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 811-06540

 

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: 07/31/2012

 

Date of reporting period: 01/31/2012

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

January 31, 2012


 

 

 

Semi-Annual Report (Unaudited)

 

 

 

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

 

 

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

 

 

BlackRock MuniYield Michigan Quality Fund II, Inc. (MYM)

 

 

 

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

 

 

 

BlackRock MuniYield Quality Fund III, Inc. (MYI)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

Table of Contents


 

 

 

 

 

Page

 

 

 

Dear Shareholder

 

3

Semi-Annual Report:

 

 

Municipal Market Overview

 

4

Fund Summaries

 

5

The Benefits and Risks of Leveraging

 

10

Derivative Financial Instruments

 

10

Financial Statements:

 

 

Schedules of Investments

 

11

Statements of Assets and Liabilities

 

36

Statements of Operations

 

37

Statements of Changes in Net Assets

 

38

Statements of Cash Flows

 

40

Financial Highlights

 

41

Notes to Financial Statements

 

46

Officers and Directors

 

55

Additional Information

 

56


 

 

 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

JANUARY 31, 2012

 




 

 

Dear Shareholder

Early in 2011, global financial market action was dominated by political revolutions in the Middle East and North Africa, soaring prices of oil and other commodities, and natural disasters in Japan resulting in global supply chain disruptions. But corporate earnings were strong and the global economic recovery appeared to be on track. Investors demonstrated steadfast confidence as risk assets, including equities, commodities and high yield bonds, charged forward. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5th, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded, resulting in highly correlated asset prices. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors came back from the sidelines and risk assets rallied through the month. Eventually, a lack of definitive details about Europe’s rescue plan raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw political instability in Greece, unsustainable yields on Italian bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated investors, but confidence was easily tempered by sobering news flow. Sentiment improved in the New Year as investors saw bright spots in global economic data, particularly from the United States, China and Germany. International and emerging markets rebounded strongly through January. US stocks rallied on solid improvement in the domestic labor market and indications from the Federal Reserve that interest rates would remain low through 2014. Nonetheless, investors maintained caution as US corporate earnings began to weaken and a European recession appeared inevitable.

US equities and high yield bonds recovered their late-summer losses and posted positive returns for both the 6- and 12-month periods ended January 31, 2012. International markets, however, experienced some significant downturns in 2011 and remained in negative territory despite a strong rebound at the end of the period. Fixed income securities benefited from declining yields and delivered positive returns for the 6- and 12-month periods. US Treasury bonds outperformed other fixed income classes despite their quality rating downgrade, while municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain unresolved. For investors, the risks are daunting. BlackRock remains committed to helping you keep your financial goals on track in this challenging environment.

 

Sincerely,

 

-s- Rob Kapito

Rob Kapito

President, BlackRock Advisors, LLC


 

(PHOTO OF ROB KAPITO)

 

“BlackRock remains committed to helping you keep your financial goals on track in this challenging environment.”

 

Rob Kapito
President, BlackRock Advisors, LLC

 

 

Total Returns as of January 31, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

 

2.71

%

 

4.22

%

US small cap equities
(Russell 2000® Index)

 

 

0.22

 

 

2.86

 

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

 

 

(10.42

)

 

(9.59

)

Emerging market
equities (MSCI Emerging
Markets Index)

 

 

(9.56

)

 

(6.64

)

3-month Treasury
bill (BofA Merrill Lynch
3-Month Treasury
Bill Index)

 

 

0.02

 

 

0.09

 

US Treasury securities
(BofA Merrill Lynch 10-
Year US Treasury Index)

 

 

10.81

 

 

18.49

 

US investment grade
bonds (Barclays
Capital US Aggregate
Bond Index)

 

 

4.25

 

 

8.66

 

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

 

 

7.25

 

 

14.40

 

US high yield bonds
(Barclays Capital US
Corporate High Yield 2%
Issuer Capped Index)

 

 

1.84

 

 

5.81

 


 

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


 

 

 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

 

3




 

 

Municipal Market Overview

 

For the 12-Month Period Ended January 31, 2012

One year ago, the municipal bond market was steadily recovering from a difficult fourth quarter of 2010 that brought severe losses amid a steepening US Treasury yield curve and a flood of inflated headlines about municipal finance troubles. Retail investors had lost confidence in municipals and retreated from the market. Political uncertainty surrounding the midterm elections and tax policies exacerbated the situation. These conditions combined with seasonal illiquidity weakened willful market participation from the trading community. December 2010 brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the Build America Bond program was retired. This supply-demand imbalance led to wider quality spreads and higher yields for municipal bonds heading into 2011.

(LINE GRAPH)

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in the first half of 2011. From the middle of November 2010, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June 2011. However, weak demand was counterbalanced by lower supply in 2011. According to Thomson Reuters, new issuance was down 32% in 2011 as compared to the prior year. While these technical factors were improving, municipalities were struggling to balance their budgets, although the late-2010 predictions for widespread municipal defaults did not materialize. Other concerns that resonated at the beginning of the year, such as rising interest rates, weakening credits and higher rates of inflation, abated as these scenarios also did not come to fruition.

On August 5th, 2011, Standard & Poor’s (“S&P”) downgraded the US government’s credit rating from AAA to AA+. While this led to the downgrade of approximately 11,000 municipal issues directly tied to the US debt rating, this represented a very small fraction of the municipal market and said nothing about the individual municipal credits themselves. In fact, demand for municipal bonds increased as severe volatility in US equities drove investors to more stable asset classes. The municipal market benefited from an exuberant Treasury market and continued muted new issuance. As supply remained constrained, demand from both traditional and non-traditional buyers was strong, pushing long-term municipal bond yields lower and sparking a curve-flattening trend that continued through year end. Ultimately, 2011 was one of the strongest performance years in municipal market history. The S&P Municipal Bond Index returned 10.62% in 2011, making municipal bonds a top-performing fixed income asset class for the year.

Supply and demand technicals continued to be favorable in January 2012. Overall, the municipal yield curve flattened during the period from January 31, 2011 to January 31, 2012. As measured by Thomson Municipal Market Data, yields declined by 161 basis points (“bps”) to 3.17% on AAA-rated 30-year municipal bonds and by 163 bps to 1.68% on 10-year bonds, while yields on 5-year issues fell 117 bps to 0.68%. While the entire municipal curve flattened over the 12-month time period, the spread between 2- and 30-year maturities tightened by 120 bps, and in the 2- to 10-year range, the spread tightened by 124 bps.

The fundamental picture for municipalities continues to improve. Austerity has been the general theme across the country, while a small number of states continue to rely on a “kick-the-can” approach to close their budget shortfalls, with aggressive revenue projections and accounting gimmicks. The market’s technical factors are also improving as demand outpaces supply in what is historically a light issuance period. It has been over a year since the first highly publicized interview about the fiscal problems plaguing state and local governments. Thus far, the prophecy of widespread defaults across the municipal market has not materialized. In 2011, there were fewer municipal defaults than seen in 2010. Throughout 2011 monetary defaults in the S&P Municipal Bond Index totaled roughly $805 million, representing less than 0.48% of the index. BlackRock maintains the view that municipal bond defaults will remain in the periphery and the overall market is fundamentally sound. We continue to recognize that careful credit research and security selection remain imperative amid uncertainty in this economic environment.

 

 

 

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


 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Fund Summary as of January 31, 2012

BlackRock MuniHoldings Quality Fund II, Inc.

 

 

Fund Overview

 

BlackRock MuniHoldings Quality Fund II, Inc.’s (MUE) (the “Fund”) investment objective is to provide shareholders with current income exempt from federal income taxes. The Fund seeks to achieve its investment objective by investing primarily in long-term, investment grade municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Fund invests at least 80% of its assets in municipal obligations with remaining maturities of one year or more at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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


 

Performance

For the six months ended January 31, 2012, the Fund returned 22.02% based on market price and 15.78% based on net asset value (“NAV”). For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 21.10% based on market price and 13.67% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Fund’s performance. The Fund’s longer-dated holdings in the health, transportation and education sectors experienced the best price appreciation.

 

 

 

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.


 

 

 

Fund Information

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

MUE

Initial Offering Date

 

February 26, 1999

Yield on Closing Market Price as of January 31, 2012 ($14.72)1

 

5.99%

Tax Equivalent Yield2

 

9.22%

Current Monthly Distribution per Common Share3

 

$0.0735

Current Annualized Distribution per Common Share3

 

$0.8820

Economic Leverage as of January 31, 20124

 

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 federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents Variable Rate Muni Term Preferred Shares (“VMTP Shares”) and tender option bond trusts (“TOBs”) as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

Market Price

 

$14.72

 

$12.46

 

18.14%

 

$14.79

 

$11.45

Net Asset Value

 

$14.65

 

$13.07

 

12.09%

 

$14.65

 

$13.07

The following charts show the sector and credit quality allocations of the Fund’s long-term investments:

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

County/City/Special District/School District

 

 

 

31

%

 

 

 

26

%

 

Transportation

 

 

 

25

 

 

 

 

19

 

 

Utilities

 

 

 

20

 

 

 

 

23

 

 

Health

 

 

 

9

 

 

 

 

9

 

 

State

 

 

 

9

 

 

 

 

9

 

 

Education

 

 

 

2

 

 

 

 

2

 

 

Housing

 

 

 

2

 

 

 

 

2

 

 

Corporate

 

 

 

1

 

 

 

 

9

 

 

Tobacco

 

 

 

1

 

 

 

 

1

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

 

 

11

%

 

 

 

16

%

 

AA/Aa

 

 

 

69

 

 

 

 

62

 

 

A

 

 

 

19

 

 

 

 

18

 

 

BBB/Baa

 

 

 

6

 

 

 

 

3

 

 

BB/Ba

 

 

 

6

 

 

 

 

1

 

 

B

 

 

 

1

 

 

 

 

 

 


 

 

 

 

5

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (Moody’s”) ratings.

 

 

 

 

6

Amount rounds to less than 1%.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

5




 

 

 

 

Fund Summary as of January 31, 2012

BlackRock MuniYield California Quality Fund, Inc.


 

Fund Overview

BlackRock MuniYield California Quality Fund, Inc.’s (MCA) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal and California income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and California income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the six months ended January 31, 2012, the Fund returned 21.86% based on market price and 15.68% based on NAV. For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of 21.02% based on market price and 14.53% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Fund’s slightly long duration (sensitivity to interest rate movements) had a positive impact on performance as interest rates generally declined amid the investor flight-to-quality in the US Treasury market. Increased exposure to inverse floating rate instruments (tender option bonds) while the municipal yield curve was historically steep boosted the Fund’s income accrual. The Fund’s holdings of higher quality essential service revenue bonds contributed positively, as did holdings of select general obligation bonds and school district credits with stronger underlying fundamentals. Additionally, purchases of zero-coupon bonds deemed undervalued added to the Fund’s total return.

 

 

 

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


 

 

 

 

 

Fund Information

 

 

 

 

 

Symbol on NYSE

 

MCA

 

Initial Offering Date

 

October 30, 1992

 

Yield on Closing Market Price as of January 31, 2012 ($15.36)1

 

 

5.74%

 

Tax Equivalent Yield2

 

 

8.83%

 

Current Monthly Distribution per Common Share3

 

 

$0.0735

 

Current Annualized Distribution per Common Share3

 

 

$0.8820

 

Economic Leverage as of January 31, 20124

 

 

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 federal tax rate of 35%.

 

 

 

 

3

The Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0760 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 Variable Rate Demand Preferred Shares (“VRDP Shares”) and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.36

 

$

13.00

 

 

18.15%

 

$

15.40

 

$

12.60

 

Net Asset Value

 

$

16.05

 

$

14.31

 

 

12.16%

 

$

16.05

 

$

14.31

 

The following charts show the sector and credit quality allocations of the Fund’s long-term investments:

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

County/City/Special District/School District

 

 

47

%

 

 

45

%

 

Utilities

 

 

25

 

 

 

28

 

 

Education

 

 

10

 

 

 

10

 

 

Transportation

 

 

8

 

 

 

8

 

 

Health

 

 

7

 

 

 

4

 

 

State

 

 

3

 

 

 

1

 

 

Corporate

 

 

5

 

 

4

 

 

Housing

 

 

5

 

 

 

 


 

5          Amount rounds to less than 1%.


 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations6

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

 

10

%

 

 

11

%

 

AA/Aa

 

 

79

 

 

 

79

 

 

A

 

 

10

 

 

 

10

 

 

BBB/Baa

 

 

1

 

 

 

 

 

 

 

 

6          Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Fund Summary as of January 31, 2012

BlackRock MuniYield Michigan Quality Fund II, Inc.


 

Fund Overview

BlackRock MuniYield Michigan Quality Fund II, Inc.’s (MYM) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal and Michigan income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Michigan income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the six months ended January 31, 2012, the Fund returned 27.51% based on market price and 13.36% based on NAV. For the same period, the closed-end Lipper Michigan Municipal Debt Funds category posted an average return of 19.01% based on market price and 12.19% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the period, the Fund benefited from the declining interest rate environment (bond prices rise as interest rates fall), the flattening of the yield curve (long interest rates fell more than short and intermediate rates) and tightening of credit spreads. The Fund’s exposure to zero-coupon bonds and the health sector had a positive impact on performance as these holdings derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

 

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.


 

 

 

 

 

Fund Information

 

 

 

 

 

Symbol on NYSE

 

MYM

 

Initial Offering Date

 

February 28, 1992

 

Yield on Closing Market Price as of January 31, 2012 ($15.16)1

 

 

5.66%

 

Tax Equivalent Yield2

 

 

8.71%

 

Current Monthly Distribution per Common Share3

 

 

$0.0715

 

Current Annualized Distribution per Common Share3

 

 

$0.8580

 

Economic Leverage as of January 31, 20124

 

 

35%

 


 

 

 

 

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 federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

 

 

 

The table below summarizes the changes in the Fund’s market price and NAV per share:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

 

7/31/11

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

$

15.16

 

$

12.28

 

 

23.45

%

 

$

15.16

 

$

12.17

 

Net Asset Value

 

$

14.85

 

$

13.53

 

 

9.76

%

 

$

14.85

 

$

13.53

 

The following charts show the sector and credit quality allocations of the Fund’s long-term investments:

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

County/City/Special District/School District

 

 

24

%

 

 

23

%

 

Health

 

 

17

 

 

 

14

 

 

State

 

 

16

 

 

 

11

 

 

Utilities

 

 

15

 

 

 

17

 

 

Education

 

 

12

 

 

 

9

 

 

Transportation

 

 

8

 

 

 

11

 

 

Housing

 

 

4

 

 

 

4

 

 

Corporate

 

 

4

 

 

 

11

 

 


 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

 

2

%

 

 

2

%

 

AA/Aa

 

 

74

 

 

 

69

 

 

A

 

 

20

 

 

 

24

 

 

BBB/Baa

 

 

2

 

 

 

3

 

 

Not Rated6

 

 

2

 

 

 

2

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2012 and July 31, 2011, the market value of these securities was $2,665,600, representing 1%, and $5,295,911, representing 2%, respectively, of the Fund’s long-term investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

7




 

 

 

 

Fund Summary as of January 31, 2012

BlackRock MuniYield New York Quality Fund, Inc.

 

Fund Overview

BlackRock MuniYield New York Quality Fund, Inc.’s (MYN) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal income taxes and New York State and New York City personal income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City personal income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

 

Performance

 

 

For the six months ended January 31, 2012, the Fund returned 18.96% based on market price and 13.13% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return 17.53% based on market price and 11.32% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Fund’s performance. Additionally, the Fund benefited from its long duration bias (greater sensitivity to interest rate movements) as overall interest rates declined. The Fund’s heavy exposures to transportation and education, which were among the better performing sectors for the period, had a positive impact on performance.

 

 

 

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.


 

 

Fund Information

 

Symbol on NYSE

MYN

Initial Offering Date

February 28, 1992

Yield on Closing Market Price as of January 31, 2012 ($14.53)1

5.86%

Tax Equivalent Yield2

9.02%

Current Monthly Distribution per Common Share3

$0.071

Current Annualized Distribution per Common Share3

$0.852

Economic Leverage as of January 31, 20124

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 federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

14.53

 

$

12.60

 

 

15.32

%

$

14.59

 

$

12.10

 

Net Asset Value

 

$

14.74

 

$

13.44

 

 

9.67

%

$

14.74

 

$

13.44

 

The following charts show the sector and credit quality allocations of the Fund’s long-term investments:

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

1/31/12

 

7/31/11

 

County/City/Special District/School District

 

29

%

 

28

%

 

Transportation

 

27

 

 

29

 

 

Education

 

12

 

 

11

 

 

Utilities

 

9

 

 

8

 

 

State

 

9

 

 

11

 

 

Health

 

8

 

 

5

 

 

Housing

 

3

 

 

3

 

 

Corporate

 

2

 

 

4

 

 

Tobacco

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

13

%

 

12

%

 

AA/Aa

 

54

 

 

54

 

 

A

 

23

 

 

21

 

 

BBB/Baa

 

9

 

 

10

 

 

BB/Ba

 

1

 

 

2

 

 

Not Rated

 

 

 

1

6

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011, the market value of these securities was $3,909,236, representing 1% of the Fund’s long-term investments.


 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Fund Summary as of January 31, 2012

BlackRock MuniYield Quality Fund III, Inc.

 

 

Fund Overview

BlackRock MuniYield Quality Fund III, Inc.’s (MYI) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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

 

 

Performance

For the six months ended January 31, 2012, the Fund returned 26.48% based on market price and 16.31% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 21.10% based on market price and 13.67% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the period, the Fund benefited from the declining interest rate environment (bond prices rise as interest rates fall), the flattening of the yield curve (long interest rates fell more than short and intermediate rates) and tightening of credit spreads. The Fund’s exposure to zero-coupon bonds and the health sector had a positive impact on performance as these holdings derived the greatest benefit from the decline in interest rates and spread tightening during the period.

 

 

 

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.

 

 

Fund Information

 

 

Symbol on NYSE

MYI

Initial Offering Date

March 27, 1992

Yield on Closing Market Price as of January 31, 2012 ($14.91)1

5.79%

Tax Equivalent Yield2

8.91%

Current Monthly Distribution per Common Share3

$0.072

Current Annualized Distribution per Common Share3

$0.864

Economic Leverage as of January 31, 20124

37%


 

 

 

 

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 federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

The table below summarizes the changes in the Fund’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

14.91

 

$

12.17

 

 

22.51

%

$

14.93

 

$

11.86

 

Net Asset Value

 

$

14.86

 

$

13.19

 

 

12.66

%

$

14.86

 

$

13.19

 

The following charts show the sector and credit quality allocations of the Fund’s long-term investments:

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

1/31/12

 

7/31/11

 

Transportation

 

27

%

 

27

%

 

County/City/Special District/School District

 

21

 

 

24

 

 

Utilities

 

18

 

 

17

 

 

State

 

11

 

 

10

 

 

Education

 

9

 

 

9

 

 

Health

 

8

 

 

7

 

 

Housing

 

5

 

 

5

 

 

Corporate

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

10

%

 

7

%

 

AA/Aa

 

66

 

 

65

 

 

A

 

21

 

 

21

 

 

BBB/Baa

 

3

 

 

3

 

 

Not Rated

 

 

 

4

6

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011, the market value of these securities was $20,992,023, representing 1% of the Fund’s long-term investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

9



 

 

The Benefits and Risks of Leveraging

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

To obtain leverage, the Funds issue Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) and previously issued and had outstanding Auction Market Preferred Shares (“AMPS”) (VRDP Shares, VMTP Shares, and as applicable AMPS, are collectively referred to as “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Funds invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders will benefit from the incremental net income.

To illustrate these concepts, assume a Fund’s Common Shares capitalization is $100 million and it issues Preferred Shares for an additional $50 million, creating a total value of $150 million available for investment in long-term municipal bonds. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays dividends on the $50 million of Preferred Shares based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the Preferred Shares issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of Preferred Shares (“Preferred Shareholders”) are significantly lower than the income earned on the Fund’s long-term investments, and therefore the Common Shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Fund’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Funds’ 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 redemption value of the Funds’ Preferred Shares does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively in addition to the impact on Fund performance from leverage from Preferred Shares discussed above.

The Funds may also leverage their assets through the use of tender option bond trusts (“TOBs”), as described in Note 1 of the Notes to Financial Statements. TOB investments generally will provide the Funds with economic benefits in periods of declining short-term interest rates, but expose the Funds to risks during periods of rising short-term interest rates similar to those associated with Preferred Shares issued by the Funds, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB trust may adversely affect each Fund’s NAV per share.

The use of leverage may enhance opportunities for increased income to the Funds and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Funds’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Fund 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 a Fund to incur losses. The use of leverage may limit each Fund’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by rating agencies that rate the Preferred Shares issued by the Funds. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets. In addition, each Fund voluntarily limits its economic leverage to 45% of its total managed assets. As of January 31, 2012, the Funds had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

 

 

 

 

Percent of
Economic
Leverage

 

MUE

 

 

38%

 

MCA

 

 

39%

 

MYM

 

 

35%

 

MYN

 

 

38%

 

MYI

 

 

37%

 


 

 

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 

 

 

 

10

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.1%

 

 

 

 

 

 

 

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

 

$

5,225

 

$

5,992,552

 

County of Jefferson Alabama, RB, Series A,
5.50%, 1/01/22

 

 

3,580

 

 

3,279,889

 

Selma Industrial Development Board, RB,
International Paper Co. Project, Series A,
5.38%, 12/01/35

 

 

940

 

 

982,657

 

 

 

 

 

 

 

10,255,098

 

California — 16.0%

 

 

 

 

 

 

 

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

 

 

5,050

 

 

5,679,785

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Scripps Health, Series A, 5.00%, 11/15/40 (a)

 

 

415

 

 

445,880

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

2,865

 

 

3,300,594

 

City of San Jose California Airport, RB, Series A-1,
AMT, 5.50%, 3/01/30

 

 

4,045

 

 

4,397,158

 

City of Sunnyvale California, Refunding RB, 5.25%,
4/01/40

 

 

2,800

 

 

3,172,960

 

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

 

 

3,500

 

 

3,808,875

 

Emery Unified School District, GO, Election of 2010,
Series A (AGM), 5.50%, 8/01/35

 

 

1,875

 

 

2,111,269

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

Election of 2001, Series A (NPFGC), 5.00%,
8/01/32

 

 

5,000

 

 

5,469,050

 

Election of 2008, Series C, 5.25%, 8/01/39

 

 

2,500

 

 

2,864,750

 

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

 

 

3,175

 

 

3,534,537

 

Port of Oakland, Refunding RB, Series M, AMT
(NPFGC), 5.38%, 11/01/27

 

 

2,220

 

 

2,249,504

 

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

 

 

2,670

 

 

3,121,951

 

Roseville Joint Union High School District California,
GO, Election of 2004, Series A (NPFGC), 5.00%,
8/01/29

 

 

2,985

 

 

3,206,099

 

San Bernardino Community College District, GO,
Election of 2002, Series A, 6.25%, 8/01/33

 

 

2,165

 

 

2,590,444

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

San Francisco City & County Airports Commission,
RB, Specialty Facility Lease, SFO Fuel, Series A,
AMT (AGM), 6.10%, 1/01/20

 

$

1,250

 

$

1,253,350

 

State of California, GO, Refunding, Veterans,
Series BZ, AMT (NPFGC), 5.35%, 12/01/21

 

 

10

 

 

10,017

 

Stockton Public Financing Authority California, RB,
Redevelopment Projects, Series A (Radian),
5.25%, 9/01/34

 

 

2,430

 

 

1,778,566

 

Ventura County Community College District, GO,
Election of 2002, Series C, 5.50%, 8/01/33

 

 

3,175

 

 

3,632,517

 

 

 

 

 

 

 

52,627,306

 

Colorado — 1.5%

 

 

 

 

 

 

 

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

 

 

3,300

 

 

3,902,415

 

Colorado Housing & Finance Authority, Refunding RB,
S/F Program, Senior Series A-2, AMT, 7.50%,
4/01/31

 

 

120

 

 

121,760

 

Regional Transportation District, COP, Series A,
5.00%, 6/01/25

 

 

765

 

 

864,756

 

 

 

 

 

 

 

4,888,931

 

Florida — 11.3%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB, Series A, 5.25%,
10/01/26

 

 

2,000

 

 

2,397,380

 

County of Lee Florida, Refunding ARB, Series A, AMT,
5.38%, 10/01/32

 

 

2,500

 

 

2,700,300

 

County of Miami-Dade Florida, RB, Miami
International Airport, Series A, AMT (AGM):

 

 

 

 

 

 

 

5.25%, 10/01/41

 

 

4,610

 

 

4,806,939

 

5.50%, 10/01/41

 

 

4,180

 

 

4,418,177

 

Jacksonville Port Authority, RB, AMT (AGC), 6.00%,
11/01/38

 

 

3,625

 

 

3,679,665

 

Orange County Health Facilities Authority, RB,
The Nemours Foundation Project, Series A, 5.00%,
1/01/29

 

 

2,540

 

 

2,790,190

 

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

 

 

7,600

 

 

8,462,524

 

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

 

 

6,965

 

 

7,895,872

 

 

 

 

 

 

 

37,151,047

 


 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

ACA

American Capital Access Corp.

AGC

Assured Guaranty 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.

BOCES

Board of Cooperative Educational Services

CAB

Capital Appreciation Bonds

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

FGIC

Financial Guaranty Insurance Co.

