BLACKROCK VIRGINIA MUNICIPAL BOND TRUST
Table of Contents

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 811-21053

Name of Fund: BlackRock Virginia Municipal Bond Trust (BHV)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

Bond Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2013

Date of reporting period: 02/28/2013


Table of Contents

Item 1 – Report to Stockholders


Table of Contents

FEBRUARY 28, 2013

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Maryland Municipal Bond Trust (BZM)
BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)
BlackRock New Jersey Municipal Bond Trust (BLJ)
BlackRock New York Municipal Bond Trust (BQH)
BlackRock New York Municipal Income Quality Trust (BSE)
BlackRock New York Municipal Income Trust II (BFY)
BlackRock Virginia Municipal Bond Trust (BHV)
The Massachusetts Health & Education Tax-Exempt Trust (MHE)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents
Table of Contents     

 

 

     Page  

Dear Shareholder

    3   

Semi-Annual Report:

 

Municipal Market Overview

    4   

The Benefits and Risks of Leveraging

    5   

Derivative Financial Instruments

    5   

Trust Summaries

    6   
Financial Statements:  

Schedules of Investments

    22   

Statements of Assets and Liabilities

    53   

Statements of Operations

    55   

Statements of Changes in Net Assets

    57   

Statements of Cash Flows

    61   

Financial Highlights

    63   

Notes to Financial Statements

    71   

Officers and Trustees

    80   

Additional Information

    81   

 

                
2    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Dear Shareholder

 

Despite a number of headwinds, risk assets generated strong returns during the 6- and 12-month periods as investors sought meaningful yields in the ongoing low-interest-rate environment. About this time one year ago, the European debt crisis returned to the headlines as unresolved policy decisions left it unclear as to how troubled peripheral countries would finance their sovereign debt, causing yields to soar. In the second quarter of 2012, political instability in Greece and severe deficit and liquidity problems in Spain raised the specter of a full-blown euro collapse. Alongside the drama in Europe, investors were discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, emerged as a particular concern. As the outlook for the global economy worsened, however, investors grew increasingly optimistic that the world’s largest central banks would soon intervene to stimulate growth. This theme, along with the announcement of the European Central Bank’s (“ECB’s”) firm commitment to preserve the euro currency bloc, drove most asset classes higher through the summer. Policy relief came in early September, when the ECB announced its decision to support the eurozone’s debt-laden countries with unlimited purchases of short term sovereign debt. Days later, the US Federal Reserve announced its own much-anticipated stimulus package.

Although financial markets world-wide were buoyed by accommodative monetary policies, risk assets weakened in the fall. Global trade began to slow as many European countries fell into recession and growth continued to decelerate in China, where a once-a-decade leadership change compounded uncertainty. In the United States, stocks slid on lackluster corporate earnings reports and market volatility rose in advance of the US Presidential election. In the post-election environment, investors grew increasingly concerned over the “fiscal cliff,” the automatic tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. There was widespread fear that the fiscal cliff would push the United States into recession unless politicians could agree upon alternate measures to reduce the deficit before the end of 2012. Worries that bipartisan gridlock would preclude a timely budget deal triggered higher levels of volatility in financial markets around the world in the months leading up to the last day of the year. Ultimately, the worst of the fiscal cliff was averted with a last-minute tax deal; however, decisions relating to spending cuts and the debt ceiling continued to weigh on investors’ minds.

Investors shook off the nerve-wracking finale to 2012 and began the New Year with a powerful equity rally. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaled modest but broad-based improvements in the world’s major economies, particularly in China. Global equities soared through January while rising US Treasury yields pressured high-quality fixed income assets. However, bond markets strengthened in February when economic momentum slowed and investors toned down their risk appetite. US stocks continued to rise, but at a more moderate pace. Uncertainty about how long the Federal Reserve would maintain its easing bias drove high levels of volatility later in the month, but these fears abated as the budget sequester (automatic spending cuts scheduled to take effect March 1) began to appear imminent and was deemed likely to deter any near-term curtailment of monetary easing policies. Outside the United States, equities largely declined as political uncertainty escalated after the Italian presidential election ended in a stalemate.

On the whole, riskier asset classes outperformed lower-risk investments for the 6- and 12-month periods ended February 28, 2013. International, US small cap and emerging market equities were the leading asset classes for the 6-month period, while US stocks and high yield bonds generated the strongest returns for the 12-month period. US Treasury yields remained relatively low overall, but have inched higher in recent months, pressuring Treasuries and investment-grade bonds. Tax-exempt municipal bonds, however, continued to benefit from favorable supply-and-demand dynamics. Near-zero short term interest rates continued to keep yields on money market securities near their all-time lows.

Investors continue to face many of the same risks as in years past. But we see a world of possibilities. BlackRock was built to provide the global market insight, breadth of capabilities, unbiased investment advice and deep risk management expertise these times require. Investors everywhere are asking, “So what do I do with my money?” Visit www.blackrock.com for answers.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

“Despite a number of headwinds, risk assets generated strong returns during the 6- and 12-month periods as investors sought meaningful yields in the ongoing low-interest-rate environment.”

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2013  
    6-month     12-month  

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

    8.95     13.46

US small cap equities
(Russell 2000® Index)

    13.02        14.02   

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

    14.41        9.84   

Emerging market equities
(MSCI Emerging Markets Index)

    12.06        0.28   

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

    0.05        0.11   

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

    (1.51     3.66   

US investment grade
bonds (Barclays US Aggregate Bond Index)

    0.15        3.12   

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

    2.40        5.71   

US high yield bonds

(Barclays US Corporate High Yield 2% Issuer Capped Index)

    6.67        11.79   
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


Table of Contents
Municipal Market Overview     

 

For the Reporting Period Ended February 28, 2013      

Municipal Bonds Performed Well

Market conditions remained favorable even though supply picked up considerably in the past year. Total new issuance for the 12 months ended February 28, 2013 was $383 billion as compared to $303 billion in the prior 12-month period. However, it is important to note that a significant portion (roughly 60%) of the new supply during the most recent 12-month period was attributable to refinancing activity as issuers took advantage of lower interest rates to reduce their borrowing costs.

Increased supply was met with strong demand during the period as investors were starved for yield in the low-rate environment. Investors poured into municipal bond mutual funds, particularly long-duration and high-yield funds as they tend to provide higher levels of income. For the 12 months ended February 28, 2013, municipal bond fund inflows exceeded $46 billion (according to the Investment Company Institute).

S&P Municipal Bond Index

Total Returns as of February 28, 2013

  6 months :   2.40%

12 months :   5.71%

A Closer Look at Yields

 

LOGO

 

From February 29, 2012 to February 28, 2013, muni yields declined by 32 basis points (“bps”) from 3.23% to 2.91% on AAA-rated 30-year municipal bonds, while falling a modest 4 bps from 1.85% to 1.81% on 10-year bonds and rising 9 bps from 0.68% to 0.77% on 5-year bonds (as measured by Thomson Municipal Market Data). (Bond prices rise as yields fall.) Overall, the

municipal yield curve remained relatively steep, but flattened over the 12-month period as the spread between 2- and 30-year maturities tightened by 37 bps and the spread between 2- and 10-year maturities tightened by 9 bps.

During the same time period, US Treasury rates fell by 10 bps in both the 5- and 10-year space while rising 1 bp on 30-year bonds. Accordingly, tax-exempt municipal bonds moderately underperformed Treasuries in the 5- and 10-year space, but significantly outperformed Treasury bonds on the long end of the curve. This outperformance was driven largely by a supply/demand imbalance within the municipal market while evidence of a recovering domestic economy pushed interest rates higher. Additionally, as higher US tax rates began to appear imminent late in 2012, municipal bonds benefited from the increased appeal of tax-exempt investing. Municipals have become an appropriate avenue for investors seeking yield in the low-rate environment as the asset class is known for its lower volatility and preservation of earnings as tax rates rise.

Financial Conditions of Municipal Issuers Continue to Improve

Austerity and de-leveraging have been the general themes across the country as states seek to balance their budgets, although a small number of states continue to rely on a “kick-the-can” approach to close their budget gaps. Broadly speaking, state governments have demonstrated better fiscal health as their revenues have steadily improved in recent years. Many local municipalities, however, continue to face higher costs passed down from the state level. BlackRock maintains the view that municipal bond defaults will be minimal and remain in the periphery, and that 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    FEBRUARY 28, 2013   


Table of Contents
The Benefits and Risks of Leveraging     

 

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

To obtain leverage, the Trusts issue Variable Rate Demand Preferred Shares (“VRDP Shares” or “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Trusts 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 Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’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 Trust 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 Trust with assets received from 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 Trust’s long-term investments, and therefore the holders of Common Shares (“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 Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ Preferred Shares does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares discussed above.

The Trusts 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 Trusts with economic benefits in periods of declining short-term interest rates, but expose the Trusts to risks during periods of rising short-term interest rates similar to those associated with Preferred Shares issued by the Trusts, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB trust may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income to the Trusts 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 Trusts’ 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 Trusts’ 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 Trust’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 Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’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 Trusts. Each Trust 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 Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets (each Trust’s total assets less the sum of its accrued liabilities). In addition, each Trust with VRDP Shares outstanding limits its economic leverage to 45% of its total managed assets. As of February 28, 2013, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

     Percent of
Economic
Leverage
 

BZM

    36

MHN

    40

BLJ

    38

BQH

    39

BSE

    39

BFY

    40

BHV

    37

MHE

    38

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments, including financial futures contracts and options, 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 security, index and/or 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 Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    5


Table of Contents
Trust Summary as of February 28, 2013    BlackRock Maryland Municipal Bond Trust

 

Trust Overview

BlackRock Maryland Municipal Bond Trust’s (BZM) (the “Trust”) investment objective is to provide current income exempt from regular federal income taxes and Maryland personal income taxes. The Trust seeks to achieve its investment objectives by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Maryland personal income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 0.96% based on market price and 2.87% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 1.11% based on market price and 2.91% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium 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.

 

Ÿ  

The Trust’s positive performance was derived mainly from its coupon income component as municipal market performance during the six-month period, although positive, was less robust than it had been in the prior eighteen months. The Trust benefited from its bond holdings with coupon rates at 6% or higher due to positive price movement in that segment. Exposure to lower-quality investment grade credits boosted results given strong demand from investors seeking higher-yielding investments in the low interest rate environment.

 

Ÿ  

Interest rates inched higher during the period, which negatively impacted performance (bond prices fall as rates rise). Exposure to Puerto Rico debt detracted from performance as concerns about credit rating agency downgrades resulted in wider credit spreads (falling prices) for Puerto Rico municipal securities broadly.

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.

 

Trust Information

Symbol on New York Stock Exchange (“NYSE”) MKT

   BZM

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 28, 2013 ($18.18)1

   4.13%

Tax Equivalent Yield2

   7.30%

Current Monthly Distribution per Common Share3

   $0.0625

Current Annualized Distribution per Common Share3

   $0.7500

Economic Leverage as of February 28, 20134

   36%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

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

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock Maryland Municipal Bond Trust

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 18.18       $ 18.43         (1.36 )%     $ 19.08       $ 16.12   

Net Asset Value

   $ 15.68       $ 15.60         0.51    $ 16.10       $ 15.42   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation          
     2/28/13     8/31/12  

Transportation

    19     18

Health

    18        14   

Education

    18        17   

County/City/Special District/School District

    14        18   

Housing

    14        14   

Utilities

    11        11   

State

    5        5   

Corporate

    1        1   

Tobacco

           2   

 

Credit Quality Allocation1          
     2/28/13     8/31/12  

AAA/Aaa

    11     12

AA/Aa

    44        40   

A

    20        27   

BBB/Baa

    12        8   

BB/Ba

    1        1   

Not Rated2

    12        12   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $1,142,870 and $1,141,310, each representing 2%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3      

Calendar Year Ended December 31,

  

2013

     10

2014

     4   

2015

     6   

2016

       

2017

     3   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    7


Table of Contents
Trust Summary as of February 28, 2013    BlackRock MuniHoldings New York Quality Fund, Inc.

 

Trust Overview

BlackRock MuniHoldings New York Quality Fund, Inc.’s (MHN) (the “Trust”) investment objective is to provide shareholders with current income exempt from federal income tax and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in investment grade New York 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 (“New York Municipal Bonds”), except at times when, in the judgment of its investment adviser, New York Municipal Bonds of sufficient quality and quantity are unavailable for investment by the Trust. At all times, however, except during temporary defensive periods, the Trust invests at least 65% of its assets in New York Municipal Bonds. The Trust invests, under normal market conditions, at least 80% of its assets in municipal obligations with remaining maturities of one year or more. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 4.28% based on market price and 2.85% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 2.66% based on market price and 2.85% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened 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.

 

Ÿ  

The Trust’s lower-quality investment grade holdings contributed positively to performance as the tightening of credit spreads drove their outperformance over higher-quality bonds during the period. Additional positive performance came from the Trust’s allocations to the higher-yielding housing, corporate and transportation sectors. The Trust also benefited from the roll-down effect, whereby effective maturities become shorter with the passing of the year and therefore bonds are evaluated at lower yield levels, which, in a steep yield curve environment, results in higher prices.

 

Ÿ  

Detracting from performance was the Trust’s neutral-to-long average duration (greater sensitivity to interest rates) as most of the municipal yield curve experienced slightly higher yields and lower bond prices. The Trust’s yield curve positioning favoring longer-dated maturities also had a negative effect. Exposure to Puerto Rico credits detracted from results as the commonwealth’s deteriorating credit metrics and ratings downgrades led to the underperformance of those issues. The Trust held limited exposure to tobacco, which was the strongest performing sector 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.

 

Trust Information

 

Symbol on NYSE

   MHN

Initial Offering Date

   September 19, 1997

Yield on Closing Market Price as of February 28, 2013 ($16.06)1

   5.72%

Tax Equivalent Yield2

   10.11%

Current Monthly Distribution per Common Share3

   $0.0765

Current Annualized Distribution per Common Share3

   $0.9180

Economic Leverage as of February 28, 20134

   40%

 

  1   

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

 

  2   

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

 

  3   

The new 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 Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock MuniHoldings New York Quality Fund, Inc.

 

 

Market Price and Net Asset Value      

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

 

        2/28/13        8/31/12        Change      High        Low  

Market Price

     $ 16.06         $ 15.86           1.26    $ 17.10         $ 15.21   

Net Asset Value

     $ 15.62         $ 15.64           (0.13 )%     $ 16.11         $ 15.44   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation          
     2/28/13     8/31/12  

Transportation

    25     28

County/City/Special District/School District

    25        28   

Education

    14        11   

State

    13        11   

Utilities

    8        9   

Health

    6        6   

Housing

    5        3   

Tobacco

    2        2   

Corporate

    2        2   

 

Credit Quality Allocation1          
     2/28/13     8/31/12  

AAA/Aaa

    10     10

AA/Aa

    51        51   

A

    25        25   

BBB/Baa

    11        11   

BB/Ba

    1        2   

Not Rated2

    2        1   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $2,030,631 and $2,036,337, each representing less than 1%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3     

Calendar Year Ended December 31,

 

2013

    11

2014

    9   

2015

    10   

2016

    6   

2017

    11   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    9


Table of Contents
Trust Summary as of February 28, 2013    BlackRock New Jersey Municipal Bond Trust

 

Trust Overview

BlackRock New Jersey Municipal Bond Trust’s (BLJ) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New Jersey gross income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may subject to the federal alternative minimum tax) and New Jersey gross income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 5.24% based on market price and 3.45% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 2.03% based on market price and 3.50% based on NAV. All returns reflect reinvestment of dividends. The Trust 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.

 

Ÿ  

The Trust’s holdings in the corporate, health and education sectors contributed positively to performance for the period. Particularly strong returns came from the Trust’s lower-quality holdings in those sectors, which benefited from strong demand as investors sought higher-yielding investments in the low interest rate environment.

 

Ÿ  

Conversely, exposure to Puerto Rico sales tax bonds had a negative impact on performance as the continued decline of the local economy and concerns about credit rating downgrades resulted in falling prices across Puerto Rico-issued securities broadly.

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.

 

Trust Information

Symbol on NYSE MKT

   BLJ

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 28, 2013 ($17.09)1

   5.13%

Tax Equivalent Yield2

   9.06%

Current Monthly Distribution per Common Share3

   $0.073

Current Annualized Distribution per Common Share3

   $0.876

Economic Leverage as of February 28, 20134

   38%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

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

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock New Jersey Municipal Bond Trust

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 17.09       $ 16.66         2.58    $ 19.18       $ 16.66   

Net Asset Value

   $ 16.81       $ 16.67         0.84    $ 17.34       $ 16.38   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation            
      2/28/13     8/31/12  

State

     26     36

Transportation

     22        11   

Education

     18        18   

Health

     9        9   

Housing

     7        8   

Corporate

     7        7   

County/City/Special District/School District

     6        6   

Utilities

     5        5   

 

Credit Quality Allocation1            
      2/28/13     8/31/12  

AAA/Aaa

     8     8

AA/Aa

     37        38   

A

     38        36   

BBB/Baa

     6        6   

BB/Ba

     4        5   

B

     4        4   

Not Rated2

     3        3   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $1,023,830 and $1,025,320, each representing 2%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3      

Calendar Year Ended December 31,

  

2013

       4

2014

     6   

2015

       

2016

     2   

2017

     2   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    11


Table of Contents
Trust Summary as of February 28, 2013    BlackRock New York Municipal Bond Trust

 

Trust Overview

BlackRock New York Municipal Bond Trust’s (BQH) (the “Trust”) investment objective is to provide current income exempt from regular federal income taxes and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City personal income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 6.70% based on market price and 4.38% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 2.66% based on market price and 2.85% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened 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.

 

Ÿ  

The Trust’s lower-quality investment grade holdings contributed positively to performance as the tightening of credit spreads drove their outperformance over higher-quality bonds during the period. Additional positive performance came from the Trust’s allocations to the higher-yielding health, corporate and education sectors. The Trust also benefited from the roll-down effect, whereby effective maturities become shorter with the passing of the year and therefore bonds are evaluated at lower yield levels, which, in a steep yield curve environment, results in higher prices.

 

Ÿ  

Detracting from performance was the Trust’s neutral-to-long average duration (greater sensitivity to interest rates) as most of the municipal yield curve experienced slightly higher yields and lower bond prices. The Trust’s yield curve positioning favoring longer-dated maturities also had a negative effect. Exposure to Puerto Rico credits detracted from results as the commonwealth’s deteriorating credit metrics and ratings downgrades led to the underperformance of those issues. The Trust held limited exposure to tobacco, which was the strongest performing sector 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.

 

Trust Information

Symbol on NYSE

   BQH

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 28, 2013 ($16.99)1

   5.01%

Tax Equivalent Yield2

   8.85%

Current Monthly Distribution per Common Share3

   $0.071

Current Annualized Distribution per Common Share3

   $0.852

Economic Leverage as of February 28, 20134

   39%

 

  1   

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

 

  2   

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

 

  3   

The Monthly Distribution per Common Share, declared on March 1, 2013, was decreased to $0.0665 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock New York Municipal Bond Trust

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 16.99       $ 16.56         2.60    $ 17.27       $ 15.99   

Net Asset Value

   $ 16.59       $ 16.53         0.36    $ 17.44       $ 16.24   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation            
      2/28/13     8/31/12  

County/City/Special District/School District

     26     27

Education

     19        17   

Health

     13        12   

Transportation

     11        11   

Corporate

     11        11   

Utilities

     8        9   

State

     7        9   

Housing

     5        4   

 

Credit Quality Allocation1            
      2/28/13     8/31/12  

AAA/Aaa

     13     13

AA/Aa

     35        33   

A

     34        37   

BBB/Baa

     10        10   

BB/Ba

     2        1   

Not Rated

     6        6   

 

  1   

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

 

Call/Maturity Schedule2      

Calendar Year Ended December 31,

  

2013

       5

2014

       

2015

     2   

2016

     4   

2017

     7   

 

  2   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    13


Table of Contents
Trust Summary as of February 28, 2013    BlackRock New York Municipal Income Quality Trust

 

Trust Overview

BlackRock New York Municipal Income Quality Trust’s (BSE) (the “Trust”) investment objective is to provide current income exempt from federal income tax, including the alternative minimum tax, and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (including the alternative minimum tax) and New York State and New York City personal income taxes. Under normal market conditions, the Trust invests primarily in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 8.05% based on market price and 2.76% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 2.66% based on market price and 2.85% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened 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.

 

Ÿ  

The Trust’s lower-quality investment grade holdings contributed positively to performance as the tightening of credit spreads drove their outperformance over higher-quality bonds during the period. Additional positive performance came from the Trust’s allocations to the higher-yielding education, health and corporate sectors. The Trust also benefited from the roll-down effect, whereby effective maturities become shorter with the passing of the year and therefore bonds are evaluated at lower yield levels, which, in a steep yield curve environment, results in higher prices.

 

Ÿ  

Detracting from performance was the Trust’s neutral-to-long average duration (greater sensitivity to interest rates) as most of the municipal yield curve experienced slightly higher yields and lower bond prices. The Trust’s yield curve positioning favoring longer-dated maturities also had a negative effect. Exposure to Puerto Rico credits detracted from results as the commonwealth’s deteriorating credit metrics and ratings downgrades led to the underperformance of those issues. The Trust held limited exposure to tobacco, which was the strongest performing sector 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.

 

Trust Information

Symbol on NYSE

   BSE

Initial Offering Date

   October 31, 2002

Yield on Closing Market Price as of February 28, 2013 ($16.55)1

   5.18%

Tax Equivalent Yield2

   9.15%

Current Monthly Distribution per Common Share3

   $0.0715

Current Annualized Distribution per Common Share3

   $0.8580

Economic Leverage as of February 28, 20134

   39%

 

  1   

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

 

  2   

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

 

  3   

The Monthly Distribution per Common Share, declared on March 1, 2013, was decreased to $0.0675 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock New York Municipal Income Quality Trust

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 16.55       $ 15.74         5.15    $ 17.28       $ 15.60   

Net Asset Value

   $ 15.51       $ 15.51         0.00    $ 16.07       $ 15.29   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation            
      2/28/13     8/31/12  

Education

     24     22

County/City/Special District/School District

     23        23   

Transportation

     21        20   

Utilities

     12        13   

State

     9        9   

Health

     8        11   

Housing

     2          

Corporate

     1        2   

 

Credit Quality Allocation1            
      2/28/13     8/31/12  

AAA/Aaa

     13     12

AA/Aa

     46        42   

A

     28        28   

BBB/Baa

     7        12   

BB/Ba

     2        2   

Not Rated2

     4        4   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $6,208,220, representing 4%, and $3,250,435, representing 2%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3      

Calendar Year Ended December 31,

  

2013

     10

2014

     7   

2015

     5   

2016

     2   

2017

     8   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    15


Table of Contents
Trust Summary as of February 28, 2013    BlackRock New York Municipal Income Trust II

 

Trust Overview

BlackRock New York Municipal Income Trust II’s (BFY) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City personal income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 3.51% based on market price and 3.47% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 2.66% based on market price and 2.85% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV widened during the period, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Trust’s lower-quality investment grade holdings contributed positively to performance as the tightening of credit spreads drove their outperformance over higher-quality bonds during the period. Additional positive performance came from the Trust’s allocations to the higher-yielding health, corporate and education sectors. The Trust also benefited from the roll-down effect, whereby effective maturities become shorter with the passing of the year and therefore bonds are evaluated at lower yield levels, which, in a steep yield curve environment, results in higher prices.

 

Ÿ  

Detracting from performance was the Trust’s neutral-to-long average duration (greater sensitivity to interest rates) as most of the municipal yield curve experienced slightly higher yields and lower bond prices. The Trust’s yield curve positioning favoring longer-dated maturities also had a negative effect. Exposure to Puerto Rico credits detracted from results as the commonwealth’s deteriorating credit metrics and ratings downgrades led to the underperformance of those issues. The Trust held limited exposure to tobacco, which was the strongest performing sector 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.

