Public Works Board, LRB:

     

Various Capital Projects, Series I, 5.00%, 11/01/38

    $ 5,040      $ 5,402,225   

Various Judicial Council Projects, Series A, 5.00%, 3/01/38

      1,940        2,071,183   

California State University, RB, Systemwide, Series A, 5.50%, 11/01/39

      1,525        1,754,665   

California Statewide Communities Development Authority, RB:

     

Kaiser Permanente, Series A, 5.00%, 4/01/42

      4,030        4,284,253   

St. Joseph Health System, Series E (AGM), 5.25%, 7/01/47

      4,000        4,143,400   

City of Redding California, COP, Refunding, Series A (AGM), 5.00%, 6/01/30

      1,900        2,104,649   

City of San Jose California, Refunding ARB, AMT:

     

Series A (AMBAC), 5.50%, 3/01/32

      11,965        13,174,183   

Series A-1, 5.75%, 3/01/34

      2,300        2,557,646   

Coast Community College District, GO, Election of 2002, Series C (AGM), 0.00%, 8/01/33 (b)

      8,100        2,900,043   

County of Sacramento California, ARB, Senior Series A, 5.00%, 7/01/41

      10,000        10,536,200   

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A, 6.00%, 3/01/36

      1,830        2,211,903   

Dublin Unified School District California, GO, CAB, Election of 2004, Series D, 0.00%, 8/01/34 (b)

      5,000        1,583,850   

Fairfield-Suisun Unified School District California, GO, Election of 2002 (NPFGC), 5.50%, 8/01/14 (c)

      5,800        5,878,358   

Grossmont Union High School District, GO, CAB, Election of 2004, 0.00%, 8/01/31 (b)

      5,110        2,284,936   

Long Beach Unified School District, GO, Election of 2008, Series B, 0.00%, 8/01/34 (b)

      5,000        1,917,000   

Los Angeles Community College District California, GO, Election of 2001, Series A (AGM), 5.00%, 8/01/32

      1,200        1,330,068   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014    1

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

Municipal Bonds   

Par  

(000)

     Value  

California (continued)

     

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 6.25%, 8/01/43 (a)

    $ 3,975      $ 2,162,281   

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

      7,620        2,246,528   

Oceanside Unified School District, GO, Series A (AGC), 5.25%, 8/01/33

      2,500        2,672,375   

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement, Election of 2008, Series B (b):

     

0.00%, 8/01/35

      7,820        2,835,923   

0.00%, 8/01/36

      10,000        3,427,600   

Rio Hondo Community College District California, GO, CAB, Election of 2004, Series C (b):

     

0.00%, 8/01/37

      8,000        2,576,960   

0.00%, 8/01/38

      12,940        3,970,768   

San Bernardino Community College District, GO, Election of 2002, Series C (AGM), 5.00%, 8/01/31

      2,165        2,330,298   

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

      3,485        1,615,053   

San Diego California Unified School District, GO, Series G (b):

     

0.00%, 7/01/34

      1,860        655,669   

0.00%, 7/01/35

      1,970        652,149   

0.00%, 7/01/36

      2,960        922,010   

0.00%, 7/01/37

      1,975        579,050   

San Marcos Unified School District, GO, Election of 2010, Series A:

     

5.00%, 8/01/34

      1,800        1,954,710   

5.00%, 8/01/38

      1,600        1,719,568   

State of California, GO:

     

Series 2007-2 (NPFGC), 5.50%, 4/01/30

      10        10,043   

Various Purpose, 5.00%, 4/01/42

      2,000        2,144,360   

Various Purposes, 5.50%, 3/01/40

      1,020        1,156,711   

State of California, GO, Refunding, Various Purpose:

     

5.00%, 2/01/38

      4,000        4,308,360   

5.00%, 9/01/41

      2,700        2,884,221   

5.00%, 10/01/41

      2,555        2,731,090   
Municipal Bonds   

Par  

(000)

     Value  

California (concluded)

     

Walnut Valley Unified School District, GO, CAB, Election of 2007, Series B, 0.00%, 8/01/36 (b)

    $ 6,545      $ 2,248,731   

West Valley-Mission Community College District, GO, Refunding, Election of 2004, Series A (AGM), 5.00%, 8/01/30

      3,600        3,874,860   
    

 

 

  
               135,162,658   

Florida — 11.9%

     