FHA

Federal Housing Administration

GAB

Grant Anticipation Bonds

GAN

Grant Anticipation Notes

GO

General Obligation Bonds

HDA

Housing Development Authority

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDRB

Industrial Development Revenue Bonds

ISD

Independent School District

LRB

Lease Revenue Bonds

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

PSF-GTD

Permanent School Fund Guaranteed

Q-SBLF

Qualified School Bond Loan Fund

RB

Revenue Bonds

S/F

Single-Family

SONYMA

State of New York Mortgage Agency

Syncora

Syncora Guarantee

XLCA

XL Capital Assurance, Inc.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

11




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Idaho — 0.1%

 

 

 

 

 

 

 

Idaho Housing & Finance Association, RB, S/F
Mortgage, Series E, AMT, 6.00%, 1/01/32

 

$

230

 

$

232,203

 

Illinois — 14.3%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO, Refunding,
Chicago School Reform Board, Series A (NPFGC),
5.50%, 12/01/26

 

 

1,205

 

 

1,468,473

 

Chicago Board of Education Illinois, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

3,405

 

 

3,858,137

 

5.00%, 12/01/41

 

 

7,455

 

 

7,981,249

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

O’Hare International Airport, General, Third Lien,
Series C (AGM), 5.25%, 1/01/35

 

 

2,030

 

 

2,232,472

 

Sales Tax, Series A, 5.25%, 1/01/38

 

 

1,310

 

 

1,477,235

 

Series A, 5.75%, 1/01/39

 

 

2,000

 

 

2,282,800

 

City of Chicago Illinois, Refunding RB, General,
Third Lien, Series C, 6.50%, 1/01/41

 

 

9,085

 

 

10,978,677

 

City of Chicago Illinois Transit Authority, RB:

 

 

 

 

 

 

 

Federal Transit Administration Section 5309,
Series A (AGC), 6.00%, 6/01/26

 

 

3,400

 

 

4,032,502

 

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

 

 

1,060

 

 

1,185,080

 

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

 

 

3,135

 

 

3,496,748

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

2,350

 

 

2,681,162

 

6.00%, 6/01/28

 

 

670

 

 

751,284

 

State of Illinois, RB, Build Illinois, Series B, 5.25%,
6/15/28

 

 

4,000

 

 

4,551,440

 

 

 

 

 

 

 

46,977,259

 

Indiana — 5.3%

 

 

 

 

 

 

 

Indiana Finance Authority WasteWater Utility, RB,
Series A, 5.25%, 10/01/31

 

 

3,225

 

 

3,721,521

 

Indiana Municipal Power Agency, RB, Series A
(NPFGC), 5.00%, 1/01/42

 

 

6,300

 

 

6,641,712

 

Indianapolis Local Public Improvement Bond Bank,
RB, Series K, 5.00%, 6/01/25

 

 

3,720

 

 

4,284,324

 

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

 

 

2,370

 

 

2,657,339

 

 

 

 

 

 

 

17,304,896

 

Iowa — 0.6%

 

 

 

 

 

 

 

Iowa Finance Authority, Refunding RB, Iowa Health
System (AGC), 5.25%, 2/15/29

 

 

1,710

 

 

1,890,747

 

Kansas — 0.4%

 

 

 

 

 

 

 

Sedgwick & Shawnee Counties Kansas, MRB,
Series A-2, AMT (Ginnie Mae), 6.20%, 12/01/33

 

 

1,130

 

 

1,147,538

 

Michigan — 7.2%

 

 

 

 

 

 

 

City of Detroit Michigan, RB, Series B:

 

 

 

 

 

 

 

Second Lien (NPFGC), 5.50%, 7/01/29

 

 

4,170

 

 

4,688,415

 

Senior Lien (AGM), 7.50%, 7/01/33

 

 

1,330

 

 

1,678,793

 

City of Detroit Michigan, Refunding RB, Senior Lien:

 

 

 

 

 

 

 

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

 

 

4,180

 

 

5,177,557

 

Series C-2 (BHAC), 5.25%, 7/01/29

 

 

1,860

 

 

2,071,556

 

Hudsonville Public Schools, GO, School Building &
Site (Q-SBLF), 5.25%, 5/01/41

 

 

3,420

 

 

3,806,323

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I (AGC):

 

 

 

 

 

 

 

5.25%, 10/15/24

 

 

1,440

 

 

1,674,374

 

5.25%, 10/15/25

 

 

750

 

 

868,140

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (concluded)

 

 

 

 

 

 

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

$

3,115

 

$

3,852,071

 

 

 

 

 

 

 

23,817,229

 

Minnesota — 0.7%

 

 

 

 

 

 

 

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

 

 

1,975

 

 

2,331,448

 

Nevada — 4.6%

 

 

 

 

 

 

 

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

 

 

3,210

 

 

3,605,280

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

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

 

 

4,565

 

 

4,977,904

 

Subordinate Lien, Series A-2 (NPFGC), 5.00%,
7/01/36

 

 

6,520

 

 

6,691,215

 

 

 

 

 

 

 

15,274,399

 

New Jersey — 7.3%

 

 

 

 

 

 

 

New Jersey EDA, RB, Motor Vehicle Surcharge,
Series A (NPFGC), 5.25%, 7/01/33

 

 

11,000

 

 

11,801,350

 

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

 

 

3,400

 

 

3,722,116

 

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

 

 

 

 

 

 

 

Series A, 5.50%, 6/15/41

 

 

3,030

 

 

3,476,592

 

Series A (AGC), 5.63%, 12/15/28

 

 

2,930

 

 

3,382,685

 

Series B, 5.25%, 6/15/36

 

 

1,500

 

 

1,687,725

 

 

 

 

 

 

 

24,070,468

 

New York — 6.5%

 

 

 

 

 

 

 

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

 

 

940

 

 

1,062,209

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution:

 

 

 

 

 

 

 

Fiscal 2009, Series EE, 5.25%, 6/15/40

 

 

6,930

 

 

7,726,049

 

Fiscal 2011, Series EE, 5.38%, 6/15/43

 

 

2,220

 

 

2,538,659

 

Fiscal 2012, Series BB, 5.00%, 6/15/44

 

 

2,500

 

 

2,784,150

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

2,300

 

 

2,543,547

 

Sub-Series S-2A, 5.00%, 7/15/30

 

 

4,045

 

 

4,672,461

 

 

 

 

 

 

 

21,327,075

 

North Carolina — 0.3%

 

 

 

 

 

 

 

North Carolina HFA, RB, Home Ownership,
Series 14A, AMT (AMBAC), 5.35%, 1/01/22

 

 

920

 

 

921,086

 

Pennsylvania — 1.6%

 

 

 

 

 

 

 

Delaware River Port Authority, RB, Series D (AGM),
5.00%, 1/01/40

 

 

3,000

 

 

3,241,920

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Children’s Hospital, Series D, 5.00%,
7/01/32

 

 

1,940

 

 

2,148,705

 

 

 

 

 

 

 

5,390,625

 

Puerto Rico — 1.2%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.38%, 8/01/39

 

 

3,500

 

 

4,085,865

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

12

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

South Carolina — 5.8%

 

 

 

 

 

 

 

South Carolina State Housing Finance &
Development Authority, Refunding RB, Series A-2,
AMT (AGM), 6.35%, 7/01/19

 

$

140

 

$

141,940

 

South Carolina State Public Service Authority, RB,
Series A:

 

 

 

 

 

 

 

(AMBAC), 5.00%, 1/01/42

 

 

15,000

 

 

16,141,200

 

Santee Cooper, 5.50%, 1/01/38

 

 

2,500

 

 

2,842,550

 

 

 

 

 

 

 

19,125,690

 

Texas — 20.4%

 

 

 

 

 

 

 

City of Austin Texas, Refunding RB, Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/15/28

 

 

1,795

 

 

2,064,483

 

5.00%, 11/15/29

 

 

2,270

 

 

2,584,508

 

City of Houston Texas, Refunding RB, Combined,
First Lien, Series A (AGC), 6.00%, 11/15/35

 

 

6,700

 

 

8,074,974

 

Clifton Higher Education Finance Corp., Refunding
RB, Baylor University, 5.25%, 3/01/32

 

 

3,120

 

 

3,596,705

 

Dallas Area Rapid Transit, Refunding RB, Senior Lien,
5.25%, 12/01/38

 

 

5,655

 

 

6,295,146

 

Harris County Cultural Education Facilities Finance
Corp., RB, Children’s Hospital Project, 5.25%,
10/01/29

 

 

2,080

 

 

2,378,418

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare
System, Series B, 7.25%, 12/01/35

 

 

1,000

 

 

1,189,940

 

Lubbock Cooper ISD Texas, GO, School Building
(AGC), 5.75%, 2/15/42

 

 

1,250

 

 

1,412,463

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

First Tier, Series K-2 (AGC), 6.00%, 1/01/38

 

 

1,000

 

 

1,138,540

 

Special Projects System, Series A, 5.50%,
9/01/41

 

 

7,880

 

 

9,111,802

 

North Texas Tollway Authority, Refunding RB, System,
First Tier (NPFGC):

 

 

 

 

 

 

 

Series A, 5.63%, 1/01/33

 

 

10,975

 

 

12,069,756

 

Series A, 5.75%, 1/01/40

 

 

11,575

 

 

12,556,328

 

Series B, 5.75%, 1/01/40

 

 

1,000

 

 

1,084,780

 

Tarrant County Cultural Education Facilities Finance
Corp., Refunding RB, Christus Health, Series A
(AGC), 6.50%, 7/01/37

 

 

3,000

 

 

3,464,820

 

 

 

 

 

 

 

67,022,663

 

Utah — 0.8%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,691,625

 

Virginia — 0.8%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School
Financing, 6.50%, 12/01/35

 

 

2,195

 

 

2,596,400

 

Washington — 1.5%

 

 

 

 

 

 

 

City of Seattle Washington, Refunding RB, Series A,
5.25%, 2/01/36

 

 

2,400

 

 

2,759,832

 

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

 

 

1,865

 

 

2,157,190

 

 

 

 

 

 

 

4,917,022

 

Total Municipal Bonds — 111.3%

 

 

 

 

 

366,046,620

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Alabama — 1.2%

 

 

 

 

 

 

 

Mobile Board of Water & Sewer Commissioners, RB
(NPFGC), 5.00%, 1/01/31

 

$

3,750

 

$

3,978,075

 

California — 3.4%

 

 

 

 

 

 

 

City of San Jose California, GO, Libraries, Parks, and
Public Safety Project (NPFGC), 5.00%, 9/01/30

 

 

3,805

 

 

4,002,888

 

San Diego Community College District California,
GO, Election of 2002 (AGM), 5.00%, 5/01/30

 

 

1,486

 

 

1,629,450

 

Sequoia Union High School District California, GO,
Election of 2004, Series B (AGM), 5.50%,
7/01/35

 

 

5,189

 

 

5,654,559

 

 

 

 

 

 

 

11,286,897

 

Colorado — 3.0%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB, Catholic
Health, Series C-3 (AGM), 5.10%, 10/01/41

 

 

9,410

 

 

9,902,049

 

District of Columbia — 0.7%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 6.00%, 10/01/35

 

 

1,700

 

 

2,123,765

 

Florida — 7.1%

 

 

 

 

 

 

 

City of St. Petersburg Florida, Refunding RB (NPFGC),
5.00%, 10/01/35

 

 

6,493

 

 

6,802,189

 

County of Miami-Dade Florida, GO, Building Better
Communities Program, Series B-1, 6.00%,
7/01/38

 

 

12,500

 

 

14,359,125

 

Lee County Housing Finance Authority, RB,
Multi-County Program, Series A-2, AMT (Ginnie
Mae), 6.00%, 9/01/40

 

 

2,115

 

 

2,260,660

 

 

 

 

 

 

 

23,421,974

 

Georgia — 2.1%

 

 

 

 

 

 

 

Augusta-Richmond County Georgia, Water & Sewer,
RB (AGM), 5.25%, 10/01/34

 

 

6,290

 

 

6,828,361

 

Illinois — 6.1%

 

 

 

 

 

 

 

Chicago Illinois O’Hare International Airport, RB,
Series A, 5.00%, 1/01/38

 

 

15,000

 

 

15,891,375

 

City of Chicago Illinois, Refunding RB, Second Lien
(AGM), 5.25%, 11/01/33

 

 

3,969

 

 

4,310,862

 

 

 

 

 

 

 

20,202,237

 

Kentucky — 0.8%

 

 

 

 

 

 

 

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

 

 

2,304

 

 

2,656,814

 

Massachusetts — 3.5%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB:

 

 

 

 

 

 

 

Dedicated Sales Tax, Senior Series B, 5.00%,
10/15/41

 

 

5,080

 

 

5,760,364

 

Series A (AGM), 5.00%, 8/15/30

 

 

4,994

 

 

5,576,010

 

 

 

 

 

 

 

11,336,374

 

Nevada — 6.5%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

10,000

 

 

11,700,800

 

Series B, 5.50%, 7/01/29

 

 

8,247

 

 

9,699,478

 

 

 

 

 

 

 

21,400,278

 

New Jersey — 1.3%

 

 

 

 

 

 

 

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

 

 

3,941

 

 

4,227,388

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

13




 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

New York — 6.4%

 

 

 

 

 

 

 

New York Liberty Development Corp., RB:

 

 

 

 

 

 

 

1 World Trade Center Port Authority Construction,
5.25%, 12/15/43

 

$

7,515

 

$

8,537,265

 

4 World Trade Center Project, 5.75%, 11/15/51

 

 

4,400

 

 

5,006,892

 

Sales Tax Asset Receivable Corp., RB, Series A
(AMBAC), 5.25%, 10/15/27

 

 

6,751

 

 

7,449,442

 

 

 

 

 

 

 

20,993,599

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax,
Series C, 5.25%, 8/01/40

 

 

3,020

 

 

3,353,740

 

Washington — 2.3%

 

 

 

 

 

 

 

City of Bellevue Washington, GO, Refunding (NPFGC),
5.50%, 12/01/39

 

 

6,883

 

 

7,676,150

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 45.4%

 

 

 

 

 

149,387,701

 

Total Long-Term Investments
(Cost — $472,315,149) — 156.7%

 

 

 

 

 

515,434,321

 


 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (c)(d)

 

 

11,617,912

 

 

11,617,912

 

Total Short-Term Securities
(Cost — $11,617,912) — 3.6%

 

 

 

 

 

11,617,912

 

Total Investments (Cost — $483,933,061) — 160.3%

 

 

 

 

 

527,052,233

 

Other Assets Less Liabilities — 1.9%

 

 

 

 

 

6,180,292

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (22.4)%

 

 

 

 

 

(73,390,506

)

VMTP Shares, at Liquidation Value — (39.8)%

 

 

 

 

 

(131,000,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

328,842,019

 


 

 

 

(a)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

JPMorgan Securities

 

$

445,880

 

$

4,486

 


 

 

(b)

Securities represent bonds transferred to a TOB in exchange for which the Fund acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(c)

Investments in companies considered to be an affiliate of the Fund during the period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

13,223,965

 

 

(1,606,053

)

 

11,617,912

 

$

583

 


 

 

(d)

Represents the current yield as of report date.


 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

 

 

 

10-Year US

 

 

Chicago

 

 

 

 

 

 

 

 

 

 

 

 

 

Treasury

 

 

Board of

 

 

March

 

 

 

 

 

 

 

111

 

 

Note

 

 

Trade

 

 

2012

 

$

14,679,750

 

$

(194,461

)


 

 

 

 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:
Long-Term
Investments1

 

 

 

$

515,434,321

 

 

 

$

515,434,321

 

Short-Term
Securities

 

$

11,617,912

 

 

 

 

 

 

11,617,912

 

Total

 

$

11,617,912

 

$

515,434,321

 

 

 

$

527,052,233

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(194,461

)

 

 

 

 

$

(194,461

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

14

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California — 88.4%

 

 

 

 

 

 

 

Corporate — 0.5%

 

 

 

 

 

 

 

City of Chula Vista California,
Refunding RB, San Diego Gas & Electric, Series A,
5.88%, 2/15/34

 

$

2,435

 

$

2,818,001

 

County/City/Special District/
School District — 37.1%

 

 

 

 

 

 

 

Bay Area Governments Association, Refunding RB,
California Redevelopment Agency Pool, Series A
(AGM), 6.00%, 12/15/24

 

 

255

 

 

259,610

 

California State Public Works Board, RB, Various
Capital Projects, Sub-Series I-1, 6.13%, 11/01/29

 

 

2,035

 

 

2,378,182

 

Chabot-Las Positas Community College District, GO,
CAB, Series C (AMBAC), 6.03%, 8/01/37 (a)

 

 

10,000

 

 

2,399,200

 

County of Kern California, COP, Capital Improvements
Projects, Series A (AGC), 6.00%, 8/01/35

 

 

2,000

 

 

2,318,820

 

Desert Community College District, GO, CAB,
Election of 2004, Series C (AGM), 5.90%,
8/01/46 (a)

 

 

5,000

 

 

712,050

 

Fairfield-Suisun Unified School District California,
GO, Election of 2002 (NPFGC), 5.50%, 8/01/28

 

 

2,500

 

 

2,715,525

 

Fremont Unified School District Alameda County
California, GO, Series A (NPFGC), 5.50%, 8/01/26

 

 

10,755

 

 

11,148,418

 

Fresno Joint Powers Financing Authority California,
RB, Series A (AGM), 5.75%, 6/01/26

 

 

3,295

 

 

3,310,717

 

Grossmont Healthcare District, GO, Election of 2006,
Series B, 6.13%, 7/15/40

 

 

2,500

 

 

2,972,250

 

Grossmont Union High School District, GO, Election
of 2008, Series C, 5.50%, 8/01/33

 

 

1,855

 

 

2,210,511

 

Lodi Unified School District, GO, Election of 2002
(AGM), 5.00%, 8/01/29

 

 

5,000

 

 

5,245,950

 

Los Angeles Community Redevelopment Agency
California, RB, Bunker Hill Project, Series A (AGM),
5.00%, 12/01/27

 

 

10,000

 

 

10,559,100

 

Los Angeles County Metropolitan Transportation
Authority, Refunding RB, Proposition A, First Tier,
Senior Series A (AMBAC), 5.00%, 7/01/27

 

 

5,240

 

 

5,692,317

 

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

 

 

2,015

 

 

2,220,067

 

Merced Union High School District, GO, CAB,
Election of 2008, Series C (a):

 

 

 

 

 

 

 

6.61%, 8/01/33

 

 

2,500

 

 

781,875

 

6.40%, 8/01/36

 

 

4,000

 

 

1,044,120

 

7.07%, 8/01/41

 

 

5,000

 

 

739,350

 

Norwalk-La Mirada Unified School District California,
GO, CAB, Election of 2002, Series E (AGC), 5.53%,
8/01/38 (a)

 

 

7,500

 

 

1,790,025

 

Ohlone Community College District, GO, Election of
2010, Series A, 5.25%, 8/01/41

 

 

8,140

 

 

9,205,607

 

Orange County Sanitation District, COP, Series A,
5.00%, 2/01/35

 

 

2,500

 

 

2,770,300

 

Orange County Water District, COP, Refunding,
5.25%, 8/15/34

 

 

9,045

 

 

10,356,435

 

Orchard School District California, GO, Election of
2001, Series A (AGC), 5.00%, 8/01/34

 

 

7,490

 

 

8,350,975

 

Oxnard Union High School District California, GO,
Refunding, Series A (NPFGC), 6.20%, 8/01/30

 

 

9,645

 

 

10,719,164

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

County/City/Special District/
School District (concluded)

 

 

 

 

 

 

 

Pittsburg Unified School District, GO, Election of
2006, Series B (AGM):

 

 

 

 

 

 

 

5.50%, 8/01/34

 

$

2,000

 

$

2,263,020

 

5.63%, 8/01/39

 

 

4,500

 

 

5,076,720

 

Port of Oakland, Refunding RB, Series M (NPFGC),
5.38%, 11/01/27

 

 

5,000

 

 

5,066,450

 

Redlands Unified School District California, GO,
Election of 2008 (AGM), 5.25%, 7/01/33

 

 

5,000

 

 

5,559,550

 

Sacramento Area Flood Control Agency, Special
Assessment Bonds, Refunding, Consolidated,
Capital Assessment District, Series A (NPFGC),
5.00%, 10/01/32

 

 

4,350

 

 

4,724,492

 

San Bernardino Community College District, GO,
Election of 2002, Series C (AGM), 5.00%, 8/01/27

 

 

4,315

 

 

4,841,818

 

San Diego Community College District California,
GO, Election of 2006 (AGM), 5.00%, 8/01/32

 

 

7,115

 

 

7,850,549

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/38

 

 

4,895

 

 

5,272,405

 

San Jose Financing Authority, RB, Civic Center
Project, Series B (AMBAC), 5.00%, 6/01/32

 

 

11,400

 

 

11,460,990

 

San Jose Financing Authority, RB, Convention Center
Expansion & Renovation Project:

 

 

 

 

 

 

 

5.75%, 5/01/36

 

 

2,570

 

 

2,752,290

 

5.75%, 5/01/42

 

 

4,500

 

 

5,114,745

 

San Juan Unified School District, GO, Election of
2002 (AGM), 5.00%, 8/01/34

 

 

6,475

 

 

7,183,753

 

San Leandro Unified School District California, GO,
Election of 2010, Series A, 5.75%, 8/01/41

 

 

3,000

 

 

3,481,020

 

Snowline Joint Unified School District, COP, Refunding,
Refining Project (AGC), 5.75%, 9/01/38

 

 

5,600

 

 

6,372,688

 

Walnut Valley Unified School District, GO, Election of
2007, Series B, 5.75%, 8/01/41

 

 

7,680

 

 

8,911,411

 

West Contra Costa Unified School District
California, GO:

 

 

 

 

 

 

 

Election of 2002, Series B (AGM), 5.00%,
8/01/32

 

 

6,690

 

 

6,744,256

 

Election of 2010, Series A, 5.25%, 8/01/41

 

 

6,140

 

 

6,803,059

 

Westminster Redevelopment Agency California,
Tax Allocation Bonds, Subordinate, Commercial
Redevelopment Project No. 1 (AGC), 6.25%,
11/01/39

 

 

4,300

 

 

5,156,732

 

 

 

 

 

 

 

204,536,516

 

Education — 5.1%

 

 

 

 

 

 

 

Anaheim City School District California, GO, Election
of 2010 (AGM), 6.25%, 8/01/40

 

 

3,750

 

 

4,520,100

 

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

 

 

4,220

 

 

4,746,276

 

California Municipal Finance Authority, RB, Emerson
College, 6.00%, 1/01/42

 

 

2,500

 

 

2,769,775

 

Gavilan Joint Community College District, GO,
Election of 2004, Series D:

 

 

 

 

 

 

 

5.50%, 8/01/31

 

 

2,165

 

 

2,607,548

 

5.75%, 8/01/35

 

 

8,400

 

 

9,991,128

 

Rio Hondo Community College District California,
GO, CAB, Election of 2004,Series C, 5.35%,
8/01/37 (a)

 

 

12,005

 

 

3,313,140

 

 

 

 

 

 

 

27,947,967

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

15




 

 

 

Schedule of Investments (continued)

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

Health — 10.7%

 

 

 

 

 

 

 

ABAG Finance Authority for Nonprofit Corps,
Refunding RB, Sharp Healthcare, Series A, 6.00%,
8/01/30

 

$

2,250

 

$

2,713,410

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Cedars-Sinai Medical Center, 5.00%, 8/15/34

 

 

2,550

 

 

2,689,052

 

Providence Health Services, Series B, 5.50%,
10/01/39

 

 

4,105

 

 

4,536,394

 

Sutter Health, Series A, 5.25%, 11/15/46

 

 

8,000

 

 

8,337,920

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Catholic Healthcare West, Series A, 6.00%,
7/01/34

 

 

2,130

 

 

2,457,083

 

Catholic Healthcare West, Series A, 6.00%,
7/01/39

 

 

5,500

 

 

6,256,415

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

7,715

 

 

8,887,989

 

California Statewide Communities Development
Authority, RB:

 

 

 

 

 

 

 

Health Facility, Memorial Health Services,
Series A, 6.00%, 10/01/23

 

 

3,685

 

 

3,829,636

 

Kaiser Permanente, Series B, 5.25%, 3/01/45

 

 

3,800

 

 

3,932,278

 

Sutter Health, Series A, 6.00%, 8/15/42

 

 

4,085

 

 

4,706,083

 

California Statewide Communities Development
Authority, Refunding RB:

 

 

 

 

 

 

 

Catholic Healthcare West, Series D (BHAC)
5.50%, 7/01/31

 

 

865

 

 

938,110

 

Trinity Health Credit Group, 5.00%, 12/01/41

 

 

5,000

 

 

5,369,250

 

City of Newport Beach California, RB, Hoag Memorial
Hospital Presbyterian, 6.00%, 12/01/40

3,825

 

 

4,551,406

 

 

 

 

 

 

 

59,205,026

 

Housing — 0.1%

 

 

 

 

 

 

 

California Rural Home Mortgage Finance Authority,
RB, Mortgage-Backed Securities Program, AMT
(Ginnie Mae):

 

 

 

 

 

 

 

Series A, 6.35%, 12/01/29 (b)

 

 

70

 

 

72,234

 

Series B, 6.25%, 12/01/31

 

 

50

 

 

50,539

 

County of San Bernardino California, Refunding RB,
Home Mortgage-Backed Securities, Series A-1,
AMT (Ginnie Mae), 6.25%, 12/01/31

 

 

95

 

 

103,702

 

 

 

 

 

 

 

226,475

 

State — 4.5%

 

 

 

 

 

 

 

California State Public Works Board, RB, Department
of Education, Riverside Campus Project, Series B,
6.50%, 4/01/34

 

 

3,670

 

 

4,234,079

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

6.00%, 3/01/33

 

 

7,000

 

 

8,314,740

 

6.00%, 4/01/38

 

 

7,000

 

 

8,124,410

 

6.00%, 11/01/39

 

 

3,375

 

 

3,953,171

 

 

 

 

 

 

 

24,626,400

 

Transportation — 13.3%

 

 

 

 

 

 

 

City of San Jose California, RB,
Series A-1, AMT, 6.25%, 3/01/34

 

 

1,400

 

 

1,614,816

 

County of Orange California, RB, Series B, 5.75%,
7/01/34

 

 

5,000

 

 

5,626,700

 

Senior Series B, AMT (AGM), 5.25%, 7/01/33

 

 

7,500

 

 

7,986,375

 

Subordinated and Passenger Facility Charges/
Grant, Series C (AGC), 5.75%, 7/01/39

 

 

5,455

 

 

6,013,046

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

Los Angeles Department of Airports, RB, Los Angeles
International Airport, Senior Series A:

 

 

 

 

 

 

 

5.25%, 5/15/29

 

$

3,760

 

$

4,291,514

 

5.00%, 5/15/35

 

 

2,945

 

 

3,284,971

 

5.25%, 5/15/39

 

 

2,785

 

 

3,099,789

 

Los Angeles Harbor Department, RB, Series B:

 

 

 

 

 

 

 

5.25%, 8/01/34

 

 

5,530

 

 

6,284,568

 

5.25%, 8/01/39

 

 

2,480

 

 

2,781,494

 

San Diego County Regional Airport Authority, RB,
Series B, 5.00%, 7/01/40

 

 

6,350

 

 

6,790,436

 

San Francisco City & County Airports
Commission, RB:

 

 

 

 

 

 

 

Series E, 6.00%, 5/01/39

 

 

9,650

 

 

11,182,420

 

Special Facility Lease, SFO Fuel, Series A,
AMT (AGM), 6.10%, 1/01/20

 

 

1,000

 

 

1,002,680

 

Special Facility Lease, SFO Fuel, Series A,
AMT (AGM), 6.13%, 1/01/27

 

 

985

 

 

987,009

 

San Francisco City & County Airports Commission,
Refunding RB, Second Series 34E, AMT (AGM):

 

 

 

 

 

 

 

5.75%, 5/01/24

 

 

5,000

 

 

5,723,800

 

5.75%, 5/01/25

 

 

3,500

 

 

3,971,415

 

San Joaquin County Transportation Authority, RB,
Limited Tax, Series A, 6.00%, 3/01/36

 

 

2,400

 

 

2,881,968

 

 

 

 

 

 

 

73,523,001

 

Utilities — 17.1%

 

 

 

 

 

 

 

Anaheim Public Financing Authority, RB, Electric
System Distribution Facilities, Series A, 5.38%,
10/01/36

 

 

5,000

 

 

5,759,150

 