 

Trust Information

Symbol on NYSE MKT

   BFY

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of February 28, 2013 ($16.91)1

   5.46%

Tax Equivalent Yield2

   9.65%

Current Monthly Distribution per Common Share3

   $0.077

Current Annualized Distribution per Common Share3

   $0.924

Economic Leverage as of February 28, 20134

   40%

 

  1   

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

 

  2   

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

 

  3   

The Monthly Distribution per Common Share, declared on March 1, 2013, was decreased to $0.070 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock New York Municipal Income Trust II

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 16.91       $ 16.81         0.59    $ 17.23       $ 15.79   

Net Asset Value

   $ 16.18       $ 16.09         0.56    $ 16.72       $ 15.84   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation            
      2/28/13     8/31/12  

County/City/Special District/School District

     23     28

Health

     15        14   

Transportation

     14        12   

Education

     12        12   

State

     12        8   

Corporate

     9        10   

Utilities

     9        10   

Housing

     6        6   

 

Credit Quality Allocation1            
      2/28/13     8/31/12  

AAA/Aaa

     12     13

AA/Aa

     33        34   

A

     34        33   

BBB/Baa

     12        12   

BB/Ba

     3        2   

Not Rated2

     6        6   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $1,887,625, representing 1%, and $316,389, representing less than 1%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3      

Calendar Year Ended December 31,

  

2013

     12

2014

       

2015

     7   

2016

     5   

2017

     11   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    17


Table of Contents
Trust Summary as of February 28, 2013    BlackRock Virginia Municipal Bond Trust

 

Trust Overview

BlackRock Virginia Municipal Bond Trust’s (BHV) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Virginia personal income taxes. The Trust seeks to achieve its investment objectives by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Virginia personal income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 9.82% based on market price and 2.87% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 1.11% based on market price and 2.91% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened 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.

 

Ÿ  

The Trust’s positive performance was derived mainly from its coupon income component as municipal market performance during the six-month period, although positive, was less robust than it had been in the prior eighteen months. The Trust benefited from its bond holdings with coupon rates at 6% or higher due to positive price movement in that segment. Exposure to lower-quality investment grade credits boosted results given strong demand from investors seeking higher-yielding investments in the low interest rate environment.

 

Ÿ  

Interest rates inched higher during the period, which negatively impacted performance (bond prices fall as rates rise). Exposure to Puerto Rico debt detracted from performance as concerns about credit rating agency downgrades resulted in wider credit spreads (falling prices) for Puerto Rico municipal securities broadly.

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.

 

Trust Information

Symbol on NYSE MKT

   BHV

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 28, 2013 ($20.99)1

   4.46%

Tax Equivalent Yield2

   7.88%

Current Monthly Distribution per Common Share3

   $0.078

Current Annualized Distribution per Common Share3

   $0.936

Economic Leverage as of February 28, 20134

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

 

  3   

The Monthly Distribution per Common Share, declared on March 1, 2013, was decreased to $0.073 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     BlackRock Virginia Municipal Bond Trust

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 20.99       $ 19.58         7.20    $ 22.85       $ 19.15   

Net Asset Value

   $ 16.81       $ 16.74         0.42    $ 17.27       $ 16.49   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation            
      2/28/13     8/31/12  

Health

     20     20

Education

     18        18   

Transportation

     15        15   

State

     13        13   

Housing

     11        10   

Utilities

     8        8   

County/City/Special District/School District

     8        9   

Corporate

     7        7   

 

Credit Quality Allocation1            
      2/28/13     8/31/12  

AAA/Aaa

     20     18

AA/Aa

     45        46   

A

     14        18   

BBB/Baa

     7        8   

Not Rated2

     14        10   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $2,798,775 and $2,794,845, each representing 7%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3      

Calendar Year Ended December 31,

  

2013

       3

2014

     5   

2015

       

2016

     1   

2017

     4   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    19


Table of Contents
Trust Summary as of February 28, 2013    The Massachusetts Health & Education Tax-Exempt Trust

 

Trust Overview

The Massachusetts Health & Education Tax-Exempt Trust’s (MHE) (the “Trust”) investment objective is to provide as high a level of current income exempt from both regular federal income taxes and Massachusetts personal income taxes as is consistent with the preservation of shareholders’ capital. The Trust seeks to achieve its investment objective by investing primarily in tax-exempt obligations (including bonds, notes and capital lease obligations) issued on behalf of Massachusetts not-for-profit health and education institutions (“Massachusetts Health & Education Obligations”). The Trust invests, under normal market conditions, at least 80% of its assets in Massachusetts Health & Education Obligations and at least 80% of its assets in obligations that are rated investment grade at the time of investment. Under normal market conditions, the Trust invests its assets so that at least 80% of the income generated by the Trust is exempt from federal income taxes, including federal alternative minimum tax, and Massachusetts personal income taxes. The Trust invests primarily in long term municipal obligations with maturities of more than ten years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance
Ÿ  

For the six months ended February 28, 2013, the Trust returned 5.43% based on market price and 3.19% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 1.11% based on market price and 2.91% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened 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.

 

Ÿ  

The Trust’s holdings in the education and health sectors contributed positively to performance for the period. Particularly strong returns came from the Trust’s lower-quality holdings in those sectors, which benefited from strong demand as investors sought higher-yielding investments in the low interest rate environment.

 

Ÿ  

Conversely, exposure to Puerto Rico sales tax bonds had a negative impact on performance as the continued decline of the local economy and concerns about credit rating downgrades resulted in falling prices across Puerto Rico-issued securities broadly.

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.

 

Trust Information

Symbol on NYSE MKT

   MHE

Initial Offering Date

   July 23, 1993

Yield on Closing Market Price as of February 28, 2013 ($15.33)1

   4.89%

Tax Equivalent Yield2

   8.64%

Current Monthly Distribution per Common Share3

   $0.0625

Current Annualized Distribution per Common Share3

   $0.7500

Economic Leverage as of February 28, 20134

   38%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

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

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
     The Massachusetts Health & Education Tax-Exempt Trust

 

 

Market Price and Net Asset Value      

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

 

      2/28/13      8/31/12      Change      High      Low  

Market Price

   $ 15.33       $ 14.91         2.82    $ 16.69       $ 14.60   

Net Asset Value

   $ 14.44       $ 14.35         0.63    $ 14.93       $ 14.15   

The following charts show the sector allocation, credit quality allocation and call/maturity schedule of the Trust’s long-term investments:

 

 

Sector Allocation            
      2/28/13     8/31/12  

Education

     58     58 %  

Health

     21        20   

State

     17        17   

Housing

     4        5   

 

Credit Quality Allocation1            
      2/28/13     8/31/12  

AAA/Aaa

     7     7

AA/Aa

     50        51   

A

     33        32   

BBB/Baa

     9        9   

Not Rated2

     1        1   

 

  1   

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

 

  2   

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of February 28, 2013 and August 31, 2012, the market value of these securities was $645,761 and $755,717, each representing 1%, respectively, of the Trust’s long-term investments.

 

Call/Maturity Schedule3      

Calendar Year Ended December 31,

  

2013

       9

2014

       

2015

     16   

2016

     2   

2017

     11   

 

  3   

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    21


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Maryland — 120.1%

                

Corporate — 0.9%

  

 

Maryland EDC, Refunding RB, Potomac Electric Power Co., 6.20%, 9/01/22

   $ 250      $ 308,878   

County/City/Special District/School District — 21.9%

  

City of Annapolis Maryland, Tax Allocation Bonds, Park Place Project, Series A, 5.35%, 7/01/34

     483        487,521   

City of Baltimore Maryland, Special Tax Bonds, SO, Harborview Lot No. 2, 6.50%, 7/01/31

     960        979,565   

County of Montgomery Maryland, GO, Refunding, Consolidated Public Improvement Bonds, Series A, 5.00%, 7/01/26

     500        602,655   

County of Prince George’s Maryland, SO, National Harbor Project, 5.20%, 7/01/34

     1,500        1,532,160   

State of Maryland, First Series B, 5.00%, 3/15/22

     250        303,755   

State of Maryland, GO, State & Local Facilities Loan, Second Series B, 3.00%, 8/01/27

     2,500        2,581,450   

State of Maryland, GO, Refunding, State & Local Facilities Loan, Third Series C, 5.00%, 11/01/20

     500        633,665   
    

 

 

 
               7,120,771   

Education — 26.9%

    

Anne County Arundel, Refunding RB, Maryland Economic Development, Anne Arundel Community College Project:

    

4.00%, 9/01/27

     510        560,643   

3.25%, 9/01/28

     360        366,080   

Maryland EDC, Refunding RB, University Village at Shepard Pratt, 5.00%, 7/01/33

     1,000        1,095,630   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Goucher College, Series A, 5.00%, 7/01/34

     1,000        1,146,050   

Johns Hopkins University Project, Series A, 5.00%, 7/01/27

     1,000        1,218,730   

Johns Hopkins University Project, Series A, 4.00%, 7/01/37

     500        537,920   

Loyola University Maryland Issue, Series A, 5.00%, 10/01/39

     900        1,031,265   

Maryland Institute College of Art, 5.00%, 6/01/29

     500        566,460   

Notre Dame Maryland University, 5.00%, 10/01/42

     500        538,250   

Maryland Industrial Development Financing Authority, RB, Our Lady of Good Counsel School, Series A, 6.00%, 5/01/35

     1,000        1,043,320   

University System of Maryland, Refunding RB, Series D, 5.00%, 10/01/21

     500        637,100   
    

 

 

 
               8,741,448   
Municipal Bonds   

Par  

(000)

    Value  

Maryland (continued)

                

Health — 23.5%

  

County of Howard Maryland, Refunding RB, Vantage House Facility, Series A, 5.25%, 4/01/33

   $ 500      $ 500,795   

County of Montgomery Maryland, Refunding RB, 5.00%, 12/01/40

     1,000        1,123,490   

Gaithersburg Maryland, Refunding RB, Asbury Maryland Obligation, Series B, 6.00%, 1/01/23

     250        282,688   

Maryland Health & Higher Educational Facilities Authority, RB, Anne Arundel Health System, 5.00%, 7/01/40

     1,000        1,085,190   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Anne Arundel Health System, 5.00%, 7/01/27

     500        585,365   

Charlestown Community, 6.25%, 1/01/41

     1,000        1,142,870   

Doctor’s Community Hospital, 5.75%, 7/01/38

     500        561,245   

Frederick Memorial Hospital, Series A, 4.00%, 7/01/38

     1,250        1,246,000   

University of Maryland Medical System, 5.13%, 7/01/39

     1,000        1,101,210   
    

 

 

 
               7,628,853   

Housing — 15.2%

    

Maryland Community Development Administration, RB:

    

AMT, 5.10%, 9/01/37

     1,000        1,043,860   

Housing, Series A, 4.05%, 7/01/42

     1,220        1,254,685   

Residential, Series A, 5.05%, 9/01/39

     500        535,315   

Residential, Series B, 4.75%, 9/01/39

     150        158,242   

Maryland Community Development Administration, Refunding RB, Residential, Series B, 5.25%, 9/01/35

     1,755        1,949,015   
    

 

 

 
               4,941,117   

Transportation — 14.9%

    

Maryland EDC, RB:

    

Term Project, Series B, 5.75%, 6/01/35

     500        569,470   

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

     500        569,470   

Maryland State Department of Transportation, RB, Series B, 4.00%, 5/15/22

     1,000        1,129,150   

Maryland State Transportation Authority, RB, Baltimore/Washington International Thurgood Marshall Airport, Series A, AMT, 4.00%, 6/01/29

     1,925        2,042,714   

Maryland State Transportation Authority, Refunding RB, Baltimore/Washington International Thurgood Marshall Airport Parking Projects, AMT, 5.00%, 3/01/23

     445        532,651   
    

 

 

 
               4,843,455   
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.    HDA    Housing Development Authority
     AGC    Assured Guaranty Corp.    HFA    Housing Finance Agency
     AGM    Assured Guaranty Municipal Corp.    IDA    Industrial Development Authority
     AMBAC    American Municipal Bond Assurance Corp.    LRB    Lease Revenue Bonds
     AMT    Alternative Minimum Tax (subject to)    M/F    Multi-Family
     BARB    Building Aid Revenue Bonds    NPFGC    National Public Finance Guarantee Corp.
     BHAC    Berkshire Hathaway Assurance Corp.    PILOT    Payment in Lieu of Taxes
     BOCES    Board of Cooperative Educational Services    Radian    Radian Financial Guaranty
     CAB    Capital Appreciation Bonds    RB    Revenue Bonds
     CIFG    CDC IXIS Financial Guaranty    SBPA    Standby Bond Purchase Agreement
     COP    Certificates of Participation    S/F    Single-Family
     EDA    Economic Development Authority    SO    Special Obligation
     EDC    Economic Development Corp.    SONYMA    State of New York Mortgage Agency
     ERB    Education Revenue Bonds    Syncora    Syncora Guarantee
     FHA    Federal Housing Administration    VRDN    Variable Rate Demand Note
     GO    General Obligation Bonds      

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Maryland (concluded)

                

Utilities — 16.8%

    

City of Baltimore Maryland, Refunding RB, Wastewater Projects, Series A (NPFGC):

    

5.20%, 7/01/32

   $ 2,250      $ 2,258,483   

5.13%, 7/01/42

     1,500        1,505,550   

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc., 5.75%, 9/01/25

     500        557,295   

Montgomery County, RB, Series A:

    

5.00%, 4/01/31

     500        580,055   

5.00%, 4/01/32

     500        577,945   
    

 

 

 
               5,479,328   
Total Municipal Bonds in Maryland              39,063,850   
    

District of Columbia — 3.5%

                

Transportation — 3.5%

  

Washington Metropolitan Area Transit Authority, Refunding RB, Transit, Series A, 5.13%, 7/01/32

     1,000        1,132,960   
    

Guam — 2.8%

                

State — 2.2%

  

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

     250        277,840   

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

     410        457,306   
    

 

 

 
               735,146   

Utilities — 0.6%

    

Guam Power Authority, Refunding RB, Series A, 5.00%, 10/01/34

     175        193,625   
Total Municipal Bonds in Guam              928,771   
    

Multi-State — 6.7%

                

Housing — 6.7%

  

Centerline Equity Issuer Trust, 7.20%, 11/15/14 (a)(b)

     2,000        2,179,480   
    

Puerto Rico — 5.0%

                

State — 5.0%

  

Commonwealth of Puerto Rico, GO, Refunding, Public Improvement, Series A-4 (AGM), 5.25%, 7/01/30

     130        139,095   

Puerto Rico Public Buildings Authority, Refunding RB, Government Facilities, Series D, 5.38%, 7/01/33

     350        350,045   
Municipal Bonds   

Par  

(000)

    Value  

Puerto Rico (concluded)

                

State (concluded)

  

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

   $ 1,000      $ 1,127,920   
Total Municipal Bonds in Puerto Rico              1,617,060   
Total Municipal Bonds — 138.1%              44,922,121   
    
   

Municipal Bonds Transferred to

Tender Option Bond Trusts (c)

            

Maryland — 13.9%

                

Health — 3.5%

  

Maryland Health & Higher Educational Facilities Authority, RB, Series B, 5.00%, 11/15/51

     1,000        1,114,132   

Transportation — 10.4%

    

Maryland State Transportation Authority, RB, Transportation Facility Project (AGM), 5.00%, 7/01/41

     3,000        3,384,540   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in Maryland

  

  

    4,498,672   
    

Puerto Rico — 1.0%

                

State — 1.0%

  

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

     300        327,486   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 14.9%

  

  

    4,826,158   

Total Long-Term Investments

(Cost — $46,976,374) — 153.0%

  

  

    49,748,279   
    
   
Short-Term Securities    Shares         

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

     741,402        741,402   

Total Short-Term Securities

(Cost — $741,402) — 2.3%

  

  

    741,402   
Total Investments (Cost — $47,717,776) — 155.3%        50,489,681   
Other Assets Less Liabilities — 1.3%        430,323   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (7.4)%

   

    (2,400,833
VRDP Shares, at Liquidation Value — (49.2)%        (16,000,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 32,519,171   
 

 

 

 
Notes to Schedule of investments

 

(a)   Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

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

 

(c)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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 issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2012
       Net
Activity
       Shares Held
at February
28, 2013
       Income  

FFI Institutional Tax-Exempt Fund

       180,661           560,741           741,402         $ 97   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    23


Table of Contents

Schedule of Investments (concluded)

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

 

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 49,748,279              $ 49,748,279   

Short-Term Securities

  $ 741,402                          741,402   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 741,402         $ 49,748,279              $  50,489,681   
 

 

 

      

 

 

      

 

    

 

 

 

 

1   See above Schedule of Investments for values in each sector.

 

Certain of the Trust’s liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such liabilities are categorized within the disclosure hierarchy as follows:

 

      

   

     Level 1        Level 2        Level 3      Total  

Liabilities:

                

TOB trust certificates

            $ (2,400,000           $ (2,400,000

VRDP Shares

              (16,000,000             (16,000,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

            $ (18,400,000           $ (18,400,000
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 119.8%

                

Corporate — 3.3%

  

New York City IDA, Refunding RB, AMT:

    

Series A, 5.00%, 7/01/28

   $ 820      $ 870,865   

Terminal One Group Association Project, 5.50%, 1/01/24 (a)

     1,500        1,654,800   

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

     4,500        5,361,255   

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

     3,340        3,608,870   

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

     4,355        4,400,248   
    

 

 

 
               15,896,038   

County/City/Special District/School District — 28.4%

  

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

     1,000        1,145,510   

City of New York, New York, GO:

    

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

     2,350        2,703,229   

Sub-Series A-1, 4.00%, 10/01/34

     870        922,644   

Sub-Series A-1, 5.00%, 10/01/34

     1,630        1,899,928   

Sub-Series D-1, 5.00%, 10/01/33

     4,175        4,844,336   

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

    

Series B, 3.00%, 8/01/31

     1,500        1,454,385   

Series I, 5.00%, 8/01/32

     490        573,437   

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

    

5.00%, 12/01/29

     1,135        1,336,394   

5.00%, 12/01/36

     1,100        1,273,800   

Erie County IDA, RB, City School District of Buffalo Project, Series A, 5.25%, 5/01/31

     1,000        1,151,050   

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

    

5.00%, 2/15/47

     2,350        2,515,041   

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

     7,370        7,896,144   

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

     7,530        8,067,567   

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

     14,505        15,128,570   

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

     1,500        1,605,345   

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

     305        326,774   

New York City IDA, RB, PILOT:

    

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

     800        936,504   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/31

     3,500        3,611,965   

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

     8,140        8,324,859   

Yankee Stadium (AGC), 4.53%, 3/01/39 (b)

     1,380        430,215   

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

     2,200        2,293,280   

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

     9,500        9,807,705   

New York City Transitional Finance Authority, RB, Future Tax Secured (NPFGC):

    

Series C, 5.00%, 2/01/14 (c)

     1,830        1,908,452   

Series C, 5.00%, 2/01/33

     8,170        8,473,679   

Series E, 5.25%, 2/01/22

     45        45,201   

New York City Transitional Finance Authority, Refunding RB, Future Tax Secured Revenue, Series A (NPFGC), 5.00%, 11/15/26

     245        245,943   

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

    

5.00%, 11/15/30

     2,100        2,295,930   

5.00%, 11/15/35

     1,150        1,257,295   

5.00%, 11/15/44

     4,955        5,410,364   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

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

  

New York Liberty Development Corp., Refunding RB:

    

4 World Trade Center Project, 5.00%, 11/15/31

   $ 1,710      $ 1,954,958   

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

     2,080        2,464,800   

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

     2,780        3,080,462   

New York State Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35

     5,000        5,510,100   

Oneida-Herkimer Solid Waste Management Authority New York, Refunding RB, Solid Waste System (AGM), 5.50%, 4/01/13

     1,800        1,807,992   

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

    

5.25%, 10/15/27

     2,500        2,690,075   

5.00%, 10/15/32

     17,175        18,329,847   

St. Lawrence County IDA, RB, Clarkson University Project, 6.00%, 9/01/34

     300        363,129   

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

     3,100        3,130,535   

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

     500        579,715   
    

 

 

 
               137,797,159   

Education — 18.0%

  

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

     4,975        5,369,269   

City of Troy Capital Resource Corp., Refunding RB, Rensselaer Polytechnic, Series A, 5.13%, 9/01/40

     4,050        4,481,244   

Madison County Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

     530        586,302   

Madison County IDA New York, RB, Colgate University Project, Series A (AMBAC), 5.00%, 7/01/30

     4,000        4,239,080   

New York City IDA, Refunding RB, Nightingale-Bamford School (AMBAC), 5.25%, 1/15/17

     1,200        1,204,824   

New York City Trust for Cultural Resources, Refunding RB:

    

American Museum of Natural History, Series A (NPFGC), 5.00%, 7/01/36

     6,300        6,631,884   

Carnegie Hall, Series A, 4.75%, 12/01/39

     3,150        3,428,491   

Carnegie Hall, Series A, 5.00%, 12/01/39

     1,850        2,043,750   

New York State Dormitory Authority, RB:

    

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

     1,770        2,083,963   

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

     175        203,740   

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

     1,375        1,608,159   

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

     2,000        2,211,540   

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

     1,000        1,101,210   

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

     3,265        3,713,840   

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

     3,500        4,682,300   

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

     400        461,424   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    25


Table of Contents

Schedule of Investments (continued)

  

BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (concluded)

  

New York State Dormitory Authority, RB (concluded):

    

New York University, Series B, 5.00%, 7/01/42

   $ 3,000      $ 3,443,400   

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

     2,000        2,271,680   

Siena College, 5.13%, 7/01/39

     1,345        1,481,127   

State University Dormitory Facilities, Series A, 5.00%, 7/01/35

     750        852,390   

State University Dormitory Facilities, Series A, 5.00%, 7/01/40

     1,500        1,672,245   

New York State Dormitory Authority, Refunding RB:

    

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

     1,000        1,152,210   

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

     5,100        5,501,778   

New York University, Series A, 5.00%, 7/01/37

     4,180        4,871,330   

Rochester Institute of Technology, 4.00%, 7/01/31

     3,300        3,530,868   

Rochester Institute of Technology, 4.00%, 7/01/33

     1,605        1,702,584   

Rochester Institute of Technology, 5.00%, 7/01/38

     500        576,520   

Rochester Institute of Technology, 5.00%, 7/01/42

     750        857,588   

Rockefeller University, Series B, 4.00%, 7/01/38

     3,085        3,254,737   

Saint John’s University, Series A, 5.00%, 7/01/27

     370        438,831   

Saint John’s University, Series A, 5.00%, 7/01/28

     500        588,500   

Third General Resolution, State University Educational Facilities, Series A , 5.00%, 5/15/29

     1,000        1,187,370   

Orange County Funding Corp., Refunding RB, Mount State Mary College, Series A:

    

5.00%, 7/01/37

     715        799,198   

5.00%, 7/01/42

     445        494,030   

St. Lawrence County IDA, RB, Clarkson University Project, 5.38%, 9/01/41

     125        143,306   

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

    

5.50%, 7/01/33

     500        582,945   

5.25%, 7/01/36

     700        796,712   

Westchester County IDA New York, RB, Purchase College Foundation Housing, Series A (AMBAC), 5.75%, 12/01/31

     7,000        7,080,920   
    

 

 

 
               87,331,289   

Health — 9.5%

  

Dutchess County IDA, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/34

     500        569,005   

Monroe County Industrial Development Corp., RB, The Rochester General Hospital Project, Series A, 5.00%, 12/01/37

     1,180        1,317,954   

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

     3,925        4,525,368   

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

     1,800        2,025,918   

New York State Dormitory Authority, RB:

    

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

     2,250        2,580,525   

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

     5,500        6,039,495   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (concluded)

  

New York State Dormitory Authority, RB (concluded):

    

Montefiore Hospital (NPFGC), 5.00%, 8/01/33

   $ 1,000      $ 1,062,070   

New York & Presbyterian Hospital (AGM), 5.00%, 8/15/14 (c)

     3,895        4,158,029   

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

     1,825        2,080,354   

North Shore-Long Island Jewish Health System, Series C, 4.25%, 5/01/39

     1,250        1,323,988   

North Shore-Long Island Jewish Health System, Series D, 4.25%, 5/01/39

     1,500        1,588,785   

North Shore-Long Island Jewish Health System, Series D, 5.00%, 5/01/39

     480        542,093   

NYU Hospital Center, Series A, 5.75%, 7/01/31

     2,680        3,173,924   

NYU Hospital Center, Series A, 6.00%, 7/01/40

     1,800        2,115,774   

New York State Dormitory Authority, Refunding RB:

    

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

     1,000        1,059,890   

North Shore-Long Island Jewish Health System, Series A, 5.00%, 5/01/32

     2,000        2,258,600   

North Shore-Long Island Jewish Health System, Series A, 5.25%, 5/01/34

     7,375        8,494,746   

St. Luke’s Roosevelt Hospital (FHA), 4.90%, 8/15/31

     1,000        1,074,830   
    

 

 

 
               45,991,348   

Housing — 6.5%

  

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

    

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

     750        784,350   

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

     1,335        1,386,264   

Series C, 5.00%, 11/01/26

     1,250        1,300,663   

Series C, 5.05%, 11/01/36

     2,000        2,111,000   

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

     1,000        1,022,690   

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

     835        873,719   

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

     600        636,564   

New York City Housing Development Corp., Refunding RB, M/F Housing, Series L-2-A, 4.00%, 5/01/44 (d)

     4,000        4,009,400   

New York Mortgage Agency, RB, Series 145, AMT, 5.13%, 10/01/37

     880        915,077   

New York Mortgage Agency, Refunding RB, AMT:

    

Series 97, 5.50%, 4/01/31

     460        460,621   

Series 133, 4.95%, 10/01/21

     685        712,105   

Series 143, 4.85%, 10/01/27

     1,085        1,130,353   

Series 143, 4.90%, 10/01/37

     743        767,349   

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

     2,000        2,100,640   

New York State HFA, RB, St. Philip’s Housing, Series A, AMT (Fannie Mae), 4.65%, 11/15/38

     1,000        1,028,400   

New York State HFA, RB, Affordable Housing, Series E (SONYMA):

    

3.40%, 11/01/37

     4,755        4,624,475   

3.50%, 11/01/42

     4,225        4,145,908   

Yonkers EDC, Refunding RB, Riverview II (Freddie Mac), 4.50%, 5/01/25

     1,500        1,631,085   

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

     2,000        2,095,360   
    

 

 

 
               31,736,023   

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

State — 12.3%

  

New York City Transitional Finance Authority, BARB:

    

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

   $ 1,510      $ 1,588,233   

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

     4,000        4,531,560   

Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/33

     3,000        3,491,040   

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

     1,250        1,426,687   

Series S-1, 4.00%, 7/15/42

     1,000        1,040,470   

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

     3,750        4,017,000   

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

     4,830        5,013,540   

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

     2,320        2,632,922   

New York State Dormitory Authority, RB:

    

General Purpose, Series B, 5.00%, 3/15/42

     1,500        1,711,890   

General Purpose, Series E, 5.00%, 2/15/31

     2,645        3,126,443   

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

     250        286,125   

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

     1,550        1,622,168   

Mental Health Services Facilities Improvement, Series B (AGM), 5.00%, 2/15/33

     4,500        5,081,400   

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

     2,500        2,747,825   

New York State Dormitory Authority, Refunding RB:

    

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

     450        495,909   

Secured Hospital, North General Hospital (Syncora), 5.75%, 2/15/17

     2,000        2,007,520   

New York State Thruway Authority, RB, Second General:

    

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

     8,700        9,726,513   

Series B, 5.00%, 4/01/27

     1,000        1,148,110   

New York State Thruway Authority, Refunding RB, Series A, 5.00%, 4/01/32

     1,000        1,173,730   

New York State Urban Development Corp., RB, State Personal Income Tax:

    

Series A, 3.50%, 3/15/28

     1,660        1,769,079   

Series C-1 (NPFGC),
5.00%, 3/15/13 (c)

     3,000        3,006,780   

State Facilities, Series A-1 (NPFGC), 5.00%, 3/15/14 (c)

     2,000        2,098,260   
    

 

 

 
               59,743,204   

Tobacco — 3.8%

  

Tobacco Settlement Financing Corp. New York, RB, Asset-Backed, Series A-1 (AMBAC):

    

5.25%, 6/01/20

     5,000        5,063,050   

5.25%, 6/01/21

     13,275        13,440,672   
    

 

 

 
               18,503,722   

Transportation — 28.2%

  

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     1,000        1,174,350   

Series C, 6.50%, 11/15/28

     6,015        7,654,268   

Series D, 5.25%, 11/15/41

     2,250        2,550,645   

Series H, 5.00%, 11/15/25

     1,000        1,198,640   

Series H, 4.00%, 11/15/34

     2,295        2,379,135   

Metropolitan Transportation Authority, Refunding RB:

    

Series B, 5.00%, 11/15/34

     2,500        2,829,500   

Series F, 5.00%, 11/15/30

     3,160        3,683,201   

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Construction:

    

5.00%, 12/15/41

     6,000        6,773,040   

5.25%, 12/15/43

     11,500        13,199,585   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Transportation (concluded)

  

New York State Thruway Authority, Refunding RB:

    

General, Series I, 5.00%, 1/01/24

   $ 1,000      $ 1,206,880   

General, Series I, 4.13%, 1/01/42

     1,750        1,817,637   

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

     5,000        5,380,250   

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

     1,250        1,349,125   

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

     1,030        1,115,037   

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

     3,450        3,766,468   

Series I, 5.00%, 1/01/37

     3,315        3,749,398   

Series I, 5.00%, 1/01/42

     1,970        2,208,882   

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

     1,600        1,759,824   

Port Authority of New York & New Jersey, RB:

    

Consolidated, 37th Series, AMT (AGM), 5.13%, 7/15/30

     2,500        2,648,625   

Consolidated, 124th Series, AMT, 5.00%, 8/01/36

     750        750,255   

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

     2,500        2,860,775   

Special Project, JFK International Air Terminal, Series 6 (NPFGC), 5.90%, 12/01/17

     4,000        4,006,440   

Special Project, JFK International Air Terminal, Series 6, AMT (NPFGC), 6.25%, 12/01/15

     7,830        8,534,857   

Special Project, JFK International Air Terminal, Series 6, AMT (NPFGC), 5.75%, 12/01/22

     26,725        26,734,888   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, AMT, 177th Series,, 4.00%, 1/15/43

     2,500        2,524,350   

Triborough Bridge & Tunnel Authority, RB (c):

    

Sub-Series A (NPFGC), 5.25%, 11/15/13

     6,000        6,183,540   

Subordinate Bonds (AMBAC), 5.00%, 11/15/13

     1,965        2,031,594   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

General, Series A, 5.00%, 11/15/36

     1,000        1,169,240   

Series A, 3.13%, 11/15/32

     2,045        1,974,631   

Series B, 5.00%, 11/15/31

     430        511,967   

Series B, 4.00%, 11/15/32

     500        542,285   

Series C, 5.00%, 11/15/38

     1,385        1,603,664   

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

     3,650        3,665,512   

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

     3,645        3,657,685   

Sub-Series A, 5.00%, 11/15/29

     875        1,047,515   

Sub-Series A,, 5.00%, 11/15/28

     2,500        3,002,775   
    

 

 

 
               137,246,463   

Utilities — 9.8%

  

Long Island Power Authority, RB:

    

General, Series A, 5.00%, 5/01/36

     2,375        2,671,186   

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

     3,000        3,163,260   

Long Island Power Authority, Refunding RB:

    

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

     1,500        1,790,100   

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

     3,500        3,858,575   

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

     1,000        1,198,180   

New York City Municipal Water Finance Authority, RB, Series B, 5.00%, 6/15/36

     3,500        3,902,885   

New York City Municipal Water Finance Authority, Refunding RB:

    

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

     1,000        1,170,190   

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

     1,500        1,742,205   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    27


Table of Contents

Schedule of Investments (continued)

  

BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

(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 (concluded) :

    

Series A (AGM), 4.25%, 6/15/39

   $ 1,700      $ 1,780,818   

Series DD, 5.00%, 6/15/32

     5,750        6,620,263   

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

     2,500        2,641,175   

Series FF, 4.00%, 6/15/45

     1,975        2,036,877   

Series FF, 5.00%, 6/15/45

     2,100        2,374,743   

New York State Environmental Facilities Corp., RB, Long Island Water Corp. Project, Series A, AMT (NPFGC), 4.90%, 10/01/34

     6,000        6,118,500   

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

     3,200        3,754,112   

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

     2,580        2,977,268   
    

 

 

 
               47,800,337   
Total Municipal Bonds in New York              582,045,583   
    

Guam — 1.3%

                

Transportation — 1.0%

    

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

    

5.25%, 10/01/21

     3,700        3,713,579   

5.25%, 10/01/22

     1,050        1,053,853   
    

 

 

 
               4,767,432   

Utilities — 0.3%

    

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

     1,175        1,253,619   
Total Municipal Bonds in Guam              6,021,051   
    

Puerto Rico — 9.9%

                

Housing — 0.5%

    

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

     2,500        2,666,000   

State — 6.1%

    

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

    

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

     1,970        2,153,663   

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

     1,400        1,489,754   

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

     4,000        4,235,080   

Puerto Rico Commonwealth Infrastructure Financing Authority, RB, CAB,
Series A (b):

    

(AMBAC), 6.14%, 7/01/34

     9,300        2,560,476   

(AMBAC), 6.28%, 7/01/37

     2,200        488,136   

(NPFGC), 6.11%, 7/01/33

     5,500        1,618,100   

Puerto Rico Infrastructure Financing Authority, RB, CAB, Series A (NPFGC), 5.95%, 7/01/31 (b)

     10,280        3,507,125   

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

     2,500        2,626,475   

Puerto Rico Sales Tax Financing Corp., RB, First Sub-Series A:

    

5.63%, 8/01/30

     1,000        1,036,930   

5.75%, 8/01/37

     3,000        3,241,830   

(AGM), 5.00%, 8/01/40

     1,905        2,023,910   

Puerto Rico Sales Tax Financing Corp., Refunding RB:

    

CAB, Series A (NPFGC), 5.60%, 8/01/41 (b)

     11,000        2,289,980   
Municipal Bonds   

Par  

(000)

    Value  

Puerto Rico (concluded)

                

State (concluded)

    

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

    

CAB, Series A (NPFGC), 5.65%, 8/01/43 (b)

   $ 2,500      $ 459,175   

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

     1,530        1,670,179   
    

 

 

 
               29,400,813   

Transportation — 2.8%

    

Puerto Rico Highway & Transportation Authority, RB, Series Y (AGM), 6.25%, 7/01/21

     5,025        6,008,041   

Puerto Rico Highway & Transportation Authority, Refunding RB (AGM):

    

Series AA, 4.95%, 7/01/26

     3,000        3,269,220   

Series CC, 5.50%, 7/01/29

     1,795        2,066,494   

Series CC, 5.50%, 7/01/31

     1,855        2,112,418   
    

 

 

 
               13,456,173   

Utilities — 0.5%

    

Puerto Rico Electric Power Authority, RB:

    

Series NN, 5.13%, 7/01/13 (c)

     940        955,801   

Series RR (NPFGC), 5.00%, 7/01/24

     1,000        1,025,920   

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

     500        509,685   
    

 

 

 
               2,491,406   
Total Municipal Bonds in Puerto Rico              48,014,392   
Total Municipal Bonds – 131.0%              636,081,026   
    
   

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

 

New York — 31.5%

                

County/City/Special District/School District — 12.0%

  

City of New York, New York, GO:

    

Series J, 5.00%, 5/15/23

     6,800        7,186,104   

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

     10,000        12,283,200   

New York City Transitional Finance Authority, RB, Future Tax Secured Sub-Series D 1, 5.00%, 11/01/38

     1,650        1,900,338   

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

     18,000        19,679,400   

New York Liberty Development Corp., Refunding RB:

    

4 World Trade Center Project, 5.00%, 11/15/44

     2,000        2,236,280   

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

     2,010        2,082,601   

7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     2,610        2,972,085   

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

     5,000        5,776,200   

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

     4,003        4,272,147   
    

 

 

 
               58,388,355   

Education — 4.6%

    

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

     5,000        6,066,100   

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

     4,448        5,128,494   

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

New York (continued)

                

Education (concluded)

    

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

    

5.00%, 7/01/38

   $ 5,498      $ 6,245,552   

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

     2,999        3,347,306   

New York State Dormitory Authority, Refunding LRB, 5.00%, 7/01/42

     1,480        1,702,607   
    

 

 

 
               22,490,059   

Housing — 0.7%

    

New York State Mortgage Agency, RB, 48th Series, 3.70%, 10/01/38

     3,200        3,213,024   

State — 1.2%

    

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

     5,458        6,126,346   

Transportation — 9.7%

    

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

     5,999        7,140,333   

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

     7,002        7,902,013   

New York State Thruway Authority, Refunding RB (AGM):

    

Series G, 5.00%, 1/01/32

     12,000        13,100,760   

Series H, 5.00%, 1/01/37

     8,500        9,517,535   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/25

     8,005        9,500,461   
    

 

 

 
               47,161,102   

Utilities — 3.3%

    

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

     4,004        4,778,280   

New York City Municipal Water Finance Authority, Refunding RB:

    

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

     7,151        8,314,265   

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

New York (concluded)

                

Utilities (concluded)

    

New York City Municipal Water Finance Authority, Refunding RB (concluded):

    

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

   $ 2,399      $ 2,841,222   
    

 

 

 
               15,933,767   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in New York

  

  

    153,312,653   
    

Puerto Rico — 1.8%

                

State — 1.8%

  

Puerto Rico Sales Tax Financing Corp., Refunding RB, Series C, 5.00%, 8/01/40

     8,000        8,590,880   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 33.3%

  

  

    161,903,533   

Total Long-Term Investments

(Cost — $742,912,717) — 164.3%

  

  

    797,984,559   
    
   
Short-Term Securities    Shares         

BIF New York Municipal Money Fund, 0.00% (g)(h)

     8,838,731        8,838,731   
Total Short-Term Securities
(Cost — $8,838,731) — 1.8%
        8,838,731   
Total Investments (Cost — $751,751,448) — 166.1%        806,823,290   
Other Assets Less Liabilities — 0.3%        1,494,873   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (16.3)%

   

    (79,018,894
VRDP Shares, at Liquidation Value — (50.1)%        (243,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 485,699,269   
    

 

 

 
Notes to Schedule of investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

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

 

(c)   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.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 
Morgan Stanley      $ 4,009,400         $ 9,400   

 

(e)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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.

 

(f)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements is $5,000,000.

 

(g)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate     

Shares Held

at August 31,

2012

       Net
Activity
      

Shares Held

at February 28,

2013

       Income  

BIF New York Municipal Money Fund

       9,529,494           (690,763        8,838,731         $ 409   

 

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    29


Table of Contents

Schedule of Investments (concluded)

  

BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

 

 

Ÿ  

Financial futures contracts as of February 28, 2013 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (60   30-Year US Treasury Bond   Chicago Board of Trade   June 2013   $ 8,626,875      $ (3,844

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust ‘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 Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 797,984,559              $ 797,984,559   

Short-Term Securities

  $ 8,838,731                          8,838,731   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 8,838,731         $ 797,984,559              $ 806,823,290   
 

 

 

      

 

 

      

 

    

 

 

 

 

1   See above Schedule of Investments for values in each sector.

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (3,844                     $ (3,844

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

      

 

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged as collateral for financial futures contracts

  $ 180,000                        $ 180,000   

Liabilities:

                

Bank overdraft

            $ (351,617             (351,617

TOB certificates

              (78,986,820             (78,986,820

VRDP Shares

              (243,600,000             (243,600,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 180,000         $ (322,938,437           $ (322,758,437
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New Jersey — 121.8%

                

Corporate — 10.7%

    

Middlesex County Improvement Authority, RB, Subordinate, Heldrich Center Hotel, Series B, 6.25%, 1/01/37 (a)(b)

   $ 560      $ 41,675   

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT, 7.00%, 11/15/30 (c)

     2,335        2,344,247   

New Jersey EDA, Refunding RB, American Water Co., Inc. Project, AMT:

    

Series A, 5.70%, 10/01/39

     475        530,162   

Series B, 5.60%, 11/01/34

     395        448,819   

Salem County Pollution Control Financing Authority, Refunding RB, Atlantic City Electric, Series A, 4.88%, 6/01/29

     750        832,012   
    

 

 

 
               4,196,915   

County/City/Special District/School District — 9.4%

    

Bergen County New Jersey Improvement Authority, Refunding RB, Fair Lawn Community Center, 5.00%, 9/15/34

     245        291,234   

City of Margate City New Jersey, GO, Refunding, Improvement:

    

5.00%, 1/15/27

     230        267,124   

5.00%, 1/15/28

     110        126,920   

Essex County Improvement Authority, Refunding RB, Project Consolidation (NPFGC):

    

5.50%, 10/01/28

     400        529,692   

5.50%, 10/01/29

     790        1,050,313   

Hudson County Improvement Authority, RB, Harrison Parking Facility Project, Series C (AGC), 5.38%, 1/01/44

     800        890,200   

Union County Improvement Authority, RB, Guaranteed Lease-Family Court Building Project, 5.00%, 5/01/42

     470        533,582   
    

 

 

 
               3,689,065   

Education — 22.2%

    

New Jersey EDA, RB, School Facilities Construction:

    

Series CC-2, 5.00%, 12/15/31

     500        570,710   

Series S, 5.00%, 9/01/36

     280        301,028   

New Jersey EDA, Refunding RB, School Facilities, Series GG, 5.25%, 9/01/27

     1,345        1,588,068   

New Jersey Educational Facilities Authority, RB, Montclair State University, Series J, 5.25%, 7/01/38

     180        202,923   

New Jersey Educational Facilities Authority, Refunding RB:

    

College of New Jersey, Series D (AGM), 5.00%, 7/01/35

     1,010        1,112,343   

Georgian Court University, Series D, 5.00%, 7/01/33

     150        158,673   

Kean University, Series A, 5.50%, 9/01/36

     700        801,430   

New Jersey Institute of Technology, Series H, 5.00%, 7/01/31

     210        236,599   

Ramapo College, Series B, 5.00%, 7/01/42

     85        96,166   

University of Medicine & Dentistry, Series B, 7.50%, 12/01/32

     450        562,693   

New Jersey Higher Education Student Assistance Authority, RB, Student Loan Revenue, Series 1A, AMT, 5.00%, 12/01/22

     915        1,050,411   

New Jersey Higher Education Student Assistance Authority, Refunding RB:

    

Series 1, AMT, 5.75%, 12/01/29

     640        723,034   

Series 1A, 5.00%, 12/01/25

     165        182,629   

Series 1A, 5.00%, 12/01/26

     125        137,789   

Series 1A, 5.13%, 12/01/27

     295        328,152   

Series 1A, 5.25%, 12/01/32

     300        332,670   

New Jersey Institute of Technology, RB, GO, Series A, 5.00%, 7/01/42

     250        285,213   
    

 

 

 
               8,670,531   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

Health — 14.4%

    

New Jersey EDA, RB, First Mortgage, Lions Gate Project, Series A:

    

5.75%, 1/01/25

   $ 150      $ 151,985   

5.88%, 1/01/37

     265        266,810   

New Jersey EDA, Refunding RB:

    

First Mortgage Winchester, Series A, 5.80%, 11/01/31

     1,000        1,023,830   

Seabrook Village, Inc. Facility, 5.25%, 11/15/26

     470        490,060   

New Jersey Health Care Facilities Financing Authority, RB (AGC):

    

Meridian Health, Series I, 5.00%, 7/01/38

     245        262,505   

Virtua Health, 5.50%, 7/01/38

     400        445,124   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

5.00%, 7/01/26

     305        351,677   

AHS Hospital Corp., 6.00%, 7/01/41

     610        750,208   

South Jersey Hospital, 5.00%, 7/01/46

     500        518,000   

St. Barnabas Health, Series A, 5.00%, 7/01/25

     45        52,844   

St. Barnabas Health, Series A, 5.00%, 7/01/29

     500        527,085   

St. Barnabas Health, Series A, 5.63%, 7/01/32

     180        204,804   

St. Barnabas Health, Series A, 5.63%, 7/01/37

     505        569,175   
    

 

 

 
               5,614,107   

Housing — 6.1%

    

New Jersey State Housing & Mortgage Finance Agency, RB:

    

M/F Housing, Series A, 4.55%, 11/01/43

     485        503,643   

S/F Housing, Series CC, 5.00%, 10/01/34

     455        492,915   

Series A, 4.75%, 11/01/29

     370        395,482   

Series AA, 6.38%, 10/01/28

     695        754,019   

Series AA, 6.50%, 10/01/38

     220        230,138   
    

 

 

 
               2,376,197   

State — 32.2%

    

Garden State Preservation Trust, RB, CAB,
Series B (AGM), 3.07%, 11/01/27 (d)

     4,000        2,557,920   

New Jersey EDA, RB:

    

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 7/01/25

     500        619,975   

School Facilities Construction, Series KK, 5.00%, 3/01/38

     245        277,899   

School Facilities Construction, Series Z (AGC), 5.50%, 12/15/34

     1,000        1,169,990   

New Jersey EDA, Refunding RB:

    

(AGM), 5.00%, 6/15/22

     1,000        1,190,310   

Cigarette Tax, 5.00%, 6/15/28

     255        287,928   

Cigarette Tax, 5.00%, 6/15/29

     500        558,215   

Kapkowski Road Landfill Project, 6.50%, 4/01/28

     2,250        2,694,982   

School Facilities Construction, Series AA, 5.50%, 12/15/29

     500        580,870   

School Facilities Construction, Series GG, 5.25%, 9/01/26

     1,000        1,187,850   

New Jersey Health Care Facilities Financing Authority, RB, Hospital Asset Transformation Program, Series A, 5.25%, 10/01/38

     500        545,665   

State of New Jersey, COP, Equipment Lease Purchase, Series A:

    

5.25%, 6/15/27

     600        678,420   

5.25%, 6/15/28

     200        225,516   
    

 

 

 
               12,575,540   

Transportation — 24.1%

    

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

     250        278,583   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    31


Table of Contents

Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New Jersey (concluded)

                

Transportation (concluded)

    

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/35

   $ 195      $ 222,805   

Series E, 5.25%, 1/01/40

     370        414,078   

New Jersey State Turnpike Authority, Refunding RB, Series B, 5.00%, 1/01/30

     445        520,757   

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

    

6.00%, 12/15/38

     325        389,201   

CAB, Series C (AGM), 4.32%, 12/15/32 (d)

     1,250        536,337   

Series A, 6.00%, 6/15/35

     1,275        1,563,507   

Series A, 5.88%, 12/15/38

     555        656,926   

Series A, 5.50%, 6/15/41

     830        966,792   

Series A (AGC), 5.63%, 12/15/28

     200        239,880   

Series B, 5.00%, 6/15/42

     1,000        1,098,840   

Port Authority of New York & New Jersey, RB, JFK International Air Terminal, 6.00%, 12/01/42

     450        533,218   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, AMT:

    

152nd Series, 5.75%, 11/01/30

     525        613,825   

172nd Series, 5.00%, 10/01/34

     1,000        1,141,000   

South Jersey Transportation Authority, Refunding RB, Series A:

    

5.00%, 11/01/28

     100        115,682   

5.00%, 11/01/29

     100        115,411   
    

 

 

 
               9,406,842   

Utilities — 2.7%

    

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC), 4.23%, 9/01/33 (d)

     650        275,483   

Union County Utilities Authority, Refunding RB, New Jersey Solid Waste System, County Deficiency Agreement, Series A, 5.00%, 6/15/41

     685        783,318   
    

 

 

 
               1,058,801   
Total Municipal Bonds in New Jersey              47,587,998   
    

Multi-State — 5.6%

                

Housing — 5.6%

    

Centerline Equity Issuer Trust, 7.20%, 11/15/14 (e)(f)

     2,000        2,179,480   
    

Puerto Rico — 5.6%

                

State — 5.6%

    

Puerto Rico Sales Tax Financing Corp., RB, First Sub-Series A:

    

5.75%, 8/01/37

     970        1,048,192   

6.00%, 8/01/42

     500        551,680   

Puerto Rico Sales Tax Financing Corp., Refunding RB, First Sub-Series C, 6.00%, 8/01/39

     540        603,256   
Total Municipal Bonds in Puerto Rico              2,203,128   
Total Municipal Bonds — 133.0%              51,970,606   
    
   

Municipal Bonds Transferred to

Tender Option Bond Trusts (g)

            

New Jersey — 24.5%

                

Education — 6.0%

    

New Jersey EDA, RB, School Facilities Construction (AGC), 6.00%, 12/15/34

     1,000        1,196,940   

Municipal Bonds Transferred to

Tender Option Bond Trusts (g)

   Par  
(000)
    Value  

New Jersey (concluded)

  

Education (concluded)

    

Rutgers State University of New Jersey, Refunding RB, Series F, 5.00%, 5/01/39

   $ 990      $ 1,140,295   
    

 

 

 
               2,337,235   

State — 2.6%

    

New Jersey EDA, Refunding RB, School Facilities Construction, Series NN, 5.00%, 3/01/29

     869        1,017,994   

Transportation — 10.8%

    

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

    

Series A (AGM), 5.00%, 12/15/32

     600        683,286   

Series B, 5.25%, 6/15/36

     1,000        1,142,040   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     1,500        1,680,060   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 152nd Series, AMT, 5.25%, 11/01/35

     630        696,569   
    

 

 

 
               4,201,955   

Utilities — 5.1%

    

Union County Utilities Authority, Refunding LRB, Covanta Union, Series A, AMT, 5.25%, 12/01/31

     1,780        1,993,173   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts in New Jersey
             9,550,357   
    

Puerto Rico — 1.0%

                

State — 1.0%

    

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

     370        403,907   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 25.5%
             9,954,264   

Total Long-Term Investments

(Cost — $56,262,721) — 158.5%

             61,924,870   
    
   
Short-Term Securities    Shares         

BIF New Jersey Municipal Money Fund, 0.00% (h)(i)

     521,100        521,100   

Total Short-Term Securities

(Cost — $521,100) — 1.3%

             521,100   
Total Investments (Cost — $56,783,821) — 159.8%        62,445,970   
Other Assets Less Liabilities — 1.6%        607,921   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (13.5)%

       (5,286,096
VRDP Shares, at Liquidation Value — (47.9)%        (18,700,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 39,067,795   
    

 

 

 

 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

 

Notes to Schedule of investments

 

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

 

(b)   Non-income producing security.