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

      13,100        14,526,066   

County of Broward Florida Water & Sewer Utility, Refunding RB, Series A, 5.25%, 10/01/34

      2,250        2,521,575   

County of Collier Florida School Board, COP, (AGM), 5.00%, 2/15/16 (c)

      5,000        5,415,100   

County of Highlands Florida Health Facilities Authority, RB, Adventist Health System/Sunbelt, Series B, 6.00%, 11/15/37

      1,750        2,034,987   

County of Lee Florida, Refunding ARB, Series A, AMT:

     

5.63%, 10/01/26

      2,600        2,929,550   

5.38%, 10/01/32

      3,440        3,688,058   

County of Miami-Dade Florida, GO, Building Better Communities Program:

     

Series B, 6.38%, 7/01/28

      6,000        7,051,560   

Series B-1, 5.75%, 7/01/33

      3,700        4,202,349   

County of Miami-Dade Florida, RB:

     

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

      5,695        6,538,031   

Seaport, Series B, AMT, 6.00%, 10/01/30

      1,820        2,097,095   

Seaport, Series B, AMT, 6.25%, 10/01/38

      1,165        1,325,828   

Seaport, Series B, AMT, 6.00%, 10/01/42

      1,865        2,083,858   

Transit System Sales Surtax (AGM), 5.00%, 7/01/35

      2,800        3,021,620   

County of Miami-Dade Florida, Refunding RB:

     

Special Obligation, Sub-Series B, 5.00%, 10/01/37

      2,640        2,748,478   

Water & Sewer System, Series C, 6.00%, 10/01/23

      20,095        23,715,114   

 

                
2    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Florida (concluded)

     

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport, Series A, AMT (AGM), 5.50%, 10/01/41

    $ 19,020      $ 21,130,840   

County of Miami-Dade Florida Aviation Revenue, Refunding RB, AMT:

     

5.00%, 10/01/31

      4,000        4,302,640   

5.00%, 10/01/34

      530        560,417   

County of Palm Beach Florida Solid Waste Authority, Refunding RB, 5.00%, 10/01/31

      3,100        3,340,529   

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

      5,135        5,415,422   
    

 

 

  
               118,649,117   

Georgia — 1.7%

     

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series B (AGM), 5.25%, 7/01/14 (c)

      10,000        10,086,400   

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

      6,450        6,844,353   
    

 

 

  
               16,930,753   

Hawaii — 0.4%

     

State of Hawaii Department of Transportation, COP, AMT:

     

5.00%, 8/01/27

      2,000        2,166,980   

5.00%, 8/01/28

      1,775        1,912,456   
    

 

 

  
               4,079,436   

Illinois — 21.1%

     

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

     

Series A, 5.75%, 1/01/39

      9,000        9,825,390   

Series B-2, AMT (NPFGC), 5.25%, 1/01/27

      8,530        8,557,893   

Series B-2, AMT (NPFGC), 6.00%, 1/01/27

      1,695        1,702,611   

City of Chicago Illinois, GO, Refunding,:

     

5.00%, 1/01/34

      2,000        2,022,800   

5.00%, 1/01/35

      9,280        9,343,011   

5.00%, 1/01/36

      4,245        4,257,608   

Series A, 5.25%, 1/01/33

      11,065        11,428,485   
Municipal Bonds   

Par  

(000)

     Value  

Illinois (continued)

     

City of Chicago Illinois, GO, Refunding (concluded):

     

Series A (AGC), 5.25%, 1/01/24

    $ 4,700      $ 5,086,763   

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

     

3rd Lien, Series C-2 (AGM), 5.25%, 1/01/30

      13,240        13,252,710   

Series B, 5.00%, 1/01/31

      2,425        2,546,080   

City of Chicago Illinois, Refunding RB, Series A:

     

Sales Tax Receipts, 5.00%, 1/01/41

      4,190        4,297,013   

Waterworks, Second Lien (AMBAC), 5.00%, 11/01/36

      3,500        3,634,960   

City of Chicago Illinois Board of Education, GO, Series A, 5.50%, 12/01/39

      6,050        6,219,521   

City of Chicago Illinois Park District, GO, Series C, Harbor Facilities:

     

Revenues, 5.25%, 1/01/37

      4,000        4,208,600   

5.25%, 1/01/40

      1,505        1,583,486   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/36