City of Los Angeles California, Refunding RB,
Sub-Series A:

 

 

 

 

 

 

 

5.00%, 6/01/28

 

 

2,000

 

 

2,328,160

 

5.00%, 6/01/32

 

 

3,000

 

 

3,408,570

 

Dublin-San Ramon Services District, Refunding RB,
6.00%, 8/01/41

 

 

4,000

 

 

4,739,200

 

East Bay Municipal Utility District, RB, Series A
(NPFGC), 5.00%, 6/01/37

 

 

4,000

 

 

4,598,280

 

East Bay Municipal Utility District, Refunding RB,
Sub-Series A:

 

 

 

 

 

 

 

5.00%, 6/01/30

 

 

5,000

 

 

5,943,200

 

(AMBAC), 5.00%, 6/01/33

 

 

4,125

 

 

4,524,383

 

Imperial Irrigation District, Refunding RB, Electric
System, Series B, 5.13%, 11/01/38

 

 

5,500

 

 

5,872,570

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

5.25%, 7/01/39

 

 

8,000

 

 

9,163,040

 

5.00%, 7/01/41

 

 

7,500

 

 

8,342,925

 

Power System, Series A, Sub Series A-2 (NPFGC),
5.00%, 7/01/27

 

 

16,000

 

 

16,681,760

 

Oxnard Financing Authority, RB, Redwood Trunk Sewer
& Headworks, Series A (NPFGC), 5.25%, 6/01/34

 

 

9,750

 

 

10,436,302

 

San Diego Public Facilities Financing Authority,
Refunding RB, Senior Series A, 5.25%, 5/15/34

 

 

1,000

 

 

1,136,460

 

San Francisco City & County Public Utilities
Commission, RB, Sub-Series A, 5.00%, 11/01/37

 

 

10,000

 

 

11,317,800

 

 

 

 

 

 

 

94,251,800

 

Total Municipal Bonds in California

 

 

 

 

 

487,135,186

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

16

SEMI-ANNUAL REPORT

JANUARY 31, 2012

 




 

 

 

Schedule of Investments (continued)

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 0.5%

 

 

 

 

 

 

 

State — 0.5%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB,
Senior Series C, 6.00%, 8/01/39 (a)

 

$

12,420

 

$

2,892,245

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

2,892,245

 

Total Municipal Bonds — 88.9%

 

 

 

 

 

490,027,431

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

California — 72.3%

 

 

 

 

 

 

 

County/City/Special District/
School District — 38.7%

 

 

 

 

 

 

 

Arcadia Unified School District California, GO,
Election of 2006, Series A (AGM), 5.00%,
8/01/37

 

 

7,925

 

 

8,432,275

 

Desert Community College District California, GO,
Series C (AGM), 5.00%, 8/01/37

 

 

12,150

 

 

12,954,451

 

Fremont Unified School District Alameda County
California, GO, Election of 2002, Series B (AGM),
5.00%, 8/01/30

 

 

15,997

 

 

17,268,200

 

Los Angeles Community College District
California, GO:

 

 

 

 

 

 

 

Election of 2001, Series A (AGM), 5.00%,
8/01/32

 

 

12,000

 

 

13,125,720

 

Election of 2001, Series A (NPFGC), 5.00%,
8/01/32

 

 

26,438

 

 

28,917,619

 

Election of 2003, Series E (AGM), 5.00%,
8/01/31

 

 

7,497

 

 

8,098,213

 

Election of 2003, Series F-1, 5.00%, 8/01/33

 

 

12,000

 

 

13,236,360

 

Election of 2008, Series A, 6.00%, 8/01/33

 

 

9,596

 

 

11,537,726

 

Los Angeles County Metropolitan Transportation
Authority, Refunding RB, Proposition A, First Tier,
Senior Series A (AMBAC), 5.00%, 7/01/35

 

 

6,828

 

 

7,519,960

 

Los Angeles County Sanitation Districts Financing
Authority, Refunding RB, Capital Project 14 (BHAC),
5.00%, 10/01/34

 

 

4,998

 

 

5,283,704

 

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

 

 

5,000

 

 

5,499,750

 

Ohlone Community College District, GO, Series B
(AGM), 5.00%, 8/01/30

 

 

19,998

 

 

21,420,560

 

Poway Unified School District, GO, Election of 2002,
Improvement District 02, Series 1-B (AGM),
5.00%, 8/01/30

 

 

10,000

 

 

10,875,600

 

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

 

 

7,550

 

 

8,370,006

 

San Diego County Water Authority, COP, Series A
(AGM), 5.00%, 5/01/30

 

 

7,350

 

 

7,804,010

 

San Francisco Bay Area Rapid Transit District,
Refunding RB, Series A (NPFGC), 5.00%, 7/01/30

 

 

19,630

 

 

21,554,918

 

San Francisco Bay Area Transit Financing Authority,
Refunding RB, Series A (NPFGC), 5.00%, 7/01/34

 

 

10,497

 

 

11,526,464

 

 

 

 

 

 

 

213,425,536

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Education — 11.4%

 

 

 

 

 

 

 

California State University, Refunding RB,
Systemwide, Series C (NPFGC), 5.00%,
11/01/35

 

$

20,000

 

$

20,973,000

 

Los Rios Community College District, GO, Election of
2008, Series A, 5.00%, 8/01/35

 

 

11,000

 

 

12,127,610

 

University of California, RB:

 

 

 

 

 

 

 

Limited Project, Series D (AGM), 5.00%, 5/15/41

 

 

8,000

 

 

8,536,000

 

Series L, 5.00%, 5/15/40

 

 

7,398

 

 

7,893,850

 

Series O, 5.75%, 5/15/34

 

 

11,190

 

 

13,166,713

 

 

 

 

 

 

 

62,697,173

 

Utilities — 22.2%

 

 

 

 

 

 

 

City of Napa California, RB (AMBAC), 5.00%,
5/01/35

 

 

9,070

 

 

9,743,901

 

East Bay Municipal Utility District, RB, Sub-Series A
(NPFGC), 5.00%, 6/01/35

 

 

15,000

 

 

16,602,300

 

East Bay Municipal Utility District, Refunding RB,
Sub-Series A (AMBAC), 5.00%, 6/01/37

 

 

7,990

 

 

8,640,785

 

Los Angeles Department of Water & Power, RB,
Power System:

 

 

 

 

 

 

 

Sub-Series A-1 (AGM), 5.00%, 7/01/31

 

 

5,007

 

 

5,342,213

 

Sub-Series A-1 (AGM), 5.00%, 7/01/37

 

 

13,525

 

 

14,573,028

 

Sub-Series A-1 (AMBAC), 5.00%, 7/01/37

 

 

5,029

 

 

5,419,003

 

Sub-Series A-2 (AGM), 5.00%, 7/01/35

 

 

7,500

 

 

8,007,075

 

Metropolitan Water District of Southern
California, RB:

 

 

 

 

 

 

 

Series A, 5.00%, 7/01/37

 

 

15,000

 

 

16,504,950

 

Series B-1 (NPFGC), 5.00%, 10/01/33

 

 

7,175

 

 

7,591,906

 

Rancho Water District Financing Authority,
Refunding RB, Series A (AGM), 5.00%, 8/01/34

 

 

9,277

 

 

10,136,173

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/33

 

 

8,510

 

 

9,205,692

 

San Diego County Water Authority, COP, Series A
(AGM), 5.00%, 5/01/31

 

 

10,000

 

 

10,582,600

 

 

 

 

 

 

 

122,349,626

 

Total Municipal Bonds Transferred to

 

 

 

 

 

 

 

Tender Option Bond Trusts — 72.3%

 

 

 

 

 

398,472,335

 

Total Long-Term Investments

 

 

 

 

 

 

 

(Cost — $824,423,644) — 161.2%

 

 

 

 

 

888,499,766

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

BIF California Municipal Money Fund,
0.00% (d)(e)

 

 

12,391,222

 

 

12,391,222

 

Total Short-Term Securities
(Cost — $12,391,222) — 2.2%

 

 

 

 

 

12,391,222

 

Total Investments (Cost — $836,814,866) — 163.4%

 

 

 

 

 

900,890,988

 

Other Assets Less Liabilities — 1.1%

 

 

 

 

 

6,375,683

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (34.3)%

 

 

 

 

 

(189,300,981

)

VRDP Shares, at Liquidation Value — (30.2)%

 

 

 

 

 

(166,500,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

551,465,690

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

17




 

 

 

Schedule of Investments (concluded)

BlackRock MuniYield California Quality Fund, Inc. (MCA)


 

 

(a)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

(b)

Variable rate security. Rate shown is as of report date.

 

(c)

Securities represent bonds transferred to a TOB in exchange for which the Fund acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(d)

Investments in companies considered to be an affiliate of the Fund during the period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF California
Municipal
Money Fund

 

 

15,276,406

 

 

(2,885,184

)

 

12,391,222

 

 

 



 

 

(e)

Represents the current yield as of report date.

 

 

For Fund compliance purposes, the Fund’s sector classifications refer to any 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 Fund management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

65

 

 

10-Year US
Treasury
Note

 

 

Chicago
Board of
Trade

 

 

March
2012

 

$

8,596,250

 

$

(113,874

)



 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

888,499,766

 

 

 

$

888,499,766

 

Short-Term
Securities

 

$

12,391,222

 

 

 

 

 

 

12,391,222

 

Total

 

$

12,391,222

 

$

888,499,766

 

 

 

$

900,890,988

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(113,874

)

 

 

 

 

$

(113,874

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

18

SEMI-ANNUAL REPORT

JANUARY 31, 2012

 




 

 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock MuniYield Michigan Quality Fund II, Inc. (MYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan — 129.2%

 

 

 

 

 

 

 

Corporate — 5.6%

 

 

 

 

 

 

 

Delta County EDC, Refunding RB, Mead Westvaco-
Escanaba, Series A, 6.25%, 4/15/12 (a)

 

$

2,420

 

$

2,450,201

 

Dickinson County EDC Michigan, Refunding RB,
International Paper Co. Project, Series A, 5.75%,
6/01/16

 

 

2,500

 

 

2,531,650

 

Monroe County EDC Michigan, Refunding RB,
Detroit Edison Co. Project, Series AA (NPFGC),
6.95%, 9/01/22

 

 

3,805

 

 

5,125,373

 

 

 

 

 

 

 

10,107,224

 

County/City/Special District/
School District — 32.7%

 

 

 

 

 

 

 

Adrian City School District Michigan, GO (AGM),
5.00%, 5/01/14 (a)

 

 

2,400

 

 

2,644,560

 

Anchor Bay School District, GO, Refunding (Q-SBLF):

 

 

 

 

 

 

 

4.13%, 5/01/25

 

 

2,000

 

 

2,171,560

 

4.25%, 5/01/26

 

 

1,145

 

 

1,238,363

 

4.38%, 5/01/27

 

 

640

 

 

692,736

 

4.38%, 5/01/28

 

 

400

 

 

430,220

 

4.50%, 5/01/29

 

 

605

 

 

653,418

 

Bay City School District Michigan, GO, School
Building & Site (AGM), 5.00%, 5/01/36

 

 

200

 

 

209,646

 

Charter Township of Canton Michigan, GO, Capital
Improvement (AGM):

 

 

 

 

 

 

 

5.00%, 4/01/25

 

 

1,250

 

 

1,372,425

 

5.00%, 4/01/26

 

 

1,250

 

 

1,364,275

 

5.00%, 4/01/27

 

 

500

 

 

543,220

 

City of Oak Park Michigan, GO, Street Improvement
(NPFGC), 5.00%, 5/01/30

 

 

600

 

 

642,324

 

Comstock Park Public Schools, GO, School Building
& Site, Series B (Q-SBLF):

 

 

 

 

 

 

 

5.50%, 5/01/36

 

 

450

 

 

507,294

 

5.50%, 5/01/41

 

 

830

 

 

934,306

 

County of Genesee Michigan, GO, Refunding,
Series A (NPFGC), 5.00%, 5/01/19

 

 

400

 

 

438,544

 

County of Genesee Michigan, GO, Water Supply
System (NPFGC), 5.13%, 11/01/33

 

 

500

 

 

511,680

 

Dearborn Brownfield Redevelopment Authority, GO,
Limited Tax, Redevelopment, Series A (AGC),
5.50%, 5/01/39

 

 

2,000

 

 

2,221,600

 

Detroit City School District Michigan, GO, School
Building & Site Improvement (FGIC):

 

 

 

 

 

 

 

Series A, 5.38%, 5/01/13 (a)

 

 

1,480

 

 

1,573,832

 

Series B, 5.00%, 5/01/28

 

 

1,600

 

 

1,624,704

 

Eaton Rapids Public Schools Michigan, GO, School
Building & Site (AGM), 5.25%, 5/01/23

 

 

2,000

 

 

2,189,080

 

Flint EDC, RB, Michigan Department of Human
Services Office Building, 5.25%, 10/01/41

 

 

1,880

 

 

1,950,575

 

Fraser Public School District, GO, School Building &
Site (AGM), 5.00%, 5/01/25

 

 

1,255

 

 

1,383,989

 

Gibraltar School District Michigan, GO, School
Building & Site Improvement (FGIC):

 

 

 

 

 

 

 

5.00%, 10/01/28

 

 

585

 

 

608,301

 

5.00%, 5/01/13 (a)

 

 

3,065

 

 

3,377,323

 

Goodrich Area School District, GO, School Building &
Site (Q-SBLF):

 

 

 

 

 

 

 

5.50%, 5/01/32

 

 

400

 

 

461,020

 

5.50%, 5/01/36

 

 

800

 

 

904,520

 

5.50%, 5/01/41

 

 

1,000

 

 

1,127,320

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (continued)

 

 

 

 

 

 

 

County/City/Special District/
School District (concluded)

 

 

 

 

 

 

 

Grand Rapids Building Authority Michigan, RB,
Series A (AMBAC) (a):

 

 

 

 

 

 

 

5.50%, 10/01/12

 

$

535

 

$

553,880

 

5.50%, 10/01/12

 

 

130

 

 

134,588

 

Gull Lake Community School District, GO, Refunding
(AGM), 4.00%, 5/01/26

 

 

615

 

 

642,017

 

Harper Creek Community School District Michigan,
GO, Refunding (AGM), 5.00%, 5/01/22

 

 

1,000

 

 

1,124,640

 

Harper Woods School District Michigan, GO,
Refunding, School Building & Site (FGIC), 5.00%,
5/01/34

 

 

10

 

 

10,291

 

Hudsonville Public Schools, GO, School Building &
Site (Q-SBLF), 5.25%, 5/01/41

 

 

750

 

 

834,720

 

Jonesville Community Schools Michigan, GO,
Refunding (NPFGC), 5.00%, 5/01/29

 

 

1,085

 

 

1,136,906

 

L’Anse Creuse Public Schools Michigan, GO, School
Building & Site (AGM):

 

 

 

 

 

 

 

5.00%, 5/01/25

 

 

1,000

 

 

1,105,790

 

5.00%, 5/01/26

 

 

1,050

 

 

1,161,079

 

5.00%, 5/01/35

 

 

2,000

 

 

2,077,580

 

Lincoln Consolidated School District Michigan, GO,
Refunding (NPFGC), 4.63%, 5/01/28

 

 

2,325

 

 

2,451,782

 

Livonia Public Schools School District Michigan, GO,
Refunding, Series A (NPFGC), 5.00%, 5/01/24

 

 

500

 

 

535,915

 

Ludington Area School District Michigan, GO
(NPFGC), 5.25%, 5/01/23

 

 

1,440

 

 

1,539,965

 

New Lothrop Area Public Schools Michigan, GO,
School Building & Site (AGM), 5.00%, 5/01/35

 

 

1,200

 

 

1,253,232

 

Parchment School District, County of Kalamazoo,
State of Michigan, GO, School Building and Site,
5.00%, 5/01/25

 

 

590

 

 

676,429

 

Pontiac Tax Increment Finance Authority Michigan,
Tax Allocation Bonds, Refunding, Tax Increment
Development (ACA), 5.38%, 6/01/12 (a)

 

 

640

 

 

657,440

 

Reed City Public Schools Michigan, GO, School
Building & Site (AGM), 5.00%, 5/01/14 (a)

 

 

1,000

 

 

1,103,090

 

Rochester Community School District, GO (NPFGC),
5.00%, 5/01/19

 

 

265

 

 

306,724

 

Romulus Community Schools, GO, Refunding (AGM):

 

 

 

 

 

 

 

4.00%, 5/01/24

 

 

685

 

 

728,943

 

4.13%, 5/01/25

 

 

715

 

 

764,428

 

4.25%, 5/01/26

 

 

740

 

 

788,744

 

4.25%, 5/01/27

 

 

725

 

 

764,861

 

4.50%, 5/01/29

 

 

630

 

 

670,667

 

Southfield Public Schools Michigan, GO, School
Building & Site, Series B (AGM), 5.00%,
5/01/14 (a)

 

 

1,000

 

 

1,103,090

 

Sparta Area Schools Michigan, GO, School Building
& Site (FGIC), 5.00%, 5/01/14 (a)

 

 

1,000

 

 

1,100,720

 

Thornapple Kellogg School District Michigan, GO,
School Building & Site (NPFGC), 5.00%, 5/01/32

 

 

1,500

 

 

1,601,775

 

Van Dyke Public Schools Michigan, GO, School
Building & Site (AGM), 5.00%, 5/01/28

 

 

750

 

 

828,128

 

Zeeland Public Schools Michigan, GO, School
Building & Site (NPFGC), 5.00%, 5/01/29

 

 

1,230

 

 

1,277,367

 

 

 

 

 

 

 

58,711,626

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

19




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Michigan Quality Fund II, Inc. (MYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (continued)

 

 

 

 

 

 

 

Education — 11.7%

 

 

 

 

 

 

 

Ferris State University, Refunding RB, General (AGM):

 

 

 

 

 

 

 

4.50%, 10/01/23

 

$

1,360

 

$

1,492,899

 

4.50%, 10/01/24

 

 

1,595

 

 

1,740,751

 

4.50%, 10/01/25

 

 

1,405

 

 

1,527,277

 

Michigan Higher Education Facilities Authority, RB,
Limited Obligation, Hillsdale College Project,
5.00%, 3/01/35

 

 

1,030

 

 

1,045,007

 

Michigan Higher Education Facilities Authority,
Refunding RB, Limited Obligation, Creative Studies,
5.90%, 6/01/12 (a)

 

 

1,000

 

 

1,018,820

 

Michigan Higher Education Student Loan Authority,
RB, Student Loan (AMBAC):

 

 

 

 

 

 

 

Series XVII-I, 5.20%, 3/01/24

 

 

2,515

 

 

2,584,138

 

Series XVII-P, 4.88%, 3/01/30

 

 

2,700

 

 

2,731,293

 

Series XVII-Q, AMT, 5.00%, 3/01/31

 

 

500

 

 

511,270

 

Michigan State University, Refunding RB, General,
Series C:

 

 

 

 

 

 

 

5.00%, 2/15/40

 

 

3,770

 

 

4,146,585

 

5.00%, 2/15/44

 

 

1,000

 

 

1,089,670

 

Saginaw Valley State University Michigan, Refunding
RB, General (FGIC), 5.00%, 7/01/24

 

 

1,450

 

 

1,507,797

 

Western Michigan University, Refunding RB, General,
5.25%, 11/15/40

 

 

1,400

 

 

1,551,284

 

 

 

 

 

 

 

20,946,791

 

Health — 24.8%

 

 

 

 

 

 

 

Dickinson County Healthcare System, Refunding RB
(ACA), 5.80%, 11/01/24

 

 

2,170

 

 

2,170,043

 

Flint Hospital Building Authority Michigan, Refunding
RB, Hurley Medical Center (ACA):

 

 

 

 

 

 

 

6.00%, 7/01/20

 

 

640

 

 

643,488

 

Series A, 5.38%, 7/01/20

 

 

385

 

 

379,964

 

Kalamazoo Hospital Finance Authority, RB, Bronson
Methodist Hospital (AGM), 5.25%, 5/15/36

 

 

2,750

 

 

2,982,238

 

Kent Hospital Finance Authority Michigan, RB,
Spectrum Health, Series A, 5.00%, 11/15/29

 

 

3,000

 

 

3,317,670

 

Michigan State Finance Authority, RB, Trinity
Health Credit:

 

 

 

 

 

 

 

5.00%, 12/01/31

 

 

1,900

 

 

2,077,365

 

5.00%, 12/01/35

 

 

1,900

 

 

2,026,046

 

Michigan State Hospital Finance Authority, RB:

 

 

 

 

 

 

 

Ascension Health Senior Credit Group, 5.00%,
11/15/25

 

 

2,300

 

 

2,622,437

 

McLaren Health Care, Series C, 5.00%,
8/01/35

 

 

1,585

 

 

1,619,141

 

Mercy Health Services, Series R (AMBAC),
5.38%, 8/15/26 (a)

 

 

2,000

 

 

2,008,160

 

MidMichigan Obligation Group, Series A, 5.00%,
4/15/26

 

 

380

 

 

396,557

 

MidMichigan Obligation Group, Series A
(AMBAC), 5.50%, 4/15/18

 

 

1,000

 

 

1,006,400

 

Trinity Health Credit, Series A, 5.00%,
12/01/16 (a)

 

 

145

 

 

174,006

 

Trinity Health Credit, Series A, 5.00%, 12/01/26

 

 

855

 

 

919,800

 

Trinity Health Credit, Series C, 5.38%, 12/01/30

 

 

1,765

 

 

1,789,816

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (continued)

 

 

 

 

 

 

 

Health (concluded)

 

 

 

 

 

 

 

Michigan State Hospital Finance Authority,
Refunding RB:

 

 

 

 

 

 

 

5.38%, 12/01/12 (a)

 

$

1,000

 

$

1,042,870

 

5.38%, 12/01/12 (a)

 

 

185

 

 

192,931

 

6.25%, 12/01/28

 

 

570

 

 

668,661

 

6.50%, 12/01/33

 

 

1,400

 

 

1,643,922

 

Hospital, Crittenton, Series A, 5.63%, 3/01/27

 

 

1,300

 

 

1,314,313

 

Hospital, Oakwood Obligation Group, Series A,
5.00%, 7/15/21

 

 

400

 

 

428,388

 

Hospital, Oakwood Obligation Group, Series A,
5.00%, 7/15/25

 

 

2,470

 

 

2,581,693

 

Hospital, Oakwood Obligation Group, Series A,
5.00%, 7/15/37

 

 

3,340

 

 

3,354,162

 

Hospital, Sparrow Obligated, 5.00%, 11/15/31

 

 

1,595

 

 

1,650,745

 

McLaren Health Care, 5.75%, 5/15/38

 

 

1,500

 

 

1,624,635

 

Trinity Health Credit, Series A, 6.13%, 12/01/23

 

 

940

 

 

1,131,826

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

1,000

 

 

1,236,620

 

Sturgis Building Authority, RB, Sturgis Hospital
Project (FGIC), 4.75%, 10/01/34

 

 

3,525

 

 

3,583,022

 

 

 

 

 

 

 

44,586,919

 

Housing — 5.8%

 

 

 

 

 

 

 

Michigan State HDA, RB:

 

 

 

 

 

 

 

Deaconess Tower AMT (Ginnie Mae), 5.25%,
2/20/48

 

 

1,000

 

 

1,022,120

 

Series A, 4.75%, 12/01/25

 

 

2,675

 

 

2,815,866

 

Series A, 6.00%, 10/01/45

 

 

4,280

 

 

4,379,724

 

Series A (NPFGC), 5.30%, 10/01/37

 

 

20

 

 

20,009

 

Michigan State HDA, Refunding RB, Series A, 6.05%,
10/01/41

 

 

2,000

 

 

2,140,260

 

 

 

 

 

 

 

10,377,979

 

State — 16.3%

 

 

 

 

 

 

 

Michigan Municipal Bond Authority, RB, Clean Water
Revolving Fund:

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

750

 

 

872,288

 

Pooled Project, 5.00%, 10/01/27

 

 

760

 

 

904,788

 

Michigan Municipal Bond Authority, Refunding RB,
Local Government, Charter County Wayne,
Series B (AGC):

 

 

 

 

 

 

 

5.00%, 11/01/15

 

 

1,000

 

 

1,119,370

 

5.00%, 11/01/16

 

 

500

 

 

576,530

 

5.38%, 11/01/24

 

 

125

 

 

146,775

 

Michigan State Building Authority, RB, Facilities
Program, Series H (AGM), 5.00%, 10/15/26

 

 

3,000

 

 

3,410,370

 

Michigan State Building Authority, Refunding RB:

 

 

 

 

 

 

 

Series A, 5.50%, 10/15/45

 

 

750

 

 

846,788

 

Series I, 6.25%, 10/15/38

 

 

2,350

 

 

2,724,002

 

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

 

 

2,000

 

 

2,325,520

 

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

 

 

1,500

 

 

1,736,280

 

Series I (AGC), 5.25%, 10/15/26

 

 

400

 

 

460,064

 

Series II (NPFGC), 5.00%, 10/15/29

 

 

2,000

 

 

2,059,540

 

Michigan State Finance Authority, RB, Local
Government Loan Program, Series F, 5.25%,
10/01/41

 

 

2,510

 

 

2,646,017

 

Michigan Strategic Fund, RB, Cadillac Place Office
Building Project, 5.25%, 10/15/31

 

 

1,000

 

 

1,109,860

 

State of Michigan, RB, GAB (AGM), 5.25%, 9/15/27

 

 

3,250

 

 

3,624,920

 


 

 

 

See Notes to Financial Statements.