 

(c)   Variable rate security. Rate shown is as of report date.

 

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

 

(e)   Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

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

 

(g)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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.

 

(h)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2012
       Net
Activity
       Shares Held
at February 28,
2013
       Income  

BIF New Jersey Municipal Money Fund

       891,865           (370,765        521,100             

 

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 61,924,870              $ 61,924,870   

Short-Term Securities

  $ 521,100                          521,100   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 521,100         $ 61,924,870              $ 62,445,970   
 

 

 

      

 

 

      

 

    

 

 

 

 

1   See above Schedule of Investments for values in each sector.

 

Certain of the Trust’s liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such liabilities are categorized within the disclosure hierarchy as follows:

      

   

     Level 1        Level 2        Level 3      Total  

Liabilities:

                

TOB trust certificates

            $ (5,283,730           $ (5,283,730

VRDP Shares

              (18,700,000             (18,700,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

            $ (23,983,730           $ (23,983,730
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

  

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    33


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York — 121.0%

                

Corporate — 17.1%

    

Chautauqua County Industrial Development Agency, RB, NRG Dunkirk Power Project, 5.88%, 4/01/42

   $ 750      $ 844,875   

Essex County Industrial Development Agency New York, RB, International Paper Co. Project, Series A, AMT, 6.63%, 9/01/32

     100        114,724   

Monroe County Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/41

     975        1,092,702   

New York City Industrial Development Agency, RB, American Airlines Inc., JFK International Airport, AMT (a)(b)(c):

    

7.63%, 8/01/25

     750        849,173   

7.75%, 8/01/31

     1,000        1,137,210   

New York City Industrial Development Agency, Refunding RB, Senior Series A, AMT, 5.00%, 7/01/28

     690        732,801   

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

     750        893,542   

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

     375        392,831   

Port Authority of New York & New Jersey, RB, Continental Airlines Inc. and Eastern Air Lines Inc. Project, LaGuardia, AMT, 9.13%, 12/01/15

     1,325        1,358,098   

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

     500        505,195   
    

 

 

 
               7,921,151   

County/City/Special District/School District — 31.8%

  

 

City of New York, New York, GO:

    

Series A-1, 4.75%, 8/15/25

     500        575,800   

Series D, 5.38%, 6/01/32

     15        15,061   

Sub-Series A-1, 4.00%, 10/01/34

     90        95,446   

Sub-Series G-1, 5.00%, 4/01/28

     250        295,633   

Sub-Series G-1, 6.25%, 12/15/31

     250        309,173   

Sub-Series I-1, 5.38%, 4/01/36

     450        534,357   

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

    

5.00%, 2/15/47

     650        695,649   

(AGM), 5.00%, 2/15/47

     750        803,542   

(NPFGC), 4.50%, 2/15/47

     1,100        1,147,289   

(NPFGC), 5.00%, 2/15/47

     465        497,657   

Monroe County Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

     500        580,500   

New York City Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium (AGC), 4.64%, 3/01/41 (d)

     5,155        1,425,718   

CAB, Yankee Stadium (AGC), 4.71%, 3/01/43 (d)

     2,000        494,100   

CAB, Yankee Stadium Project, Series A (AGC), 4.65%, 3/01/42 (d)

     500        131,670   

CAB, Yankee Stadium Project, Series A (AGC), 4.78%, 3/01/45 (d)

     950        209,114   

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

     100        117,063   

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

     500        510,645   

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

     175        180,668   

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

    

5.00%, 11/15/44

     990        1,080,981   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

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

  

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

    

4.75%, 11/15/45

   $ 500      $ 542,065   

New York Liberty Development Corp., Refunding RB:

    

4 World Trade Center Project, Series 2011, 5.00%, 11/15/31

     750        857,437   

4 World Trade Center Project, Series 2011, 5.75%, 11/15/51

     340        402,900   

7 World Trade Center Project, Series 2012, Class 2, 5.00%, 9/15/43

     550        609,444   

7 World Trade Center Project, Series 2012, Class 3, 5.00%, 3/15/44

     520        562,011   

Second Priority, Bank of America Tower at One Bryant Park Project, 5.63%, 7/15/47

     1,350        1,554,295   

Second Priority, Bank of America Tower at One Bryant Park Project, 6.38%, 7/15/49

     285        338,925   

New York State Dormitory Authority, RB, State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     150        167,477   
    

 

 

 
               14,734,620   

Education — 30.6%

    

Albany Industrial Development Agency, RB, New Covenant Charter School Project, Series A (a)(c):

    

7.00%, 5/01/25

     200        29,986   

7.00%, 5/01/35

     130        19,491   

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM):

    

4.38%, 10/01/30

     250        270,265   

4.63%, 10/01/40

     140        151,095   

City of Troy Capital Resource Corp., Refunding RB, Rensselaer Polytechnic, Series A, 5.13%, 9/01/40

     500        553,240   

Dutchess County Industrial Development Agency New York, RB, Bard College Civic Facility, Series A-2, 4.50%, 8/01/36

     500        512,070   

Madison County Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

     135        149,341   

Nassau County Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 3/01/26

     200        219,812   

New York City Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

     250        289,585   

New York City Trust for Cultural Resources, Refunding RB, Carnegie Hall, Series A, 4.75%, 12/01/39

     400        435,364   

New York State Dormitory Authority, RB:

    

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

     300        353,214   

New York University, Series 1 (BHAC), 5.50%, 7/01/31

     245        316,557   

New York University, Series B, 5.00%, 7/01/42

     1,990        2,284,122   

Rochester Institute of Technology, Series A, 6.00%, 7/01/18 (e)

     325        409,025   

Teachers College, Series B, 5.00%, 7/01/42

     1,550        1,745,672   

University of Rochester, Series A, 0.00%, 7/01/39 (f)

     175        184,669   

University of Rochester, Series A, 5.13%, 7/01/39

     215        246,495   

New York State Dormitory Authority, Refunding RB:

    

5.00%, 5/01/38

     90        97,223   

4.25%, 5/01/42

     205        199,438   

Brooklyn Law School, 5.75%, 7/01/33

     125        143,313   

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

     150        172,832   

Culinary Institute of America, 5.00%, 7/01/34

     150        165,651   

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds    Par  
(000)
    Value  
    

New York (continued)

                

Education (concluded)

    

New York State Dormitory Authority, Refunding RB (concluded) :

    

Fordham University, 4.00%, 7/01/28

   $ 600      $ 645,504   

New York University, Series A, 5.00%, 7/01/37

     445        518,599   

New York University, Series A, 5.00%, 7/01/42

     1,750        2,008,650   

Rockefeller University, Series B, 4.00%, 7/01/38

     415        437,833   

Skidmore College, Series A, 5.00%, 7/01/28

     250        289,645   

Teachers College, Series A, 5.00%, 7/01/31

     325        379,619   

Teachers College, Series A, 5.50%, 3/01/39

     350        394,093   

Suffolk County Industrial Development Agency, Refunding RB, New York Institute of Technology Project, 5.00%, 3/01/26

     150        154,553   

Tompkins County Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

     100        116,589   

Yonkers Industrial Development Agency New York, RB, Sarah Lawrence College Project, Series A, 6.00%, 6/01/41

     250        282,293   
    

 

 

 
               14,175,838   

Health — 21.1%

    

Dutchess County Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/30

     350        417,308   

Genesee County Industrial Development Agency New York, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

     150        150,005   

Monroe County Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/37

     370        413,257   

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

     275        317,064   

Nassau County Local Economic Assistance Corp., Refunding RB, Winthrop University Hospital Association Project, 4.25%, 7/01/42

     120        120,823   

New York State Dormitory Authority, RB:

    

Metal Health Services Facilities Improvement (AGM), 5.00%, 2/15/22

     335        396,208   

New York State Association for Retarded Children Inc., Series B (AMBAC), 6.00%, 7/01/32

     185        213,819   

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

     220        260,546   

New York University Hospital Center, Series B, 5.63%, 7/01/37

     260        284,253   

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

     450        512,964   

North Shore-Long Island Jewish Health System, Series A, 5.75%, 5/01/37

     500        582,165   

North Shore-Long Island Jewish Health System, Series C, 4.25%, 5/01/39

     250        264,798   

North Shore-Long Island Jewish Health System, Series D, 4.25%, 5/01/39

     325        344,237   

North Shore-Long Island Jewish Health System, Series D, 5.00%, 5/01/39

     120        135,523   

New York State Dormitory Authority, Refunding RB:

    

Miriam Osborn Memorial Home Association, 5.00%, 7/01/29

     290        317,991   

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

     315        358,448   

North Shore-Long Island Jewish Health System, Series A, 5.00%, 5/01/32

     1,000        1,129,300   

North Shore-Long Island Jewish Health System, Series E, 5.50%, 5/01/33

     250        284,980   

Onondaga Civic Development Corp., Refunding RB, Saint Joseph’s Hospital Health Center Project, 4.50%, 7/01/32

     810        797,615   
Municipal Bonds    Par  
(000)
    Value  
    

New York (concluded)

                

Health (concluded)

    

Saratoga County Industrial Development Agency New York, RB, Saratoga Hospital Project, Series B, 5.25%, 12/01/32

   $ 200      $ 215,208   

Suffolk County Industrial Development Agency New York, Refunding RB, Jeffersons Ferry Project, 5.00%, 11/01/28

     260        267,090   

Westchester County Healthcare Corp. New York, Refunding RB, Senior Lien:

    

Series A, 5.00%, 11/01/30

     1,150        1,285,343   

Series B, 6.00%, 11/01/30

     200        240,396   

Westchester County Industrial Development Agency New York, RB, Kendal on Hudson Project, Series A, 6.38%, 1/01/24

     500        500,480   
    

 

 

 
               9,809,821   

Housing — 1.1%

    

New York State HFA, RB, M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 2/15/39

     500        517,225   

State — 2.2%

    

New York City Transitional Finance Authority, BARB, Series S-1, 4.00%, 7/15/42

     100        104,047   

New York State Dormitory Authority, ERB:

    

Series B, 5.75%, 3/15/36

     300        363,966   

Series C, 5.00%, 12/15/31

     250        283,720   

State of New York, GO, Series A, 5.00%, 2/15/39

     250        289,700   
    

 

 

 
               1,041,433   

Transportation — 13.5%

    

Metropolitan Transportation Authority, RB:

    

Series A, 5.63%, 11/15/39

     250        292,580   

Series C, 6.50%, 11/15/28

     700        890,771   

Series D, 5.25%, 11/15/41

     1,475        1,672,089   

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority, Consolidated, Series 2011, 5.00%, 12/15/41

     500        564,420   

New York State Thruway Authority, RB, 5.00%, 1/01/27

     130        153,374   

New York State Thruway Authority, Refunding RB, Series I:

    

4.13%, 1/01/42

     550        571,258   

5.00%, 1/01/42

     140        156,976   

Port Authority of New York & New Jersey, RB, JFK International Air Terminal, 6.00%, 12/01/42

     500        592,465   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 173rd Series, 4.00%, 12/01/31

     850        932,654   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Sub-Series A, 3.79%, 11/15/32 (d)

     170        81,143   

Series A, 3.13%, 11/15/32

     245        236,570   

Series A, 5.00%, 11/15/30

     100        119,226   
    

 

 

 
               6,263,526   

Utilities — 3.6%

    

Long Island Power Authority, General RB:

    

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

     225        253,060   

Series C (CIFG), 5.25%, 9/01/29

     500        616,835   

Long Island Power Authority, Refunding RB, Series A, 5.50%, 4/01/24

     100        119,300   

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

     600        692,388   
    

 

 

 
               1,681,583   
Total Municipal Bonds in New York              56,145,197   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    35


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Multi-State — 5.9%

                

Housing — 5.9%

    

Centerline Equity Issuer Trust, 7.20%, 11/15/14 (g)(h)

   $ 2,500      $ 2,724,350   
    

Puerto Rico — 7.1%

                

State — 7.1%

    

Commonwealth of Puerto Rico, GO, Public Improvement, Series A, 5.13%, 7/01/31

     1,225        1,224,914   

Puerto Rico Commonwealth Infrastructure Financing Authority, RB, CAB, Series A (AMBAC) (d):

    

6.28%, 7/01/37

     2,000        443,760   

6.48%, 7/01/44

     2,000        270,600   

Puerto Rico Sales Tax Financing Corp., RB, Sub-Series A, 5.75%, 8/01/37

     1,000        1,080,610   

Puerto Rico Sales Tax Financing Corp., Refunding RB, CAB, Series A (NPFGC), 5.71%, 8/01/41 (d)

     1,400        291,452   
Total Municipal Bonds in Puerto Rico        3,311,336   
Total Municipal Bonds — 134.0%        62,180,883   
    
   

Municipal Bonds Transferred to

Tender Option Bond Trusts (i)

 

New York — 27.1%

                

County/City/Special District/School District — 10.2%

  

New York City Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D-1, 5.00%, 11/01/38

     825        950,169   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Series 2012, Class 1:

    

4.00%, 9/15/35

     2,490        2,579,939   

5.00%, 9/15/40

     1,050        1,195,666   
    

 

 

 
               4,725,774   

Education — 0.6%

    

New York State Dormitory Authority, Refunding LRB, 5.00%, 7/01/42

     240        276,099   

Housing — 0.8%

    

New York State Mortgage Agency, RB, 48th Series, 3.70%, 10/01/38

     360        361,465   

State — 1.2%

    

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

     500        558,959   

Transportation — 4.9%

    

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

     700        833,039   
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
  

Par  

(000)

    Value  

New York (concluded)

                

Transportation (concluded)

    

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

   $ 630      $ 723,091   

New York State Thruway Authority, Refunding RB, Series A, 5.00%, 3/15/31

     600        705,198   
    

 

 

 
               2,261,328   

Utilities — 9.4%

    

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

     405        483,197   

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

    

Fiscal 2011, Series HH, 5.00%, 6/15/32

     990        1,151,014   

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

     1,500        1,693,790   

Suffolk County Water Authority, Refunding RB, 3.00%, 6/01/25

     1,006        1,043,589   
    

 

 

 
               4,371,590   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in New York

  

  

    12,555,215   
    

Puerto Rico — 1.2%

                

State — 1.2%

    

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

     520        567,653   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 28.3%
             13,122,868   

Total Long-Term Investments

(Cost — $69,169,652) — 162.3%

             75,303,751   
    
   
Short-Term Securities    Shares         

BIF New York Municipal Money Fund, 0.00% (j)(k)

     572,543        572,543   

Total Short-Term Securities

(Cost — $572,543) — 1.2%

  

  

    572,543   
Total Investments (Cost — $69,742,195) — 163.5%        75,876,294   
Other Assets Less Liabilities — 0.9%        446,914   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (16.8)%

   

    (7,819,706
VRDP Shares, at Liquidation Value — (47.6)%        (22,100,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 46,403,502   
 

 

 

 

 

Notes to Schedule of investments

 

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

 

(b)   Variable rate security. Rate shown is as of report date.

 

(c)   Non-income producing security.

 

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

 

(e)   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.

 

(f)   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.

 

(g)   Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

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

 

(i)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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.

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New York Municipal Bond Trust (BQH)

 

 

(j)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2012
       Net
Activity
       Shares Held
at February 28,
2013
       Income

BIF New York Municipal Money Fund

       3,245,381           (2,672,838        572,543         $10

 

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

 

Ÿ  

Financial futures contracts as of February 28, 2013 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (6   30-Year US Treasury Bond   Chicago Board of Trade   June 2013   $ 862,688      $ (384

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’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 Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 75,303,751              $ 75,303,751   

Short-Term Securities

  $ 572,543                          572,543   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 572,543         $ 75,303,751              $ 75,876,294   
 

 

 

      

 

 

      

 

    

 

 

 

 

1   See above Schedule of Investments for values in each sector.

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (384                     $ (384

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

      

 

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 67,344                        $ 67,344   

Cash pledged as collateral for financial futures contracts

    18,000                          18,000   

Liabilities:

                

TOB trust certificates

            $ (7,815,842             (7,815,842

VRDP Shares

              (22,100,000             (22,100,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 85,344         $ (29,915,842           $ (29,830,498
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    37


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 111.0%

                

Corporate — 1.6%

    

New York City Industrial Development Agency, Refunding RB, Senior Series A, AMT, 5.00%, 7/01/28

   $ 165      $ 175,235   

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

     1,160        1,382,012   
    

 

 

 
               1,557,247   

County/City/Special District/School District — 20.9%

  

City of New York, New York, GO:

    

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

     200        230,062   

Sub-Series A-1, 4.00%, 10/01/34

     175        185,589   

Sub-Series A-1, 5.00%, 10/01/34

     330        384,648   

Sub-Series G-1, 5.00%, 4/01/28

     1,000        1,182,530   

City of New York, New York, GO, Refunding, Series B, 3.00%, 8/01/31

     300        290,877   

Erie County Industrial Development Agency, RB, City School District of Buffalo Project:

    

5.25%, 5/01/31

     200        230,210   

Series A (AGM), 5.75%, 5/01/25

     1,000        1,174,360   

Hudson New York Yards Infrastructure Corp., RB:

    

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

     1,250        1,339,237   

Series A, 5.00%, 2/15/47

     500        535,115   

Series A, 5.75%, 2/15/47

     1,000        1,190,160   

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

     750        803,543   

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

     1,250        1,303,738   

Monroe County Industrial Development Corp., RB, Series A, 5.00%, 7/01/31

     500        580,500   

New York City Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium (AGC), 4.53%, 3/01/39 (a)

     1,000        311,750   

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

     150        175,595   

Yankee Stadium (NPFGC), 4.75%, 3/01/46

     800        818,376   

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

    

5.00%, 11/15/44

     5,175        5,650,582   

4.75%, 11/15/45

     500        542,065   

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

    

5.00%, 11/15/31

     1,000        1,143,250   

5.75%, 11/15/51

     670        793,950   

New York State Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35

     1,000        1,102,020   

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

     1,000        1,159,430   
    

 

 

 
               21,127,587   

Education — 32.7%

  

City of Troy Capital Resource Corp., Refunding RB, Rensselaer Polytechnic, Series A, 5.13%, 9/01/40

     1,000        1,106,480   

Herkimer County Industrial Development Agency New York, RB, College Foundation, Inc. Student Housing Project, 6.25%, 8/01/34

     1,000        1,006,620   

Madison County Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

     2,000        2,212,460   

Madison County Industrial Development Agency New York, RB, Colgate University Project, Series A (AMBAC), 5.00%, 7/01/30

     1,000        1,059,770   

New York City Industrial Development Agency, RB, Lycee Francais de New York Project, Series A (ACA), 5.38%, 6/01/23

     2,195        2,222,394   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (concluded)

  

New York City Trust for Cultural Resources, Refunding RB:

    

American Museum of Natural History, Series A (NPFGC), 5.00%, 7/01/44

   $ 2,500      $ 2,631,700   

Museum of Modern Art, Series 1A, 5.00%, 4/01/31

     700        819,854   

New York State Dormitory Authority, RB:

    

Brooklyn Law School, Series B (Syncora), 5.13%, 7/01/13 (b)

     4,000        4,067,800   

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

     300        353,214   

FIT Student Housing Corp. (NPFGC), 5.13%, 7/01/14 (b)

     2,500        2,661,025   

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

     500        582,115   

New York University, Series B, 5.00%, 7/01/37

     500        582,695   

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

     1,000        1,135,840   

Saint Joachim & Anne Residence, 5.25%, 7/01/27

     3,000        3,000,960   

State University Dormitory Facilities, Series A, 5.00%, 7/01/40

     600        668,898   

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

     350        398,114   

New York State Dormitory Authority, Refunding RB:

    

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

     250        288,052   

Fordham University, 4.00%, 7/01/29

     385        411,615   

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

     2,400        2,589,072   

New York University, Series A, 5.00%, 7/01/37

     745        868,216   

Rochester Institute of Technology, 4.00%, 7/01/32

     395        421,647   

Rochester Institute of Technology, 5.00%, 7/01/40

     550        612,392   

Rockefeller University, Series B, 4.00%, 7/01/38

     830        875,667   

Skidmore College, Series A, 5.00%, 7/01/27

     135        157,390   

Teachers College, Series A, 5.00%, 7/01/31

     525        613,231   

Orange County Funding Corp., Refunding RB, Mount State Mary College, Series A:

    

5.00%, 7/01/37

     180        201,197   

5.00%, 7/01/42

     115        127,671   

Schenectady County Capital Resource Corp., Refunding RB, Union College Project, Series 2012A, 5.00%, 7/01/32

     940        1,096,303   

Tompkins County Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

     250        291,472   
    

 

 

 
               33,063,864   

Health — 12.8%

  

Dutchess County Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30

     500        572,600   

Monroe County Industrial Development Corp., Refunding RB:

    

Rochester General Hospital, Series A, 5.00%, 12/01/37

     850        949,374   

Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

     325        374,712   

New York State Dormitory Authority, RB:

    

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

     1,250        1,372,613   

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (concluded)

  

New York State Dormitory Authority, RB (concluded):

    

Mental Health Services (AGM), 5.00%, 8/15/18 (b)

   $ 5      $ 6,064   

Mental Health Services (AGM), 5.00%, 2/15/22

     995        1,176,796   

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

     350        398,972   

North Shore-Long Island Jewish Health System, Series C, 4.25%, 5/01/39

     310        328,349   

North Shore-Long Island Jewish Health System, Series D, 4.25%, 5/01/39

     405        428,972   

NYU Hospital Center, Series A, 6.00%, 7/01/40

     250        293,858   

St. Barnabas, Series A (FHA), 5.00%, 2/01/31

     3,000        3,009,780   

New York State Dormitory Authority, Refunding RB:

    

North Shore-Long Island Jewish Health System, Series A, 5.00%, 5/01/32

     750        846,975   

North Shore-Long Island Jewish Health System, Series A, 5.25%, 5/01/34

     1,840        2,119,367   

NYU Hospital Center, Series A, 5.00%, 7/01/36

     500        529,945   

St. Luke’s Roosevelt Hospital (FHA), 4.90%, 8/15/31

     500        537,415   
    

 