      1,620        1,740,350   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.13%, 12/01/38

      3,250        3,442,985   

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

      775        828,273   

County of Cook Illinois Forest Preserve District, GO, Series C, 5.00%, 12/15/37

      890        945,465   

Illinois Finance Authority, RB, Carle Foundation, Series A, 5.75%, 8/15/34

      8,700        9,630,900   

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

      5,250        6,065,587   

Illinois Municipal Electric Agency, RB, Series A (NPFGC):

     

5.00%, 2/01/35

      17,935        18,763,597   

5.25%, 2/01/35

      15,000        16,147,050   

Illinois State Toll Highway Authority, RB, Series B:

     

5.50%, 1/01/33

      4,000        4,446,320   

(BHAC), 5.50%, 1/01/33

      2,000        2,232,120   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014    3

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

Illinois (concluded)

     

Metropolitan Pier & Exposition Authority, RB, CAB, McCormick Place Explosion Project, Series A (NPFGC) (b):

     

0.00%, 12/15/26

    $ 8,500      $ 5,101,105   

0.00%, 6/15/32

      14,000        5,915,420   

0.00%, 12/15/33

      20,000        7,749,400   

0.00%, 12/15/34

      41,880        15,276,149   

Metropolitan Pier & Exposition Authority, Refunding RB, CAB, McCormick Place Expansion Project, Series B (AGM), 0.00%, 6/15/44 (b)

      9,430        1,882,982   

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

      1,700        1,972,714   

Regional Transportation Authority, RB, Series C (NPFGC), 7.75%, 6/01/20

      1,000        1,209,290   

State of Illinois, GO:

     

5.25%, 2/01/33

      5,860        6,289,597   

5.25%, 2/01/34

      5,360        5,730,912   

Various Purposes, 5.50%, 7/01/33

      2,235        2,448,755   

Various Purposes, 5.50%, 7/01/38

      1,200        1,309,044   

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

      2,580        2,769,785   
    

 

 

  
               209,864,731   

Indiana — 3.1%

     

City of Indianapolis Indiana, Refunding RB, Series B (AGC), 5.25%, 8/15/27

      5,000        5,361,100   

Indiana Finance Authority, RB, Series A:

     

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

      2,900        3,189,217   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/40

      2,425        2,465,886   

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

      1,400        1,413,650   

Indiana Municipal Power Agency, RB:

     

Series A (NPFGC), 5.00%, 1/01/37

      3,850        4,087,583   
Municipal Bonds   

Par  

(000)

     Value  

Indiana (concluded)

     

Indiana Municipal Power Agency, RB (concluded):

     

Series B, 6.00%, 1/01/39

    $ 5,000      $ 5,614,050   

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

     

5.75%, 1/01/38

      2,900        3,159,115   

(AGC), 5.25%, 1/01/29

      1,350        1,472,148   

(AGC), 5.50%, 1/01/38

      4,250        4,571,300   
    

 

 

  
               31,334,049   

Iowa — 3.0%

     

Iowa Finance Authority, RB, Iowa Health Facilities, Series A (AGC), 5.63%, 8/15/37

      12,650        14,256,171   

Iowa Student Loan Liquidity Corp., RB, Senior Series A-2, AMT:

     

5.60%, 12/01/26

      3,740        3,952,544   

5.70%, 12/01/27

      3,740        3,937,173   

5.75%, 12/01/28

      1,980        2,075,238   

5.80%, 12/01/29

      2,530        2,646,608   

5.85%, 12/01/30

      2,615        2,730,295   
    

 

 

  
               29,598,029   

Kentucky — 1.1%

     

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

      1,000        1,086,860   

Kentucky Public Transportation Infrastructure Authority, RB, Convertible CAB, 1st tier, Series C, 6.60%, 7/01/39 (a)

      8,225        5,077,128   

Kentucky State Property & Buildings Commission, Refunding RB, Project No. 93 (AGC), 5.25%, 2/01/28

      4,000        4,550,080   
    

 

 

  
               10,714,068   

Louisiana — 1.4%

     

City of New Orleans Louisiana Aviation Board, RB, New Orleans Aviation, Series A, AMT (AGM), 5.25%, 1/01/32

      6,405        6,609,127   

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, East Baton Rouge Sewerage Commission Projects, Sub-Lien, Series A: 5.00%, 2/01/43