 

 

 

20

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Michigan Quality Fund II, Inc. (MYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (concluded)

 

 

 

 

 

 

 

State (concluded)

 

 

 

 

 

 

 

State of Michigan Trunk Line Revenue, RB, Fund:

 

 

 

 

 

 

 

5.00%, 11/15/29

 

$

750

 

$

880,560

 

5.00%, 11/15/33

 

 

1,150

 

 

1,315,450

 

5.00%, 11/15/36

 

 

2,220

 

 

2,511,575

 

 

 

 

 

 

 

29,270,697

 

Transportation — 11.2%

 

 

 

 

 

 

 

Wayne County Airport Authority, RB, Detroit
Metropolitan Wayne County Airport, AMT (NPFGC):

 

 

 

 

 

 

 

5.25%, 12/01/25

 

 

4,475

 

 

4,676,733

 

5.25%, 12/01/26

 

 

3,700

 

 

3,841,858

 

5.00%, 12/01/34

 

 

3,550

 

 

3,595,440

 

Wayne County Airport Authority, Refunding RB,
AMT (AGC):

 

 

 

 

 

 

 

5.75%, 12/01/26

 

 

3,060

 

 

3,347,395

 

5.38%, 12/01/32

 

 

4,300

 

 

4,550,045

 

 

 

 

 

 

 

20,011,471

 

Utilities — 21.1%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Second Lien, Series B (AGM), 7.00%, 7/01/36

 

 

2,000

 

 

2,420,260

 

Senior Lien, Series A (AGM), 5.00%, 7/01/25

 

 

1,200

 

 

1,279,608

 

Senior Lien, Series A (NPFGC), 5.00%, 7/01/34

 

 

4,000

 

 

4,025,920

 

City of Detroit Michigan, Refunding RB, Second Lien,
Series C (AGM), 5.00%, 7/01/29

 

 

6,475

 

 

6,663,228

 

City of Grand Rapids Michigan, RB (FGIC), 5.00%,
1/01/34

 

 

6,900

 

 

7,134,393

 

City of Grand Rapids Michigan, Refunding RB,
Series A (NPFGC), 5.50%, 1/01/22

 

 

1,500

 

 

1,929,570

 

City of Port Huron Michigan, RB, Water Supply:

 

 

 

 

 

 

 

5.25%, 10/01/31

 

 

190

 

 

206,807

 

5.63%, 10/01/40

 

 

500

 

 

542,035

 

City of Wyoming Michigan, RB, Sewer System
(NPFGC), 5.00%, 6/01/30

 

 

5,300

 

 

5,563,145

 

Lansing Board of Water & Light, RB, Series A:

 

 

 

 

 

 

 

5.00%, 7/01/27

 

 

1,210

 

 

1,397,550

 

5.00%, 7/01/31

 

 

2,600

 

 

2,928,276

 

5.00%, 7/01/37

 

 

1,270

 

 

1,410,894

 

5.50%, 7/01/41

 

 

2,000

 

 

2,321,960

 

 

 

 

 

 

 

37,823,646

 

Total Municipal Bonds in Michigan

 

 

 

 

 

231,836,353

 

 

 

 

 

 

 

 

 

Guam — 2.0%

 

 

 

 

 

 

 

State — 1.6%

 

 

 

 

 

 

 

Government of Guam Business Privilege, RB,
Series A, 5.13%, 1/01/42

 

 

1,800

 

 

1,958,220

 

Territory of Guam, RB, Section 30, Series A, 5.63%,
12/01/29

 

 

850

 

 

914,804

 

 

 

 

 

 

 

2,873,024

 

Utilities — 0.4%

 

 

 

 

 

 

 

Guam Power Authority, Refunding RB, Series A
(AGM), 5.00%, 10/01/37

 

 

640

 

 

693,274

 

Total Municipal Bonds in Guam

 

 

 

 

 

3,566,298

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 8.2%

 

 

 

 

 

 

 

State — 6.4%

 

 

 

 

 

 

 

Puerto Rico Public Buildings Authority, Refunding RB,
Government Facilities, Series M-3 (NPFGC),
6.00%, 7/01/27

 

$

1,200

 

$

1,347,588

 

Puerto Rico Sales Tax Financing Corp., Refunding RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC) 5.18%, 8/01/43 (b)

 

 

12,500

 

 

2,223,000

 

CAB, Series A (NPFGC) 5.00%, 8/01/46 (b)

 

 

30,000

 

 

4,421,100

 

First Sub-Series C (AGM), 5.13%, 8/01/42

 

 

3,200

 

 

3,462,048

 

 

 

 

 

 

 

11,453,736

 

Transportation — 1.3%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series CC (AGC), 5.50%, 7/01/31

 

 

2,000

 

 

2,387,240

 

Utilities — 0.5%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority, RB, 5.50%,
7/01/38

 

 

880

 

 

936,601

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

14,777,577

 

Total Municipal Bonds — 139.4%

 

 

 

 

 

250,180,228

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

Michigan — 11.4%

 

 

 

 

 

 

 

County/City/Special District/
School District — 4.2%

 

 

 

 

 

 

 

Lakewood Public Schools Michigan, GO, School
Building & Site (AGM), 5.00%, 5/01/37

 

 

3,970

 

 

4,401,618

 

Portage Public Schools Michigan, GO, School
Building & Site (AGM), 5.00%, 5/01/31

 

 

2,850

 

 

3,092,963

 

 

 

 

 

 

 

7,494,581

 

Education — 6.2%

 

 

 

 

 

 

 

Saginaw Valley State University, Refunding RB,
General (AGM), 5.00%, 7/01/31

 

 

2,500

 

 

2,724,275

 

Wayne State University, Refunding RB, General
(AGM), 5.00%, 11/15/35

 

 

7,790

 

 

8,397,464

 

 

 

 

 

 

 

11,121,739

 

Health — 1.0%

 

 

 

 

 

 

 

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

 

 

1,650

 

 

1,749,891

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 11.4%

 

 

 

 

 

20,366,211

 

Total Long-Term Investments
(Cost — $253,548,109) — 150.8%

 

 

 

 

 

270,546,439

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

21




 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniYield Michigan Quality Fund II, Inc. (MYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BIF Michigan Municipal Money Fund, 0.00% (d)(e)

 

 

3,688,890

 

$

3,688,890

 

Total Short-Term Securities
(Cost — $3,688,890) — 2.1%

 

 

 

 

 

3,688,890

 

Total Investments (Cost — $257,236,999) — 152.9%

 

 

 

 

 

274,235,329

 

Other Assets Less Liabilities — 1.3%

 

 

 

 

 

2,333,911

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (5.5)%

 

 

 

 

 

(9,858,402

)

VRDP Shares, at Liquidation Value — (48.7)%

 

 

 

 

 

(87,300,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

179,410,838

 

 

 

 

 

 

 

 

 


 

 

(a)

US 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)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(c)

Securities represent bonds transferred to a TOB in exchange for which the Fund acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(d)

Investments in companies considered to be an affiliate of the Fund during the period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF Michigan
Municipal
Money Fund

 

 

3,018,268

 

 

670,622

 

 

3,688,890

 

 

 


 

 

(e)

Represents the current yield as of report date.

 

 

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

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

 

 

 

10-Year US

 

 

Chicago

 

 

 

 

 

 

 

 

 

 

 

 

 

Treasury

 

 

Board of

 

 

March

 

 

 

 

 

 

 

20

 

 

Note

 

 

Trade

 

 

2012

 

$

2,645,000

 

$

(35,038

)


 

 

 

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

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

270,546,439

 

 

 

$

270,546,439

 

Short-Term
Securities

 

$

3,688,890

 

 

 

 

 

 

3,688,890

 

Total

 

$

3,688,890

 

$

270,546,439

 

 

 

$

274,235,329

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(35,038

)

 

 

 

 

$

(35,038

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

22

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 105.7%

 

 

 

 

 

 

 

Corporate — 3.7%

 

 

 

 

 

 

 

New York City Industrial Development Agency,
Refunding RB, Terminal One Group Association
Project, AMT, 5.50%, 1/01/24 (a)

 

$

1,500

 

$

1,596,435

 

New York Liberty Development Corp., RB, Goldman
Sachs Headquarters, 5.25%, 10/01/35

 

 

3,400

 

 

3,726,842

 

New York State Energy Research & Development
Authority, Refunding RB, Brooklyn Union
Gas/Keyspan, Series A, AMT (FGIC), 4.70%,
2/01/24

 

 

4,750

 

 

5,032,577

 

Suffolk County Industrial Development Agency
New York, RB, Keyspan, Port Jefferson, AMT,
5.25%, 6/01/27

 

 

4,625

 

 

4,745,620

 

Suffolk County Industrial Development Agency
New York, Refunding RB, Ogden Martin System
Huntington, AMT (AMBAC), 6.25%, 10/01/12

 

 

6,470

 

 

6,707,902

 

 

 

 

 

 

 

21,809,376

 

County/City/Special District/
School District — 30.9%

 

 

 

 

 

 

 

Amherst Development Corp., RB, University at
Buffalo Foundation Faculty-Student Housing Corp.,
Series A (AGM), 4.63%, 10/01/40

 

 

2,000

 

 

2,098,920

 

Buffalo & Erie County Industrial Land Development
Corp., RB, Buffalo State College Foundation
Housing Corp. Project, Series A, 5.38%, 10/01/41

 

 

1,040

 

 

1,136,668

 

City of New York, New York, GO:

 

 

 

 

 

 

 

Series A-1, 5.00%, 8/01/35

 

 

1,950

 

 

2,194,744

 

Series D, 5.00%, 10/01/33

 

 

8,350

 

 

9,560,917

 

City of New York, New York, GO, Refunding:

 

 

 

 

 

 

 

Series 02-B (AMBAC), 7.00%, 2/01/18

 

 

70

 

 

70,379

 

Series E, 5.00%, 8/01/27

 

 

1,070

 

 

1,247,374

 

County of Onondaga New York, RB, Syracuse
University Project:

 

 

 

 

 

 

 

5.00%, 12/01/30

 

 

1,190

 

 

1,381,423

 

5.00%, 12/01/36

 

 

1,150

 

 

1,298,545

 

Dutchess County Resource Recovery Agency
New York, RB, Solid Waste System, Series A
(NPFGC), 5.40%, 1/01/13

 

 

1,700

 

 

1,734,221

 

Erie County Industrial Development Agency, RB:

 

 

 

 

 

 

 

City of Buffalo Project (AGM), 5.75%,
5/01/12 (b)

 

 

1,900

 

 

1,926,543

 

School District of Buffalo Project, Series A,
5.25%, 5/01/31

 

 

2,305

 

 

2,654,715

 

Erie County Industrial Development Agency,
Refunding RB, School District of Buffalo Project,
Series A, 5.25%, 5/01/32

 

 

1,000

 

 

1,145,720

 

Hudson New York Yards Infrastructure Corp., RB,
Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

750

 

 

770,468

 

(AGM), 5.00%, 2/15/47

 

 

4,580

 

 

4,759,536

 

(FGIC), 5.00%, 2/15/47

 

 

3,985

 

 

4,093,751

 

(NPFGC), 4.50%, 2/15/47

 

 

17,525

 

 

17,311,370

 

New York City Industrial Development Agency, RB:

 

 

 

 

 

 

 

Queens Baseball Stadium (AMBAC),
5.00%, 1/01/36

 

 

10,800

 

 

9,884,808

 

Queens Baseball Stadium (AMBAC),
5.00%, 1/01/39

 

 

1,750

 

 

1,586,795

 

Yankee Stadium (AGC), 6.38%, 1/01/39

 

 

1,000

 

 

1,124,880

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

County/City/Special District/
School District (concluded)

 

 

 

 

 

 

 

New York City Industrial Development Agency,
RB, PILOT:

 

 

 

 

 

 

 

CAB, Yankee Stadium (AGC), 6.58%,
3/01/39 (c)

 

$

5,000

 

$

1,335,600

 

CAB, Yankee Stadium (AGC), 6.52%,
3/01/43 (c)

 

 

4,330

 

 

909,430

 

Yankee Stadium (FGIC), 5.00%, 3/01/46

 

 

9,650

 

 

9,819,454

 

Yankee Stadium (NPFGC), 5.00%, 3/01/36

 

 

2,250

 

 

2,314,800

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2008, Series S-1, 4.50%, 1/15/38

 

 

1,700

 

 

1,764,702

 

Fiscal 2009, Series S-1 (AGC), 5.50%, 7/15/38

 

 

6,000

 

 

6,713,640

 

Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/39

 

 

1,500

 

 

1,689,675

 

Future Tax Secured, Series C (FGIC), 5.00%,
2/01/33

 

 

12,395

 

 

13,223,854

 

Future Tax Secured, Series E (NPFGC), 5.25%,
2/01/13 (b)

 

 

2,445

 

 

2,567,592

 

Future Tax Secured, Series E (NPFGC), 5.25%,
2/01/22

 

 

55

 

 

57,457

 

Future Tax Secured, Sub-Series D-1, 5.00%,
11/01/38

 

 

4,125

 

 

4,694,291

 

Series S-2 (AGM), 5.00%, 1/15/37

 

 

5,000

 

 

5,333,750

 

Series S-2 (NPFGC), 4.25%, 1/15/34

 

 

5,980

 

 

6,116,703

 

New York City Transitional Finance Authority,
Refunding RB, Series A (FGIC), 5.00%, 11/15/26

 

 

1,000

 

 

1,003,280

 

New York Convention Center Development Corp., RB,
Hotel Unit Fee Secured (AMBAC):

 

 

 

 

 

 

 

5.00%, 11/15/30

 

 

1,500

 

 

1,579,665

 

5.00%, 11/15/35

 

 

11,600

 

 

12,069,568

 

5.00%, 11/15/44

 

 

14,470

 

 

14,906,415

 

New York Liberty Development Corp., Refunding RB,
4 World Trade Denter Project:

 

 

 

 

 

 

 

5.00%, 11/15/31

 

 

2,570

 

 

2,809,010

 

5.75%, 11/15/51

 

 

3,460

 

 

3,937,238

 

North Country Development Authority, Refunding RB
(AGM), 6.00%, 5/15/15

 

 

840

 

 

901,144

 

Saint Lawrence County Industrial Development
Agency, RB, Clarkson University Project, 5.38%,
9/01/41

 

 

500

 

 

560,185

 

Sales Tax Asset Receivable Corp., RB, Series A
(AMBAC), 5.00%, 10/15/32

 

 

11,200

 

 

12,207,216

 

Syracuse Industrial Development Agency New York,
RB, Carousel Center Project, Series A, AMT
(Syncora), 5.00%, 1/01/36

 

 

3,400

 

 

2,996,828

 

Tompkins County Industrial Development Agency, RB,
Civic Facility Cornell University Project, Series A,
5.00%, 7/01/37

 

 

675

 

 

762,946

 

Town of Huntington New York, GO, Refunding (AMBAC):

 

 

 

 

 

 

 

5.50%, 4/15/12

 

 

460

 

 

465,069

 

5.50%, 4/15/13

 

 

455

 

 

483,792

 

Town of North Hempstead New York, GO, Refunding,
Series B (NPFGC):

 

 

 

 

 

 

 

6.40%, 4/01/13

 

 

1,745

 

 

1,864,498

 

6.40%, 4/01/17

 

 

555

 

 

698,673

 

 

 

 

 

 

 

179,768,252

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

23




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education — 14.8%

 

 

 

 

 

 

 

City of Troy New York, Refunding RB, Rensselaer
Polytechnic, Series A, 5.13%, 9/01/40

 

$

5,725

 

$

6,124,433

 

Madison County Industrial Development Agency
New York, RB, Colgate University Project,
Series A (AMBAC):

 

 

 

 

 

 

 

5.00%, 7/01/30

 

 

5,410

 

 

5,843,720

 

5.00%, 7/01/35

 

 

2,675

 

 

2,846,548

 

Monroe County Industrial Development Corp., RB,
University of Rochester Project, Series B, 4.50%,
7/01/35

 

 

3,885

 

 

4,079,638

 

New York City Industrial Development Agency, RB,
New York University Project (BHAC), 5.00%,
7/01/41

 

 

7,000

 

 

7,006,160

 

New York City Industrial Development Agency,
Refunding RB, Nightingale-Bamford School
(AMBAC), 5.25%, 1/15/18

 

 

1,275

 

 

1,321,015

 

New York City Transitional Finance Authority, RB,
Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/33

 

 

5,500

 

 

6,286,830

 

New York City Trust for Cultural Resources, Refunding
RB, Museum of Modern Art, Series 1A, 5.00%,
4/01/31

 

 

1,000

 

 

1,120,640

 

New York State Dormitory Authority, LRB, State
University Dormitory Facilities, Series A:

 

 

 

 

 

 

 

5.00%, 7/01/35

 

 

800

 

 

883,736

 

5.00%, 7/01/40

 

 

2,035

 

 

2,226,310

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Convent of the Sacred Heart (AGM), 5.75%,
11/01/40

 

 

2,075

 

 

2,414,346

 

Cornell University, Series A, 5.00%, 7/01/40

 

 

1,000

 

 

1,124,800

 

Fordham University, Series A, 5.00%, 7/01/28

 

 

325

 

 

373,084

 

Fordham University, Series A, 5.50%, 7/01/36

 

 

1,550

 

 

1,767,434

 

General Purpose, Series A, 4.50%, 3/15/35

 

 

2,000

 

 

2,161,460

 

Haverstraw King’s Daughters Public Library,
4.00%, 7/01/28

 

 

565

 

 

601,488

 

Haverstraw King’s Daughters Public Library,
4.00%, 7/01/29

 

 

585

 

 

617,801

 

Haverstraw King’s Daughters Public Library,
4.00%, 7/01/30

 

 

610

 

 

637,962

 

Mount Sinai School of Medicine, 5.13%,
7/01/39

 

 

665

 

 

718,785

 

Mount Sinai School of Medicine at NYU (NPFGC),
5.00%, 7/01/35

 

 

7,100

 

 

7,463,662

 

New School (AGM), 5.50%, 7/01/43

 

 

4,050

 

 

4,532,557

 

New York University, Series 1 (AMBAC), 5.50%,
7/01/40

 

 

4,580

 

 

6,007,174

 

New York University, Series B, 5.00%, 7/01/34

 

 

1,000

 

 

1,106,840

 

New York University, Series C, 5.00%, 7/01/38

 

 

2,000

 

 

2,167,440

 

Rensselaer County Industrial Development Agency
New York, RB, Polytechnic Institute, Series B
(AMBAC), 5.50%, 8/01/22

 

 

1,255

 

 

1,259,405

 

Tompkins County Development Corp., RB, Ithaca
College Project (AGM):

 

 

 

 

 

 

 

5.50%, 7/01/33

 

 

500

 

 

575,185

 

5.25%, 7/01/36

 

 

860

 

 

955,598

 

Troy Industrial Development Authority, RB, Rensselaer
Polytechnic Institute Project, Series E, 5.20%,
4/01/37

 

 

2,280

 

 

2,458,273

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

Trust for Cultural Resources, RB, Carnegie Hall,
Series A:

 

 

 

 

 

 

 

4.75%, 12/01/39

 

$

3,550

 

$

3,754,267

 

5.00%, 12/01/39

 

 

2,150

 

 

2,311,207

 

Trust for Cultural Resources, Refunding RB, American
Museum of Natural History, Series A (NPFGC):

 

 

 

 

 

 

 

5.00%, 7/01/36

 

 

4,750

 

 

4,932,590

 

5.00%, 7/01/44

 

 

500

 

 

516,400

 

 

 

 

 

 

 

86,196,788

 

Health — 10.2%

 

 

 

 

 

 

 

Dutchess County Industrial Development Agency,
RB, Vassar Brothers Medical Center (AGC):

 

 

 

 

 

 

 

5.50%, 4/01/30

 

 

250

 

 

281,120

 

5.50%, 4/01/34

 

 

490

 

 

546,017

 

Monroe County Industrial Development Corp., RB,
Unity Hospital of Rochester Project (FHA),
5.50%, 8/15/40

 

 

4,650

 

 

5,265,102

 

New York City Health & Hospital Corp., Refunding RB,
Health System, Series A, 5.00%, 2/15/30

 

 

2,200

 

 

2,427,832

 

New York City Industrial Development Agency, RB,
Royal Charter, New York Presbyterian (AGM),
5.75%, 12/15/29

 

 

7,970

 

 

8,157,773

 

New York State Dormitory Authority, MRB, Montefiore
Hospital (FGIC), 5.00%, 8/01/33

 

 

1,500

 

 

1,557,045

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Healthcare, Series A, 5.00%, 3/15/38

 

 

2,000

 

 

2,202,160

 

Hudson Valley Hospital (BHAC), 5.00%, 8/15/36

 

 

6,500

 

 

6,983,600

 

New York & Presbyterian Hospital (AGM),
5.00%, 8/15/36

 

 

5,000

 

 

5,167,100

 

New York University Hospitals Center, Series A,
5.75%, 7/01/31

 

 

3,450

 

 

3,838,643

 

New York University Hospitals Center, Series A,
5.00%, 7/01/36

 

 

1,500

 

 

1,526,985

 

New York University Hospitals Center, Series A,
6.00%, 7/01/40

 

 

1,100

 

 

1,212,882

 

North Shore-Long Island Jewish Health System,
Series A, 5.50%, 5/01/37

 

 

2,075

 

 

2,299,349

 

North Shore-Long Island Jewish Obligated Group,
Series A, 5.00%, 5/01/32

 

 

4,000

 

 

4,364,680

 

North Shore-Long Island Jewish Obligated Group,
Series A, 5.25%, 5/01/34

 

 

9,220

 

 

10,208,384

 

New York State Dormitory Authority, Refunding RB,
Saint Luke’s Roosevelt Hospital (FHA), 4.90%,
8/15/31

 

 

2,900

 

 

3,071,651

 

 

 

 

 

 

 

59,110,323

 

Housing — 3.5%

 

 

 

 

 

 

 

Monroe County Industrial Development Agency,
IDRB, Southview Towers Project, AMT (SONYMA):

 

 

 

 

 

 

 

6.13%, 2/01/20

 

 

925

 

 

927,498

 

6.25%, 2/01/31

 

 

1,125

 

 

1,127,047

 

New York City Housing Development Corp., RB, AMT:

 

 

 

 

 

 

 

Series A-1-A, 5.00%, 11/01/30

 

 

750

 

 

761,198

 

Series A-1-A, 5.45%, 11/01/46

 

 

1,335

 

 

1,348,524

 

Series C, 5.00%, 11/01/26

 

 

1,500

 

 

1,540,095

 

Series C, 5.05%, 11/01/36

 

 

2,000

 

 

2,052,700

 

Series H-1, 4.70%, 11/01/40

 

 

1,340

 

 

1,341,260

 

Series H-2-A, 5.20%, 11/01/35

 

 

840

 

 

854,624

 

Series H-2-A, 5.35%, 5/01/41

 

 

600

 

 

605,544

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

24

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Housing (concluded)

 

 

 

 

 

 

 

New York Mortgage Agency, Refunding RB, AMT:

 

 

 

 

 

 

 

Homeowner Mortgage, Series 97, 5.50%,
4/01/31

 

$

945

 

$

945,633

 

Series 133, 4.95%, 10/01/21

 

 

520

 

 

537,529

 

Series 143, 4.85%, 10/01/27

 

 

1,100

 

 

1,114,476

 

Series 143, 4.90%, 10/01/37

 

 

940

 

 

951,054

 

Series 143 (NPFGC), 4.85%, 10/01/27

 

 

2,485

 

 

2,542,950

 

New York State HFA, RB, State Philips Housing,
Series A, AMT (Fannie Mae), 4.65%, 11/15/38

 

 

1,500

 

 

1,511,370

 

Yonkers Industrial Development Agency New York,
RB, Monastery Manor Associates LP Project, AMT
(SONYMA), 5.25%, 4/01/37

 

 

2,445

 

 

2,509,279

 

 

 

 

 

 

 

20,670,781

 

State — 7.1%

 

 

 

 

 

 

 

New York State, GO, Series E, 3.75%, 12/15/31

 

 

2,000

 

 

2,082,440

 

New York State Dormitory Authority, ERB, Series C,
5.00%, 12/15/31

 

 

6,230

 

 

7,071,735

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Master BOCES Program Lease (AGC), 5.00%,
8/15/28

 

 

1,750

 

 

1,983,293

 

Mental Health Services Facilities, Series B,
5.25%, 2/15/14 (b)

 

 

1,570

 

 

1,719,731

 

School Districts Financing Program, Series A
(AGM), 5.00%, 10/01/35

 

 

550

 

 

591,465

 

School Districts Financing Program, Series C
(AGM), 5.00%, 10/01/37

 

 

4,050

 

 

4,344,556

 

School Districts Financing Program, Series E
(NPFGC), 5.75%, 10/01/30

 

 

6,900

 

 

7,098,858

 

New York State Thruway Authority, RB:

 

 

 

 

 

 

 

Second General, Series B, 5.00%, 4/01/27

 

 

1,500

 

 

1,695,240

 

Series A (AMBAC), 5.00%, 4/01/26

 

 

4,380

 

 

4,832,147

 

New York State Urban Development Corp., RB:

 

 

 

 

 

 

 

Personal Income Tax, Series C-1 (NPFGC),
5.00%, 3/15/13 (b)

 

 

3,000

 

 

3,159,570

 

State Personal Income Tax, Series A, 3.50%,
3/15/28

 

 

1,500

 

 

1,566,750

 

State Personal Income Tax, State Facilities,
Series A-1 (NPFGC), 5.00%, 3/15/29

 

 

5,000

 

 

5,356,500

 

 

 

 

 

 

 

41,502,285

 

Tobacco — 1.3%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corp. New York, RB:

 

 

 

 

 

 

 

Series A-1 (AMBAC), 5.25%, 6/01/20

 

 

5,000

 

 

5,298,600

 

Series B-1C, 5.50%, 6/01/22

 

 

1,900

 

 

2,019,757

 

 

 

 

 

 

 

7,318,357

 

Transportation — 22.8%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB:

 

 

 

 

 

 

 

(AGC), 5.00%, 2/15/47

 

 

4,300

 

 

4,468,560

 

Series A (NPFGC), 5.00%, 2/15/47

 

 

550

 

 

571,560

 

Metropolitan Transportation Authority, RB:

 

 

 

 

 

 

 

Series 2008C, 6.50%, 11/15/28

 

 

3,200

 

 

3,987,136

 

Transportation, Series A, 5.00%, 11/15/27

 

 

1,000

 

 

1,166,120

 

Transportation, Series D, 5.25%, 11/15/29

 

 

1,000

 

 

1,146,030

 

Transportation, Series D, 5.25%, 11/15/41

 

 

4,000

 

 

4,473,680

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

Metropolitan Transportation Authority, Refunding RB:

 

 

 

 

 

 

 

Series A, 5.13%, 1/01/29

 

$

1,000

 

$

1,015,380

 

Series A (AGM), 5.00%, 11/15/32

 

 

1,015

 

 

1,044,983

 

Series A (NPFGC), 5.13%, 11/15/22

 

 

1,390

 

 

1,431,839

 

Series B, 5.00%, 11/15/34

 

 

1,500

 

 

1,659,705

 

Series C (AGM), 5.13%, 7/01/12 (b)

 

 

1,640

 

 

1,673,833

 

Transportation, Series F (NPFGC), 5.25%,
11/15/12 (b)

 

 

6,235

 

 

6,483,028

 

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

 

 

3,500

 

 

3,976,105

 

New York State Thruway Authority, RB:

 

 

 

 

 

 

 

Series F (AMBAC), 5.00%, 1/01/30

 

 

6,000

 

 

6,440,280

 

Series G (AGM), 4.75%, 1/01/29

 

 

7,250

 

 

7,766,128

 

Series G (AGM), 4.75%, 1/01/30

 

 

9,000

 

 

9,619,380

 

Series G (AGM), 5.00%, 1/01/30

 

 

2,000

 

 

2,171,620

 

Series G (AGM), 5.00%, 1/01/32

 

 

1,030

 

 

1,126,006

 

Niagara Falls Bridge Commission, Refunding RB,
Bridge System, Series A (AGC), 4.00%, 10/01/19

 

 

1,900

 

 

2,099,348

 

Niagara Frontier Transportation Authority New York,
RB, Buffalo Niagara International Airport, Series B
(NPFGC), 5.50%, 4/01/19

 

 

2,705

 

 

2,706,028

 

Port Authority of New York & New Jersey, RB:

 

 

 

 

 

 

 

124th Series, AMT (NPFGC), 5.00%, 8/01/36

 