 

 
               12,945,792   

Housing — 1.3%

  

New York City Housing Development Corp., Refunding RB, Series L-2-A, 4.00%, 5/01/44 (c)

     1,335        1,338,137   

State — 8.1%

  

New York City Transitional Finance Authority, BARB:

    

Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/33

     1,000        1,163,680   

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

     850        910,520   

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

     600        727,932   

New York State Dormitory Authority, RB:

    

Series B, 5.00%, 3/15/42

     500        570,630   

Series C, 5.00%, 12/15/31

     1,500        1,702,320   

New York State Dormitory Authority, Refunding RB, Third General Resolution, State University Educational Facilities Issue, 5.00%, 5/15/30

     1,500        1,775,670   

New York State Urban Development Corp., RB, State Personal Income Tax, Series A, 3.50%, 3/15/28

     1,250        1,332,138   
    

 

 

 
               8,182,890   

Transportation — 23.0%

  

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     575        675,251   

Series C, 6.50%, 11/15/28

     750        954,397   

Series D, 5.25%, 11/15/41

     1,750        1,983,835   

Series H, 5.00%, 11/15/25

     1,500        1,797,960   

Series H, 4.00%, 11/15/34

     1,160        1,202,526   

Series H, 5.00%, 11/15/42

     1,000        1,120,820   

Metropolitan Transportation Authority, Refunding RB:

    

Series B, 5.00%, 11/15/34

     540        611,172   

Series F, 5.00%, 11/15/30

     630        734,309   

Series F (AGM), 4.00%, 11/15/30

     1,000        1,086,330   

New York State Thruway Authority, Refunding RB:

    

5.00%, 1/01/24

     1,000        1,206,880   
Municipal Bonds   

Par  

(000)

    Value  

New York (concluded)

                

Transportation (concluded)

  

New York State Thruway Authority, Refunding RB (concluded) :

    

Series H (AGM), 5.00%, 1/01/37

   $ 4,000      $ 4,478,840   

Series I, 5.00%, 1/01/37

     500        565,520   

Series I, 4.13%, 1/01/42

     435        451,813   

Series I, 5.00%, 1/01/42

     425        476,535   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

Series A, 5.00%, 11/15/34

     1,000        1,174,780   

Series B, 5.00%, 11/15/31

     90        107,156   

Series C, 5.00%, 11/15/38

     1,000        1,157,880   

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

     2,660        2,669,257   

Sub-Series A, 5.00%, 11/15/29

     675        808,083   
    

 

 

 
               23,263,344   

Utilities — 10.6%

  

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

     1,000        1,154,660   

Long Island Power Authority, General, RB:

    

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

     500        562,355   

Series C (CIFG), 5.25%, 9/01/29

     1,000        1,233,670   

Long Island Power Authority Refunding RB, Series A (AGC):

    

6.00%, 5/01/33

     2,000        2,386,800   

5.75%, 4/01/39

     1,690        2,024,924   

New York City Municipal Water Finance Authority, Refunding RB:

    

Series DD, 5.00%, 6/15/32

     1,100        1,266,485   

Series FF, 4.00%, 6/15/45

     400        412,532   

Series FF, 5.00%, 6/15/45

     440        497,565   

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

     1,000        1,153,980   
    

 

 

 
               10,692,971   
Total Municipal Bonds in New York              112,171,832   
    

Puerto Rico — 8.1%

                

State — 3.5%

    

Commonwealth of Puerto Rico, GO, Refunding, Sub-Series C-7 (NPFGC), 6.00%, 7/01/27

     700        744,877   

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

     500        525,295   

Puerto Rico Sales Tax Financing Corp., RB, First Sub-Series A:

    

5.75%, 8/01/37

     1,000        1,080,610   

(AGM), 5.00%, 8/01/40

     500        531,210   

Puerto Rico Sales Tax Financing Corp., Refunding RB, CAB, Series A (NPFGC) (a):

    

5.60%, 8/01/41

     1,500        312,270   

5.65%, 8/01/43

     2,000        367,340   
    

 

 

 
               3,561,602   

Transportation — 3.3%

    

Puerto Rico Highway & Transportation Authority, RB, Series Y (AGM), 6.25%, 7/01/21

     2,000        2,391,260   

Puerto Rico Highway & Transportation Authority, Refunding RB, Series CC (AGM), 5.50%, 7/01/29

     800        921,000   
    

 

 

 
               3,312,260   

Utilities — 1.3%

  

Puerto Rico Electric Power Authority, Refunding RB, Series VV (NPFGC):

    

5.25%, 7/01/29

     250        257,187   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    39


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Puerto Rico (concluded)

                

Utilities (concluded)

  

Puerto Rico Electric Power Authority, Refunding RB, Series VV (NPFGC) (concluded):

    

5.25%, 7/01/30

   $ 1,000      $ 1,019,370   
    

 

 

 
               1,276,557   
Total Municipal Bonds in Puerto Rico              8,150,419   
Total Municipal Bonds — 119.1%              120,322,251   
    
   

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

 

New York — 37.8%

                

County/City/Special District/School District — 15.8%

  

City of New York, New York, GO, Sub-Series C-3 (AGC), 5.75%, 8/15/28 (e)

     1,000        1,228,320   

New York City Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D1, 5.00%, 11/01/38

     2,475        2,850,507   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1:

    

4.00%, 9/15/35

     3,000        3,108,360   

5.00%, 9/15/40

     2,085        2,374,252   

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

     5,997        6,400,220   
    

 

 

 
               15,961,659   

Education — 5.6%

  

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

     1,999        2,304,941   

New York State Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/37

     2,499        2,789,421   

New York State Dormitory Authority, Refunding LRB, Series A, 5.00%, 7/01/42

     440        506,181   
    

 

 

 
               5,600,543   

Housing — 1.4%

  

New York State Mortgage Agency, RB, 48th Series, 3.70%, 10/01/38

     1,440        1,445,861   

Transportation — 7.0%

  

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

     1,800        2,142,100   

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

     3,495        4,011,436   

New York State Thruway Authority, Refunding RB, Series A, 5.00%, 3/15/31

     800        940,264   
    

 

 

 
               7,093,800   

Utilities — 8.0%

  

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

     495        590,574   

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

  

Par  

(000)

    Value  

New York (concluded)

                

Utilities (concluded)

  

New York City Municipal Water Finance Authority, Refunding RB:

    

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

   $ 2,011      $ 2,269,679   

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

     2,249        2,614,549   

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

     405        479,456   

Suffolk County Water Authority, Refunding RB, New York Water System, 3.00%, 6/01/25

     2,041        2,118,331   
    

 

 

 
               8,072,589   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in New York

  

  

    38,174,452   
    

Puerto Rico — 3.2%

                

State — 3.2%

    

Puerto Rico Sales Tax Financing Corp., Refunding RB, Series C:

    

5.00%, 8/01/40

     2,000        2,147,720   

5.25%, 8/01/40

     1,010        1,102,556   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in Puerto Rico

  

  

    3,250,276   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 41.0%

  

  

    41,424,728   
Total Long-Term Investments
(Cost — $149,877,500) — 160.1%
        161,746,979   
    
   
Short-Term Securities             

New York — 0.0%

                

City of New York, New York, GO, Refunding, VRDN, Sub-Series H-3 (AGM Insurance, State Street Bank & Co. SBPA), 0.07%, 3/01/13 (f)

     50        50,000   
     Shares        

Money Market Fund — 3.1%

                

BIF New York Municipal Money Fund, 0.00% (g)(h)

     3,096,781        3,096,781   
Total Short-Term Securities
(Cost — $3,146,781) — 3.1%
        3,146,781   
Total Investments (Cost — $153,024,281) — 163.2%        164,893,760   
Liabilities in Excess of Other Assets — 0.0%        (20,574

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (23.1)%

   

    (23,340,738
VRDP Shares, at Liquidation Value — (40.1)%        (40,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 101,032,448   
    

 

 

 

 

Notes to Schedule of investments

 

(a)   Represents a zero-coupon bond. Rate shown reflects the current yield 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)   When-issued security. Unsettled when-issued transactions were as follows:

 

Counterparty      Value       

Unrealized

Appreciation

 
Morgan Stanley      $ 1,338,137         $ 3,137   

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

(d)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements is $500,000.

 

(f)   Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

(g)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate     

Shares Held

at August 31,

2012

       Net
Activity
      

Shares Held

at February 28,

2013

       Income  

BIF New York Municipal Money Fund

       1,020,744           2,076,037           3,096,781         $ 71   

 

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

 

Ÿ  

Financial futures contracts as of February 28, 2013 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (12   30-Year US Treasury Bond   Chicago Board of Trade   June 2013   $ 1,725,375      $ (769

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’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 Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 161,746,979              $ 161,746,979   

Short-Term Securities

  $ 3,096,781           50,000                3,146,781   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 3,096,781         $ 161,796,979              $ 164,893,760   
 

 

 

      

 

 

      

 

    

 

 

 

1   See above Schedule of Investments for values in each sector.

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (769                     $ (769

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    FEBRUARY 28, 2013    41


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged as collateral for financial futures contracts

  $ 36,000                        $ 36,000   

Liabilities:

                

TOB trust certificates

            $ (23,330,301             (23,330,301

VRDP Shares

              (40,500,000             (40,500,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $      36,000         $   (63,830,301           $   (63,794,301
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York — 131.1%

                

Corporate — 15.7%

  

Chautauqua County Industrial Development Agency, RB, NRG Dunkirk Power Project, 5.88%, 4/01/42

   $ 500      $ 563,250   

Essex County Industrial Development Agency New York, RB, International Paper Co. Project, Series A, AMT, 6.63%, 9/01/32

     200        229,448   

Essex County Industrial Development Agency New York, Refunding RB, International Paper Co. Project, Series A, AMT, 5.50%, 10/01/26

     625        626,988   

Jefferson County IDA, Refunding RB, Solid Waste, Series A, AMT, 5.20%, 12/01/20

     750        769,387   

New York City Industrial Development Agency, RB, American Airlines, Inc., JFK International Airport, AMT (a)(b)(c):

    

7.63%, 8/01/25

     1,600        1,811,568   

7.75%, 8/01/31

     1,500        1,705,815   

New York City Industrial Development Agency, Refunding RB, Series A, AMT, 5.00%, 7/01/28

     330        350,470   

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

     1,280        1,524,979   

Niagara Area Development Corp., Refunding RB, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42

     625        654,719   

Port Authority of New York & New Jersey, RB, Continental Airlines, Inc. and Eastern Air Lines, Inc. Project, LaGuardia, AMT, 9.13%, 12/01/15

     1,875        1,921,837   

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

     2,500        2,525,975   
    

 

 

 
               12,684,436   

County/City/Special District/School District — 32.9%

  

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

     280        320,743   

City of New York, New York, GO:

    

Series A-1, 4.75%, 8/15/25

     500        575,800   

Sub-Series A-1, 4.00%, 10/01/34

     145        153,774   

Sub-Series G-1, 6.25%, 12/15/31

     250        309,172   

Sub-Series I-1, 5.38%, 4/01/36

     450        534,357   

City of New York, New York, GO, Refunding, Series B, 3.00%, 8/01/31

     250        242,398   

City of Syracuse New York, GO, Airport Terminal Security and Access Improvement, Series A, AMT (AGM), 4.75%, 11/01/31

     500        545,610   

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

    

5.00%, 2/15/47

     2,850        3,050,155   

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

     850        910,681   

(AGM), 5.75%, 2/15/47

     1,550        1,844,748   

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

     1,510        1,574,915   

Monroe County Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

     1,000        1,161,000   

New York City Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium (AGC),
4.19%, 3/01/35 (d)

     500        200,690   

CAB, Yankee Stadium Project, Series A (AGC), 4.65%, 3/01/42 (d)

     1,750        460,845   

CAB, Yankee Stadium Project, Series A (AGC), 4.79%, 3/01/45 (d)

     500        110,060   

Queens Baseball Stadium (AGC),
6.38%, 1/01/39

     100        117,063   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

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

  

New York City Industrial Development Agency, RB, PILOT (concluded):

    

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

   $ 500      $ 510,645   

Yankee Stadium (NPFGC), 4.75%, 3/01/46

     2,000        2,045,940   

New York City Transitional Finance Authority, BARB, Series S-2 (NPFGC), 4.50%, 1/15/31

     2,500        2,644,800   

New York City Transitional Finance Authority, Future Tax Secured, RB:

    

Series B, 5.00%, 11/01/27

     10        10,039   

Series D, 5.00%, 11/01/38

     825        950,169   

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

    

5.00%, 11/15/44

     935        1,020,926   

4.75%, 11/15/45

     640        693,843   

New York Liberty Development Corp., Refunding RB:

    

4 World Trade Center Project, 5.00%, 11/15/31

     1,000        1,143,250   

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

     670        793,950   

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

     1,100        1,218,888   

7 World Trade Center Project, Class 3, 5.00%, 3/15/44

     690        745,745   

Second Priority, Bank of America Tower at One Bryant Park Project, 5.63%, 7/15/47

     1,400        1,611,862   

Second Priority, Bank of America Tower at One Bryant Park Project, 6.38%, 7/15/49

     500        594,605   

New York State Dormitory Authority, RB, State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     250        279,128   

St. Lawrence County Industrial Development Agency, RB, Clarkson University Project, 6.00%, 9/01/34

     150        181,565   
    

 

 

 
               26,557,366   

Education — 19.4%

  

Albany Industrial Development Agency, RB, New Covenant Charter School Project, Series A (a)(b):

    

7.00%, 5/01/25

     345        51,726   

7.00%, 5/01/35

     220        32,985   

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM):

    

4.38%, 10/01/30

     500        540,530   

4.63%, 10/01/40

     275        296,794   

City of Troy Capital Resource Corp., Refunding RB, Rensselaer Polytechnic, Series A, 5.13%, 9/01/40

     250        276,620   

Dutchess County Industrial Development Agency New York, RB, Bard College Civic Facility, Series A-2, 4.50%, 8/01/36

     755        773,226   

Herkimer County Industrial Development Agency New York, RB, College Foundation, Inc. Student Housing Project, 6.25%, 8/01/34

     385        387,549   

Madison County Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

     265        293,151   

Nassau County Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 3/01/26

     350        384,671   

New York City Industrial Development Agency, RB, Lycee Francais de New York Project, Series A (ACA), 5.38%, 6/01/23

     1,250        1,265,600   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    43


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Education (concluded)

  

New York City Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

   $ 500      $ 579,170   

New York City Trust for Cultural Resources, Refunding RB, Carnegie Hall, Series A, 4.75%, 12/01/39

     700        761,887   

New York State Dormitory Authority, RB:

    

Brooklyn Law School, Series B (Syncora), 5.13%, 7/01/13 (e)

     2,000        2,033,900   

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

     500        588,690   

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

     150        175,436   

Rochester Institute of Technology, Series A, 6.00%, 7/01/18 (e)

     625        786,587   

University of Rochester, Series A, 5.13%, 7/01/39

     250        286,622   

New York State Dormitory Authority, Refunding RB:

    

Brooklyn Law School, 5.75%, 7/01/33

     250        286,625   

Culinary Institute of America, 5.00%, 7/01/34

     200        220,868   

New York University, Series A, 5.00%, 7/01/37

     600        699,234   

Pace University, Series A, 5.00%, 5/01/38

     130        140,434   

Pace University, Series A, 4.25%, 5/01/42

     305        296,725   

Rochester Institute of Technology, 5.00%, 7/01/38

     690        795,598   

Rockefeller University, Series B, 4.00%, 7/01/38

     250        263,755   

Skidmore College, Series A, 5.25%, 7/01/29

     200        234,272   

Skidmore College, Series A, 5.25%, 7/01/31

     300        348,513   

Teachers College, 5.50%, 3/01/39

     650        731,887   

Teachers College, Series A, 5.00%, 7/01/31

     525        613,231   

Suffolk County Industrial Development Agency, Refunding RB, New York Institute of Technology Project, 5.00%, 3/01/26

     410        422,443   

Tompkins County Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

     450        524,650   

Yonkers Industrial Development Agency New York, RB, Sarah Lawrence College Project, Series A, 6.00%, 6/01/41

     500        564,585   
    

 

 

 
               15,657,964   

Health — 24.9%

  

Clarence Industrial Development Agency, RB, Bristol Village Project (Ginnie Mae), 6.00%, 1/20/44

     1,620        1,653,437   

Dutchess County Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/40

     300        349,902   

Genesee County Industrial Development Agency New York, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

     250        250,008   

Monroe County Industrial Development Corp., Refunding RB:

    

Rochester General Hospital Project, Series A, 5.00%, 12/01/32

     180        204,379   

Rochester General Hospital Project, Series A, 5.00%, 12/01/37

     250        279,228   

Unity Hospital Rochester Project (FHA),
5.50%, 8/15/40

     425        490,008   

Nassau County Local Economic Assistance Corp., Refunding RB, Winthrop University Hospital Association Project, 4.25%, 7/01/42

     180        181,235   

New York State Dormitory Authority, RB:

    

General Purpose Bonds, Series E, 5.00%, 2/15/37

     1,000        1,152,770   

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

     500        573,450   

Memorial Sloan-Kettering Cancer Center, 5.00%, 7/01/41

     1,000        1,140,100   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Health (concluded)

  

New York State Dormitory Authority, RB (concluded):

    

New York Hospital Medical Center-Queens (FHA), 4.75%, 2/15/37

   $ 305      $ 319,780   

New York State Association for Retarded Children, Inc., Series A, 6.00%, 7/01/32

     250        295,382   

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

     425        503,327   

New York University Hospital Center, Series B, 5.63%, 7/01/37

     530        579,438   

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

     750        854,940   

North Shore-Long Island Jewish Health System, Series C, 4.25%, 5/01/39

     315        333,645   

North Shore-Long Island Jewish Health System, Series D, 4.25%, 5/01/39

     405        428,972   

St. Barnabas, Series A (FHA), 5.00%, 2/01/31

     1,000        1,003,260   

New York State Dormitory Authority, Refunding RB:

    

Kateri Residence, 5.00%, 7/01/22

     2,000        2,007,960   

Miriam Osborn Memorial Home, 5.00%, 7/01/29

     130        142,548   

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

     500        568,965   

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

     1,000        1,059,890   

North Shore-Long Island Jewish Health System, Series A, 5.00%, 5/01/32

     1,000        1,129,300   

North Shore-Long Island Jewish Health System, Series E, 5.50%, 5/01/33

     500        569,960   

Onondaga Civic Development Corp., Refunding RB, Saint Joseph’s Hospital Health Center Project, 4.50%, 7/01/32

     1,210        1,191,499   

Saratoga County Industrial Development Agency New York, RB, Saratoga Hospital Project, Series B, 5.25%, 12/01/32

     350        376,614   

Suffolk County Industrial Development Agency New York, Refunding RB, Jeffersons Ferry Project, 5.00%, 11/01/28

     450        462,271   

Westchester County Healthcare Corp. New York, Refunding RB, Senior Lien:

    

Remarketing, Series A, 5.00%, 11/01/30

     1,000        1,117,690   

Series B, 6.00%, 11/01/30

     150        180,297   

Westchester County Industrial Development Agency New York, RB, Kendal on Hudson Project, Series A, 6.38%, 1/01/24

     750        750,720   
    

 

 

 
               20,150,975   

Housing — 3.1%

  

New York City Housing Development Corp., RB, Series J-2-A, AMT, 4.75%, 11/01/27

     1,420        1,498,100   

New York State HFA, RB, M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 2/15/39

     1,000        1,034,450   
    

 

 

 
               2,532,550   

State — 9.8%

  

New York City Transitional Finance Authority, BARB:

    

Series S-1, 4.00%, 7/15/42

     1,775        1,846,834   

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

     250        259,500   

New York State Dormitory Authority, ERB:

    

Series B, 5.75%, 3/15/36

     300        363,966   

Series C, 5.00%, 12/15/31

     500        567,440   

New York State Dormitory Authority, RB, Series B, 5.00%, 3/15/42

     500        570,630   

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York (concluded)

                

State (concluded)

  

New York State Dormitory Authority, Refunding RB, General Purpose Bonds, Series A, 5.00%, 12/15/26

   $ 1,265      $ 1,553,066   

New York State Urban Development Corp., RB, State Personal Income Tax, Series B, 5.00%, 3/15/35

     2,000        2,157,960   

State of New York, GO, Series A, 5.00%, 2/15/39

     500        579,400   
    

 

 

 
               7,898,796   

Transportation — 17.1%

  

Metropolitan Transportation Authority, RB:

    

Series C, 6.50%, 11/15/28

     750        954,397   

Series H, 5.00%, 11/15/25

     1,000        1,198,640   

Series H, 4.00%, 11/15/34

     1,000        1,036,660   

Series H, 5.00%, 11/15/42

     1,935        2,168,787   

Metropolitan Transportation Authority, Refunding RB, Series F (AGM), 4.00%, 11/15/30

     1,000        1,086,330   

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Construction:

    

5.00%, 12/15/41

     500        564,420   

5.25%, 12/15/43

     500        573,895   

New York State Thruway Authority, Refunding RB, General, Series I:

    

5.00%, 1/01/37

     735        831,314   

4.13%, 1/01/42

     340        353,141   

5.00%, 1/01/42

     280        313,953   

Port Authority of New York & New Jersey, RB, JFK International Air Terminal:

    

6.00%, 12/01/42

     1,000        1,184,930   

Special Project, Series 6, AMT (NPFGC), 6.25%, 12/01/13

     1,000        1,017,920   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, AMT, 177th Series, 4.00%, 1/15/43

     1,500        1,514,610   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Series A, 3.79%, 11/15/32 (d)

     505        241,042   

Series A, 3.13%, 11/15/32

     525        506,935   

Series A, 5.00%, 11/15/30

     150        178,839   

Series B, 5.00%, 11/15/31

     90        107,156   
    

 

 

 
               13,832,969   

Utilities — 8.2%

  

Long Island Power Authority, RB, General, Series C (CIFG), 5.25%, 9/01/29

     1,000        1,233,670   

Long Island Power Authority, RB, CAB (AGM), 3.23%, 6/01/28 (d)

     3,515        2,155,750   

Long Island Power Authority, Refunding RB, Series A, 5.50%, 4/01/24

     500        596,500   

New York City Municipal Water Finance Authority, RB, Series B, 5.00%, 6/15/36

     500        557,555   

New York State Environmental Facilities Corp., Refunding RB, Revolving Funds, New York City Municipal Water Project:

    

5.00%, 6/15/36

     350        410,606   

Series A, 5.00%, 6/15/37

     1,500        1,713,885   
    

 

 

 
               6,667,966   
Total Municipal Bonds in New York        105,983,022   
    

Multi-State — 5.7%

                

Housing — 5.7%

  

Centerline Equity Issuer Trust (f)(g):

    

5.75%, 5/15/15

     500        543,225   

6.00%, 5/15/15

     1,500        1,636,815   

6.00%, 5/15/19

     1,000        1,187,710   

6.30%, 5/15/19

     1,000        1,202,830   
Total Municipal Bonds in Multi-State        4,570,580   
Municipal Bonds    Par  
(000)
    Value  

Puerto Rico — 7.3%

                

Housing — 0.7%

  

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

   $ 500      $ 533,200   

State — 4.9%

  

Puerto Rico Sales Tax Financing Corp., RB:

    

CAB, Series A, 5.62%, 8/01/32 (d)

     750        255,555   

First Sub-Series A, 6.50%, 8/01/44

     1,000        1,137,950   

Puerto Rico Sales Tax Financing Corp., Refunding RB:

    

CAB, Series A (AMBAC), 5.96%, 8/01/54 (d)

     5,000        438,200   

CAB, Series A (NPFGC), 5.60%, 8/01/41 (d)

     1,500        312,270   

CAB, Series A (NPFGC), 5.65%, 8/01/43 (d)

     4,000        734,680   

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

     1,015        1,107,994   
    

 

 

 
               3,986,649   

Transportation — 1.1%

  

Puerto Rico Highway & Transportation Authority, Refunding RB, Series CC (AGM), 5.50%, 7/01/30

     750        859,171   

Utilities — 0.6%

  

Puerto Rico Electric Power Authority, Refunding RB, Series W (NPFGC), 5.25%, 7/01/29

     500        514,375   
Total Municipal Bonds in Puerto Rico              5,893,395   
Total Municipal Bonds — 144.1%        116,446,997   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
       

New York — 17.9%

                

County/City/Special District/School District — 4.4%

  

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

     2,250        2,459,925   

New York Liberty Development Corp., Refunding RB, 4 World Trade Center Project, 5.00%, 11/15/44

     1,000        1,118,140   
    

 

 

 
               3,578,065   

Education — 0.5%

  

New York State Dormitory Authority, Refunding LRB, Series A, 5.00%, 7/01/42

     360        414,148   

Housing — 0.4%

  

New York State Mortgage Agency, RB, 48th Series, 3.70%, 10/01/38

     360        361,465   

State — 1.8%

  

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

     1,300        1,453,292   

Transportation — 4.3%

  

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

     1,995        2,289,790   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

     1,000        1,179,700   
    

 

 

 
               3,469,490   

Utilities — 6.5%

  

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

     240        286,339   

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

    

Fiscal 2011, Series HH, 5.00%, 6/15/32

     1,500        1,743,960   

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

     1,005        1,134,839   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    45


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

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

New York (concluded)

                

Utilities (concluded)

  

Suffolk County Water Authority, Refunding RB, New York Water System, 3.00%, 6/01/25

   $ 1,996      $ 2,071,603   
    

 

 

 
               5,236,741   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts in New York
        14,513,201   
    

Puerto Rico — 2.7%

                

State — 2.7%

  

Puerto Rico Sales Tax Financing Corp., Refunding RB, Series C, 5.00%, 8/01/40

     2,000        2,147,720   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 20.6%
        16,660,921   
Total Long-Term Investments
(Cost — $122,975,867) — 164.7%
        133,107,918   

Short-Term Securities

   Shares     Value  

BIF New York Municipal Money Fund, 0.00% (i)(j)

     498,784      $ 498,784   
Total Short-Term Securities
(Cost — $498,784) — 0.6%
        498,784   
Total Investments (Cost — $123,474,651) — 165.3%        133,606,702   
Other Assets Less Liabilities — 0.9%        758,072   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.3)%

   

    (9,134,532
VRDP Shares, at Liquidation Value — (54.9)%        (44,400,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 80,830,242   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

(c)   Variable rate security. Rate shown is as of report date.