      3,885        4,145,645   

 

                
4    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Louisiana (concluded)

                 

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, East Baton Rouge Sewerage Commission Projects, Sub-Lien, Series A (concluded):

     

4.00%, 2/01/48

    $ 3,885      $ 3,570,665   
    

 

 

  
               14,325,437   

Massachusetts — 1.1%

     

Massachusetts HFA, RB, Series B, 7.00%, 12/01/38

      3,150        3,466,040   

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

      3,100        3,161,070   

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

      3,495        3,847,051   
    

 

 

  
               10,474,161   

Michigan — 8.5%

     

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien:

     

Series B (AGM), 7.50%, 7/01/33

      1,000        1,084,940   

Series C-1 (AGM), 7.00%, 7/01/27

      1,500        1,624,395   

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

     

6.25%, 7/01/36

      1,075        1,086,965   

7.00%, 7/01/36

      500        533,485   

City of Detroit Michigan Water Supply System, Refunding RB, Water Supply System:

     

2nd Lien, Series D (NPFGC), 5.00%, 7/01/33

      5,000        4,824,550   

Senior Lien, Series D (AGM), 5.00%, 7/01/23

      5,000        5,004,750   

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

      3,185        3,609,401   

Michigan Finance Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/39

      16,100        17,003,693   

Michigan State Building Authority, Refunding RB, Facilities Program:

     

Series I, 6.25%, 10/15/38

      3,125        3,628,531   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (concluded)

                 

Michigan State Building Authority, Refunding RB, Facilities Program (concluded):

     

Series I (AGC), 5.25%, 10/15/24

    $ 1,750      $ 1,987,510   

Series I (AGC), 5.25%, 10/15/25

      3,250        3,648,840   

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

      1,900        2,079,816   

State of Michigan, RB, GAB (AGM):

     

5.25%, 9/15/22

      10,000        11,215,700   

5.25%, 9/15/26

      6,650        7,368,067   

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

     

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

      2,075        2,277,022   

Series II-A (AGM), 5.25%, 10/15/36

      8,040        8,747,279   

State of Michigan HDA, RB, Series C, AMT, 5.50%, 12/01/28

      2,335        2,455,580   

Wayne County Airport Authority, Refunding RB, AMT (AGC), 5.38%, 12/01/32

      5,000        5,560,250   

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

      1,080        1,150,826   
    

 

 

  
               84,891,600   

Minnesota — 0.7%

     

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

      5,500        6,453,535   

Nebraska — 0.7%

     

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

      6,825        7,220,850   

Nevada — 2.3%

     

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

      2,250        2,600,258   

County of Clark Nevada, ARB:

     

Department of Aviation, Subordinate Lien, Series A-2 (NPFGC), 5.00%, 7/01/14 (c)

      12,750        12,852,892   

Las Vegas-McCarran International Airport, Series A, 5.25%, 7/01/42

      2,000        2,137,080   

 

                
  

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

    APRIL 30, 2014    5

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Nevada (concluded)

                 

County of Clark Nevada, ARB (concluded):

     

Las Vegas-McCarran International Airport, Series A (AGM), 5.25%, 7/01/39

    $ 5,170      $ 5,546,117   
    

 

 

  
               23,136,347   

New Jersey — 6.2%

     

New Jersey EDA, RB, Private Activity Bond, The Goethals Bridge Replacement Project:

     

AMT, 5.38%, 1/01/43

      4,920        5,179,235   

AMT, 5.13%, 1/01/34

      1,930        2,024,686   

New Jersey EDA, Refunding RB, School Facilities Construction:

     

Series N-1 (AMBAC), 5.50%, 9/01/24

      6,425        7,766,733   

Series N-1 (NPFGC), 5.50%, 9/01/28

      1,685        2,034,671   

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT:

     

5.50%, 12/01/25

      1,250        1,379,975   

5.50%, 12/01/26

      1,800        1,969,848   

5.75%, 12/01/28

      200        220,636   

5.88%, 12/01/33

      6,895        7,463,768   

New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series 2, AMT, 4.35%, 11/01/33

      3,360        3,333,792   

New Jersey Transportation Trust Fund Authority, RB:

     

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

      18,525        6,247,556   

CAB, Transportation System, Series C (AGC) (AMBAC), 0.00%, 12/15/25 (b)