 

500

 

 

500,480

 

163rd Series, 5.00%, 7/15/35

 

 

2,500

 

 

2,821,150

 

Port Authority of New York & New Jersey, RB,
JFK International Air Terminal, Special Project,
Series 6, AMT (NPFGC):

 

 

 

 

 

 

 

6.25%, 12/01/13

 

 

4,425

 

 

4,607,000

 

6.25%, 12/01/14

 

 

7,380

 

 

7,791,804

 

5.75%, 12/01/22

 

 

10,160

 

 

10,160,508

 

5.75%, 12/01/25

 

 

3,500

 

 

3,499,825

 

Triborough Bridge & Tunnel Authority, RB:

 

 

 

 

 

 

 

Sub-Series A (NPFGC), 5.25%, 11/15/30

 

 

6,000

 

 

6,368,220

 

Subordinate Bonds (AMBAC), 5.00%, 11/15/28

 

 

1,965

 

 

2,059,163

 

Triborough Bridge & Tunnel Authority, Refunding RB:

 

 

 

 

 

 

 

Series C, 5.00%, 11/15/38

 

 

2,000

 

 

2,210,300

 

Series E (NPFGC), 5.25%, 11/15/23

 

 

7,000

 

 

7,217,490

 

Series E (NPFGC), 5.00%, 11/15/32

 

 

19,675

 

 

20,200,913

 

 

 

 

 

 

 

132,463,602

 

Utilities — 11.4%

 

 

 

 

 

 

 

Buffalo Sewer Authority New York, Refunding RB,
Series F (NPFGC), 6.00%, 7/01/13

 

 

2,275

 

 

2,357,583

 

Long Island Power Authority, RB, Series A:

 

 

 

 

 

 

 

(AGM), 5.00%, 5/01/36

 

 

3,775

 

 

4,143,855

 

(AMBAC), 5.00%, 9/01/29

 

 

7,000

 

 

7,507,710

 

Long Island Power Authority, Refunding RB:

 

 

 

 

 

 

 

General, Series A (AGC), 6.00%, 5/01/33

 

 

1,500

 

 

1,793,340

 

General, Series B (AGM), 5.00%, 12/01/35

 

 

4,000

 

 

4,207,880

 

Series A (AGC), 5.75%, 4/01/39

 

 

1,015

 

 

1,173,908

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Second General Resolution, Series FF,
5.00%, 6/15/31

 

 

1,500

 

 

1,721,805

 

Second General Resolution, Series GG,
5.00%, 6/15/39

 

 

1,000

 

 

1,098,730

 

Second General Resolution, Series HH,
5.00%, 6/15/32

 

 

9,900

 

 

11,436,876

 

Series B, 5.00%, 6/15/36

 

 

2,000

 

 

2,137,300

 

Series DD, 5.00%, 6/15/32

 

 

6,750

 

 

7,508,903

 

Series DD (AGM), 4.50%, 6/15/39

 

 

1,000

 

 

1,047,900

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

25




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Utilities (concluded)

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority,
Refunding RB:

 

 

 

 

 

 

 

Second General Resolution, Fiscal 2011,
Series BB, 5.00%, 6/15/31

 

$

1,000

 

$

1,147,870

 

Series D (AGM), 5.00%, 6/15/37

 

 

9,000

 

 

9,900,810

 

New York State Environmental Facilities Corp., RB,
Revolving Funds, New York City Municipal Water,
5.00%, 6/15/36

 

 

2,100

 

 

2,374,848

 

New York State Environmental Facilities Corp.,
Refunding RB, Revolving Funds, New York City
Municipal Water, Series B, 5.00%, 6/15/33

 

 

1,040

 

 

1,174,597

 

New York State Power Authority, RB, Series A,
5.00%, 11/15/38

 

 

4,920

 

 

5,574,950

 

 

 

 

 

 

 

66,308,865

 

Total Municipal Bonds in New York

 

 

 

 

 

615,148,629

 

 

 

 

 

 

 

 

 

Guam — 1.0%

 

 

 

 

 

 

 

Transportation — 0.7%

 

 

 

 

 

 

 

Guam International Airport Authority, Refunding RB,
Series C, AMT (NPFGC):

 

 

 

 

 

 

 

5.25%, 10/01/21

 

 

2,240

 

 

2,243,674

 

5.25%, 10/01/22

 

 

2,050

 

 

2,053,075

 

 

 

 

 

 

 

4,296,749

 

Utilities — 0.3%

 

 

 

 

 

 

 

Guam Power Authority, Refunding RB, Series A (AGM),
5.00%, 10/01/37

 

 

1,380

 

 

1,494,871

 

Total Municipal Bonds in Guam

 

 

 

 

 

5,791,620

 

 

 

 

 

 

 

 

 

Puerto Rico — 12.4%

 

 

 

 

 

 

 

Housing — 0.7%

 

 

 

 

 

 

 

Puerto Rico Housing Finance Authority, Refunding
RB, Subordinate, Capital Fund Modernization,
5.13%, 12/01/27

 

 

3,500

 

 

3,829,945

 

State — 6.9%

 

 

 

 

 

 

 

Commonwealth of Puerto Rico, GO,
Refunding (NPFGC):

 

 

 

 

 

 

 

Public Improvement, Series A, 5.50%, 7/01/20

 

 

2,000

 

 

2,304,320

 

Sub-Series C-7, 6.00%, 7/01/27

 

 

2,000

 

 

2,212,420

 

Sub-Series C-7, 6.00%, 7/01/28

 

 

4,775

 

 

5,256,702

 

Puerto Rico Infrastructure Financing Authority, RB,
Series A (c):

 

 

 

 

 

 

 

(AMBAC), 4.67%, 7/01/35

 

 

3,900

 

 

927,576

 

(AMBAC), 5.02%, 7/01/43

 

 

8,000

 

 

1,080,880

 

(FGIC), 4.62%, 7/01/31

 

 

22,030

 

 

7,188,169

 

Puerto Rico Public Buildings Authority, Refunding
RB, Government Facilities Series M-3 (NPFGC),
6.00%, 7/01/28

 

 

2,850

 

 

3,200,521

 

Puerto Rico Sales Tax Financing Corp., RB:

 

 

 

 

 

 

 

First Sub-Series A, 5.63%, 8/01/30

 

 

2,000

 

 

2,126,500

 

First Sub-Series A, 5.75%, 8/01/37

 

 

7,150

 

 

8,002,995

 

First Sub-Series A (AGM), 5.00%, 8/01/40

 

 

2,100

 

 

2,247,021

 

Senior Series C, 5.25%, 8/01/40

 

 

2,035

 

 

2,259,888

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico (concluded)

 

 

 

 

 

 

 

State (concluded)

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., Refunding
RB (NPFGC) (c):

 

 

 

 

 

 

 

5.96%, 8/01/43

 

$

4,000

 

$

711,360

 

CAB, Series A, 5.75%, 8/01/41

 

 

12,800

 

 

2,553,216

 

 

 

 

 

 

 

40,071,568

 

Transportation — 3.7%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority, RB:

 

 

 

 

 

 

 

Series G (FGIC), 5.25%, 7/01/13 (b)

 

 

655

 

 

700,411

 

Series G (FGIC), 5.25%, 7/01/13 (b)

 

 

345

 

 

368,919

 

Series Y (AGM), 6.25%, 7/01/21

 

 

6,275

 

 

7,527,992

 

Puerto Rico Highway & Transportation Authority,
Refunding RB:

 

 

 

 

 

 

 

Series AA-1 (AGM), 4.95%, 7/01/26

 

 

3,660

 

 

3,968,904

 

Series CC (AGM), 5.50%, 7/01/29

 

 

2,500

 

 

3,002,150

 

Series CC (AGM), 5.50%, 7/01/31

 

 

2,500

 

 

2,984,050

 

Series D, 5.75%, 7/01/12 (b)

 

 

3,000

 

 

3,068,010

 

 

 

 

 

 

 

21,620,436

 

Utilities — 1.1%

 

 

 

 

 

 

 

Puerto Rico Aqueduct & Sewer Authority, RB,
Senior Lien, Series A (AGC), 5.13%, 7/01/47

 

 

1,950

 

 

2,051,595

 

Puerto Rico Electric Power Authority, RB, Series RR
(NPFGC), 5.00%, 7/01/24

 

 

1,000

 

 

1,056,130

 

Puerto Rico Electric Power Authority, Refunding RB,
Series VV (NPFGC), 5.25%, 7/01/30

 

 

3,000

 

 

3,464,010

 

 

 

 

 

 

 

6,571,735

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

72,093,684

 

Total Municipal Bonds — 119.1%

 

 

 

 

 

693,033,933

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

 

 

 

 

 

 

New York — 36.9%

 

 

 

 

 

 

 

County/City/Special District/
School District — 14.5%

 

 

 

 

 

 

 

City of New York, New York, GO:

 

 

 

 

 

 

 

Series J, 5.00%, 5/15/23

 

 

6,750

 

 

7,363,710

 

Sub-Series C-3 (AGC), 5.75%, 8/15/28

 

 

14,400

 

 

17,413,632

 

New York Convention Center Development Corp.,
RB, Hotel Unit Fee Secured (AMBAC), 5.00%,
11/15/35

 

 

20,000

 

 

20,809,600

 

New York State Dormitory Authority, RB, State
University Dormitory Facilities, Series A, 5.25%,
7/01/29

 

 

6,000

 

 

6,904,500

 

Sales Tax Asset Receivable Corp., RB,
Series A (AMBAC):

 

 

 

 

 

 

 

5.25%, 10/15/27

 

 

13,000

 

 

14,293,565

 

5.00%, 10/15/32

 

 

16,000

 

 

17,592,080

 

 

 

 

 

 

 

84,377,087

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

26

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Education — 3.3%

 

 

 

 

 

 

 

New York State Dormitory Authority, LRB, State
University Dormitory Facilities, Series A, 5.00%,
7/01/35

 

$

5,198

 

$

5,831,790

 

New York State Dormitory Authority, RB, New York
University, Series A:

 

 

 

 

 

 

 

5.00%, 7/01/38

 

 

6,498

 

 

7,042,327

 

(AMBAC), 5.00%, 7/01/37

 

 

5,707

 

 

6,140,989

 

 

 

 

 

 

 

19,015,106

 

State — 2.7%

 

 

 

 

 

 

 

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

 

 

7,850

 

 

9,257,897

 

New York State Dormitory Authority, RB, Mental
Health Services Facilities, Series C, AMT (AGM),
5.40%, 2/15/33

 

 

6,297

 

 

6,695,752

 

 

 

 

 

 

 

15,953,649

 

Transportation — 14.3%

 

 

 

 

 

 

 

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

 

 

9,739

 

 

11,005,368

 

Metropolitan Transportation Authority, RB, Series A
(NPFGC), 5.00%, 11/15/31

 

 

3,901

 

 

4,339,682

 

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

 

 

18,000

 

 

20,448,540

 

New York State Thruway Authority, RB, Series G
(AGM), 5.00%, 1/01/32

 

 

16,000

 

 

17,491,360

 

New York State Thruway Authority, Refunding RB,
Series H (AGM), 5.00%, 1/01/37

 

 

10,000

 

 

10,772,900

 

Port Authority of New York & New Jersey, RB:

 

 

 

 

 

 

 

Consolidated, 155th Series, AMT (AGM),
5.13%, 7/15/30

 

 

2,500

 

 

2,633,450

 

Consolidated, 169th Series, 5.00%, 10/15/25

 

 

7,990

 

 

9,326,571

 

Consolidated, 169th Series, 5.00%, 10/15/26

 

 

6,000

 

 

6,948,900

 

 

 

 

 

 

 

82,966,771

 

Utilities — 2.1%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

4,094

 

 

4,783,938

 

Second General Resolution, Fiscal 2012,
Series B, AMT, 5.00%, 6/15/44

 

 

3,991

 

 

4,444,844

 

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

 

 

2,759

 

 

3,176,988

 

 

 

 

 

 

 

12,405,770

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 36.9%

 

 

 

 

 

214,718,383

 

Total Long-Term Investments
(Cost — $848,905,956) — 156.0%

 

 

 

 

 

907,752,316

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BIF New York Municipal Money Fund,
0.00% (e)(f)

 

 

17,806,810

 

$

17,806,810

 

Total Short-Term Securities
(Cost — $17,806,810) — 3.1%

 

 

 

 

 

17,806,810

 

Total Investments (Cost — $866,712,766) — 159.1%

 

 

 

 

 

925,559,126

 

Other Assets Less Liabilities — 1.3%

 

 

 

 

 

7,415,866

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (17.8)%

 

 

 

 

 

(103,552,956

)

VRDP Shares, at Liquidation Value — (42.6)%

 

 

 

 

 

(247,700,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

581,722,036

 

 

 

 

 

 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

US 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)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

Securities represent bonds transferred to a TOB in exchange for which the Fund acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(e)

Represents the current yield as of report date.

 

 

(f)

Investments in companies considered to be an affiliate of the Fund during the period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF New York Municipal
Money Fund

 

 

14,521,616

 

 

3,285,194

 

 

17,806,810

 

$

1

 


 

 

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

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

168

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March 2012

 

$

22,218,000

 

$

(294,319

)


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

27




 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)


 

 

 

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

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

907,752,316

 

 

 

$

907,752,316

 

Short-Term
Securities

 

$

17,806,810

 

 

 

 

 

 

17,806,810

 

Total

 

$

17,806,810

 

$

907,752,316

 

 

 

$

925,559,126

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(294,319

)

 

 

 

 

$

(294,319

)


 

 

 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

28

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.4%

 

 

 

 

 

 

 

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

 

$

3,605

 

$

4,134,575

 

Alaska — 1.7%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,073,380

 

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

 

 

2,690

 

 

3,029,101

 

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

 

 

10,150

 

 

12,339,558

 

 

 

 

 

 

 

17,442,039

 

Arizona — 0.6%

 

 

 

 

 

 

 

Maricopa County & Phoenix Industrial Development
Authorities, Refunding RB, S/F, Series A-2, AMT
(Ginnie Mae), 5.80%, 7/01/40

 

 

1,420

 

 

1,463,963

 

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

 

 

3,725

 

 

4,225,454

 

 

 

 

 

 

 

5,689,417

 

California — 11.9%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

9,840,600

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

1,550

 

 

1,699,621

 

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

 

 

3,200

 

 

3,790,464

 

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

 

 

3,925

 

 

3,912,872

 

California State University, RB, Systemwide, Series A:

 

 

 

 

 

 

 

5.50%, 11/01/39

 

 

1,525

 

 

1,687,855

 

(NPFGC), 5.00%, 11/01/32

 

 

9,865

 

 

10,265,322

 

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

 

 

3,545

 

 

3,940,728

 

California Statewide Communities Development
Authority, RB (AGM):

 

 

 

 

 

 

 

Saint Joseph Health System, Series E, 5.25%,
7/01/47

 

 

5,000

 

 

5,281,800

 

Sutter Health, Series D, 5.05%, 8/15/38

 

 

300

 

 

315,495

 

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

 

 

1,900

 

 

2,098,018

 

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

 

 

2,300

 

 

2,541,224

 

City of San Jose California, Refunding RB, Series A,
AMT (AMBAC), 5.50%, 3/01/32

 

 

11,965

 

 

12,664,235

 

Coast Community College District, GO, Election of
2002, Series C (AGM), 6.05%, 8/01/33 (b)

 

 

8,100

 

 

2,559,600

 

County of Sacramento California, RB, Senior Series A
(AGM), 5.00%, 7/01/41

 

 

14,500

 

 

15,329,835

 

Dublin Unified School District California, GO, CAB,
Election of 2004, Series D, 6.95%, 8/01/34 (b)

 

 

5,000

 

 

1,285,250

 

Fairfield-Suisun Unified School District California,
GO, Election of 2002 (NPFGC), 5.50%, 8/01/28

 

 

5,800

 

 

6,300,018

 

Long Beach Unified School District, GO, Election of
2008, Series B, 6.53%, 8/01/34 (b)

 

 

5,000

 

 

1,592,600

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

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

 

$

1,200

 

$

1,312,572

 

Norwalk-La Mirada Unified School District California,
GO, Refunding, CAB, Election of 2002, Series E
(AGC), 6.47%, 8/01/38 (b)

 

 

7,620

 

 

1,818,665

 

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

 

 

2,500

 

 

2,783,100

 

Port of Oakland, Refunding RB, Series M (NPFGC),
5.38%, 11/01/27

 

 

8,030

 

 

8,136,719

 

Poway Unified School District, GO, CAB, School
Facilities Improvement, District, Election of 2008,
Series B, 6.27%, 8/01/36 (b)

 

 

10,000

 

 

2,836,200

 

Rio Hondo Community College District California,
GO, CAB, Election of 2004, Series C, 6.17%,
8/01/38 (b)

 

 

12,940

 

 

3,378,763

 

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

 

 

2,165

 

 

2,400,141

 

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

 

 

1,830

 

 

2,197,501

 

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

 

 

 

 

 

 

 

5.00%, 8/01/34

 

 

1,800

 

 

1,998,180

 

5.00%, 8/01/38

 

 

1,600

 

 

1,754,592

 

State of California, GO, Series 2007-2 (NPFGC),
5.50%, 4/01/30

 

 

10

 

 

10,674

 

Walnut Valley Unified School District, GO, CAB,
Election of 2007, Series B, 6.15%, 8/01/36 (b)

 

 

6,545

 

 

1,865,652

 

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

 

 

3,600

 

 

3,889,944

 

 

 

 

 

 

 

119,488,240

 

Connecticut — 0.5%

 

 

 

 

 

 

 

Connecticut Housing Finance Authority, RB,
Sub-Series E-2, 5.00%, 11/15/31

 

 

3,465

 

 

3,627,474

 

Connecticut State Health & Educational Facilities
Authority, RB, Hartford Healthcare, Series A,
5.00%, 7/01/32

 

 

765

 

 

823,890

 

 

 

 

 

 

 

4,451,364

 

Florida — 14.4%

 

 

 

 

 

 

 

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

 

 

15,000

 

 

16,192,200

 

Collier County School Board, COP (AGM), 5.00%,
2/15/23

 

 

5,000

 

 

5,486,000

 

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

 

 

2,250

 

 

2,521,980

 

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

 

 

 

 

 

 

 

5.63%, 10/01/26

 

 

2,600

 

 

2,887,170

 

5.38%, 10/01/32

 

 

3,440

 

 

3,715,613

 

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

 

 

 

 

 

 

 

Series B, 6.38%, 7/01/28

 

 

6,000

 

 

7,279,920

 

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

 

 

3,700

 

 

4,257,183

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

29




 

 

 

 

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, RB:

 

 

 

 

 

 

 

Miami International Airport, AMT (NPFGC),
5.38%, 10/01/25

 

$

7,500

 

$

7,618,050

 

Miami International Airport, AMT (NPFGC),
5.38%, 10/01/27

 

 

1,000

 

 

1,012,840

 

Miami International Airport, Series A, AMT (AGM),
5.50%, 10/01/41

 

 

19,020

 

 

20,103,760

 

Water & Sewer System (AGM), 5.00%,
10/01/39

 

 

11,700

 

 

12,736,854

 

County of Miami-Dade Florida, Refunding RB:

 

 

 

 

 

 

 

Miami International Airport (AGC), 5.00%,
10/01/40

 

 

11,000

 

 

11,271,700

 

Series C (BHAC), 6.00%, 10/01/23

 

 

20,095

 

 

24,443,558

 

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

 

 

2,800

 

 

2,997,876

 

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

 

 

1,750

 

 

2,002,280

 

Miami-Dade County School Board, COP, RB,
Series B (AGC), 5.25%, 5/01/31

 

 

1,010

 

 

1,108,990

 

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

 

 

12,000

 

 

13,361,880

 

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

 

 

5,135

 

 

5,492,293

 

 

 

 

 

 

 

144,490,147

 

Georgia — 1.8%

 

 

 

 

 

 

 

Burke County Development Authority, RB, Oglethorpe
Power Corp., Vogtle Project, Series C, 5.70%,
1/01/43

 

 

6,450

 

 

6,942,135

 

City of Atlanta Georgia, RB, General, Series B (AGM),
5.25%, 1/01/33

 

 

10,000

 

 

10,728,500

 

Gwinnett County Hospital Authority, Refunding RB,
Gwinnett Hospital System, Series D (AGM),
5.50%, 7/01/41

 

 

525

 

 

574,035

 

 

 

 

 

 

 

18,244,670

 

Illinois — 17.6%

 

 

 

 

 

 

 

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

 

 

6,470

 

 

7,331,028

 

Chicago Park District, GO, Harbor Facilities, Series C:

 

 

 

 

 

 

 

5.25%, 1/01/37

 

 

4,000

 

 

4,422,320

 

5.25%, 1/01/40

 

 

1,505

 

 

1,660,316

 

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

 

 

1,620

 

 

1,811,160

 

City of Chicago Illinois, ARB, General, Third Lien,
Series B-2, AMT (NPFGC):

 

 

 

 

 

 

 

5.25%, 1/01/27

 

 

10,000

 

 

10,362,800

 

6.00%, 1/01/27

 

 

26,230

 

 

27,992,918

 

City of Chicago Illinois, GO, CAB, City Colleges
(NPFGC) (b):

 

 

 

 

 

 

 

5.60%, 1/01/29

 

 

4,000

 

 

1,853,240

 

5.70%, 1/01/33

 

 

7,950

 

 

2,722,239

 

City of Chicago Illinois, RB, Series A:

 

 

 

 

 

 

 

O’Hare International Airport, General, Third Lien,
5.75%, 1/01/39

 

 

9,000

 

 

10,272,600

 

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

 

 

3,500

 

 

3,620,750

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

City of Chicago Illinois, Refunding RB, ARB, O’Hare
International Airport, General, Third Lien,
Series C-2, AMT (AGM), 5.25%, 1/01/30

 

$

16,400

 

$

16,710,288

 

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

 

 

8,700

 

 

9,367,812

 

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

 

 

5,250

 

 

6,037,972

 

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

 

 

 

 

 

 

 

5.00%, 2/01/35

 

 

18,400

 

 

19,439,784

 

5.25%, 2/01/35

 

 

15,000

 

 

15,996,000

 

Illinois State Toll Highway Authority, RB, Series B:

 

 

 

 

 

 

 

5.50%, 1/01/33

 

 

4,000

 

 

4,403,880

 

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

 

 

2,000

 

 

2,213,160

 

Kane, Kendall, Etc. Counties Community College
District No. 516 Illinois, GO, CAB, Series E
(NPFGC), 5.21%, 12/15/25 (b)

 

 

5,000

 

 

2,527,250

 

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

 

 

 

 

 

 

 

5.15%, 12/15/26

 

 

10,000

 

 

5,476,400

 

5.76%, 6/15/32

 

 

14,000

 

 

5,119,100

 

5.97%, 12/15/34

 

 

41,880

 

 

12,973,168

 

Metropolitan Pier & Exposition Authority, Refunding
RB, CAB, McCormick Place Expansion Project,
Series B (AGM), 6.25%, 6/15/44 (b)

 

 

9,430

 

 

1,628,184

 

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

 

 

1,700

 

 

1,906,244

 

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

 

 

1,000

 

 

1,257,910

 

 

 

 

 

 

 

177,106,523

 

Indiana — 2.9%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,589,100

 

Indiana Finance Authority, RB, Wastewater Utility,
5.25%, 10/01/38

 

 

2,900

 

 

3,242,374

 

Indiana Municipal Power Agency, RB:

 

 

 

 

 

 

 

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

 

 

3,850

 

 

4,071,221

 

Series B, 5.75%, 1/01/34

 

 

1,050

 

 

1,122,838

 

Series B, 6.00%, 1/01/39

 

 

5,000

 

 

5,702,500

 

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

 

 

 

 

 

 

 

5.75%, 1/01/38

 

 

2,900

 

 

3,274,883

 

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

 

 

1,350

 

 

1,526,715

 

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

 

 

4,250

 

 

4,765,270

 

 

 

 

 

 

 

29,294,901

 

Iowa — 3.3%

 

 

 

 

 

 

 

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

 

 

12,650

 

 

13,950,294

 

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

 

 

 

 

 

 

 

5.60%, 12/01/26

 

 

4,530

 

 

4,851,449

 

5.70%, 12/01/27

 

 

4,530

 

 

4,813,397

 

5.75%, 12/01/28

 

 

2,400

 

 

2,536,392

 

5.80%, 12/01/29

 

 

3,060

 

 

3,233,471

 

5.85%, 12/01/30

 

 

3,170

 

 

3,341,782

 

 

 

 

 

 

 

32,726,785

 


 

 

 

See Notes to Financial Statements.