 

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

 

(e)   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.

 

(f)   Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarking prior to its stated maturity.

 

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

 

(h)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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.

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate     

Shares Held
at August 31,

2012

       Net
Activity
      

Shares Held
at February 28,

2013

       Income  

BIF New York Municipal Money Fund

       459,702           39,082           498,784         $ 44   

 

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

 

Ÿ  

Financial futures contracts as of February 28, 2013 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (10   30-Year US Treasury Bond   Chicago Board of Trade   June 2013   $ 1,437,813      $ (641

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Trust II (BFY)

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’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 Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 133,107,918              $ 133,107,918   

Short-Term Securities

  $ 498,784                          498,784   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 498,784         $ 133,107,918              $ 133,606,702   
 

 

 

      

 

 

      

 

    

 

 

 

1 See above Schedule of Investments for values in each sector.

  

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Liabilities:

                

Interest rate contracts

  $ (641                     $ (641

 

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

    

 

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 119,125                        $ 119,125   

Cash pledged as collateral for financial futures contracts

    30,000                          30,000   

Liabilities:

                

TOB trust certificates

            $ (9,131,222             (9,131,222

VRDP Shares

              (44,400,000             (44,400,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 149,125         $ (53,531,222           $ (53,382,097
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    47


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds   

Par  

(000)

    Value  
    

Virginia — 106.3%

                

Corporate — 10.9%

  

 

Chesterfield County EDA, RB, Virginia Electric Power Co. Project, Series A, AMT, 5.60%, 11/01/31

   $ 500      $ 527,925   

Isle Wight County IDA, RB, Series A, AMT, 5.70%, 11/01/27

     1,300        1,334,268   

Louisa IDA, Refunding RB, Virginia Electric & Power Co. Project, Series A, Mandatory Put Bonds, 5.38%, 11/01/35 (a)

     1,000        1,038,610   
    

 

 

 
               2,900,803   

County/City/Special District/School District — 11.9%

  

 

City of Portsmouth Virginia, GO, Refunding, Series D, 5.00%, 7/15/34

     500        576,875   

Dulles Town Center Community Development Authority, Refunding, Special Assessment Bonds, Dulles Town Center Project, 4.25%, 3/01/26

     500        494,580   

Fairfax County Redevelopment & Housing Authority, RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

     1,500        1,648,980   

Mosaic District Community Development Authority, RB, Special Assessment Bonds, Series A, 6.88%, 3/01/36

     250        289,920   

White Oak Village Shops Community Development Authority, Special Assessment Bonds, 5.30%, 3/01/17

     144        154,171   
    

 

 

 
               3,164,526   

Education — 15.1%

    

Montgomery County EDA, Refunding RB, Virginia Tech Foundation, Series A, 5.00%, 6/01/39

     355        397,788   

Virginia College Building Authority, Refunding RB:

    

Liberty University Projects, 5.00%, 3/01/41

     1,000        1,100,340   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/26

     500        636,765   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/31

     1,000        1,331,670   

Virginia Small Business Financing Authority, RB, Roanoke College, 5.75%, 4/01/41

     500        564,735   
    

 

 

 
               4,031,298   

Health — 22.2%

    

Danville IDA, Refunding RB, Danville Regional Medical Center (AMBAC), 5.25%, 10/01/28 (b)(c)

     1,000        1,278,770   

Fairfax County EDA, Refunding RB:

    

Goodwin House, Inc., 5.00%, 10/01/27

     1,000        1,054,400   

Vinson Hall LLC, Series A, 5.00%, 12/01/42

     500        502,440   

Hanover County EDA, Refunding RB, Residential Care Facility, Covenant Woods, Series A, 5.00%, 7/01/42

     500        500,335   

Henrico County EDA, Refunding RB, Residential Care Facilities, United Methodist Homes, 4.25%, 6/01/26

     145        145,821   

Peninsula Ports Authority, Refunding RB, Virginia Baptist Homes, Series C, 5.40%, 12/01/33

     250        238,285   

Roanoke EDA, Refunding RB:

    

Carillion Clinic Obligation Group, 5.00%, 7/01/30

     795        902,858   

Carillion Health System (AGM), 5.00%, 7/01/20 (c)

     5        6,253   

Carillion Health System, Series B (AGM), 5.00%, 7/01/38

     495        543,693   

Winchester IDA, RB, Valley Health System Obligation, Series E, 5.63%, 1/01/44

     650        744,523   
    

 

 

 
               5,917,378   
Municipal Bonds   

Par  

(000)

    Value  
    

Virginia (concluded)

                

Housing — 11.7%

    

Virginia HDA, RB, Rental Housing:

    

Series A, 5.25%, 5/01/41

   $ 750      $ 820,725   

Series B, 5.63%, 6/01/39

     1,000        1,113,690   

Series D, 4.60%, 9/01/40

     500        533,725   

Sub-Series C-3, 3.25%, 4/01/31

     650        650,624   
    

 

 

 
               3,118,764   

State — 12.3%

    

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 9/01/33

     1,000        1,147,690   

Virginia Public School Authority, RB, School Financing:

    

6.50%, 12/01/18 (c)

     360        473,281   

1997 Resolution, Series B, 5.25%, 8/01/33

     500        579,045   

1997 Resolution, Series B, 4.00%, 8/01/36

     1,000        1,060,170   
    

 

 

 
               3,260,186   

Transportation — 10.4%

    

City of Norfolk Virginia Parking System, Refunding RB, Parking System, Series B (AMBAC), 5.50%, 2/01/31

     465        465,605   

Richmond Metropolitan Authority, Refunding RB (NPFGC), 5.25%, 7/15/22

     500        581,405   

Virginia Port Authority Commonwealth Port Fund, RB, 5.00%, 7/01/36

     500        572,075   

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

     1,000        1,159,640   
    

 

 

 
               2,778,725   

Utilities — 11.8%

    

City of Portsmouth Virginia, GO, Refunding RB, Public Utilities, Series A, 5.00%, 7/15/41

     700        810,607   

Virginia Resources Authority, RB, Senior, Virginia Pooled Financing Program, Series B, 5.00%, 11/01/33

     2,000        2,320,660   
    

 

 

 
               3,131,267   
Total Municipal Bonds in Virginia              28,302,947   
    

District of Columbia — 7.5%

                

Transportation — 7.5%

    

Metropolitan Washington Airports Authority, Refunding RB:

    

First Senior Lien, Series A, 5.00%, 10/01/39

     290        318,803   

First Senior Lien, Series A, 5.25%, 10/01/44

     460        509,289   

Series B, 5.00%, 10/01/29

     1,000        1,161,440   

Total Municipal Bonds in District of Columbia

  

    1,989,532   
    

Guam — 2.5%

                

State — 1.9%

    

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

     250        277,840   

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

     200        223,076   
    

 

 

 
               500,916   

Utilities — 0.6%

    

Guam Power Authority, Refunding RB, Series A, 5.00%, 10/01/34

     155        171,496   

Total Municipal Bonds in Guam

  

    672,412   

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments (continued)

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net  Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Multi-State — 6.1%

  

Housing — 6.1%

    

Centerline Equity Issuer Trust, 7.20%, 11/15/14 (d)(e)

   $ 1,500      $ 1,634,610   
    

Puerto Rico — 4.0%

  

State — 4.0%

    

Puerto Rico Sales Tax Financing Corp., Refunding RB, First Sub-Series A-1, 5.25%, 8/01/43

     1,000        1,057,820   

Total Municipal Bonds – 126.4%

  

    33,657,321   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
 

Virginia — 27.0%

  

Education — 13.0%

  

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

     2,999        3,461,954   

Health — 8.5%

  

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

     999        1,149,736   

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

     1,000        1,104,096   
    

 

 

 
               2,253,832   

Transportation — 5.5%

  

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

     1,259        1,478,674   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in Virginia

  

  

    7,194,460   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

Puerto Rico — 2.1%

  

State — 2.1%

  

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

   $ 500      $ 545,810   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 29.1%
        7,740,270   

Total Long-Term Investments

(Cost – $37,128,103) — 155.5%

  

  

    41,397,591   
    
   
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.01% (g)(h)

     479,014        479,014   

Total Short-Term Securities

(Cost – $479,014) — 1.8%

  

  

    479,014   
Total Investments (Cost — $37,607,117) — 157.3%        41,876,605   
Other Assets Less Liabilities — 1.7%        455,365   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (15.4)%

   

    (4,109,184
VRDP Shares, at Liquidation Value — (43.6)%        (11,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 26,622,786   
    

 

 

 

 

Notes to Schedule of investments

 

(a)   Variable rate security. Rate shown is as of report date.

 

(b)   Security is collateralized by Municipal or US Treasury obligations.

 

(c)   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.

 

(d)   Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

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

 

(f)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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.

 

(g)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate     

Shares Held

at August 31,
2012

       Net
Activity
      

Shares Held

at February 28,

2013

       Income  

FFI Institutional Tax-Exempt Fund

       65,431           413,583           479,014         $ 14   

 

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    49


Table of Contents

Schedule of Investments (concluded)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 41,397,591              $ 41,397,591   

Short-Term Securities

  $ 479,014                          479,014   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 479,014         $  41,397,591              $  41,876,605   
 

 

 

      

 

 

      

 

    

 

 

 

1   See above Schedule of Investments for values in each sector.

      

 

Certain of the Trust’s liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such liabilities are categorized within the disclosure hierarchy as follows:

 

   

     Level 1        Level 2        Level 3      Total  

Liabilities:

                

TOB trust certificates

            $ (4,107,550           $ (4,107,550

VRDP Shares

              (11,600,000             (11,600,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

            $ (15,707,550           $ (15,707,550
 

 

 

      

 

 

      

 

    

 

 

 

There were no transfers between levels during the six months ended February 28, 2013.

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents

Schedule of Investments February 28, 2013 (Unaudited)

  

The Massachusetts Health & Education Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Massachusetts — 140.4%

                

Education — 90.8%

    

Massachusetts Development Finance Agency, ERB, Middlesex School Project, 5.00%, 9/01/33

   $ 400      $ 403,459   

Massachusetts Development Finance Agency, RB:

    

Boston University, Series T-1 (AMBAC), 5.00%, 10/01/39

     1,000        1,065,750   

College Issue, Series B (Syncora), 5.25%, 7/01/33

     860        871,515   

College of Pharmacy & Allied Health, Series D (AGC), 5.00%, 7/01/15 (a)

     500        554,045   

Foxborough Regional Charter School, Series A, 7.00%, 7/01/42

     250        295,545   

Mount Holyoke College, Series B, 5.00%, 7/01/41

     500        560,745   

Smith College, 5.00%, 7/01/35

     2,000        2,170,340   

Wellesley College, Series J, 5.00%, 7/01/42

     2,400        2,786,304   

WGBH Educational Foundation, Series A (AMBAC), 5.75%, 1/01/42

     650        866,710   

Massachusetts Development Finance Agency, Refunding RB:

  

 

Boston University, Series P, 5.45%, 5/15/59

     1,500        1,795,800   

Clark University (Syncora), 5.13%, 10/01/35

     500        529,360   

Emerson College, Series A, 5.00%, 1/01/40

     200        214,082   

Harvard University, Series B-1, 5.00%, 10/15/40

     350        408,051   

Northeastern University, 5.00%, 10/01/31

     500        580,990   

Trustees of Deerfield Academy, 5.00%, 10/01/40

     1,675        1,921,711   

Wheelock College, Series C, 5.25%, 10/01/37

     1,000        1,046,370   

Williston Northampton School Project (Syncora), 5.00%, 10/01/25

     500        519,925   

Worcester Polytechnic Institute (NPFGC), 5.00%, 9/01/27

     1,985        2,239,854   

Massachusetts Health & Educational Facilities Authority, Wheaton College, Series D, 6.00%, 1/01/18

     645        645,761   

Massachusetts Health & Educational Facilities Authority, RB:

  

 

Northeastern University, Series R, 5.00%, 10/01/33

     225        247,669   

Tufts University, 5.38%, 8/15/38

     1,000        1,180,100   

Massachusetts Health & Educational Facilities Authority, Refunding RB:

    

Berklee College of Music, Series A, 5.00%, 10/01/37

     1,000        1,105,570   

Boston College, Series N, 5.13%, 6/01/37

     1,000        1,010,980   

Harvard University, Series A, 5.50%, 11/15/36

     100        120,605   

Harvard University, Series B, 5.00%, 10/01/38

     400        463,528   

Northeastern University, Series T-1, 5.00%, 10/01/31

     950        1,103,881   

Northeastern University, Series T-2, 5.00%, 10/01/32

     500        576,495   

Springfield College, 5.63%, 10/15/40

     500        547,800   

Tufts University, Series M, 5.50%, 2/15/27

     1,000        1,320,500   

Wellesley College, 5.00%, 7/01/33

     1,500        1,520,595   

Massachusetts State College Building Authority, RB, Series A (AMBAC), 5.00%, 5/01/16 (a)

     1,000        1,139,420   

Massachusetts State College Building Authority, Refunding RB, Series B (Syncora), 5.50%, 5/01/39

     825        1,150,438   
    

 

 

 
               30,963,898   

Health — 32.1%

    

Massachusetts Development Finance Agency, RB:

    

First Mortgage, Edgecombe Project, Series A, 6.75%, 7/01/21

     795        802,799   

Southcoast Health System Obligated Group Issue, Series F, 5.00%, 7/01/37

     1,000        1,124,550   

Massachusetts Development Finance Agency, Refunding RB:

  

 

Berkshire Health System, Series G, 5.00%, 10/01/29

     335        376,229   

Carleton-Willard Village, 5.63%, 12/01/30

     500        554,220   

Partners Healthcare, Series L, 5.00%, 7/01/36

     1,000        1,138,680   

Seven Hills Foundation & Affiliates (Radian), 5.00%, 9/01/35

     240        240,391   
Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (concluded)

                

Health (concluded)

    

Massachusetts Health & Educational Facilities Authority, RB:

  

 

Berkshire Health System, Series F (AGC), 5.00%, 10/01/19

   $ 1,000      $ 1,087,210   

Cape Cod Healthcare Obligated Group Issue, Series D (AGC), 5.00%, 11/15/31

     1,000        1,098,420   

Children’s Hospital, Series M, 5.25%, 12/01/39

     600        671,484   

Children’s Hospital, Series M, 5.50%, 12/01/39

     500        569,040   

Lahey Clinic Medical Center, Series D, 5.25%, 8/15/37

     1,000        1,076,010   

Southcoast Health Obligation, Series D, 5.00%, 7/01/39

     500        533,505   

Massachusetts Health & Educational Facilities Authority, Refunding RB:

    

Caregroup, Series E-1, 5.00%, 7/01/28

     500        548,445   

Winchester Hospital, 5.25%, 7/01/38

     1,000        1,105,570   
    

 

 

 
               10,926,553   

Housing — 6.1%

  

Massachusetts HFA, Refunding RB, AMT:

    

Series C, 5.35%, 12/01/42

     1,000        1,077,530   

Series F, 5.70%, 6/01/40

     935        1,006,509   
    

 

 

 
               2,084,039   

State — 11.4%

  

Massachusetts Bay Transportation Authority, Refunding RB, Senior Series A, 5.25%, 7/01/29

     730        954,219   

Massachusetts State College Building Authority, RB, Series A, 5.50%, 5/01/39

     2,500        2,937,775   
    

 

 

 
               3,891,994   
Total Municipal Bonds in Massachusetts        47,866,484   
    

Puerto Rico — 4.9%

                

State — 4.9%

    

Puerto Rico Sales Tax Financing Corp., RB, First Sub-Series A, 5.75%, 8/01/37

     1,000        1,080,610   

Puerto Rico Sales Tax Financing Corp., Refunding RB, 6.00%, 8/01/39

     510        569,741   
Total Municipal Bonds in Puerto Rico        1,650,351   
Total Municipal Bonds — 145.3%              49,516,835   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (b)
            

Massachusetts — 9.8%

                

State — 9.8%

    

Massachusetts School Building Authority, Sales Tax RB:

    

Senior Series B, 5.00%, 10/15/41

     1,000        1,146,950   

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

     259        284,966   

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

     1,751        1,926,359   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts in Massachusetts

  

  

    3,358,275   
    

Puerto Rico — 1.1%

                

State — 1.1%

    

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

     340        371,158   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 10.9%
        3,729,433   

Total Long-Term Investments

(Cost — $48,632,706) — 156.2%

  

  

    53,246,268   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    51


Table of Contents

Schedule of Investments (concluded)

  

The Massachusetts Health & Education Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Short-Term Securities    Par  
(000)
    Value  

Massachusetts

                

Massachusetts Health & Educational Facilities Authority, RB, VRDN, Partners Healthcare System (c):

    

Series D, 0.08%, 3/01/13

   $ 220      $ 220,000   

Series P-2, 0.10%, 3/07/13

     600        600,000   
Total Municipal Bonds — 2.4%              820,000   

Short-Term Securities

   Shares     Value  

Money Market Fund

                

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

     5      $ 5   
Total Short-Term Securities
(Cost — $820,005) — 2.4%
             820,005   
Total Investments (Cost — $49,452,711) — 158.6%        54,066,273   
Other Assets Less Liabilities — 1.6%        531,458   

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (5.9)%

   

    (2,009,975
VRDP Shares, at Liquidation Value — (54.3)%        (18,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 34,087,756   
    

 

 

 

 

Notes to Schedule of investments

 

(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)   Securities represent bonds transferred to a TOB in exchange for which the Trust 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)   Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

(d)   Investments in issuers considered to be an affiliate of the Trust during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2012
       Net
Activity
       Shares Held
at February 28,
2013
       Income  

BIF Massachusetts Municipal Money Fund

       36,054           (36,049        5             

 

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

 

Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investment and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy as of February 28, 2013:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 53,246,268              $ 53,246,268   

Short-Term Securities

  $ 5           820,000                820,005   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 5         $ 54,066,268              $ 54,066,273   
 

 

 

      

 

 

      

 

    

 

 

 

 

1  See above Schedule of Investments for values in each sector.

 

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of February 28, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

     

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 22,043                        $ 22,043   

Liabilities:

                

TOB trust certificates

            $ (2,009,594             (2,009,594

VRDP Shares

              (18,500,000             (18,500,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 22,043         $ (20,509,594           $ (20,487,551
 

 

 

      

 

 

      

 

    

 

 

 
There were no transfers between levels during the six months ended February 28, 2013.   