      10,000        6,348,500   

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

      4,150        4,603,429   

Transportation System, Series A (NPFGC), 5.75%, 6/15/25

      4,000        4,947,920   

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

      5,725        6,389,787   
Municipal Bonds   

Par  

(000)

     Value  

New Jersey (concluded)

     

Rutgers - The State University of New Jersey, Refunding RB, Series L, 5.00%, 5/01/43

    $ 1,200      $ 1,313,712   
    

 

 

  
               61,224,248   

New York — 4.2%

     

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

     

Fiscal 2009, Series S-4, 5.50%, 1/15/34

      7,250        8,295,305   

Future Tax Secured, Series C, 5.50%, 11/01/35

      1,820        2,106,359   

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

      4,150        4,630,238   

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

      1,920        2,132,102   

Port Authority of New York & New Jersey, ARB, Consolidated, 37th Series, AMT (AGM), 5.13%, 7/15/30

      19,500        19,872,840   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 172nd Series, AMT, 4.50%, 4/01/37

      1,500        1,524,945   

State of New York Dormitory Authority, ERB, Series B, 5.25%, 3/15/38

      3,250        3,700,580   
    

 

 

  
               42,262,369   

Ohio — 2.1%

     

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

      3,000        3,570,090   

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

      11,135        12,145,947   

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

     

5.25%, 2/15/32

      1,950        2,176,512   

5.25%, 2/15/33

      2,730        3,031,965   
    

 

 

  
               20,924,514   

Pennsylvania — 3.3%

     

Commonwealth Financing Authority, RB, Series B, 5.00%, 6/01/42

      3,630        3,814,513   

 

                
6    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Pennsylvania (concluded)

     

Pennsylvania Turnpike Commission, RB:

     

Series A, 5.00%, 12/01/38

    $ 1,775      $ 1,923,710   

Series A (AMBAC), 5.50%, 12/01/31

      15,600        16,014,804   

Series C, 5.50%, 12/01/33

      1,565        1,775,680   

Sub-Series C (AGC), 6.25%, 6/01/38

      5,695        6,534,500   

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

      2,575        2,968,640   
    

 

 

  
               33,031,847   

South Carolina — 1.3%

     

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

      3,600        4,107,960   

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

      2,025        2,243,072   

State of South Carolina Public Service Authority, Refunding RB, Santee Cooper, Series B, 5.00%, 12/01/38

      5,870        6,294,695   
    

 

 

  
               12,645,727   

Texas — 15.3%

     

City of Houston Texas Utility System, Refunding RB:

     

Combined 1st Lien, Series A (AGC), 6.00%, 11/15/35

      5,700        6,659,880   

Combined 1st Lien, Series A (AGC), 5.38%, 11/15/38

      3,650        3,979,595   

Series A (AGM), 5.00%, 11/15/36

      10,000        10,837,200   

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

      1,450        1,579,572   

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

      5,810        2,045,120   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Cook Children’s Medical Center, 5.25%, 12/01/39

      2,095        2,322,873   

Dallas ISD, GO, School Building (PSF-GTD), 6.38%, 2/15/34

      10,000        11,885,400   
Municipal Bonds   

Par  

(000)

     Value  

Texas (concluded)

     

Dallas-Fort Worth International Airport, ARB:

     

Joint Improvement, Series D, AMT, 5.00%, 11/01/38

    $ 13,080      $ 13,492,543   

Series F, 5.00%, 11/01/35

      5,000        5,199,600   

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

      2,745        3,080,933   

Grand Prairie ISD, GO, Refunding, 0.00%, 8/15/28 (b)

      10,000        4,500,600   

Judson ISD Texas, GO, School Building (AGC), 5.00%, 2/01/37

      10,000        10,721,600   

North Texas Tollway Authority, Refunding RB, System:

     

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

      6,275        7,257,979   

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

      10,000        11,069,400   

Series A (NPFGC), 5.13%, 1/01/28

      20,000        21,842,600   

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project:

     

4.00%, 9/15/42

      2,225        2,105,629   

CAB, 0.00%, 9/15/35 (b)

      6,410        2,286,960   

CAB, 0.00%, 9/15/36 (b)

      12,195        4,092,154   

CAB, 0.00%, 9/15/37 (b)

      8,730        2,756,847   

State of Texas Turnpike Authority, RB, CAB (AMBAC), 0.00%, 8/15/31 (b)