 

 

 

30

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Kentucky — 1.0%

 

 

 

 

 

 

 

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

 

$

4,000

 

$

4,586,200

 

Louisville & Jefferson County Metropolitan Sewer
District Kentucky, RB, Series A (NPFGC), 5.25%,
5/15/37

 

 

5,000

 

 

5,429,400

 

 

 

 

 

 

 

10,015,600

 

Louisiana — 0.9%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District No. 1,
Refunding RB, Jefferson Medical Center, Series A
(AGM), 6.00%, 1/01/39

 

 

2,150

 

 

2,391,316

 

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

 

 

6,505

 

 

6,932,964

 

 

 

 

 

 

 

9,324,280

 

Massachusetts — 4.2%

 

 

 

 

 

 

 

Massachusetts HFA, RB:

 

 

 

 

 

 

 

S/F Housing, Series 128, AMT (AGM), 4.88%,
12/01/38 (c)

 

 

8,060

 

 

8,185,978

 

Series B, 7.00%, 12/01/38

 

 

3,150

 

 

3,565,075

 

Massachusetts HFA, Refunding RB:

 

 

 

 

 

 

 

Housing Development, Series B (NPFGC),
5.40%, 12/01/28

 

 

1,835

 

 

1,836,193

 

Rental Housing, Series A, AMT (AGM), 5.15%,
7/01/26

 

 

15,490

 

 

15,709,029

 

Series C, AMT, 5.35%, 12/01/42

 

 

3,100

 

 

3,258,565

 

Massachusetts Port Authority, Refunding RB,
BOSFUEL Project, AMT (NPFGC), 5.00%, 7/01/38

 

 

8,925

 

 

9,042,899

 

 

 

 

 

 

 

41,597,739

 

Michigan — 8.4%

 

 

 

 

 

 

 

City of Detroit Michigan, RB, Series B (AGM):

 

 

 

 

 

 

 

Second Lien, 6.25%, 7/01/36

 

 

1,075

 

 

1,246,807

 

Second Lien, 7.00%, 7/01/36

 

 

500

 

 

605,065

 

Senior Lien, 7.50%, 7/01/33

 

 

1,000

 

 

1,262,250

 

City of Detroit Michigan, Refunding RB:

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,857,975

 

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

 

 

5,000

 

 

5,365,700

 

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

 

 

5,000

 

 

5,109,000

 

Kalamazoo Hospital Finance Authority, RB, Bronson
Methodist Hospital (AGM), 5.25%, 5/15/36

 

 

410

 

 

444,625

 

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

 

 

3,185

 

 

3,697,721

 

Michigan State Building Authority, Refunding RB,
Facilities Program:

 

 

 

 

 

 

 

Series I, 6.25%, 10/15/38

 

 

3,125

 

 

3,622,344

 

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

 

 

1,750

 

 

2,034,830

 

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

 

 

3,250

 

 

3,761,940

 

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

 

 

2,075

 

 

2,342,571

 

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

 

 

1,900

 

 

2,138,431

 

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

 

 

8,040

 

 

9,020,076

 

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

 

 

11,600

 

 

12,302,264

 

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

 

 

2,900

 

 

3,043,956

 

Michigan Strategic Fund, Refunding RB, Detroit
Edison Co. Project, Series A (Syncora), 5.50%,
6/01/30

 

 

2,500

 

 

2,542,475

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (concluded)

 

 

 

 

 

 

 

State of Michigan, RB, GAN (AGM):

 

 

 

 

 

 

 

5.25%, 9/15/22

 

$

10,000

 

$

11,456,900

 

5.25%, 9/15/26

 

 

6,650

 

 

7,452,189

 

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

 

 

5,000

 

 

5,290,750

 

 

 

 

 

 

 

84,597,869

 

Minnesota — 0.7%

 

 

 

 

 

 

 

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

 

 

5,500

 

 

6,492,640

 

Nevada — 2.9%

 

 

 

 

 

 

 

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

 

 

2,250

 

 

2,625,413

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

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

 

 

5,170

 

 

5,637,626

 

Subordinate Lien, Series A-2 (NPFGC), 5.00%,
7/01/30

 

 

19,900

 

 

20,641,474

 

 

 

 

 

 

 

28,904,513

 

New Jersey — 4.9%

 

 

 

 

 

 

 

New Jersey EDA, RB, Cigarette Tax, 5.75%, 6/15/34

 

 

4,000

 

 

4,151,200

 

New Jersey EDA, Refunding RB, School Facilities
Construction, Series N-1:

 

 

 

 

 

 

 

(AMBAC), 5.50%, 9/01/24

 

 

7,500

 

 

9,610,125

 

(NPFGC), 5.50%, 9/01/28

 

 

1,685

 

 

2,150,481

 

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

 

 

 

 

 

 

 

5.50%, 12/01/25

 

 

1,250

 

 

1,379,838

 

5.50%, 12/01/26

 

 

1,800

 

 

1,960,164

 

5.75%, 12/01/28

 

 

200

 

 

220,846

 

5.88%, 12/01/33

 

 

6,895

 

 

7,618,079

 

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

 

 

 

 

 

 

 

CAB, Series A, 5.92%, 12/15/35 (b)

 

 

18,525

 

 

5,470,988

 

CAB, Series C (AGC), 5.72%, 12/15/25 (b)

 

 

10,000

 

 

5,821,000

 

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

 

 

4,250

 

 

5,543,190

 

Series B, 5.25%, 6/15/36

 

 

4,970

 

 

5,591,995

 

 

 

 

 

 

 

49,517,906

 

New York — 2.5%

 

 

 

 

 

 

 

City of New York, New York, GO, Series J, 5.25%,
5/15/24

 

 

10,000

 

 

10,952,000

 

Hudson New York Yards Infrastructure Corp., RB,
5.75%, 2/15/47

 

 

1,920

 

 

2,169,619

 

New York City Transitional Finance Authority, RB,
Fiscal 2009, Series S-4, 5.50%, 1/15/34

 

 

7,250

 

 

8,262,970

 

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

 

 

3,250

 

 

3,638,278

 

 

 

 

 

 

 

25,022,867

 

North Carolina — 0.4%

 

 

 

 

 

 

 

North Carolina Medical Care Commission, RB,
Novant Health Obligation, Series A, 4.75%,
11/01/43

 

 

4,075

 

 

4,133,028

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

31




 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Ohio — 0.6%

 

 

 

 

 

 

 

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

 

$

3,000

 

$

3,656,760

 

Ohio Higher Educational Facility Commission,
Refunding RB, Summa Health System, 2010
Project (AGC), 5.25%, 11/15/40

 

 

2,450

 

 

2,614,738

 

 

 

 

 

 

 

6,271,498

 

Pennsylvania — 2.7%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

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

 

 

15,600

 

 

17,051,112

 

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

 

 

5,695

 

 

6,777,506

 

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

 

 

2,575

 

 

3,119,226

 

 

 

 

 

 

 

26,947,844

 

Puerto Rico — 3.5%

 

 

 

 

 

 

 

Puerto Rico Public Buildings Authority, Refunding
RB, Government Facilities, Series M-3 (NPFGC),
6.00%, 7/01/27

 

 

3,720

 

 

4,177,523

 

Puerto Rico Sales Tax Financing Corp., RB:

 

 

 

 

 

 

 

CAB, Series C, 5.95%, 8/01/38 (b)

 

 

9,400

 

 

2,314,092

 

CAB, Series C, 6.12%, 8/01/39 (b)

 

 

24,000

 

 

5,588,880

 

First Sub-Series A, 5.75%, 8/01/37

 

 

2,000

 

 

2,238,600

 

First Sub-Series A, 6.38%, 8/01/39

 

 

10,195

 

 

11,901,541

 

First Sub-Series A, 5.50%, 8/01/42

 

 

5,155

 

 

5,654,055

 

Puerto Rico Sales Tax Financing Corp., Refunding RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC), 5.68%, 8/01/41 (b)

 

 

7,500

 

 

1,496,025

 

First Sub-Series C, 6.00%, 8/01/39

 

 

1,180

 

 

1,352,304

 

 

 

 

 

 

 

34,723,020

 

South Carolina — 0.4%

 

 

 

 

 

 

 

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

 

 

3,600

 

 

4,190,976

 

South Carolina State Housing Finance & Development
Authority, Refunding RB, Series A-2, AMT (AGM),
6.35%, 7/01/19

 

 

75

 

 

76,039

 

 

 

 

 

 

 

4,267,015

 

Tennessee — 0.4%

 

 

 

 

 

 

 

Memphis Center City Revenue Finance Corp., RB,
Pyramid and Pinch Distribution, Series B (AGM),
5.25%, 11/01/30

 

 

3,785

 

 

4,301,160

 

Texas — 12.4%

 

 

 

 

 

 

 

City of Houston Texas, RB, Combined, First Lien,
Series A (AGM), 5.00%, 11/15/36

 

 

10,000

 

 

10,850,300

 

City of Houston Texas, Refunding RB, Combined,
First Lien, Series A (AGC):

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

5,700

 

 

6,869,754

 

5.38%, 11/15/38

 

 

3,650

 

 

4,131,873

 

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

 

 

10,000

 

 

12,593,700

 

Dallas-Fort Worth International Airport Facilities
Improvement Corp., Refunding RB, Joint Series A,
AMT (NPFGC), 5.63%, 11/01/26

 

 

12,210

 

 

12,234,298

 

Grand Prairie ISD Texas, GO, Refunding, CAB,
6.59%, 8/15/28 (b)

 

 

10,000

 

 

4,165,900

 

Harris County Hospital District, RB, Senior Lien,
Series A (NPFGC), 5.25%, 2/15/37

 

 

5,850

 

 

6,107,342

 

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

 

 

10,000

 

 

10,593,200

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

North Texas Tollway Authority, Refunding RB,
First Tier, System:

 

 

 

 

 

 

 

Series A, 6.00%, 1/01/28

 

$

6,275

 

$

7,327,568

 

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

 

 

20,000

 

 

21,980,600

 

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

 

 

10,000

 

 

10,847,800

 

Texas Department of Housing & Community Affairs,
MRB, Series A, AMT (NPFGC), 5.45%, 9/01/23

 

 

3,870

 

 

3,874,412

 

Texas State Turnpike Authority, RB, First Tier,
Series A (AMBAC):

 

 

 

 

 

 

 

5.50%, 8/15/39

 

 

5,500

 

 

5,544,330

 

5.00%, 8/15/42

 

 

6,900

 

 

6,905,658

 

 

 

 

 

 

 

124,026,735

 

Utah — 1.5%

 

 

 

 

 

 

 

Utah Transit Authority, Refunding RB, CAB,
Sub-Series A (b):

 

 

 

 

 

 

 

(AGC), 5.45%, 6/15/20

 

 

10,000

 

 

7,335,800

 

(NPFGC), 5.23%, 6/15/24

 

 

13,930

 

 

7,984,537

 

 

 

 

 

 

 

15,320,337

 

Vermont — 0.3%

 

 

 

 

 

 

 

Vermont HFA, HRB, Series 12B, AMT (AGM),
6.30%, 11/01/19

 

 

255

 

 

260,146

 

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

 

 

2,145

 

 

2,245,171

 

 

 

 

 

 

 

2,505,317

 

Washington — 1.0%

 

 

 

 

 

 

 

Washington Health Care Facilities Authority, RB,
Providence Health & Services, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/39

 

 

1,125

 

 

1,194,604

 

5.25%, 10/01/39

 

 

2,725

 

 

2,950,303

 

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

 

 

5,400

 

 

6,284,304

 

 

 

 

 

 

 

10,429,211

 

Wisconsin — 1.1%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities
Authority, RB:

 

 

 

 

 

 

 

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

 

 

3,745

 

 

4,063,737

 

Froedtert & Community Health, Inc.,
5.25%, 4/01/39

 

 

3,500

 

 

3,725,190

 

SynergyHealth Inc., 6.00%, 11/15/32

 

 

3,395

 

 

3,505,405

 

 

 

 

 

 

 

11,294,332

 

Total Municipal Bonds — 104.9%

 

 

 

 

 

1,052,761,572

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

 

 

 

 

Arizona — 1.5%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

11,429,500

 

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

 

 

3,500

 

 

3,833,095

 

 

 

 

 

 

 

15,262,595

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

32

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

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 Trusts (d)

 

Par
(000)

 

Value

 

California — 11.9%

 

 

 

 

 

 

 

Alameda County Joint Powers Authority, Refunding
RB, Lease (AGM), 5.00%, 12/01/34

 

$

6,990

 

$

7,538,575

 

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

 

 

 

 

 

 

 

5.00%, 11/01/33

 

 

7,996

 

 

8,645,524

 

5.00%, 11/01/37

 

 

18,435

 

 

20,493,451

 

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

 

 

20,000

 

 

21,388,600

 

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

 

 

7,500

 

 

7,905,525

 

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

 

 

10,000

 

 

10,740,468

 

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

 

 

5,248

 

 

6,309,694

 

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

 

 

10,780

 

 

11,618,361

 

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

 

 

1,047

 

 

1,201,835

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/33

 

 

9,370

 

 

10,135,997

 

San Francisco Bay Area Rapid Transit District, RB
(AGM), 5.00%, 7/01/36

 

 

10,000

 

 

10,805,600

 

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

 

 

2,205

 

 

2,594,513

 

 

 

 

 

 

 

119,378,143

 

Colorado — 0.3%

 

 

 

 

 

 

 

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

 

 

2,469

 

 

2,733,387

 

Connecticut — 0.6%

 

 

 

 

 

 

 

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

 

 

5,010

 

 

5,796,019

 

District of Columbia — 1.9%

 

 

 

 

 

 

 

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

 

 

2,595

 

 

3,137,407

 

District of Columbia Water & Sewer Authority, RB,
Series A, 6.00%, 10/01/35

 

 

4,281

 

 

5,346,890

 

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

 

 

10,000

 

 

10,481,300

 

 

 

 

 

 

 

18,965,597

 

Florida — 3.4%

 

 

 

 

 

 

 

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

 

 

3,300

 

 

3,550,536

 

County of Miami Dade Florida, RB, (XLCA), 5.00%,
7/01/31

 

 

19,800

 

 

21,248,172

 

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

 

 

3,299

 

 

3,595,004

 

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

 

 

5,400

 

 

5,679,180

 

 

 

 

 

 

 

34,072,892

 

Georgia — 1.1%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

10,693,644

 

Hawaii — 1.0%

 

 

 

 

 

 

 

Honolulu City & County Board of Water Supply, RB,
Series A (FGIC), 5.00%, 7/01/33

 

 

9,830

 

 

10,245,023

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)

 

Par
(000)

 

Value

 

Illinois — 3.0%

 

 

 

 

 

 

 

City of Chicago Illinois, GO, Refunding, Series A
(AGC), 5.25%, 1/01/24

 

$

11,000

 

$

12,237,830

 

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

 

 

2,190

 

 

2,424,461

 

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

 

 

10,000

 

 

11,903,200

 

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

 

 

3,499

 

 

3,874,479

 

 

 

 

 

 

 

30,439,970

 

Kentucky — 0.7%

 

 

 

 

 

 

 

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

 

 

5,985

 

 

6,900,816

 

Louisiana — 1.1%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

10,648,100

 

Nevada — 0.6%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO,
Series B:

 

 

 

 

 

 

 

5.50%, 7/01/29

 

 

510

 

 

599,604

 

5.75%, 7/01/34

 

 

4,813

 

 

5,712,413

 

 

 

 

 

 

 

6,312,017

 

New Jersey — 1.3%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

13,349,300

 

New York — 5.0%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority,
RB, Series DD, 5.00%, 6/15/37

 

 

17,567

 

 

19,175,643

 

Port Authority of New York & New Jersey,
RB, Consolidated:

 

 

 

 

 

 

 

143rd Series, 5.00%, 10/01/30

 

 

5,180

 

 

5,519,964

 

155th Series (AGM), 5.13%, 7/15/30

 

 

19,500

 

 

20,540,910

 

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

 

 

4,500

 

 

5,135,310

 

 

 

 

 

 

 

50,371,827

 

North Carolina — 1.0%

 

 

 

 

 

 

 

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

 

 

9,886

 

 

10,105,068

 

Ohio — 0.7%

 

 

 

 

 

 

 

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

 

 

4,990

 

 

5,390,572

 

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

 

 

1,520

 

 

1,681,667

 

 

 

 

 

 

 

7,072,239

 

Puerto Rico — 0.7%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Senior
Series C, 5.25%, 8/01/40

 

 

6,540

 

 

7,262,735

 

South Carolina — 0.5%

 

 

 

 

 

 

 

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

 

 

4,528

 

 

4,777,578

 

South Dakota — 0.2%

 

 

 

 

 

 

 

South Dakota HDA, RB, Homeownership Mortgage,
Series K, 5.05%, 5/01/36

 

 

2,500

 

 

2,521,025

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

33




 

 

 

 

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 Trusts (d)

 

Par
(000)

 

Value

 

Texas — 4.1%

 

 

 

 

 

 

 

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

 

$

12,955

 

$

14,129,951

 

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

 

 

10,000

 

 

10,948,300

 

North East ISD Texas, GO, School Building, Series A,
5.00%, 8/01/37

 

 

3,500

 

 

3,871,175

 

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

 

 

10,000

 

 

12,120,400

 

 

 

 

 

 

 

41,069,826

 

Virginia — 0.4%

 

 

 

 

 

 

 

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

 

 

3,944

 

 

4,386,240

 

Washington — 5.7%

 

 

 

 

 

 

 

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

 

 

16,770

 

 

18,688,404

 

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

 

 

15,785

 

 

17,171,357

 

Port of Seattle Washington, Refunding RB, Series B,
AMT (NPFGC), 5.20%, 7/01/29

 

 

20,565

 

 

21,046,834

 

 

 

 

 

 

 

56,906,595

 

Wisconsin — 1.6%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

11,883,800

 

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

 

 

3,959

 

 

4,213,870

 

 

 

 

 

 

 

16,097,670

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 48.3%

 

 

 

 

 

485,368,306

 

Total Long-Term Investments
(Cost — $1,408,088,309) — 153.2%

 

 

 

 

 

1,538,129,878

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (e)(f)

 

 

37,110,706

 

 

37,110,706

 

Total Short-Term Securities
(Cost — $37,110,706) — 3.7%

 

 

 

 

 

37,110,706

 

Total Investments (Cost — $1,445,199,015) — 156.9%

 

 

 

 

 

1,575,240,584

 

Other Assets Less Liabilities — 1.9%

 

 

 

 

 

18,842,164

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (23.3)%

 

 

 

 

 

(233,855,171

)

VRDP Shares, at Liquidation Value — (35.5)%

 

 

 

 

 

(356,400,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

1,003,827,577

 


 

 

(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 is as of report date.

 

 

(b)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(c)

Variable rate security. Rate shown is as of report date.

 

 

(d)

Securities represent bonds transferred to a TOB in exchange for which the Fund acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(e)

Investments in companies considered to be an affiliate of the Fund during the period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

4,703,282

 

 

32,407,424

 

 

37,110,706

 

$

1,266

 


 

 

(f)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

120

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March 2012

 

$

15,870,000

 

$

(210,228

)


 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

34

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

1,538,129,878

 

 

 

$

1,538,129,878

 

Short-Term
Securities

 

$

37,110,706

 

 

 

 

 

 

37,110,706

 

Total

 

$

37,110,706

 

$

1,538,129,878

 

 

 

$

1,575,240,584

 


 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(210,228

)

 

 

 

 

$

(210,228

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

35




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 31, 2012 (Unaudited)

 

BlackRock
MuniHoldings
Quality
Fund II, Inc.
(MUE)

 

BlackRock
MuniYield
California
Quality
Fund, Inc.
(MCA)

 

BlackRock
MuniYield
Michigan
Quality
Fund II, Inc.
(MYM)

 

BlackRock
MuniYield
New York
Quality
Fund, Inc.
(MYN)

 

BlackRock
MuniYield
Quality
Fund III, Inc.
(MYI)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

515,434,321

 

$

888,499,766

 

$

270,546,439

 

$

907,752,316

 

$

1,538,129,878

 

Investments at value — affiliated2

 

 

11,617,912

 

 

12,391,222

 

 

3,688,890

 

 

17,806,810

 

 

37,110,706

 

Cash pledged as collateral for financial futures contracts

 

 

214,000

 

 

125,000

 

 

39,000

 

 

263,000

 

 

231,000

 

Interest receivable

 

 

5,447,078

 

 

12,522,348

 

 

2,960,636

 

 

9,673,089

 

 

16,912,134

 

Investments sold receivable

 

 

5,740,751

 

 

2,228,500

 

 

 

 

70,000

 

 

6,346,806

 

Deferred offering costs

 

 

98,465

 

 

416,513

 

 

295,109

 

 

568,437

 

 

828,976

 

Prepaid expenses

 

 

7,795

 

 

12,948

 

 

21,453

 

 

13,443

 

 

50,376

 

Other assets

 

 

 

 

279,955

 

 

54,931

 

 

272,303

 

 

420,199

 

Total assets

 

 

538,560,322

 

 

916,476,252

 

 

277,606,458

 

 

936,419,398

 

 

1,600,030,075

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

142,793

 

 

84,548

 

 

30,650

 

 

69,986

 

 

156,172

 

Income dividends payable — Common Shares

 

 

1,650,050

 

 

2,525,548

 

 

849,324

 

 

2,763,570

 

 

4,865,207

 

Investments purchased payable

 

 

3,245,416

 

 

6,070,196

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

229,290

 

 

376,620

 

 

115,380

 

 

377,679

 

 

662,497

 

Officer’s and Directors’ fees payable

 

 

13,826

 

 

138,376

 

 

9,515

 

 

122,507

 

 

209,284

 

Interest expense and fees payable

 

 

27,898

 

 

85,876

 

 

18,091

 

 

70,330

 

 

83,855

 

Margin variation payable

 

 

24,281

 

 

14,219

 

 

1,250

 

 

36,750

 

 

26,249

 

Other accrued expenses payable

 

 

21,815

 

 

 

 

16,410

 

 

36,174

 

 

27,741

 

Total accrued liabilities

 

 

5,355,369

 

 

9,295,383

 

 

1,040,620

 

 

3,476,996

 

 

6,031,005

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust certificates

 

 

73,362,934

 

 

189,215,179

 

 

9,855,000

 

 

103,520,366

 

 

233,771,493

 

VMTP Shares, at liquidation value of $100,000 per share3,4

 

 

131,000,000

 

 

 

 

 

 

 

 

 

VRDP Shares, at liquidation value of $100,000 per share3,4

 

 

 

 

166,500,000

 

 

87,300,000

 

 

247,700,000

 

 

356,400,000

 

Total other liabilities

 

 

204,362,934

 

 

355,715,179

 

 

97,155,000

 

 

351,220,366

 

 

590,171,493

 

Total liabilities

 

 

209,718,303

 

 

365,010,562

 

 

98,195,620

 

 

354,697,362

 

 

596,202,498

 

Net Assets Applicable to Common Shareholders

 

$

328,842,019

 

$

551,465,690

 

$

179,410,838

 

$

581,722,036

 

$

1,003,827,577

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5

 

$

299,338,538

 

$

495,191,219

 

$

163,446,264

 

$

550,701,852

 

$

951,288,315

 

Undistributed net investment income

 

 

5,159,882

 

 

7,862,592

 

 

1,953,210

 

 

8,346,889

 

 

15,835,958

 

Accumulated net realized loss

 

 

(18,581,112

)

 

(15,550,368

)

 

(2,951,928

)

 

(35,878,746

)

 

(93,128,037

)

Net unrealized appreciation/depreciation

 

 

42,924,711

 

 

63,962,247

 

 

16,963,292

 

 

58,552,041

 

 

129,831,341

 

Net Assets Applicable to Common Shareholders

 

$

328,842,019

 

$

551,465,690

 

$

179,410,838

 

$

581,722,036

 

$

1,003,827,577

 

Net asset value per Common Share

 

$

14.65

 

$

16.05

 

$

14.85

 

$

14.74

 

$

14.86

 

1

Investments at cost — unaffiliated

 

$

472,315,149

 

$

824,423,644

 

$

253,548,109

 

$

848,905,956

 

$

1,408,088,309

 

2

Investments at cost — affiliated

 

$

11,617,912

 

$

12,391,222

 

$

3,688,890

 

$

17,806,810

 

$

37,110,706

 

3

VMTP/VRDP Shares outstanding, par value $0.10 per share

 

 

1,310

 

 

1,665

 

 

873

 

 

2,477

 

 

3,564

 

4

Preferred Shares authorized

 

 

8,180

 

 

12,665

 

 

4,833

 

 

14,637

 

 

26,364

 

5

Common Shares outstanding, 200 million shares authorized, $0.10 par value

 

 

22,449,776

 

 

34,361,200

 

 

12,083,491

 

 

39,453,493

 

 

67,568,648

 


 

 

 

See Notes to Financial Statements.

 

36

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended January 31, 2012 (Unaudited)

 

BlackRock
MuniHoldings
Quality
Fund II, Inc.
(MUE)

 

BlackRock
MuniYield
California
Quality
Fund, Inc.
(MCA)

 

BlackRock
MuniYield
Michigan
Quality
Fund II, Inc.
(MYM)

 

BlackRock
MuniYield
New York
Quality
Fund, Inc.
(MYN)

 

BlackRock
MuniYield
Quality
Fund III, Inc.
(MYI)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

11,756,907

 

$

19,381,430

 

$

6,255,624

 

$

20,462,850

 

$

37,160,473

 

Income — affiliated

 

 

583

 

 

4,244

 

 

 

 

4,604

 

 

8,896

 

Total income

 

 

11,757,490

 

 

19,385,674

 

 

6,255,624

 

 

20,467,454

 

 

37,169,369

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

1,394,898

 

 

2,186,425

 

 

668,639

 

 

2,220,798

 

 

3,815,147

 

Liquidity fees

 

 

 

 

650,057

 

 

340,842

 

 

967,082

 

 

1,391,474

 

Remarketing fees on Preferred Shares

 

 

50,684

 

 

85,100

 

 

44,620

 

 

126,603

 

 

182,160

 

Professional

 

 

65,106

 

 

91,131

 

 

43,911

 

 

72,286

 

 

100,131

 

Accounting services

 

 

53,266

 

 

50,959

 

 

38,170

 

 

68,987

 

 

91,662

 

Officer and Directors

 

 

22,904

 

 

23,158

 

 

9,664

 

 

25,702

 

 

56,482

 

Transfer agent

 

 

32,233

 

 

17,230

 

 

14,333

 

 

28,433

 

 

40,398

 

Custodian

 

 

17,908

 

 

15,475

 

 

7,900

 

 

17,433

 

 

32,496

 

Printing

 

 

9,309

 

 

7,712

 

 

5,167

 

 

15,803

 

 

19,792

 

Registration

 

 

11,605

 

 

5,058

 

 

4,598

 

 

6,972

 

 

12,575

 

Miscellaneous

 

 

36,163

 

 

42,955

 

 

23,609

 

 

49,124

 

 

74,811

 

Total expenses excluding interest expense, fees and amortization of offering costs

 

 

1,694,076

 

 

3,175,260

 

 

1,201,453

 

 

3,599,223

 

 

5,817,128

 

Interest expense, fees and amortization of offering costs1

 

 

398,096

 

 

1,043,876

 

 

264,589

 

 

951,043

 

 

1,667,073

 

Total expenses

 

 

2,092,172

 

 

4,219,136

 

 

1,466,042

 

 

4,550,266

 

 

7,484,201

 

Less fees waived by advisor

 

 

(88,603

)

 

(7,197

)

 

(472

)

 

(11,697

)

 

(5,511

)

Total expenses after fees waived

 

 

2,003,569

 

 

4,211,939

 

 

1,465,570

 

 

4,538,569

 

 

7,478,690

 

Net investment income

 

 

9,753,921

 

 

15,173,735

 

 

4,790,054

 

 

15,928,885

 

 

29,690,679

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

2,661,900

 

 

4,358,726

 

 

676,640

 

 

1,381,370

 

 

3,951,672

 

Financial futures contracts

 

 

(488,321

)

 

34,610

 

 

(298,327

)

 

(1,247,758

)

 

(2,565,348

)

 

 

 

2,173,579

 

 

4,393,336

 

 

378,313

 

 

133,612

 

 

1,386,324

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

33,325,110

 

 

55,368,088

 

 

16,020,645

 

 

52,183,545

 

 

109,303,845

 

Financial futures contracts

 

 

79,661

 

 

(113,874

)

 

143,603

 

 

224,943

 

 

1,221,984

 

 

 

 

33,404,771

 

 

55,254,214

 

 

16,164,248

 

 

52,408,488

 

 

110,525,829

 

Total realized and unrealized gain

 

 

35,578,350

 

 

59,647,550

 

 

16,542,561

 

 

52,542,100

 

 

111,912,153

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to AMPS Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(130,644

)

 

 

 

 

 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

 

$

45,201,627

 

$

74,821,285

 

$

21,332,615

 

$

68,470,985

 

$

141,602,832

 


 

 

 

 

1

Related to TOBs, VMTP Shares and/or VRDP Shares.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

37




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock MuniHoldings
Quality Fund II, Inc. (MUE)

 

 

BlackRock MuniYield
California Quality Fund, Inc. (MCA)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

9,753,921

 

$

19,996,239

 

 

$

15,173,735

 

$

31,308,367

 

Net realized gain (loss)

 

 

2,173,579

 

 

(5,411,971

)

 

 

4,393,336

 

 

(4,612,878

)

Net change in unrealized appreciation/depreciation

 

 

33,404,771

 

 

(5,414,974

)

 

 

55,254,214

 

 

(8,190,700

)

Dividends to AMPS Shareholders from net investment income

 

 

(130,644

)

 

(479,559

)

 

 

 

 

(767,289

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

45,201,627

 

 

8,689,735

 

 

 

74,821,285

 

 

17,737,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(9,896,028

)

 

(19,768,276

)

 

 

(15,153,289

)

 

(29,808,341

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

180,124

 

 

767,545

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

35,485,723

 

 

(10,310,996

)

 

 

59,667,996

 

 

(12,070,841

)

Beginning of period

 

 

293,356,296

 

 

303,667,292

 

 

 

491,797,694

 

 

503,868,535

 

End of period

 

$

328,842,019

 

$

293,356,296

 

 

$

551,465,690

 

$

491,797,694

 

Undistributed net investment income

 

$

5,159,882

 

$

5,432,633

 

 

$

7,862,592

 

$

7,842,146

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock MuniYield
Michigan Quality Fund II, Inc. (MYM)

 

 

BlackRock MuniYield
New York Quality Fund, Inc. (MYN)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

4,790,054

 

$

10,384,846

 

 

$

15,928,885

 

$

34,301,968

 

Net realized gain (loss)

 

 

378,313

 

 

(8,833

)

 

 

133,612

 

 

(7,030,663

)

Net change in unrealized appreciation/depreciation

 

 

16,164,248

 

 

(3,139,760

)

 

 

52,408,488

 

 

(10,452,591

)

Dividends to AMPS Shareholders from net investment income

 

 

 

 

(376,980

)

 

 

 

 

(1,105,803

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

21,332,615

 

 

6,859,273

 

 

 

68,470,985

 

 

15,712,911

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(5,392,272

)

 

(10,355,821

)

 

 

(16,807,188

)

 

(33,574,394

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

194,168

 

 

 

 

 

 

 

107,768

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

16,134,511

 

 

(3,496,548

)

 

 

51,663,797

 

 

(17,753,715

)

Beginning of period

 

 

163,276,327

 

 

166,772,875

 

 

 

530,058,239

 

 

547,811,954

 

End of period

 

$

179,410,838

 

$

163,276,327

 

 

$

581,722,036

 

$

530,058,239

 

Undistributed net investment income

 

$

1,953,210

 

$

2,555,428

 

 

$

8,346,889

 

$

9,225,192

 


 

 

 

See Notes to Financial Statements.