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Statements of Assets and Liabilities     

 

February 28, 2013 (Unaudited)   BlackRock
Maryland
Municipal
Bond Trust
(BZM)
    BlackRock
MuniHoldings
New York
Quality
Fund, Inc.
(MHN)
    BlackRock
New Jersey
Municipal
Bond Trust
(BLJ)
    BlackRock
New York
Municipal
Bond Trust
(BQH)
 
       
Assets                                

Investments at value — unaffiliated1

  $ 49,748,279      $ 797,984,559      $ 61,924,870      $ 75,303,751   

Investments at value — affiliated2

    741,402        8,838,731        521,100        572,543   

Cash

                         67,344   

Cash pledged as collateral for financial futures contracts

           180,000               18,000   

Interest receivable

    544,498        8,373,948        755,292        717,455   

Investments sold receivable

                  10,000          

Deferred offering costs

    83,831        433,275        83,831        163,389   

Prepaid expenses

    13,883        43,799        14,148        37,110   
 

 

 

 

Total assets

    51,131,893        815,854,312        63,309,241        76,879,592   
 

 

 

 
       
Accrued Liabilities                                

Bank overdraft

           351,617                 

Investments purchased payable

           4,000,000               297,252   

Income dividends payable — Common Shares

    129,581        2,379,499        169,667        198,651   

Investment advisory fees payable

    25,342        338,973        31,270        37,774   

Officer’s and Trustees’ fees payable

    11,046        145,622        10,615        11,727   

Interest expense and fees payable

    833        32,074        2,366        3,864   

Variation margin payable

           8,625               863   

Offering costs payable

    9,002               11,539          

Other accrued expenses payable

    36,918        311,813        32,259        10,117   
 

 

 

 

Total accrued liabilities

    212,722        7,568,223        257,716        560,248   
 

 

 

 
       
Other Liabilities                                

TOB trust certificates

    2,400,000        78,986,820        5,283,730        7,815,842   

VRDP Shares, at liquidation value of $100,000 per share3,4

    16,000,000        243,600,000        18,700,000        22,100,000   
 

 

 

 

Total other liabilities

    18,400,000        322,586,820        23,983,730        29,915,842   
 

 

 

 

Total liabilities

    18,612,722        330,155,043        24,241,446        30,476,090   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 32,519,171      $ 485,699,269      $ 39,067,795      $ 46,403,502   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of                                

Paid-in capital5,6,7

  $ 29,388,093      $ 460,564,778      $ 32,959,101      $ 39,729,530   

Undistributed net investment income

    411,818        7,287,253        669,173        594,236   

Accumulated net realized loss

    (52,645     (37,220,760     (222,628     (53,979

Net unrealized appreciation/depreciation

    2,771,905        55,067,998        5,662,149        6,133,715   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 32,519,171      $ 485,699,269      $ 39,067,795      $ 46,403,502   
 

 

 

 

Net asset value per Common Share

  $ 15.68      $ 15.62      $ 16.81      $ 16.59   
 

 

 

 

1 Investments at cost — unaffiliated

  $ 46,976,374      $ 742,912,717      $ 56,262,721      $ 69,169,652   

2 Investments at cost — affiliated

  $ 741,402      $ 8,838,731      $ 521,100      $ 572,543   

3 VRDP Shares outstanding:

       

Par value $0.001 per share

    160               187        221   

Par value $0.100 per share

           2,436                 

4 Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        14,956        unlimited        unlimited   

5 Par value per Common Share

  $ 0.001      $ 0.100      $ 0.001$        0.001   

6 Common Shares outstanding

    2,073,293        31,104,560        2,324,212        2,797,897   

7 Common Shares authorized

    unlimited        200 million        unlimited        unlimited   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    53


Table of Contents
Statements of Assets and Liabilities (concluded)     

 

February 28, 2013 (Unaudited)   BlackRock
New York
Municipal Income
Quality Trust
(BSE)
    BlackRock
New York
Municipal
Income Trust II
(BFY)
    BlackRock
Virginia
Municipal
Bond Trust
(BHV)
    The
Massachusetts
Health &
Education Tax-
Exempt Trust
(MHE)
 
       
Assets                                

Investments at value — unaffiliated1

  $ 161,796,979      $ 133,107,918      $ 41,397,591      $ 54,066,268   

Investments at value — affiliated2

    3,096,781        498,784        479,014        5   

Cash

           119,125               22,043   

Cash pledged as collateral for financial futures contracts

    36,000        30,000                 

Interest receivable

    1,624,831        1,287,721        504,518        627,324   

Investments sold receivable

                  31,000          

Deferred offering costs

    174,588        170,111        83,831        95,058   

Prepaid expenses

    42,555        48,839        13,602        13,607   
 

 

 

 

Total assets

    166,771,734        135,262,498        42,509,556        54,824,305   
 

 

 

 
       
Accrued Liabilities                                

Investments purchased payable

    1,335,000        438,034                 

Income dividends payable — Common Shares

    465,901        384,675        123,542        147,550   

Investment advisory fees payable

    68,709        56,379        21,056        20,925   

Officer’s and Trustees’ fees payable

    9,311        12,162        7,249        631   

Interest expense and fees payable

    10,437        3,310        1,634        380   

Variation margin payable

    1,725        1,438                 

Offering costs payable

                  22,335        11,857   

Other accrued expenses payable

    17,902        5,036        3,404        45,611   
 

 

 

 

Total accrued liabilities

    1,908,985        901,034        179,220        226,954   
 

 

 

 
       
Other Liabilities                                

TOB trust certificates

    23,330,301        9,131,222        4,107,550        2,009,595   

VRDP Shares, at liquidation value of $100,000 per share3,4

    40,500,000        44,400,000        11,600,000        18,500,000   
 

 

 

 

Total other liabilities

    63,830,301        53,531,222        15,707,550        20,509,595   
 

 

 

 

Total liabilities

    65,739,286        54,432,256        15,886,770        20,736,549   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 101,032,448      $ 80,830,242      $ 26,622,786      $ 34,087,756   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of                                

Paid-in capital5,6,7

  $ 92,407,500      $ 70,822,478      $ 22,578,388      $ 29,908,159   

Undistributed net investment income

    1,152,643        1,136,280        340,367        563,242   

Accumulated net realized loss

    (4,396,405     (1,259,926     (565,457     (997,207

Net unrealized appreciation/depreciation

    11,868,710        10,131,410        4,269,488        4,613,562   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 101,032,448      $ 80,830,242      $ 26,622,786      $ 34,087,756   
 

 

 

 

Net asset value per Common Share

  $ 15.51      $ 16.18      $ 16.81      $ 14.44   
 

 

 

 

1 Investments at cost — unaffiliated

  $ 149,927,500      $ 122,975,867      $ 37,128,103      $ 49,452,706   

2 Investments at cost — affiliated

  $ 3,096,781      $ 498,784      $ 479,014      $ 5   

3 VRDP Shares outstanding:

       

Par value $0.001 per share

    405        444        116          

Par value $0.010 per share

                         185   

4 Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        unlimited        unlimited        unlimited   

5 Par value per Common Share

  $ 0.001      $ 0.001      $ 0.001      $ 0.01   

6 Common Shares outstanding

    6,516,100        4,995,777        1,583,877        2,360,800   

7 Common Shares authorized

    unlimited        unlimited        unlimited        unlimited   

 

 

See Notes to Financial Statements.      
                
54    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Statements of Operations     

 

Six Months Ended February 28, 2013 (Unaudited)   BlackRock
Maryland
Municipal
Bond Trust
(BZM)
    BlackRock
MuniHoldings
New York Quality
Fund, Inc.
(MHN)
   

BlackRock

New Jersey
Municipal

Bond Trust
(BLJ)

   

BlackRock

New York
Municipal

Bond Trust
(BQH)

 
       
Investment Income                                

Interest

  $ 1,069,444      $ 17,584,846      $ 1,400,406      $ 1,678,210   

Income — affiliated

    97        409               10   
 

 

 

 

Total income

    1,069,541        17,585,255        1,400,406        1,678,220   
 

 

 

 
       
Expenses                                

Investment advisory

    164,407        2,202,710        200,006        245,813   

Liquidity fees

           861,536               96,288   

Professional

    23,892        40,061        31,803        27,442   

Remarketing fees on Preferred Shares

           120,499               11,112   

Accounting services

    8,107        64,943        10,487        13,593   

Transfer agent

    12,888        20,840        10,425        9,956   

Officer and Trustees

    3,927        42,332        4,033        6,818   

Custodian

    3,990        18,231        3,642        3,895   

Printing

    2,962        7,246        2,874        2,419   

Registration

    366        5,258        546        4,501   

Miscellaneous

    10,307        25,090        8,143        18,441   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    230,846        3,408,746        271,959        440,278   

Interest expense, fees and amortization of offering costs1

    97,493        749,771        120,266        69,674   
 

 

 

 

Total expenses

    328,339        4,158,517        392,225        509,952   

Less fees waived by Manager

    (309     (165,621     (558     (533
 

 

 

 

Total expenses after fees waived

    328,030        3,992,896        391,667        509,419   
 

 

 

 

Net investment income

    741,511        13,592,359        1,008,739        1,168,801   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments

    157,912        216,121        93,829        205,564   

Financial futures contracts

           (122,063            (12,206
 

 

 

 
    157,912        94,058        93,829        193,358   
 

 

 

 
Net change in unrealized appreciation/depreciation on:        

Investments

    76,725        (213,816     229,358        611,296   

Financial futures contracts

           (3,844            (384
 

 

 

 
    76,725        (217,660     229,358        610,912   
 

 

 

 

Total realized and unrealized gain (loss)

    234,637        (123,602     323,187        804,270   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 976,148      $ 13,468,757      $ 1,331,926      $ 1,973,071   
 

 

 

 

1 Related to TOBs and/or VRDP Shares.

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    55


Table of Contents
Statements of Operations (concluded)     

 

Six Months Ended February 28, 2013 (Unaudited)  

BlackRock

New York
Municipal Income
Quality Trust
(BSE)

    BlackRock
New York
Municipal
Income Trust II
(BFY)
    BlackRock
Virginia
Municipal
Bond Trust
(BHV)
    The
Massachusetts
Health &
Education Tax-
Exempt Trust
(MHE)
 
       
Investment Income                                

Interest

  $ 3,466,924      $ 3,010,381      $ 960,344      $ 1,139,021   

Income — affiliated

    71        44        14          
 

 

 

 

Total income

    3,466,995        3,010,425        960,358        1,139,021   
 

 

 

 
       
Expenses                                

Investment advisory

    446,766        364,485        136,573        135,654   

Liquidity fees

    176,455        193,447                 

Professional

    22,246        23,137        26,798        21,945   

Remarketing fees on Preferred Shares

    20,363        22,323                 

Accounting services

    20,272        16,586        4,151        9,422   

Transfer agent

    11,353        10,288        12,387        10,404   

Officer and Trustees

    7,838        7,263        2,878        2,142   

Custodian

    5,955        5,160        2,770        2,623   

Printing

    3,949        3,648        1,903        2,458   

Registration

    4,483        1,077        362        540   

Miscellaneous

    21,382        20,729        7,491        5,048   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    741,062        668,143        195,313        190,236   

Interest expense, fees and amortization of offering costs1

    141,682        104,928        79,682        110,073   
 

 

 

 

Total expenses

    882,744        773,071        274,995        300,309   

Less fees waived by Manager

    (1,662     (1,285     (55     (2
 

 

 

 

Total expenses after fees waived

    881,082        771,786        274,940        300,307   
 

 

 

 

Net investment income

    2,585,913        2,238,639        685,418        838,714   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments

    332,606        457,374        24,727        43,833   

Financial futures contracts

    (24,412     (20,344              
 

 

 

 
    308,194        437,030        24,727        43,833   
 

 

 

 
Net change in unrealized appreciation/depreciation on:        

Investments

    (114,725     87,901        149,517        207,093   

Financial futures contracts

    (769     (641              
 

 

 

 
    (115,494     87,260        149,517        207,093   
 

 

 

 

Total realized and unrealized gain

    192,700        524,290        174,244        250,926   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 2,778,613      $ 2,762,929      $ 859,662      $ 1,089,640   
 

 

 

 

1 Related to TOBs and/or VRDP Shares.

       

 

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Statements of Changes in Net Assets     

 

    BlackRock Maryland Municipal
Bond Trust (BZM)
        BlackRock MuniHoldings New York
Quality Fund, Inc. (MHN)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2013
(Unaudited)
   

Year Ended

August 31,
2012

        Six Months Ended
February 28,
2013
(Unaudited)
   

Year Ended

August 31,
2012

 
         
Operations                                    

Net investment income

  $ 741,511      $ 1,859,190        $ 13,592,359      $ 27,562,433   

Net realized gain (loss)

    157,912        129,175          94,058        (1,091,167

Net change in unrealized appreciation/depreciation

    76,725        2,021,414          (217,660     43,412,707   

Dividends to AMPS shareholders from net investment income

           (32,567                
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    976,148        3,977,212          13,468,757        69,883,973   
 

 

 

     

 

 

 
         
Dividends to Common Shareholders From                                    

Net investment income

    (802,495     (1,935,977 )1        (14,375,010     (29,541,265 )1 
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends

    25,071        76,471          1,151,240        1,786,582   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    198,724        2,117,706          244,987        42,129,290   

Beginning of period

    32,320,447        30,202,741          485,454,282        443,324,992   
 

 

 

     

 

 

 

End of period

  $ 32,519,171      $ 32,320,447        $ 485,699,269      $ 485,454,282   
 

 

 

     

 

 

 

Undistributed net investment income

  $ 411,818      $ 472,802        $ 7,287,253      $ 8,069,904   
 

 

 

     

 

 

 

1 Dividends are determined in accordance with federal income tax regulations.

         

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    57


Table of Contents
Statements of Changes in Net Assets     

 

 

    BlackRock New Jersey
Municipal Bond Trust (BLJ)
        BlackRock New York
Municipal Bond Trust (BQH)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

February 28,

2013
(Unaudited)

    Year Ended
August 31,
2012
        Six Months Ended
February 28,
2013
(Unaudited)
   

Year Ended

August 31,
2012

 
         
Operations                                    

Net investment income

  $ 1,008,739      $ 2,195,975        $ 1,168,801      $ 2,411,844   

Net realized gain

    93,829        14,511          193,358        645,688   

Net change in unrealized appreciation/depreciation

    229,358        4,912,434          610,912        4,217,496   

Dividends to AMPS shareholders from net investment income

           (39,347 )                (6,285
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    1,331,926        7,083,573          1,973,071        7,268,743   
 

 

 

     

 

 

 
         
Dividends and Distributions to Common Shareholders From                                    

Net investment income

    (1,017,766     (2,163,456 )1        (1,202,066     (2,675,085 )1 

Net realized gain

                    (627,820       
 

 

 

     

 

 

 

Decrease in net assets resulting from dividends and distributions to shareholders

    (1,017,766     (2,163,456       (1,829,886     (2,675,085
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends and distributions

    26,133        54,801          102,739        165,299   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    340,293        4,974,918          245,924        4,758,957   

Beginning of period

    38,727,502        33,752,584          46,157,578        41,398,621   
 

 

 

     

 

 

 

End of period

  $ 39,067,795      $ 38,727,502        $ 46,403,502      $ 46,157,578   
 

 

 

     

 

 

 

Undistributed net investment income

  $ 669,173      $ 678,200        $ 594,236      $ 627,501   
 

 

 

     

 

 

 

1 Dividends and distributions are determined in accordance with federal income tax regulations.

  

     

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Statements of Changes in Net Assets     

 

 

    BlackRock New York Municipal
Income Quality Trust (BSE)
        BlackRock New York
Municipal Income Trust II (BFY)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2013
(Unaudited)
    Year Ended
August 31,
2012
        Six Months Ended
February 28,
2013
(Unaudited)
   

Year Ended

August 31,
2012

 
         
Operations                                    

Net investment income

  $ 2,585,913      $ 5,226,896        $ 2,238,639      $ 4,569,910   

Net realized gain

    308,194        141,369          437,030        465,364   

Net change in unrealized appreciation/depreciation

    (115,494     8,377,994          87,260        7,050,292   

Dividends to AMPS shareholders from net investment income

           (10,041              (10,777
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    2,778,613        13,736,218          2,762,929        12,074,789   
 

 

 

     

 

 

 
         
Dividends to Common Shareholders From                                    

Net investment income

    (2,793,420     (5,571,369 )1        (2,326,098     (4,948,459 )1 
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends

    182,024        289,307          165,685        284,695   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    167,217        8,454,156          602,516        7,411,025   

Beginning of period

    100,865,231        92,411,075          80,227,726        72,816,701   
 

 

 

     

 

 

 

End of period

  $ 101,032,448      $ 100,865,231        $ 80,830,242      $ 80,227,726   
 

 

 

     

 

 

 

Undistributed net investment income

  $ 1,152,643      $ 1,360,150        $ 1,136,280      $ 1,223,739   
 

 

 

     

 

 

 

1 Dividends are determined in accordance with federal income tax regulations.

  

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    59


Table of Contents
Statements of Changes in Net Assets     

 

 

    BlackRock Virginia
Municipal Bond Trust (BHV)
        The Massachusetts Health &
Education Tax-Exempt Trust (MHE)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 28,
2013
(Unaudited)
    Year Ended
August 31,
2012
       

Six Months Ended

February 28,
2013
(Unaudited)

    Year Ended
August 31,
2012
 
         
Operations                                    

Net investment income

  $ 685,418      $ 1,525,058        $ 838,714      $ 1,975,543   

Net realized gain (loss)

    24,727        (380,886       43,833        (37,966

Net change in unrealized appreciation/depreciation

    149,517        2,656,857          207,093        3,226,643   

Dividends to AMPS shareholders from net investment income

           (23,764              (35,328
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    859,662        3,777,265          1,089,640        5,128,892   
 

 

 

     

 

 

 
         
Dividends to Common Shareholders From                                    

Net investment income

    (751,720     (1,564,750 )1        (885,004     (1,961,643 )1 
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends

    48,607        98,340          31,195        73,963   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    156,549        2,310,855          235,831        3,241,212   

Beginning of period

    26,466,237        24,155,382          33,851,925        30,610,713   
 

 

 

     

 

 

 

End of period

  $ 26,622,786      $ 26,466,237        $ 34,087,756      $ 33,851,925   
 

 

 

     

 

 

 

Undistributed net investment income

  $ 340,367      $ 406,669        $ 563,242      $ 609,532   
 

 

 

     

 

 

 

1 Dividends are determined in accordance with federal income tax regulations.

  

       

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Statements of Cash Flows     

 

Six Months Ended February 28, 2013 (Unaudited)  

BlackRock
Maryland
Municipal

Bond Trust

(BZM)

   

BlackRock
MuniHoldings

New York Quality

Fund, Inc.

(MHN)

   

BlackRock

New Jersey
Municipal

Bond Trust

(BLJ)

    BlackRock
New York
Municipal
Bond Trust
(BQH)
 
       
Cash Provided by (Used for) Operating Activities                                

Net increase in net assets resulting from operations

  $ 976,148      $ 13,468,757      $ 1,331,926      $ 1,973,071   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

(Increase) decrease in interest receivable

    (16,233     396,372        (19,391     (29,818

Decrease in cash pledged as collateral for financial futures contracts

           (180,000            (18,000

Increase in prepaid expenses

    (12,748     (6,499     (12,853     (35,565

Increase in variation margin payable

           8,625               863   

Decrease in investment advisory fees payable

    (2,429     (34,915     (2,479     (3,309

Increase (decrease) in interest expense and fees payable

    (205     915        1,909        1,166   

Decrease in other accrued expenses payable

    (31,353     (29,272     (29,046     (42,539

Increase in Officer’s and Trustees’ fees payable

    2,326        30,054        2,137        4,653   

Net realized and unrealized gain on investments

    (234,637     (2,305     (323,187     (816,860

Amortization of premium and accretion of discount on investments

    74,404        629,200        14,656        (848

Amortization of deferred offering costs

    2,393        3,638        2,393        7,048   

Proceeds from sales of long-term investments

    4,928,400        60,075,176        1,100,974        4,848,042   

Purchases of long-term investments

    (4,339,708     (63,598,519     (2,775,724     (7,671,198

Net proceeds from sales (purchases) of short-term securities

    (560,741     690,763        370,765        2,672,838   
 

 

 

 

Cash provided by (used for) operating activities

    785,617        11,451,990        (337,920     889,544   
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Cash receipts from TOB trust certificates

           7,510,000        1,329,442        890,006   

Cash payments for TOB trust certificates

           (6,000,000              

Cash dividends paid to Common Shareholders

    (785,617     (13,311,258     (991,522     (1,735,081

Increase in bank overdraft

           349,268                 
 

 

 

 

Cash provided by (used for) financing activities

    (785,617     (11,451,990     337,920        (845,075
 

 

 

 
       
Cash                                

Net increase in cash

                         44,469   

Cash at beginning of period

                         22,875   
 

 

 

 

Cash at end of period

                       $ 67,344   
 

 

 

 
       
Cash Flow Information                                

Cash paid during the period for interest

  $ 95,305      $ 745,218      $ 115,964      $ 61,460   
 

 

 

 
       
Non-cash Financing Activities                                

Capital shares issued in reinvestment of dividends paid to Common Shareholders

  $ 25,071      $ 1,151,240      $ 26,133      $ 102,739   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    61


Table of Contents
Statements of Cash Flows (concluded)     

 

Six Months Ended February 28, 2013 (Unaudited)  

BlackRock

New York

Municipal Income
Quality Trust

(BSE)

   

BlackRock

New York

Municipal

Income Trust II

(BFY)

   

BlackRock

Virginia

Municipal

Bond Trust

(BHV)

    The
Massachusetts
Health &
Education Tax-
Exempt Trust
(MHE)
 
       
Cash Provided by (Used for) Operating Activities                                

Net increase in net assets resulting from operations

  $ 2,778,613      $ 2,762,929      $ 859,662      $ 1,089,640   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Decrease in interest receivable

    53,528        52,565        52,063        7,096   

Increase in cash pledged as collateral for financial futures contracts

    (36,000     (30,000              

Increase in prepaid expenses

    (39,089     (46,112     (12,707     (12,968

Increase in variation margin payable

    1,725        1,438                 

Decrease in investment advisory fees payable

    (6,483     (5,021     (2,171     (2,024

Increase (decrease) in interest expense and fees payable

    970        883        1,056        (12

Increase (decrease) in other accrued expenses payable

    (75,621     (66,336     23,085        3,935   

Increase in Officer’s and Trustees’ fees payable

    3,180        3,499        1,583        543   

Net realized and unrealized gain on investments

    (217,881     (545,275     (174,244     (250,926

Amortization of premium and accretion of discount on investments

    153,952        21,118        (17,347     44,500   

Amortization of deferred offering costs

    8,619        9,116        2,393        2,583   

Proceeds from sales of long-term investments

    20,601,796        20,573,676        3,520,706        1,972,125   

Purchases of long-term investments

    (21,540,646     (21,983,466     (3,137,578     (1,694,820

Net proceeds from sales (purchases) of short-term securities

    (2,076,037     (39,082     (413,583     (283,951
 

 

 

 

Cash provided by (used for) operating activities

    (389,374     709,932        702,918        875,721   
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Cash receipts from TOB trust certificates

    2,999,940        1,539,963                 

Cash payments for TOB trust certificates

                           

Cash dividends paid to Common Shareholders

    (2,610,566     (2,179,571     (702,918     (853,678
 

 

 

 

Cash provided by (used for) financing activities

    389,374        (639,608     (702,918     (853,678
 

 

 

 
       
Cash                                

Net increase in cash

           70,324               22,043   

Cash at beginning of period

           48,801                 
 

 

 

 

Cash at end of period

         $ 119,125             $ 22,043   
 

 

 

 
       
Cash Flow Information                                

Cash paid during the period for interest

  $ 132,093      $ 94,929      $ 76,233      $ 107,502   
 

 

 

 
       
Non-cash Financing Activities                                

Capital shares issued in reinvestment of dividends paid to Common Shareholders

  $ 182,024      $ 165,685      $ 48,607      $ 31,195   
 

 

 

 

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Financial Highlights    BlackRock Maryland Municipal Bond Trust (BZM)

 

   

Six Months Ended
February 28,
2013
(Unaudited)

    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.60      $ 14.61      $ 15.23      $ 13.81      $ 14.45      $ 14.91   
 

 

 

 

Net investment income1

    0.36        0.90        0.97        1.02        0.96        1.07   

Net realized and unrealized gain (loss)

    0.11        1.05        (0.59     1.29        (0.68     (0.36
Dividends and distributions to AMPS shareholders from:            

Net investment income

           (0.02     (0.03     (0.03     (0.13     (0.28

Net realized gain

                  (0.00 )2             (0.00 )2      (0.01
 

 

 

 

Net increase from investment operations

    0.47        1.93        0.35        2.28        0.15        0.42   
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.39     (0.94 )3      (0.95 )3      (0.86 )3      (0.79 )3      (0.87 )3 

Net realized gain

                  (0.02 )3             (0.00 )2,3      (0.01 )3 
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.39     (0.94     (0.97     (0.86     (0.79     (0.88
 

 

 

 

Net asset value, end of period

  $ 15.68      $ 15.60      $ 14.61      $ 15.23      $ 13.81      $ 14.45   
 

 

 

 

Market price, end of period

  $ 18.18      $ 18.43      $ 15.02      $ 15.91      $ 15.35      $ 15.75   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    2.87% 5      13.08%        2.45%        16.80%        1.52%        2.60%   
 

 

 

 

Based on market price

    0.96% 5      29.95%        0.83%        9.77%        3.53%        (4.33)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    2.03% 6      1.66% 7      1.58% 7      1.56% 7      1.83% 7      1.70% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.03% 6      1.60% 7      1.45% 7      1.35% 7      1.50% 7      1.32% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.43% 6      1.44% 7,9      1.41% 7      1.31% 7      1.39% 7      1.28% 7 
 

 

 

 

Net investment income

    4.59% 6      5.94% 7      6.73% 7      6.95% 7      7.62% 7      7.19% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.10%        0.19%        0.21%        1.04%        1.89%   
 

 

 

 

Net investment income to Common Shareholders

    4.59% 6      5.84%        6.54%        6.74%        6.58%        5.30%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 32,519      $ 32,320      $ 30,203      $ 31,349      $ 28,310      $ 29,488   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 16,000      $ 16,000      $ 16,000      $ 16,000   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 16,000      $ 16,000                               
 

 

 

 

Portfolio turnover

    9%        30%        11%        13%        9%        15%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                $ 72,192      $ 73,985      $ 69,235      $ 71,083   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 303,245      $ 302,003                               
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to AMPS shareholders.

 

8   

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.