      20,265        7,231,565   

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

     

5.00%, 12/15/31

      1,665        1,717,880   

5.00%, 12/15/32

      5,565        5,725,717   

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 8/15/41

      9,250        9,502,063   
    

 

 

  
               151,893,710   

Utah — 1.8%

     

Utah Transit Authority, Refunding RB, CAB (b):

     

Sub-Series A (AGC), 0.00%, 6/15/20

      10,000        8,276,700   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014    7

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Utah (concluded)

                 

Utah Transit Authority, Refunding RB, CAB (b) (concluded):

     

Sub-Series A (NPFGC), 0.00%, 6/15/24

    $ 13,930      $ 9,374,333   
    

 

 

  
               17,651,033   

Vermont — 0.1%

     

Vermont HFA, Refunding RB, Multiple Purpose, Series C, AMT (AGM), 5.50%, 11/01/38

      1,020        1,037,881   

Washington — 1.0%

     

Washington Health Care Facilities Authority, RB:

     

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

      1,000        1,044,780   

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

      2,725        2,899,918   

Washington Health Care Facilities Authority, Refunding RB, Catholic Health Initiatives, Series D, 6.38%, 10/01/36

      5,400        6,219,558   
    

 

 

  
               10,164,256   

Wisconsin — 0.4%

     

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

      3,745        4,110,025   
Total Municipal Bonds — 109.0%              1,084,627,296   
    
                  
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		  

Arizona — 1.5%

                 

Arizona School Facilities Board, COP, (AGC), 5.13%, 9/01/21 (e)

      10,000        11,086,400   

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

      3,500        3,823,015   
    

 

 

  
               14,909,415   

California — 11.3%

     

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

      7,996        8,885,844   

California State University, Refunding RB, Systemwide, Series A (AGM), 5.00%, 11/01/37

      21,981        24,203,140   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

California (concluded)

                 

City of Riverside California, RB, Issue D (AGM), 5.00%, 10/01/38

    $ 20,000      $ 21,117,200   

County of Alameda California Joint Powers Authority, Refunding LRB, (AGM), 5.00%, 12/01/34

      6,990        7,714,444   

County of Orange California Sanitation District, COP, Series B (AGM), 5.00%, 2/01/37

      10,780        11,787,822   

County of San Diego California Water Authority, COP, Refunding, Series A (AGM), 5.00%, 5/01/33

      9,370        10,419,721   

Foothill-De Anza Community College District, GO, Election of 1999, Series C (NPFGC), 5.00%, 8/01/36

      7,500        7,856,400   

Las Virgenes Unified School District California, GO, Series A (AGM), 5.00%, 8/01/31

      10,000        10,759,277   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/33

      5,248        6,233,330   

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

      1,047        1,203,154   

University of California, RB, Series O, 5.75%, 5/15/34

      2,205        2,569,736   
    

 

 

  
               112,750,068   

Colorado — 0.3%

     

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiatives, Series A, 5.50%, 7/01/34 (e)

      2,469        2,800,250   

Connecticut — 0.6%

     

Connecticut State Health & Educational Facility Authority, RB, Yale University, Series T-1, 4.70%, 7/01/29

      5,019        5,488,331   

District of Columbia — 2.6%

     

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

      2,595        3,045,033   

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/35 (e)

      4,279        4,908,171   

Metropolitan Washington Airports Authority, RB, Series B, AMT, 5.00%, 10/01/32

      10,000        10,568,400   

 

                
8    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

District of Columbia (concluded)

     

Metropolitan Washington Airports Authority, Refunding ARB, Series A, AMT, 5.00%, 10/01/30

    $ 6,880      $ 7,516,538   
    

 

 

  
               26,038,142   

Florida — 6.5%

     

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

      3,300        3,600,564   

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

      5,400        5,811,696   

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

      4,840        5,170,717   

County of Miami-Dade Florida Transit System, RB, (Syncora), 5.00%, 7/01/31

      19,800        21,100,266   

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

      11,702        12,405,495   

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

      12,013        13,138,004   

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

      3,299        3,651,500   
    

 

 

  
               64,878,242   

Georgia — 1.1%

     

Metropolitan Atlanta Rapid Transit Authority, Refunding RB, 3rd Indenture, Series B (AGM), 5.00%, 7/01/37

      10,000        10,835,515   

Illinois — 2.7%

     