 

 

 

38

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

BlackRock MuniYield
Quality Fund III, Inc. (MYI)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

Net investment income

 

$

29,690,679

 

$

60,306,907

 

Net realized gain (loss)

 

 

1,386,324

 

 

(8,829,974

)

Net change in unrealized appreciation/depreciation

 

 

110,525,829

 

 

(23,059,984

)

Dividends to AMPS Shareholders from net investment income

 

 

 

 

(1,979,653

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

141,602,832

 

 

26,437,296

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

Net investment income

 

 

(29,286,616

)

 

(58,264,384

)

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

526,172

 

 

2,578,449

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

112,842,388

 

 

(29,248,639

)

Beginning of period

 

 

890,985,189

 

 

920,233,828

 

End of period

 

$

1,003,827,577

 

$

890,985,189

 

Undistributed net investment income

 

$

15,835,958

 

$

15,431,895

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

39




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended January 31, 2012 (Unaudited)

 

BlackRock
MuniHoldings
Quality
Fund II, Inc.
(MUE)

 

BlackRock
MuniYield
California
Quality
Fund, Inc.
(MCA)

 

BlackRock
MuniYield
Michigan
Quality
Fund II, Inc.
(MYM)

 

BlackRock
MuniYield
New York
Quality
Fund, Inc.
(MYN)

 

BlackRock
MuniYield
Quality
Fund III, Inc.
(MYI)

 

Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations, excluding dividends to AMPS Shareholders

 

$

45,332,271

 

$

74,821,285

 

$

21,332,615

 

$

68,470,985

 

$

141,602,832

 

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

(318,132

)

 

(423,926

)

 

21,816

 

 

(186,698

)

 

(11,238

)

Decrease in income receivable — affiliated

 

 

 

 

335

 

 

 

 

363

 

 

610

 

(Increase) decrease in cash pledged as collateral for financial futures contracts

 

 

(74,000

)

 

(125,000

)

 

55,000

 

 

87,400

 

 

495,000

 

Decrease in prepaid expenses

 

 

13,850

 

 

25,246

 

 

51,118

 

 

183,146

 

 

 

Decrease in other assets

 

 

 

 

(187,357

)

 

(54,931

)

 

(172,097

)

 

(252,030

)

Increase in investment advisory fees payable

 

 

19,543

 

 

22,299

 

 

5,462

 

 

15,676

 

 

50,546

 

Increase (decrease) in interest expense and fees payable

 

 

(10,282

)

 

(40,929

)

 

(5,595

)

 

23,732

 

 

(32,419

)

Decrease in other accrued expenses payable

 

 

(110,587

)

 

(31,382

)

 

(6,837

)

 

(125,430

)

 

(99,267

)

Increase (decrease) in margin variation payable

 

 

(81,407

)

 

14,219

 

 

(55,843

)

 

(264,375

)

 

(525,939

)

Increase (decrease) in Officer’s and Director’s fees payable

 

 

12,103

 

 

46,963

 

 

8,735

 

 

17,492

 

 

203,232

 

Net realized and unrealized gain on investments

 

 

(35,987,010

)

 

(59,711,633

)

 

(16,697,285

)

 

(53,548,589

)

 

(113,227,792

)

Amortization of premium and accretion of discount on investments

 

 

731,794

 

 

1,452,530

 

 

44,194

 

 

580,503

 

 

(1,512,360

)

Amortization of deferred offering costs

 

 

4,405

 

 

159,239

 

 

26,860

 

 

270,687

 

 

419,511

 

Proceeds from sales of long-term investments

 

 

75,757,739

 

 

165,952,095

 

 

33,798,614

 

 

118,491,421

 

 

178,896,946

 

Purchases of long-term investments

 

 

(89,285,669

)

 

(179,503,293

)

 

(33,414,261

)

 

(138,485,221

)

 

(176,970,534

)

Net proceeds from sales (purchases) of short-term securities

 

 

2,621,053

 

 

2,885,184

 

 

(670,622

)

 

(3,285,194

)

 

(32,407,424

)

Cash provided by (used for) operating activities

 

 

(1,374,329

)

 

5,355,875

 

 

4,439,040

 

 

(7,926,199

)

 

(3,370,326

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from issuance of VMTP

 

 

131,000,000

 

 

 

 

 

 

 

 

 

Cash payments on redemption of AMPS

 

 

(131,000,000

)

 

 

 

 

 

 

 

 

Cash receipts from TOB trust certificates

 

 

11,260,000

 

 

25,870,903

 

 

825,000

 

 

47,502,925

 

 

42,548,943

 

Cash payments for TOB trust certificates

 

 

(80,000

)

 

(16,078,138

)

 

 

 

(22,597,363

)

 

(10,374,918

)

Cash dividends paid to Common Shareholders

 

 

(9,714,950

)

 

(15,153,289

)

 

(5,192,990

)

 

(16,844,816

)

 

(28,757,502

)

Cash dividends paid to Preferred Shareholders

 

 

(130,644

)

 

 

 

 

 

 

 

 

Cash payments for offering costs

 

 

(102,870

)

 

(79,899

)

 

(41,893

)

 

(118,865

)

 

(171,028

)

Increase (decrease) in bank overdraft

 

 

142,793

 

 

84,548

 

 

(29,157

)

 

(15,682

)

 

124,831

 

Cash provided for (used for) financing activities

 

 

1,374,329

 

 

(5,355,875

)

 

(4,439,040

)

 

7,926,199

 

 

3,370,326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in cash

 

 

 

 

 

 

 

 

 

 

 

Cash at beginning of year

 

 

 

 

 

 

 

 

 

 

 

Cash at end of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the year for interest and fees

 

$

403,973

 

$

743,384

 

$

155,938

 

$

607,738

 

$

1,239,139

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends paid to Common Shareholders

 

$

180,124

 

 

 

$

194,168

 

 

 

$

526,172

 


 

 

 

A Statement of Cash Flows is presented when a Fund had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.


 

 

 

See Notes to Financial Statements.

 

 

 

40

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

Period
October 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
September 30,

 

 

 

 

Year Ended July 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.07

 

$

13.57

 

$

12.27

 

$

12.84

 

$

13.72

 

$

14.15

 

$

14.23

 

Net investment income1

 

 

0.43

 

 

0.89

 

 

0.92

 

 

0.90

 

 

0.78

 

 

0.97

 

 

0.93

 

Net realized and unrealized gain (loss)

 

 

1.60

 

 

(0.49

)

 

1.26

 

 

(0.71

)

 

(0.91

)

 

(0.45

)

 

0.03

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.01

)

 

(0.02

)

 

(0.02

)

 

(0.12

)

 

(0.25

)

 

(0.33

)

 

(0.29

)

Net increase (decrease) from investment operations

 

 

2.02

 

 

0.38

 

 

2.16

 

 

0.07

 

 

(0.38

)

 

0.19

 

 

0.67

 

Dividends to Common Shareholders from net investment income

 

 

(0.44

)

 

(0.88

)

 

(0.86

)

 

(0.64

)

 

(0.50

)

 

(0.62

)

 

(0.75

)

Net asset value, end of period

 

$

14.65

 

$

13.07

 

$

13.57

 

$

12.27

 

$

12.84

 

$

13.72

 

$

14.15

 

Market price, end of period

 

$

14.72

 

$

12.46

 

$

14.26

 

$

11.40

 

$

11.30

 

$

12.39

 

$

12.96

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

15.78

%3

 

3.19

%

 

18.04

%

 

1.58

%

 

(2.41

)%3

 

1.73

%

 

5.19

%

Based on market price

 

 

22.02

%3

 

(6.38

)%

 

33.51

%

 

7.24

%

 

(4.89

)%3

 

0.31

%

 

(1.37

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.35

%5

 

1.30

%

 

1.28

%

 

1.66

%

 

1.55

%5

 

1.61

%

 

1.64

%

Total expenses after fees waived and paid indirectly4

 

 

1.29

%5

 

1.23

%

 

1.15

%

 

1.45

%

 

1.45

%5

 

1.54

%

 

1.57

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization offering costs4,6

 

 

1.04

%5

 

1.07

%

 

0.99

%

 

1.04

%

 

1.15

%5

 

1.17

%

 

1.16

%

Net investment income4

 

 

6.30

%5

 

6.93

%

 

6.92

%

 

7.61

%

 

6.74

%5

 

6.94

%

 

6.70

%

Dividends to AMPS Shareholders

 

 

0.08

%5

 

0.17

%

 

0.18

%

 

1.03

%

 

2.19

%5

 

2.37

%

 

2.10

%

Net investment income to Common Shareholders

 

 

6.22

%5

 

6.76

%

 

6.74

%

 

6.58

%

 

4.55

%5

 

4.57

%

 

4.60

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

328,842

 

$

293,356

 

$

303,667

 

$

274,342

 

$

286,933

 

$

306,769

 

$

316,216

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

131,000

 

$

131,000

 

$

131,000

 

$

145,300

 

$

204,500

 

$

204,500

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

131,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

16

%

 

24

%

 

20

%

 

37

%

 

43

%

 

43

%

 

35

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

80,983

 

$

82,953

 

$

77,357

 

$

74,376

 

$

62,514

 

$

63,667

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

 

$

351,024

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense, fees and amortization of offering costs relate to TOBs and/or VMTP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

41




 

 

 

 

Financial Highlights

BlackRock MuniYield California Quality Fund, Inc. (MCA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended July 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.31

 

$

14.66

 

$

13.43

 

$

13.86

 

$

14.63

 

$

15.09

 

$

14.82

 

Net investment income1

 

 

0.44

 

 

0.91

 

 

0.87

 

 

0.86

 

 

0.68

 

 

0.92

 

 

0.96

 

Net realized and unrealized gain (loss)

 

 

1.74

 

 

(0.37

)

 

1.15

 

 

(0.51

)

 

(0.75

)

 

(0.42

)

 

0.35

 

Dividends to AMPS Shareholders from net investment income

 

 

 

 

(0.02

)

 

(0.03

)

 

(0.12

)

 

(0.20

)

 

(0.28

)

 

(0.24

)

Net increase (decrease) from investment operations

 

 

2.18

 

 

0.52

 

 

1.99

 

 

0.23

 

 

(0.27

)

 

0.22

 

 

1.07

 

Dividends to Common Shareholders from net investment income

 

 

(0.44

)

 

(0.87

)

 

(0.76

)

 

(0.66

)

 

(0.50

)

 

(0.68

)

 

(0.80

)

Capital charges with respect to issuance of AMPS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.00

)2

Net asset value, end of period

 

$

16.05

 

$

14.31

 

$

14.66

 

$

13.43

 

$

13.86

 

$

14.63

 

$

15.09

 

Market price, end of period

 

$

15.36

 

$

13.00

 

$

14.02

 

$

12.08

 

$

12.33

 

$

13.16

 

$

14.64

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

15.68

%4

 

4.21

%

 

15.69

%

 

3.03

%

 

(1.54

)%4

 

1.76

%

 

7.57

%

Based on market price

 

 

21.86

%4

 

(1.01

)%

 

23.00

%

 

4.17

%

 

(2.63

)%4

 

(5.65

)%

 

9.22

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.63

%6

 

1.50

%

 

1.11

%

 

1.40

%

 

1.38

%6

 

1.53

%

 

1.60

%

Total expenses after fees waived and paid indirectly5

 

 

1.63

%6

 

1.49

%

 

1.10

%

 

1.38

%

 

1.36

%6

 

1.53

%

 

1.59

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization costs5,7

 

 

1.22

%6

 

1.15

%

 

0.95

%

 

1.02

%

 

1.04

%6

 

1.03

%

 

1.03

%

Net investment income5

 

 

5.86

%6

 

6.49

%

 

6.10

%

 

6.60

%

 

6.15

%6

 

6.22

%

 

6.46

%

Dividends to AMPS Shareholders

 

 

 

 

0.16

%

 

0.20

%

 

0.91

%

 

1.78

%6

 

1.87

%

 

1.62

%

Net investment income to Common Shareholders

 

 

5.86

%6

 

6.33

%

 

5.90

%

 

5.69

%

 

4.37

%6

 

4.35

%

 

4.84

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

551,466

 

$

491,798

 

$

503,869

 

$

461,505

 

$

476,235

 

$

502,855

 

$

518,667

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

 

 

$

166,525

 

$

166,525

 

$

192,300

 

$

275,000

 

$

275,000

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

166,500

 

$

166,500

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

20

%

 

26

%

 

30

%

 

25

%

 

25

%

 

25

%

 

27

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

 

 

$

100,648

 

$

94,289

 

$

86,933

 

$

70,733

 

$

72,170

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

 

$

431,211

 

$

395,374

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

See Notes to Financial Statements.

 

 

 

42

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock MuniYield Michigan Quality Fund II, Inc. (MYM)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended July 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.53

 

$

13.82

 

$

12.87

 

$

13.24

 

$

14.13

 

$

14.60

 

$

14.54

 

Net investment income1

 

 

0.40

 

 

0.86

 

 

0.91

 

 

0.93

 

 

0.70

 

 

0.97

 

 

0.97

 

Net realized and unrealized gain (loss)

 

 

1.37

 

 

(0.26

)

 

0.90

 

 

(0.49

)

 

(0.88

)

 

(0.47

)

 

0.13

 

Dividends to AMPS Shareholders from net investment income

 

 

 

 

(0.03

)

 

(0.04

)

 

(0.14

)

 

(0.21

)

 

(0.29

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

1.77

 

 

0.57

 

 

1.77

 

 

0.30

 

 

(0.39

)

 

0.21

 

 

0.84

 

Dividends to Common Shareholders from net investment income

 

 

(0.45

)

 

(0.86

)

 

(0.82

)

 

(0.67

)

 

(0.50

)

 

(0.68

)

 

(0.78

)

Capital charges with respect to issuance of AMPS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.00

)2

Net asset value, end of period

 

$

14.85

 

$

13.53

 

$

13.82

 

$

12.87

 

$

13.24

 

$

14.13

 

$

14.60

 

Market price, end of period

 

$

15.16

 

$

12.28

 

$

13.67

 

$

11.58

 

$

11.63

 

$

12.61

 

$

13.97

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.36

%4

 

4.74

%

 

14.62

%

 

3.81

%

 

(2.48

)%4

 

1.78

%

 

6.09

%

Based on market price

 

 

27.51

%4

 

(3.89

)%

 

26.01

%

 

6.34

%

 

(4.01

)%4

 

(5.07

)%

 

2.42

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.72

%6

 

1.32

%

 

1.08

%

 

1.28

%

 

1.48

%6

 

1.69

%

 

1.65

%

Total expenses after fees waived5

 

 

1.72

%6

 

1.31

%

 

1.07

%

 

1.26

%

 

1.45

%6

 

1.68

%

 

1.64

%

Total expenses after fees waived excluding interest expense, fees and amortization of offering costs5,7

 

 

1.41

%6

 

1.21

%

 

1.03

%

 

1.12

%

 

1.14

%6

 

1.14

%

 

1.13

%

Net investment income5

 

 

5.62

%6

 

6.46

%

 

6.74

%

 

7.43

%

 

6.61

%6

 

6.77

%

 

6.72

%

Dividends to AMPS Shareholders

 

 

 

 

0.23

%

 

0.28

%

 

1.15

%

 

1.98

%6

 

2.05

%

 

1.78

%

Net investment income to Common Shareholders

 

 

5.62

%6

 

6.23

%

 

6.46

%

 

6.28

%

 

4.63

%6

 

4.72

%

 

4.94

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

179,411

 

$

163,276

 

$

166,773

 

$

155,360

 

$

159,759

 

$

170,559

 

$

176,216

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

 

 

$

87,350

 

$

87,350

 

$

87,350

 

$

99,000

 

$

99,000

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

87,300

 

$

87,300

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

13

%

 

18

%

 

18

%

 

9

%

 

20

%

 

10

%

 

14

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

 

 

$

72,733

 

$

69,467

 

$

70,730

 

$

68,076

 

$

69,507

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

 

$

305,511

 

$

287,029

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

43




 

 

 

 

Financial Highlights

BlackRock MuniYield New York Quality Fund, Inc. (MYN)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended July 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.44

 

$

13.89

 

$

12.65

 

$

13.16

 

$

13.94

 

$

14.40

 

$

14.26

 

Net investment income1

 

 

0.40

 

 

0.87

 

 

0.90

 

 

0.87

 

 

0.66

 

 

0.84

 

 

0.92

 

Net realized and unrealized gain (loss)

 

 

1.33

 

 

(0.44

)

 

1.08

 

 

(0.61

)

 

(0.77

)

 

(0.38

)

 

0.23

 

Dividends to AMPS Shareholders from net investment income

 

 

 

 

(0.03

)

 

(0.04

)

 

(0.13

)

 

(0.19

)

 

(0.27

)

 

(0.24

)

Net increase (decrease) from investment operations

 

 

1.73

 

 

0.40

 

 

1.94

 

 

0.13

 

 

(0.30

)

 

0.19

 

 

0.91

 

Dividends to Common Shareholders from net investment income

 

 

(0.43

)

 

(0.85

)

 

(0.70

)

 

(0.64

)

 

(0.48

)

 

(0.65

)

 

(0.77

)

Capital charges with respect to issuance of AMPS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.00

)2

Net asset value, end of period

 

$

14.74

 

$

13.44

 

$

13.89

 

$

12.65

 

$

13.16

 

$

13.94

 

$

14.40

 

Market price, end of period

 

$

14.53

 

$

12.60

 

$

13.57

 

$

11.36

 

$

11.80

 

$

12.80

 

$

14.10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.13

%4

 

3.36

%

 

16.15

%

 

2.29

%

 

(1.86

)%4

 

1.66

%

 

6.71

%

Based on market price

 

 

18.96

%4

 

(0.81

)%

 

26.36

%

 

2.44

%

 

(4.16

)%4

 

(4.67

)%

 

13.13

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.65

%6

 

1.34

%

 

1.11

%

 

1.34

%

 

1.48

%6

 

1.64

%

 

1.56

%

Total expenses after fees waived5

 

 

1.64

%6

 

1.33

%

 

1.10

%

 

1.32

%

 

1.46

%6

 

1.63

%

 

1.56

%

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs5,7

 

 

1.30

%6

 

1.14

%

 

1.00

%

 

1.06

%

 

1.04

%6

 

1.04

%

 

1.03

%

Net investment income5

 

 

5.76

%6

 

6.55

%

 

6.69

%

 

7.11

%

 

6.36

%6

 

5.96

%

 

6.50

%

Dividends to AMPS Shareholders

 

 

 

 

0.21

%

 

0.27

%

 

1.09

%

 

1.82

%6

 

1.88

%

 

1.68

%

Net investment income to Common Shareholders

 

 

5.76

%6

 

6.34

%

 

6.42

%

 

6.02

%

 

4.54

%6

 

4.08

%

 

4.82

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

581,722

 

$

530,058

 

$

547,812

 

$

499,093

 

$

518,912

 

$

549,910

 

$

567,954

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

 

 

$

247,700

 

$

247,700

 

$

259,475

 

$

304,000

 

$

304,000

 

VRDP Shares outstanding at $100,000 liquidation preference, end of period (000)

 

$

247,700

 

$

247,700

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

14

%

 

18

%

 

7

%

 

22

%

 

17

%

 

25

%

 

43

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

 

 

$

80,293

 

$

75,376

 

$

75,011

 

$

70,242

 

$

71,725

 

Asset coverage per VRDP Share at $100,000 liquidation value, end of period

 

$

334,849

 

$

313,992

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

See Notes to Financial Statements.

 

 

 

44

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock MuniYield Quality Fund III, Inc. (MYI)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended July 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.19

 

$

13.67

 

$

12.27

 

$

12.86

 

$

14.57

 

$

15.30

 

$

15.27

 

Net investment income1

 

 

0.44

 

 

0.89

 

 

0.89

 

 

0.87

 

 

0.70

 

 

1.04

 

 

0.98

 

Net realized and unrealized gain (loss)

 

 

1.66

 

 

(0.48

)

 

1.31

 

 

(0.66

)

 

(1.69

)

 

(0.79

)

 

0.46

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

 

(0.03

)

 

(0.03

)

 

(0.12

)

 

(0.22

)

 

(0.31

)

 

(0.25

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

Net increase (decrease) from investment operations

 

 

2.10

 

 

0.38

 

 

2.17

 

 

0.09

 

 

(1.21

)

 

(0.06

)

 

1.15

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.43

)

 

(0.86

)

 

(0.77

)

 

(0.68

)

 

(0.50

)

 

(0.67

)

 

(0.78

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.34

)

Total dividends and distributions to Common Shareholders

 

 

(0.43

)

 

(0.86

)

 

(0.77

)

 

(0.68

)

 

(0.50

)

 

(0.67

)

 

(1.12

)

Net asset value, end of period

 

$

14.86

 

$

13.19

 

$

13.67

 

$

12.27

 

$

12.86

 

$

14.57

 

$

15.30

 

Market price, end of period

 

$

14.91

 

$

12.17

 

$

14.17

 

$

12.12

 

$

12.22

 

$

13.04

 

$

14.36

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

16.31

%3

 

3.22

%

 

18.19

%

 

1.70

%

 

(8.22

)%3

 

(0.06

)%

 

8.09

%

Based on market price

 

 

26.48

%3

 

(8.12

)%

 

24.03

%

 

5.72

%

 

(2.55

)%3

 

(4.70

)%

 

5.38

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.59

%5

 

1.32

%

 

1.11

%

 

1.46

%

 

1.64

%5

 

1.71

%

 

1.67

%

Total expenses after fees waived and paid indirectly4

 

 

1.59

%5

 

1.32

%

 

1.11

%

 

1.45

%

 

1.63

%5

 

1.71

%

 

1.67

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.23

%5

 

1.12

%

 

0.97

%

 

1.06

%

 

1.06

%5

 

1.03

%

 

1.02

%

Net investment income4

 

 

6.31

%5

 

6.85

%

 

6.73

%

 

7.52

%

 

6.51

%5

 

6.94

%

 

6.52

%

Dividends to AMPS Shareholders

 

 

 

 

0.22

%

 

0.26

%

 

1.04

%

 

2.03

%5

 

2.06

%

 

1.67

%

Net investment income to Common Shareholders

 

 

6.31

%5

 

6.63

%

 

6.47

%

 

6.48

%

 

4.48

%5

 

4.88

%

 

4.85

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

1,003,828

 

$

890,985

 

$

920,234

 

$

825,622

 

$

865,447

 

$

980,741

 

$

1,030,048

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

 

 

$

356,450

 

$

358,625

 

$

377,175

 

$

570,000

 

$

570,000

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

356,400

 

$

356,400

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

10

%

 

12

%

 

13

%

 

30

%

 

70

%

 

117

%

 

95

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

 

 

 

 

 

$

89,545

 

$

82,559

 

$

82,381

 

$

68,039

 

$

70,198

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

 

$

381,658

 

$

349,996

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

45




 

 

Notes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock MuniHoldings Quality Fund II, Inc. (“MUE”), BlackRock MuniYield California Quality Fund, Inc. (“MCA”), BlackRock MuniYield Michigan Quality Fund II, Inc. (“MYM”), BlackRock MuniYield New York Quality Fund, Inc. (“MYN”) and BlackRock MuniYield Quality Fund III, Inc. (“MYI”), (collectively, the “Funds” or individually a “Fund”), are registered under the 1940 Act as non-diversified, closed-end management investment companies. The Funds are organized as Maryland corporations. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors thereof are collectively referred to throughout this report as “Directors.” The Funds determine and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Funds:

Valuation: US GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies approved by each Fund’s Board. 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. Financial futures contracts traded on exchanges are valued at their last sale price. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value. Investments in open-end registered investment companies are valued at NAV each business day.

In the event that application of these methods of valuation results in a price for an investment which 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 in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Zero-Coupon Bonds: The Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: The Funds 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. The Funds 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, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume 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, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Municipal Bonds Transferred to TOBs: The Funds leverage their assets through the use of TOBs. A TOB is established by a third party sponsor forming a special purpose entity, into which one or more funds, or an agent on behalf of the funds, transfers municipal bonds. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB into which a Fund has contributed bonds. A TOB typically issues two classes of beneficial interests: short-term floating rate certificates, which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating funds that made the transfer. The TOB Residuals held by a Fund include the right of a Fund (1) to cause the holders of a proportional share of the short-term floating rate certificates to tender their certificates at par, including during instances of a rise in short-term interest rates, and (2) to transfer, within seven days, a corresponding share of the municipal bonds from the TOB to a Fund. The TOB may also be terminated without the consent of a Fund upon the occurrence of certain events as defined in the TOB agreements. Such termination events may include the bankruptcy or default of the municipal bond, a substantial downgrade in credit quality of the municipal bond, the inability of the TOB to obtain quarterly or annual renewal of the liquidity support agreement, a substantial decline in market value of the municipal bond or the inability to remarket the short-term floating rate certificates to third party investors. During the six months ended January 31, 2012, no TOBs that the Funds participated in were terminated without the consent of the Funds.

The cash received by the TOB from the sale of the short-term floating rate certificates, less transaction expenses, is paid to a Fund in exchange for TOB trust certificates. The Funds typically invest the cash in additional

 

 

 

 

 

 

46

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

municipal bonds. Each Fund’s transfer of the municipal bonds to a TOB is accounted for as a secured borrowing, therefore the municipal bonds deposited into a TOB are presented in the Funds’ Schedules of Investments and the TOB trust certificates are shown in other liabilities in the Statements of Assets and Liabilities.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Funds on an accrual basis. Interest expense incurred on the secured borrowing and other expenses related to remarketing, administration and trustee services to a TOB are shown as interest expense and fees in the Statements of Operations. The short-term floating rate certificates have interest rates that generally reset weekly and their holders have the option to tender certificates to the TOB for redemption at par at each reset date. At January 31, 2012, the aggregate value of the underlying municipal bonds transferred to TOBs, the related liability for TOB trust certificates and the range of interest rates on the liability for TOB trust certificates were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying
Municipal
Bonds
Transferred to
TOBs

 

 

Liability for
TOB Trust
Certificates

 

Range of
Interest Rates

 

MUE

 

 

$

149,387,701

 

 

 

$

73,362,934

 

 

 

0.07% – 0.33%

 

MCA

 

 

$

398,472,335

 

 

 

$

189,215,179

 

 

 

0.05% – 0.18%

 

MYM

 

 

$

20,366,211

 

 

 

$

9,855,000

 

 

 

0.08% – 0.28%

 

MYN

 

 

$

214,718,383

 

 

 

$

103,520,366

 

 

 

0.05% – 0.23%

 

MYI

 

 

$

485,368,306

 

 

 

$

233,771,493

 

 

 

0.08% – 0.23%

 

For the six months ended January 31, 2012, the Funds’ average TOB trust certificates outstanding and the daily weighted average interest rate, including fees, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average
Trust Certificates
Outstanding

 

 

Daily Weighted
Average
Interest Rate

 

MUE

 

 

$

65,774,021

 

 

 

 

0.63

%

 

MCA

 

 

$

187,884,169

 

 

 

 

0.64

%

 

MYM

 

 

$

9,133,125

 

 

 

 

0.58

%

 

MYN

 

 

$

85,819,256

 

 

 

 

0.71

%

 

MYI

 

 

$

224,824,314

 

 

 

 

0.62

%

 

Should short-term interest rates rise, the Funds’ investments in TOBs may adversely affect the Funds’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB may adversely affect the Funds’ NAVs per share.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Funds either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts), the Funds will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

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. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains, if any, are recorded on the ex-dividend dates. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP. Dividends and distributions to Preferred Shareholders are accrued and determined as described in Note 7.

Income Taxes: It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ US federal tax returns remains open for each of the following periods:

 

 

 

 

 

 

 

 

Year Ended

 

Period

 

MUE

 

July 31, 2011
July 31, 2010
July 31, 2009

 

October 1, 2007 to
July 31, 2008

 

MCA

 

July 31, 2011
July 31, 2010
July 31, 2009

 

November 1, 2007 to
July 31, 2008

 

MYM

 

July 31, 2011
July 31, 2010
July 31, 2009

 

November 1, 2007 to
July 31, 2008

 

MYN

 

July 31, 2011
July 31, 2010
July 31, 2009

 

November 1, 2007 to
July 31, 2008

 

MYI

 

July 31, 2011
July 31, 2010
July 31, 2009

 

November 1, 2007 to
July 31, 2008

 


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

47




 

 

Notes to Financial Statements (continued)

The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ financial statement disclosures.

In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Fund’s Board, independent Directors (“Independent Directors”) 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 Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in income — affiliated in the Statements of Operations.

Offering Costs: The Funds incurred costs in connection with its issuance of VRDP Shares and VMTP Shares. For VRDP Shares, these costs were recorded as a deferred charge and will be amortized over the 30-year life of the VRDP Shares with the exception of upfront fees paid to the liquidity provider which are amortized over the life of the liquidity agreement. For VMTP Shares, these costs were recorded as a deferred charge and will be amortized over the 3-year life of the VMTP Shares. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Funds purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Funds and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Funds as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference

 

 

 

 

 

 

48

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Derivative Financial Instruments Categorized by Risk Exposure:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Values of Derivative Financial Instruments as of January 31, 2012

 

Liability Derivatives

 

 

 

 

MUE

 

MCA

 

MYM

 

MYN

 

MYI

 

 

Statement of Assets and Liabilities Location

 

 

 

 

 

 

 

Value

 

 

 

 

 

 

 

Interest rate contracts

Net unrealized appreciation/depreciation1

 

$

194,461

 

$

113,874

 

$

35,038

 

$

294,319

 

$

210,228

 


 

 

 

 

1

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended January 31, 2012

 

 

Net Realized Gain (Loss) From

 

 

MUE

 

MCA

 

MYM

 

MYN

 

MYI

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

(488,321

)

$

34,610

 

$

(298,327

)

$

(1,247,758

)

$

(2,565,348

)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

MUE

 

MCA

 

MYM

 

MYN

 

MYI

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

79,661

 

$

(113,874

)

$

143,603

 

$

224,943

 

$

1,221,984

 

For the six months ended January 31, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MUE

 

MCA

 

MYM

 

MYN

 

MYI

 

Financial future contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts sold

 

 

56

 

 

33

 

 

10

 

 

84

 

 

60

 

Average notional value of contracts sold

 

$

7,339,875

 

$

4,298,125

 

$

1,322,500

 

$

11,109,000

 

$

7,935,000

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Fund’s average daily net assets at the following annual rates:

 

 

 

 

 

MUE

 

 

0.55

%

MCA

 

 

0.50

%

MYM

 

 

0.50

%

MYN

 

 

0.50

%

MYI

 

 

0.50

%

Average daily net assets are the average daily value of each Fund’s total assets minus the sum of its accrued liabilities.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

49




 

 

Notes to Financial Statements (continued)

Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended January 31, 2012, the amounts waived were as follows:

 

 

 

 

 

MUE

 

$

2,618

 

MCA

 

$

7,197

 

MYM

 

$

472

 

MYN

 

$

11,697

 

MYI

 

$

5,511

 

The Manager, for MUE, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOBs that exceed 35% of total assets minus the sum of its accrued liabilities. This amount is included in fees waived by advisor in the Statements of Operations. For the six months ended January 31, 2012, the waiver was $85,985.

The Manager entered into a sub-advisory agreement with BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager. The Manager pays BIM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.

Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments excluding short-term securities for the six months ended January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

MUE

 

$

85,599,969

 

$

80,885,784

 

MCA

 

$

175,373,389

 

$

168,180,595

 

MYM

 

$

33,414,261

 

$

33,798,614

 

MYN

 

$

133,430,752

 

$

117,995,518

 

MYI

 

$

153,394,475

 

$

180,958,621

 

5. Income Tax Information:

As of July 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expires July 31,

 

MUE

 

MCA

 

MYM

 

MYN

 

MYI

 

2012

 

$

259,900

 

$

2,675,948

 

$

1,194,375

 

$

16,583,200

 

 

 

2014

 

 

 

 

 

 

 

 

3,107,506

 

$

1,213,491

 

2015

 

 

 

 

1,362,395

 

 

 

 

 

 

5,979,955

 

2016

 

 

 

 

 

 

823,067

 

 

2,330,288

 

 

25,066,903

 

2017

 

 

8,936,425

 

 

2,753,866

 

 

253,932

 

 

2,295,738

 

 

21,251,301

 

2018

 

 

6,013,130

 

 

5,944,218

 

 

 

 

3,370,191

 

 

26,460,028

 

2019

 

 

 

 

 

 

 

 

1,287,746

 

 

 

Total

 

$

15,209,455

 

$

12,736,427

 

$

2,271,374

 

$

28,974,669

 

$

79,971,678

 

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after July 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.

As of January 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MUE

 

MCA

 

MYM

 

MYN

 

MYI

 

Tax cost

 

$

410,598,433

 

$

646,931,592

 

$

247,380,522

 

$

763,647,519

 

$

1,214,278,215

 

Gross unrealized appreciation

 

$

44,249,543

 

$

64,748,669

 

$

18,365,965

 

$

63,704,663

 

$

128,891,638

 

Gross unrealized depreciation

 

 

(1,158,677

)

 

(4,452

)

 

(1,366,158

)

 

(5,313,422

)

 

(1,700,762

)

Net unrealized appreciation

 

$

43,090,866

 

$

64,744,217

 

$

16,999,807

 

$

58,391,241

 

$

127,190,876

 


 

 

 


50


SEMI-ANNUAL REPORT


JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

6. Concentration, Market and Credit Risk:

MCA, MYM and MYN invest a substantial amount of their assets in issuers located in a single state or limited number of states. Please see the Schedules of Investments for concentrations in specific states.

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.

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Funds’ Statements of Assets and Liabilities, less any collateral held by the Funds.

As of January 31, 2012, MUE invested a significant portion of its assets in securities in the County/City/Special District/School District, Transportation and Utilities sectors. MCA invested a significant portion of its assets in securities in the County/City/Special District/School District and Utilities sectors. MYM invested a significant portion of its assets in securities in the County/City/Special District/School District sector. MYN and MYI invested a significant portion of its assets in securities in the County/City/Special District/School District and Transportation sectors. Changes in economic conditions affecting the County/City/Special District/School District, Transportation and Utilities sectors would have a greater impact on the Funds and could affect the value, income and/or liquidity of positions in such securities.

7. Capital Share Transactions:

Each Fund is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s Common Shares is $0.10. The par value for each Fund’s Preferred Shares is $0.10 except certain series of MYM and MYN AMPS which are $0.05. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

 

 

 

 

 

 

 

 

 

Six Months Ended
January 31, 2012

 

Year Ended
July 31, 2011

 

MUE

 

 

13,093

 

 

57,701

 

MYM

 

 

13,770

 

 

 

MYN

 

 

 

 

7,531

 

MYI

 

 

37,185

 

 

190,432

 

Shares issued and outstanding remained constant for MCA for the six months ended January 31, 2012 and the year ended July 31, 2011.

Preferred Shares

The Funds’ Preferred Shares rank prior to the Funds’ Common Shares as to the payment of dividends by the Funds and distribution of assets upon dissolution or liquidation of the Funds. The 1940 Act prohibits the declaration of any dividend on the Funds’ Common Shares or the repurchase of the Funds’ Common Shares if the Funds fail to maintain the asset coverage of at least 200% of the liquidation preference of the outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instrument, the Funds’ are restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Preferred Shares or repurchasing such shares if the Funds fail to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares governing instrument or comply with the basic maintenance amount requirement of the rating agencies then rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Directors for each Fund. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change the Funds’ 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.

 

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

51




 

 

Notes to Financial Statements (continued)

VRDP Shares

MCA, MYM, MYN and MYI (collectively, the “VRDP Funds”), have issued Series W-7 VRDP Shares, $100,000 liquidation value 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 and include a liquidity feature that allows the holders of VRDP Shares to have their shares purchased by the liquidity provider in the event of a failed remarketing. The VRDP Funds are required to redeem the VRDP Shares owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Upon the occurrence of an unsuccessful remarketing, the VRDP Funds are required to segregate liquid assets to fund the redemption. The VRDP Shares are subject to certain restrictions on transfer.

The VRDP Shares issued for the year ended July 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issue
Date

 

Shares
Issued

 

Aggregate
Principal

 

Maturity
Date

 

MCA

 

4/21/11

 

 

1,665

 

$

166,500,000

 

 

5/01/41

 

MYM

 

5/19/11

 

 

873

 

$

87,300,000

 

 

6/01/41

 

MYN

 

4/21/11

 

 

2,477

 

$

247,700,000

 

 

5/01/41

 

MYI

 

5/19/11

 

 

3,564

 

$

356,400,000

 

 

6/01/41

 

The VRDP Funds have entered into a fee agreement with the liquidity provider that required a per annum liquidity fee to be paid to the liquidity provider. These fees are shown as liquidity fees in the Statements of Operations.

The fee agreement between the VRDP Funds and the liquidity provider is for a 1-year term and is scheduled to expire on April 18, 2012 for MCA and MYN and May 16, 2012 for MYM and MYI unless renewed or terminated in advance. In the event the fee agreement is not renewed or is terminated in advance, and the VRDP Funds do not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. The VRDP Funds are — required to redeem any VRDP Shares purchased by the liquidity provider six months after the purchase date. Immediately after the purchase of any VRDP Shares by the liquidity provider, the VRDP Funds are required to begin to segregate liquid assets with the VRDP Fund’s custodian to fund the redemption. There is no assurance the VRDP Funds will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Each VRDP Fund is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Fund is required to begin to segregate liquid assets with the Fund’s custodian to fund the redemption. In addition, VRDP Funds are required to redeem certain of their outstanding VRDP Shares if they fail to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, VRDP Shares may be redeemed, in whole or in part, at any time at the option of VRDP Funds. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. In the event of an optional redemption of VRDP Shares prior to the initial termination date of the fee agreement, the VRDP Funds must pay the liquidity provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to the initial termination date.

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 as discussed below. 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 a long-term rating of Aaa from Moody’s and AAA from Fitch. Moody’s has announced a review of its rating methodologies with respect to investment company securities, and any amendments to its rating methodologies may adversely affect Moody’s current long-term ratings of the VRDP Shares.

The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares. Although not directly correlated, a change in the short-term credit rating of the VRDP Shares may adversely affect the dividend rate paid on such shares. As of January 31, 2012, the short-term ratings of the liquidity provider and the VRDP Shares are P-1/F-1 and P-1/F-1 as rated by Moody’s and Fitch, respectively. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories. Moody’s has placed the liquidity provider and the short-term ratings of the VRDP Shares on review for possible downgrade.

For financial reporting purposes, VRDP Shares are considered debt of the issuer; therefore, the liquidation value of VRDP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

The VRDP Funds pay commissions of 0.10% on the aggregate principal amount of all VRDP Shares, which are included in remarketing fees on Preferred Shares in the Statements of Operations. All of the VRDP Funds’ VRDP Shares have successfully remarketed since issuance, with an

 

 

 

 

 

 

 

52

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

annualized dividend rates for the six months ended January 31, 2012 as follows:

 

 

 

 

 

 

Rate

 

MCA

 

0.30

%

MYM

 

0.28

%

MYN

 

0.26

%

MYI

 

0.28

%

VRDP Shares issued and outstanding remained constant for the six months ended January 31, 2012.

VMTP Shares

MUE has issued Series W-7 VMTP Shares, $100,000 liquidation value per share, in a privately negotiated offering and sale of VMTP Shares exempt from registration under the Securities Act of 1933.

The VMTP Shares issued for the six months ended January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issue
Date

 

Shares
Issued

 

Aggregate
Principal

 

Term
Date

 

MUE

 

12/16/11

 

 

1,310

 

$

131,000,000

 

 

1/02/15

 

MUE is required to redeem its VMTP Shares on the term date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of the Fund’s VMTP Shares will be extended or that the Fund’s VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to term date, The Fund is required to begin to segregate liquid assets with the Fund’s custodian to fund the redemption. In addition, the Fund is required to redeem certain of its outstanding VMTP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the Fund’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Fund. The redemption price per VMTP Share is equal to the liquidation value per share plus any outstanding unpaid dividends and applicable redemption premium. If the Fund redeems the VMTP Shares on a date that is one year or more prior to the term date and the VMTP Shares are rated above A1/A+ by Moody’s and Fitch, respectively, (the “Rating Agencies”), then such redemption is subject to a scheduled redemption premium based on the time remaining to the term date, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. The VMTP Shares are subject to certain restrictions on transfer, and the Fund may also be required to register the VMTP Shares for sale under the Securities Act of 1933 under certain circumstances. In addition, amendments to the VMTP governing document generally require the consent of the holders of VMTP Shares.

Dividends on the VMTP Shares are payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association Municipal Swap Index (SIFMA). The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the Rating Agencies. At the date of issuance, the VMTP Shares were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. Moody’s has announced a review of its rating methodologies with respect to investment company securities, and any amendments to its respective rating methodologies may adversely affect the Moody’s current long-term ratings of the VMTP Shares. The dividend rate on the VMTP Shares is subject to a step-up spread if the Fund fails to comply with certain provisions, including, among others, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

The average annualized dividend rate of the VMTP Shares for the six months ended January 31, 2012 for MUE was 1.09%.

For financial reporting purposes, the VMTP Shares are considered debt of the issuer; therefore, the liquidation value of VMTP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends paid on the VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

AMPS

The AMPS are redeemable at the option of each Fund, in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The AMPS are also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of a Fund, as set forth in each Fund’s Articles Supplementary/Statement of Preferences and/or Certificate of Designation (the “Governing Instrument”) are not satisfied.

From time to time in the future, each Fund may effect repurchases of its AMPS at prices below their liquidation preference as agreed upon by the Fund and seller. Each Fund also may redeem its AMPS from time to time as provided in the applicable Governing Instrument. Each Fund intends to effect such redemptions and/or repurchases to the extent necessary to maintain applicable asset coverage requirements or for such other reasons as the Board may determine.

Dividends on seven-day and 28-day AMPS are cumulative at a rate which is reset every seven or 28 days, respectively, based on the results of an auction. If the AMPS fail to clear the auction on an auction date, each Fund is required to pay the maximum applicable rate on the AMPS to

 

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

53




 

 

Notes to Financial Statements (concluded)

holders of such shares for successive dividend periods until such time as the shares are successfully auctioned. The maximum applicable rate on the AMPS is as footnoted in the table below. The low, high and average dividend rates on the AMPS for each Fund for the period were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Low

 

High

 

Average

 

MUE

 

A1

 

0.17%

 

0.31%

 

0.23%

 

 

 

B1

 

0.18%

 

0.31%

 

0.23%

 

 

 

C1

 

0.18%

 

0.31%

 

0.23%

 


 

 

 

 

1

The maximum applicable rate on this series of AMPS is the higher of 110% of the AA commercial paper rate or 110% of 90% of the Kenny S&P 30-day High Grade Index rate divided by 1.00 minus the marginal tax rate.

Since February 13, 2008, the AMPS of the Funds failed to clear any of their auctions. As a result, the AMPS dividend rates were reset to the maximum applicable rate, which ranged from 0.17% to 0.31% for the six months ended January 31, 2012. A failed auction is not an event of default for the Funds but it has a negative impact on the liquidity of AMPS. A failed auction occurs when there are more sellers of a fund’s AMPS than buyers. A successful auction for the Funds’ AMPS may not occur for some time, if ever, and even if liquidity does resume, holders of AMPS may not have the ability to sell the AMPS at their liquidation preference.

The Funds pay commissions of 0.15% on the aggregate principal amount of all shares that fail to clear their auctions and 0.25% on the aggregate principal amount of all shares that successfully clear their auctions. Certain broker dealers have individually agreed to reduce commissions for failed auctions. The commissions paid to these broker dealers are included in remarketing fees on Preferred Shares in the Statements of Operations.

During the six months ended January 31, 2012, MUE announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Redemption
Date

 

Shares
Redeemed

 

Aggregate
Principal

 

MUE

 

A

 

1/06/12

 

1,345

 

$

33,625,000

 

 

 

B

 

1/05/12

 

1,345

 

$

33,625,000

 

 

 

C

 

1/11/12

 

2,550

 

$

63,750,000

 

During the year ended July 31, 2011, certain Funds announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Redemption
Date

 

Shares
Redeemed

 

Aggregate
Principal

 

MCA

 

A

 

6/06/11

 

1,090

 

$

27,250,000

 

 

 

B

 

5/16/11

 

1,090

 

$

27,250,000

 

 

 

C

 

5/18/11

 

969

 

$

24,225,000

 

 

 

D

 

5/13/11

 

1,211

 

$

30,275,000

 

 

 

E

 

5/13/11

 

1,211

 

$

30,275,000

 

 

 

F

 

5/12/11

 

1,090

 

$

27,250,000

 

MYM

 

A

 

5/31/11

 

1,941

 

$

48,525,000

 

 

 

B

 

6/08/11

 

1,200

 

$

30,000,000

 

 

 

C

 

6/09/11

 

353

 

$

8,825,000

 

MYN

 

A

 

5/24/11

 

1,385

 

$

34,625,000

 

 

 

B

 

5/10/11

 

1,385

 

$

34,625,000

 

 

 

C

 

5/16/11

 

2,282

 

$

57,050,000

 

 

 

D

 

5/18/11

 

1,597

 

$

39,925,000

 

 

 

E

 

5/19/11

 

1,793

 

$

44,825,000

 

 

 

F

 

5/13/11

 

1,466

 

$

36,650,000

 

MYI

 

A

 

6/23/11

 

1,376

 

$

34,400,000

 

 

 

B

 

6/30/11

 

1,376

 

$

34,400,000

 

 

 

C

 

6/09/11

 

1,376

 

$

34,400,000

 

 

 

D

 

6/16/11

 

1,376

 

$

34,400,000

 

 

 

E

 

6/09/11

 

2,502

 

$

62,550,000

 

 

 

F

 

6/07/11

 

1,501

 

$

37,525,000

 

 

 

G

 

6/14/11

 

1,501

 

$

37,525,000

 

 

 

H

 

6/10/11

 

1,625

 

$

40,625,000

 

 

 

I

 

6/06/11

 

1,625

 

$

40,625,000

 

The Funds financed the AMPS redemptions with proceeds received from the issuance of VMTP or VRDP Shares.`

AMPS issued and outstanding remained constant for the year ended July 31, 2011 for MUE.

8. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Fund paid a net investment income dividend on March 1, 2012 to Common Shareholders of record on February 15, 2012 as follows:

 

 

 

 

 

 

 

Common
Dividend
Per Share

 

MUE

 

$

0.0735

 

MCA

 

$

0.0735

 

MYM

 

$

0.0715

 

MYN

 

$

0.0710

 

MYI

 

$

0.0720

 

The dividends declared on VMTP or VRDP Shares for the period February 1, 2012 to February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

Series

 

Dividends
Declared

 

MUE VMTP

 

 

W-7

 

$

18,115

 

MYI VRDP

 

 

W-7

 

$

34,028

 

MYM VRDP

 

 

W-7

 

$

19,225

 

MYN VRDP

 

 

W-7

 

$

50,623

 

MCA VRDP

 

 

W-7

 

$

78,486

 


 

 

 

 

 

 

54

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Officers and Directors1


 

Richard E. Cavanagh, Chairman of the Board and Director

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Director

Paul L. Audet, Director

Michael J. Castellano, Director and Member of the Audit Committee

Frank J. Fabozzi, Director and Member of the Audit Committee

Kathleen F. Feldstein, Director

James T. Flynn, Director and Member of the Audit Committee

Henry Gabbay, Director

Jerrold B. Harris, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director and Member of the Audit Committee

John M. Perlowski, President and Chief Executive Officer

Anne Ackerley, Vice President

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Ira P. Shapiro, Secretary


 

 

 

 

1

John F. Powers, who was a Director of the Funds, resigned as of February 21, 2012.


 

Investment Advisor


BlackRock Advisors, LLC
Wilmington, DE 19809

 

Sub-Advisor


BlackRock Investment Management, LLC
Princeton, NJ 08540

 

Custodians

State Street Bank and Trust Company2
Boston, MA 02110

 

The Bank of New York Mellon3
New York, NY 10286

 

Transfer Agent

Common Shares:

Computershare Trust Company, N.A.
Providence, RI 02940

 

VRDP Tender and Paying Agent and
VMTP Redemption and Paying Agent


The Bank of New York Mellon
New York, NY 10289

 

VRDP Liquidity Provider and Remarketing Agent

Citigroup Global Markets Inc.
New York, NY 10179

 

Accounting Agent

State Street Bank and Trust Company
Boston, MA 02110

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP
Boston, MA 02116

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10036

 

Address of the Funds

100 Bellevue Parkway
Wilmington, DE 19809


 

 

2

For MUE, MCA and MYI.

3

For MYM and MYN.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

55




 

 

Additional Information


 

Dividend Policy

Each Fund’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 dividend distributions, the Funds 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 dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ 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

On June 10, 2010, the Manager announced that MUE, MCA and MYI received demand letters from a law firm on behalf of MUE’s, MCA’s and MYI’s Common Shareholders. The demand letter alleges that the Manager and MUE’s, MCA’s and MYI’s officers and Board of Directors (the “Board”) breached their fiduciary duties by redeeming at par certain of MUE’s, MCA’s and MYI’s Preferred Shares, and demanded that the Board take action to remedy those alleged breaches. In response to the demand letter, the Board established a Demand Review Committee (the “Committee”) of the Independent Directors to investigate the claims made in the demand letter with the assistance of independent counsel. Based upon its investigation, the Committee recommended that the Board reject the demand specified in the demand letter. After reviewing the findings of the Committee, the Board unanimously adopted the Committee’s recommendation and unanimously voted to reject the demand.

On August 11, 2010, the Manager announced that a shareholder derivative complaint was filed on August 3, 2010 in the Supreme Court of the State of New York, New York County with respect to MCA and MYI, which had previously received a demand letter from a law firm on behalf of each fund’s common shareholders. The complaint was filed against the Manager, BlackRock, Inc., MCA, MYI and certain of the directors, officers and portfolio managers (collectively, the “BlackRock Parties”) in connection with the redemption of auction-market preferred shares, auction rate preferred securities, auction preferred shares and auction rate securities (collectively, “AMPS”). The complaint alleges, among other things, that the BlackRock Parties breached their fiduciary duties to the common shareholders of MCA and MYI (the “Shareholders”) by redeeming AMPS at their liquidation preference and alleges that such redemptions caused losses to the Shareholders. The plaintiffs are seeking monetary damages for the alleged losses suffered and to enjoin MCA and MYI from future redemptions of AMPS at their liquidation preference. The BlackRock Parties believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

 

 

 

 

 

56

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Additional Information (continued)


 

General Information (concluded)

Electronic Delivery

Electronic copies of most financial reports are available on the Funds’ website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Funds 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 Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (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 Funds voted proxies relating to securities held in the Funds’ 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) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

57




 

 

Additional Information (concluded)

 

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.

 

 

 

 

 

 

58

SEMI-ANNUAL REPORT

JANUARY 31, 2012



This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds 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 dividend rates of the Preferred Shares may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

(GO PAPERLESS LOGO)

 


 

 

#MHMYINS5-1/12-SAR

(BLACK ROCK)


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

 


 

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: April 2, 2012

 

 

 

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: April 2, 2012

 

 

 

By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock MuniYield Quality Fund III, Inc.

 

 

 

 

Date: April 2, 2012