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

      4,000        4,055,920   

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

      720        748,217   

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

      3,499        3,878,259   

State of Illinois Finance Authority, RB, University of Chicago, Series B, 6.25%, 7/01/38

      10,000        11,542,400   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

Illinois (concluded)

     

State of Illinois Toll Highway Authority, RB, Series A, 5.00%, 1/01/38

    $ 5,836      $ 6,154,577   
    

 

 

  
               26,379,373   

Kentucky — 0.7%

     

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

      5,985        6,815,976   

Louisiana — 1.1%

     

State of Louisiana Gas & Fuels, RB, Series A (AGM), 5.00%, 5/01/36

      10,000        10,663,500   

Nevada — 0.6%

     

County of Clark Nevada Water Reclamation District, GO, Series B:

     

Limited Tax, 5.75%, 7/01/34

      4,813        5,624,925   

5.50%, 7/01/29

      510        597,635   
    

 

 

  
               6,222,560   

New Jersey — 1.8%

     

Garden State Preservation Trust, RB, Election of 2005, Series A (AGM), 5.75%, 11/01/28

      10,000        12,714,500   

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

      4,961        5,383,588   
    

 

 

  
               18,098,088   

New York — 6.7%

     

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

     

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

      15,521        16,635,927   

Series DD, 5.00%, 6/15/37

      17,567        18,633,082   

City of New York New York Water & Sewer System, RB, Series DD, 5.00%, 6/15/35

      4,740        5,290,172   

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

      14,280        15,504,081   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014    9

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

New York (concluded)

     

Port Authority of New York & New Jersey, Refunding RB, Construction, 143rd Series, AMT, 5.00%, 10/01/30

    $ 5,180      $ 5,359,953   

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

      4,500        5,083,110   
    

 

 

  
               66,506,325   

North Carolina — 0.8%

     

North Carolina HFA, RB, Series 31-A, AMT, 5.25%, 7/01/38

      7,974        8,133,728   

Ohio — 0.7%

     

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 10/01/41

      4,990        5,137,255   

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

      1,520        1,661,482   
    

 

 

  
               6,798,737   

South Carolina — 0.3%

     

State of South Carolina Housing Finance & Development Authority, Refunding RB, S/F Housing, Series B-1, 5.55%, 7/01/39

      3,318        3,401,927   

Texas — 5.2%

     

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

      1,799        1,921,262   

Dallas Fort Worth International Airport, ARB, Series H, AMT, 5.00%, 11/01/37 (e)

      8,868        9,181,794   

Friendswood ISD Texas, GO, Schoolhouse (PSF-GTD), 5.00%, 2/15/37

      12,955        14,304,522   

Houston ISD, GO, Schoolhouse (PSF-GTD), 5.00%, 2/15/33

      10,000        10,920,900   

North East Texas ISD, GO, School Building, Series A (PSF-GTD), 5.00%, 8/01/37 (e)

      3,500        3,846,780   

Texas State University Systems, Refunding RB, 5.25%, 3/15/26

      10,000        11,322,300   
    

 

 

  
               51,497,558   

Virginia — 0.4%

     

University of Virginia, Refunding RB, General, 5.00%, 6/01/40

      3,944        4,391,763   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

Washington — 3.6%

     

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/34

    $ 16,770      $ 18,739,049   

County of King Washington, RB (AGM), 5.00%, 1/01/37

      15,785        17,298,782   
    

 

 

  
               36,037,831   

Wisconsin — 2.8%

     

State of Wisconsin, Refunding RB, Series A, 6.00%, 5/01/36

      14,780        17,292,304   

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

     

Series A, 5.00%, 4/01/42

      2,490        2,649,933   

Series C, 5.25%, 4/01/39 (e)

      7,459        7,932,729   
    

 

 

  
               27,874,966   
Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts — 51.3%		         510,522,295   

Total Long-Term Investments

(Cost — $1,476,403,051) — 160.3%

  

  

     1,595,149,591   
    
                  
Short-Term Securities — 1.0%    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (f)(g)

      10,309,702        10,309,702   

Total Short-Term Securities

(Cost — $10,309,702) — 1.0%

  

  

     10,309,702   
Total Investments (Cost — $1,486,712,753*) — 161.3%        1,605,459,293   
Other Assets Less Liabilities — 1.6%        15,820,572   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (27.1%)

   

     (269,437,030 ) 
VRDP Shares, at Liquidation Value — (35.8%)        (356,400,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 995,442,835   
 

 

 

  

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

   

Tax cost

      $ 1,222,780,266   
    

 

 

  

Gross unrealized appreciation

      $ 121,632,598   

Gross unrealized depreciation

        (8,323,688 ) 
    

 

 

  

Net unrealized appreciation

      $ 113,308,910   
    

 

 

  

 

                
10    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014   

Schedule of Investments (continued)    BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

 

Notes to Schedule of Investments

 

(a)   Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

 

(b)   Zero-coupon bond.

 

(c)   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.

 

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

 

(e)   All or a portion of security is subject to a recourse agreement, which may require the Fund to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire from February 1, 2016 to December 1, 2029 is $37,276,720.

 

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

 

Affiliate      Shares Held
at July 31,
2013		        Net
Activity		        Shares Held
at April 30,
2014		        Income  

FFI Institutional Tax-Exempt Fund

        9,261,003           1,048,699           10,309,702         $ 2,803   

 

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

 

Portfolio Abbreviations

 

AGC      Assured Guarantee Corp.
AGM      Assured Guaranty Municipal Corp.
AMBAC      American Municipal Bond Assurance Corp.
AMT      Alternative Minimum Tax (subject to)
ARB      Airport Revenue Bonds
BHAC      Berkshire Hathaway Assurance Corp.
CAB      Capital Appreciation Bonds
COP      Certificates of Participation
EDA      Economic Development Authority
ERB      Education Revenue Bonds
GAB      Grant Anticipation Bonds
GARB      General Airport Revenue Bonds
GO      General Obligation Bonds
HDA      Housing Development Authority
HFA      Housing Finance Agency
IDA      Industrial Development Authority
ISD      Independent School District
LRB      Lease Revenue Bonds
M/F      Multi-family
NPFGC      National Public Finance Guarantee Corp.
PSF-GTD      Permanent School Fund Guaranteed
RB      Revenue Bonds
S/F      Single-family
Syncora      Syncora Guarantee

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014    11

Schedule of Investments (continued)    BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

 

Ÿ  

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

 

Contracts
Sold		     Issue   Exchange   Expiration  

Notional

Value

      Unrealized
Depreciation		  
  (555 )    10-Year U.S. Treasury Note   Chicago Board of Trade   June 2014   $ 69,054,141       $ (206,566 ) 

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

Ÿ  

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’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.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, please refer to the Fund’s most recent financial statements as contained in its semi-annual report.

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                 
Investments:                 

Long-Term Investments1

    —         $ 1,595,149,591           —         $ 1,595,149,591   

Short-Term Securities

   $ 10,309,702           —           —           10,309,702   
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ 10,309,702         $ 1,595,149,591           —         $ 1,605,459,293   
 

 

 

       

 

 

       

 

 

       

 

 

  

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

     

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2             

Liabilities:

                 

Interest rate contracts

   $ (206,566 )         —           —         $ (206,566 ) 

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

     

 

                
12    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014   

Schedule of Investments (concluded)    BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

The carrying amount for certain of the Fund’s assets and/or liabilities approximates fair value for financial reporting purposes. As of April 30, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 

Cash pledged for financial futures contracts

   $ 729,000           —         —      $ 729,000   

Liabilities:

                 

TOB trust certificates

     —         $ (269,370,117 )       —        (269,370,117 ) 

VRDP Shares

     —           (356,400,000 )       —        (356,400,000 ) 
 

 

 

       

 

 

       

 

     

 

 

  

Total

   $ 729,000         $ (625,770,117 )       —      $ (625,041,117 ) 
 

 

 

       

 

 

       

 

     

 

 

  

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

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    APRIL 30, 2014    13

Item 2 – Controls and Procedures

 

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

 

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

Item 3 – Exhibits

 

     Certifications – Attached hereto

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

 

BlackRock MuniYield Quality Fund III, Inc.  
By:  

/s/ John M. Perlowski

  
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock MuniYield Quality Fund III, Inc.
Date:   June 23, 2014  

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 MuniYield Quality Fund III, Inc.
Date:   June 23, 2014  
By:  

/s/ Neal J. Andrews

  
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock MuniYield Quality Fund III, Inc.
Date:   June 23, 2014