 

9   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.40%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    63


Table of Contents
Financial Highlights    BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)

 

    Six Months Ended
February 28,
2013
(Unaudited)
    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.64      $ 14.34      $ 15.09      $ 13.74      $ 13.92      $ 14.40   
 

 

 

 

Net investment income1

    0.44        0.89        0.97        1.04        0.94        0.98   

Net realized and unrealized gain (loss)

    (0.00 )2      1.36        (0.73     1.21        (0.30     (0.48

Dividends to AMPs shareholders from net investment income

                  (0.03     (0.03     (0.14     (0.32
 

 

 

 

Net increase from investment operations

    0.44        2.25        0.21        2.22        0.50        0.18   
 

 

 

 

Dividends to Common Shareholders from net investment income

    (0.46     (0.95 )3      (0.96 )3      (0.87 )3      (0.68 )3      (0.66 )3 
 

 

 

 

Net asset value, end of period

  $ 15.62      $ 15.64      $ 14.34      $ 15.09      $ 13.74      $ 13.92   
 

 

 

 

Market price, end of period

  $ 16.06      $ 15.86      $ 13.90      $ 15.17      $ 12.89      $ 12.12   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    2.85% 5      16.15%        1.85%        16.87%        5.19%        1.74%   
 

 

 

 

Based on market price

    4.28% 5      21.52%        (1.80)%        25.24%        13.34%        (5.72)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.72% 6      1.95%        1.47% 7      1.29% 7      1.55% 7      1.65% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.65% 6      1.87%        1.36% 7      1.14% 7      1.35% 7      1.52% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.34% 6,9      1.45% 9      1.18% 7      1.02% 7      1.05% 7      1.15% 7 
 

 

 

 

Net investment income

    5.62% 6      5.89%        6.98% 7      7.24% 7      7.45% 7      6.90% 7 
 

 

 

 

Dividends to AMPs shareholders

                  0.19%        0.23%        1.09%        2.24%   
 

 

 

 

Net investment income to Common Shareholders

    5.62% 6      5.89%        6.79%        7.01%        6.36%        4.66%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 485,699      $ 485,454      $ 443,325      $ 464,853      $ 422,983      $ 428,547   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                       $ 243,625      $ 243,625      $ 252,875   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,600      $ 243,600      $ 243,600                        
 

 

 

 

Portfolio turnover

    8%        14%        18%        10%        18%        21%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                       $ 72,703      $ 68,407      $ 67,379   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 299,384      $ 299,283      $ 281,989                        
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to Preferred Shareholders.

 

8   

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.

 

9   

For the six months ended February 28, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.94% and 1.02%, respectively.

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Financial Highlights    BlackRock New Jersey Municipal Bond Trust (BLJ)

 

    Six Months Ended
February 28,
2013
(Unaudited)
    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 16.67      $ 14.55      $ 15.23      $ 13.53      $ 14.16      $ 15.38   
 

 

 

 

Net investment income1

    0.43        0.95        1.00        1.05        1.05        1.14   

Net realized and unrealized gain (loss)

    0.15        2.12        (0.68     1.61        (0.68     (1.11
Dividends and distributions to AMPS shareholders from:            

Net investment income

           (0.02     (0.03     (0.03     (0.14     (0.29

Net realized gain

                  (0.00 )2                    (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    0.58        3.05        0.29        2.63        0.23        (0.26
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.44     (0.93 )3      (0.94 )3      (0.93 )3      (0.86 )3      (0.95 )3 

Net realized gain

                  (0.03 )3                    (0.01 )3 
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.44     (0.93     (0.97     (0.93     (0.86     (0.96
 

 

 

 

Net asset value, end of period

  $ 16.81      $ 16.67      $ 14.55      $ 15.23      $ 13.53      $ 14.16   
 

 

 

 

Market price, end of period

  $ 17.09      $ 16.66      $ 13.60      $ 15.63      $ 13.59      $ 14.76   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    3.45% 5      21.52%        2.46%        20.04%        2.50%        (2.12)%   
 

 

 

 

Based on market price

    5.24% 5      29.94%        (6.68)%        22.65%        (1.23)%        (7.15)%   
 

 

 

 
           
Ratio to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    2.02% 6      1.65% 7      1.57% 7      1.54% 7      1.72% 7      1.67% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.02% 6      1.59% 7      1.43% 7      1.32% 7      1.36% 7      1.28% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.40% 6      1.41% 7,9      1.41% 7      1.31% 7      1.34% 7      1.26% 7 
 

 

 

 

Net investment income

    5.20% 6      6.01% 7      7.08% 7      7.32% 7      8.55% 7      7.64% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.11%        0.20%        0.24%        1.14%        1.97%   
 

 

 

 

Net investment income to Common Shareholders

    5.20% 6      5.90%        6.88%        7.08%        7.41%        5.67%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 39,068      $ 38,728      $ 33,753      $ 35,277      $ 31,239      $ 32,584   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 18,775      $ 18,775      $ 18,775      $ 19,200   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,700      $ 18,700                               
 

 

 

 

Portfolio turnover

    2%        25%        19%        18%        28%        17%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                $ 69,944      $ 71,974      $ 66,600      $ 67,439   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 308,919      $ 307,099                               
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to AMPS shareholders.

 

8   

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.

 

9   

For the year ended August 31, 2012, the total expense ratios after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.40%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    65


Table of Contents
Financial Highlights    BlackRock New York Municipal Bond Trust (BQH)

 

    Six Months Ended
February 28,
2013
(Unaudited)
    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 16.53      $ 14.89      $ 15.65      $ 14.56      $ 14.71      $ 15.39   
 

 

 

 

Net investment income1

    0.42        0.87        1.04        1.07        1.08        1.14   

Net realized and unrealized gain (loss)

    0.29        1.73        (0.78     1.09        (0.24     (0.57
Dividends and distributions to AMPS shareholders from:            

Net investment income

           (0.00 )2      (0.03     (0.03     (0.14     (0.29

Net realized gain

                  (0.00 )2      (0.01     (0.00 )2      (0.01
 

 

 

 

Net increase (decrease) from investment operations

    0.71        2.60        0.23        2.12        0.70        0.27   
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.43     (0.96 )3      (0.99 )3      (0.94 )3      (0.85 )3      (0.93 )3 

Net realized gain

    (0.22            (0.00 )2,3      (0.09 )2,3      (0.00 )2,3      (0.02 )2,3 
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.65     (0.96     (0.99     (1.03     (0.85     (0.95
 

 

 

 

Net asset value, end of period

  $ 16.59      $ 16.53      $ 14.89      $ 15.65      $ 14.56      $ 14.71   
 

 

 

 

Market price, end of period

  $ 16.99      $ 16.56      $ 14.83      $ 15.79      $ 14.32      $ 14.62   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    4.38% 5      17.99%        1.81%        15.18%        5.97%        1.62%   
 

 

 

 

Based on market price

    6.70% 5      18.68%        0.50%        18.15%        4.87%        (4.76)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    2.20% 6      2.26% 7      1.50% 7      1.49% 7      1.61% 7      1.63% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.20% 6      2.20% 7      1.37% 7      1.27% 7      1.30% 7      1.25% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.90% 6,9      1.90% 7,9      1.36% 7      1.24% 7      1.25% 7      1.23% 7 
 

 

 

 

Net investment income

    5.05% 6      5.52% 7      7.12% 7      7.07% 7      8.06% 7      7.45% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.02%        0.19%        0.19%        1.01%        1.90%   
 

 

 

 

Net investment income to Common Shareholders

    5.05% 6      5.50%        6.93%        6.88%        7.05%        5.55%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 46,404      $ 46,158      $ 41,399      $ 43,409      $ 40,204      $ 40,603   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 22,125      $ 22,125      $ 22,125      $ 22,400   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 22,100      $ 22,100                               
 

 

 

 

Portfolio turnover

    6%        45%        14%        22%        30%        19%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                $ 71,778      $ 74,052      $ 70,431      $ 70,327   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 309,971      $ 308,853                               
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to Preferred Shareholders.

 

8   

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.

 

9   

For the six months ended February 28, 2013, and the year ended August 31, 2012, the total expense ratio after fees waived excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.43% and 1.45%, respectively.

 

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Financial Highlights    BlackRock New York Municipal Income Quality Trust (BSE)

 

   

Six Months Ended

February 28,

2013
(Unaudited)

    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.51      $ 14.25      $ 14.90      $ 13.61      $ 13.95      $ 14.58   
 

 

 

 

Net investment income1

    0.40        0.81        0.90        0.91        0.88        0.96   

Net realized and unrealized gain (loss)

    0.03        1.31        (0.67     1.23        (0.39     (0.60
Dividends and distributions to AMPS shareholders from:            

Net investment income

           (0.00 )2      (0.02     (0.03     (0.11     (0.25

Net realized gain

                                       (0.01
 

 

 

 

Net increase from investment operations

    0.43        2.12        0.21        2.11        0.38        0.10   
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.43     (0.86 )3      (0.86 )3      (0.82 )3      (0.72 )3      (0.70 )3 

Net realized gain

                                       (0.03 )3 
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.43     (0.86     (0.86     (0.82     (0.72     (0.73
 

 

 

 

Net asset value, end of period

  $ 15.51      $ 15.51      $ 14.25      $ 14.90      $ 13.61      $ 13.95   
 

 

 

 

Market price, end of period

  $ 16.55      $ 15.74      $ 13.54      $ 14.91      $ 13.15      $ 13.26   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    2.76% 5      15.23%        1.94%        16.04%        3.98%        0.80%   
 

 

 

 

Based on market price

    8.05% 5      23.07%        (3.20)%        20.18%        5.70%        (1.07)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.75% 6      1.82% 7      1.28% 7      1.21% 7      1.53% 7      1.34% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.75% 6      1.82% 7      1.26% 7      1.12% 7      1.33% 7      1.09% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.47% 6,9      1.50% 7,9      1.17% 7      1.03% 7      1.05% 7      0.99% 7 
 

 

 

 

Net investment income

    5.13% 6      5.38% 7      6.50% 7      6.45% 7      7.16% 7      6.59% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.01%        0.16%        0.18%        0.88%        1.74%   
 

 

 

 

Net investment income to Common Shareholders

    5.13% 6      5.37%        6.34%        6.27%        6.28%        4.85%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 101,032      $ 100,865      $ 92,411      $ 96,617      $ 88,141      $ 90,331   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 40,575      $ 40,575      $ 40,575      $ 41,675   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 40,500      $ 40,500                               
 

 

 

 

Portfolio turnover

    13%        24%        24%        8%        23%        24%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                $ 81,938      $ 84,531      $ 79,309      $ 79,196   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 349,463      $ 349,050                               
 

 

 

 

 

1  

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to AMPS shareholders.

 

8   

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.

 

9   

For the six months ended February 28, 2013 and year ended August 31, 2012, the total expense ratios after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were 1.08 and 1.13%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    67


Table of Contents
Financial Highlights    BlackRock New York Municipal Income Trust II (BFY)

 

   

Six Months Ended

February 28,

2013

(Unaudited)

    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 16.09      $ 14.66      $ 15.33      $ 14.03      $ 14.28      $ 14.84   
 

 

 

 

Net investment income1

    0.45        0.92        1.05        1.06        1.06        1.08   

Net realized and unrealized gain (loss)

    0.11        1.50        (0.69     1.25        (0.36     (0.55
Dividends and distributions to AMPS shareholders from:            

Net investment income

           (0.00 )2      (0.03     (0.04     (0.15     (0.29

Net realized gain

                                       (0.01
 

 

 

 

Net increase from investment operations

    0.56        2.42        0.33        2.27        0.55        0.23   
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.47     (0.99 )3      (1.00 )3      (0.97 )3      (0.80 )3      (0.77 )3 

Net realized gain

                                       (0.02 )3 
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.47     (0.99     (1.00     (0.97     (0.80     (0.79
 

 

 

 

Net asset value, end of period

  $ 16.18      $ 16.09      $ 14.66      $ 15.33      $ 14.03      $ 14.28   
 

 

 

 

Market price, end of period

  $ 16.91      $ 16.81      $ 14.38      $ 15.48      $ 14.00      $ 13.60   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    3.47% 5      17.00%        2.56%        16.69%        5.23%        1.70%   
 

 

 

 

Based on market price

    3.51% 5      24.61%        (0.37)%        18.09%        10.26%        1.08%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.93% 6      2.03% 7      1.27% 7      1.21% 7      1.33% 7      1.30% 7 
 

 

 

 

Total expenses after fees waived and before fees paid indirectly

    1.92% 6      1.95% 7      1.18% 7      1.13% 7      1.16% 7      1.13% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.92% 6      1.95% 7      1.18% 7      1.13% 7      1.16% 7      1.13% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.66% 6,9      1.62% 7,9      1.18% 7      1.13% 7      1.16% 7      1.13% 7 
 

 

 

 

Net investment income

    5.58% 6      5.96% 7      7.34% 7      7.21% 7      8.17% 7      7.33% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.01%        0.22%        0.25%        1.19%        1.94%   
 

 

 

 

Net investment income to Common Shareholders

    5.58% 6      5.95%        7.12%        6.96%        6.98%        5.39%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 80,830      $ 80,228      $ 72,817      $ 75,872      $ 69,315      $ 70,544   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 44,475      $ 44,475      $ 44,475      $ 44,650   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 44,400      $ 44,400                               
 

 

 

 

Portfolio turnover

    16%        25%        20%        16%        16%        12%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                $ 65,931      $ 67,651      $ 63,965      $ 64,508   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 282,050      $ 280,693                               
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7  

Do not reflect the effect of dividends to AMPS shareholders.

 

8   

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.

 

9   

For the six months ended February 28, 2013, and the year ended August 31, 2012, the total expense ratio after fees waived excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.12% and 1.11%, respectively.

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Financial Highlights    BlackRock Virginia Municipal Bond Trust (BHV)

 

   

Six Months Ended

February 28,

2013
(Unaudited)

    Year Ended August 31,  
      2012     2011     2010     2009     2008  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 16.74      $ 15.33      $ 16.02      $ 15.05      $ 15.03      $ 15.57   
 

 

 

 

Net investment income1

    0.43        0.97        1.02        1.04        1.02        1.11   

Net realized and unrealized gain (loss)

    0.11        1.45        (0.60     1.19        0.20        (0.45
Dividends and distributions to AMPS shareholders from:            

Net investment income

           (0.02     (0.03     (0.02     (0.10     (0.30

Net realized gain

                  (0.00 )2      (0.01     (0.05       
 

 

 

 

Net increase from investment operations

    0.54        2.40        0.39        2.20        1.07        0.36   
 

 

 

 

Dividends and distributions to Common Shareholders from:

           

Net investment income

    (0.47     (0.99 )3      (1.00 )3      (0.96 )3      (0.89 )3      (0.90 )3 

Net realized gain

                  (0.08 )3      (0.27 )3      (0.16 )3        
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.47     (0.99     (1.08     (1.23     (1.05     (0.90
 

 

 

 

Net asset value, end of period

  $ 16.81      $ 16.74      $ 15.33      $ 16.02      $ 15.05      $ 15.03   
 

 

 

 

Market price, end of period

  $ 20.99      $ 19.58      $ 17.77      $ 18.77      $ 17.50      $ 19.50   
 

 

 

 
           
Total Investment Return Applicable to Common Shareholders4                                   

Based on net asset value

    2.87% 5      15.19%        1.98%        14.15%        6.94%        1.59%   
 

 

 

 

Based on market price

    9.82% 5      16.23%        0.89%        15.02%        (4.16)%        14.97%   
 

 

 

 
           
Ratios to Average Net Assets                                   

Total expenses

    2.08% 6      1.69% 7      1.66% 7      1.57% 7      1.75% 7      1.70% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.08% 6      1.64% 7      1.52% 7      1.36% 7      1.45% 7      1.34% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.48% 6      1.43% 7,9      1.44% 7      1.31% 7      1.37% 7      1.31% 7 
 

 

 

 

Net investment income

    5.18% 6      6.03% 7      6.81% 7      6.71% 7      7.43% 7      7.14% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.09%        0.17%        0.16%        0.72%        1.90%   
 

 

 

 

Net investment income to Common Shareholders

    5.18% 6      5.94%        6.64%        6.55%        6.71%        5.24%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 26,623      $ 26,466      $ 24,155      $ 25,141      $ 23,483      $ 23,347   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 11,675      $ 11,675      $ 11,675      $ 12,175   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 11,600      $ 11,600                               
 

 

 

 

Portfolio turnover

    8%        23%        12%        26%        32%        11%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                $ 76,725      $ 78,836      $ 75,286      $ 72,948   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 329,507      $ 328,157                               
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Amount is greater than $(0.005) per share.

 

3   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to AMPS shareholders.

 

8   

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.

 

9   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.38%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    69


Table of Contents
Financial Highlights    The Massachusetts Health & Education Tax-Exempt Trust (MHE)

 

   

Six Months Ended

February 28,
2013

(Unaudited)

    Year Ended August 31,    

Period

January 1, 2008
to August 31,

2008

   

Year Ended
December 31,

2007

 
      2012     2011     2010     2009      
             
Per Share Operating Performance                                                        

Net asset value, beginning of period

  $ 14.35      $ 13.01      $ 13.52      $ 12.19      $ 12.55      $ 13.10      $ 13.90   
 

 

 

 

Net investment income1

    0.36        0.84        0.90        0.89        0.83        0.59        0.92   

Net realized and unrealized gain (loss)

    0.11        1.34        (0.54     1.31        (0.43     (0.58     (0.82

Dividends to AMPS shareholders from net investment income

           (0.01     (0.03     (0.03     (0.13     (0.17     (0.31
 

 

 

 

Net increase (decrease) from investment operations

    0.47        2.17        0.33        2.17        0.27        (0.16     (0.21
 

 

 

 
Dividends and distributions to Common Shareholders from:              

Net Investment Income

    (0.38     (0.83 )2      (0.84 )2      (0.84 )2      (0.63 )2      (0.39 )2      (0.59 )2 

Net realized gain

                                              (0.00 )2,3 
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.38     (0.83     (0.84     (0.84     (0.63     (0.39     (0.59
 

 

 

 

Net asset value, end of period

  $ 14.44      $ 14.35      $ 13.01      $ 13.52      $ 12.19      $ 12.55      $ 13.10   
 

 

 

 

Market price, end of period

  $ 15.33      $ 14.91      $ 13.11      $ 13.98      $ 12.00      $ 11.22      $ 11.95   
 

 

 

 
             
Total Investment Return Applicable to Common Shareholders4                                                        

Based on net asset value

    3.19% 5      17.02%        2.78%        18.40%        3.29%        (1.01)%5        (1.23)%   
 

 

 

 

Based on market price

    5.43% 5      20.66%        0.16%        24.37%        13.73%        (2.99)%5        (4.40)%   
 

 

 

 
             
Ratios to Average Net Assets Applicable to Common Shareholders                                           

Total expenses

    1.77% 6      1.50% 7      1.39% 7      1.39% 7      1.54% 7      1.77% 6,7      1.47% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.77% 6      1.50% 7      1.39% 7      1.38% 7      1.54% 7      1.77% 6,7      1.47% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.12% 6      1.33% 7,9      1.36% 7      1.35% 7      1.45% 7      1.73% 6,7      1.47% 7 
 

 

 

 

Net investment income

    4.95% 6      6.07% 7      7.15% 7      6.95% 7      7.50% 7      6.82% 6,7      6.78% 7 
 

 

 

 

Dividends to AMPS shareholders

           0.11%        0.22%        0.24%        1.22%        2.03% 6      2.27%   
 

 

 

 

Net investment income to Common Shareholders

    4.95% 6      5.96%        6.93%        6.71%        6.28%        4.79% 6      4.51%   
 

 

 

 
             
Supplemental Data                                                        

Net assets applicable to Common Shareholders, end of period (000)

  $ 34,088      $ 33,852      $ 30,611      $ 31,739      $ 28,575      $ 29,416      $ 30,717   
 

 

 

 

AMPS outstanding at $50,000 liquidation preference, end of period (000)

                $ 18,500      $ 18,500      $ 18,500      $ 18,500      $ 20,000   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,500      $ 18,500                                      
 

 

 

 

Portfolio turnover

    2%        17%        10%        12%        12%        5%        18%   
 

 

 

 

Asset coverage per AMPS at $50,000 liquidation preference, end of period

                $ 132,732      $ 135,785      $ 127,234      $ 129,523      $ 126,835   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 284,258      $ 282,983                                      
 

 

 

 

 

1   

Based on average Common Shares outstanding.

 

2   

Dividends and distributions are determined in accordance with federal income tax regulations.

 

3   

Amount is greater than $(0.005) per share.

 

4   

Total investment returns based on market price, 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.

 

5   

Aggregate total investment return.

 

6   

Annualized.

 

7   

Do not reflect the effect of dividends to AMPS shareholders.

 

8   

Interest expense, fees and amortization of offering cost 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.

 

9   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.24%.

 

 

See Notes to Financial Statements.      
                
70    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Notes to Financial Statements (Unaudited)     

 

1. Organization and Significant Accounting Policies:

BlackRock Maryland Municipal Bond Trust (“BZM”), BlackRock New Jersey Municipal Bond Trust (“BLJ”), BlackRock New York Municipal Bond Trust (“BQH”), BlackRock New York Municipal Income Quality Trust (“BSE”), BlackRock Virginia Municipal Bond Trust (“BHV”) (collectively the “Bond Trusts”), BlackRock MuniHoldings New York Quality Fund, Inc. (“MHN”), BlackRock New York Municipal Income Trust II (“BFY”) and The Massachusetts Health & Education Tax-Exempt Trust (“MHE”) (all, collectively the “Trusts”) are registered under the 1940 Act, as non-diversified, closed-end management investment companies. The Trusts are organized as Delaware statutory trusts except MHN and MHE, which are organized as a Maryland corporation and a Massachusetts business trust, respectively. The Trusts’ 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 of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Boards of Trustees and the Boards of Directors of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair value of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

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. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust 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 Global Valuation Committee, or its delegate, deem relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. A market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, a regular review of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Zero-Coupon Bonds: The Trusts 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 Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    71


Table of Contents
Notes to Financial Statements (continued)     

 

sale commitment is made. The Trusts 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 Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts 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 Trusts’ 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 Trusts leverage their assets through the use of TOBs. A TOB is a special purpose entity established by a third party sponsor, into which a fund, or an agent on behalf of a fund, transfers municipal bonds into a trust (“TOB Trust”). Other funds managed by the investment advisor may also contribute municipal bonds to a TOB into which a Trust has contributed bonds. A TOB typically issues two classes of beneficial interests: short-term floating rate certificates (“TOB Trust Certificates”), which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. If multiple funds participate in the same TOB, the rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation.

The TOB Residuals held by a Trust include the right of a Trust (1) to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates at par plus accrued interest upon the occurrence of certain mandatory tender events defined in the TOB agreements, and (2) to transfer, subject to a specified number of days’ prior notice, a corresponding share of the municipal bonds from the TOB to a Trust. The TOB may also be collapsed without the consent of a Trust, as the TOB Residual holder, upon the occurrence of certain termination 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 renewal of the liquidity support agreement, a substantial decline in market value of the municipal bond and a judgment or ruling that interest on the municipal bond is subject to federal income taxation. Upon the occurrence of a Termination Event, the TOB would generally be liquidated in full with the proceeds typically applied first to any accrued fees owed to the trustee, remarketing agent and liquidity provider, and then to the holders of the TOB Trust Certificates up to par plus accrued interest owed on the TOB Trust Certificates, with the balance paid out to the TOB Residual holder. During the six months ended February 28, 2013, no TOBs in which the Trusts participated were terminated without the consent of the Trusts.

The cash received by the TOB from the sale of the TOB Trust Certificates, less transaction expenses, is paid to a Trust. The Trust typically invests the cash received in additional municipal bonds. Each Trust’s transfer of the municipal bonds to a TOB Trust is accounted for as a secured borrowing; therefore, the municipal bonds deposited into a TOB are presented in the Trusts’ Schedules of Investments and the TOB Trust Certificates are shown in other liabilities in the Statements of Assets and Liabilities. The carrying amount of the Trusts’ payable to the holder of the TOB Trust Certificates, as reported in Statements of Assets and Liabilities as TOB Trust Certificates, approximates their fair value.

The Trusts may invest in TOBs on either a non-recourse or recourse basis. TOB Trusts are typically supported by a liquidity facility provided by a bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment from the Liquidity Provider of par plus accrued interest on any business day prior to the occurrence of the termination events described above. When a Trust invests in TOBs on a non-recourse basis, and the Liquidity Provider is required to make a payment under the liquidity facility due to a termination event, the Liquidity Provider will typically liquidate all or a portion of the municipal securities held in the TOB Trust and then fund, on a net basis, the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB on a recourse basis, the Trust will typically enter into a reimbursement agreement with the Liquidity Provider where the Trust is required to repay the Liquidity Provider the amount of any Liquidation Shortfall. As a result, a Trust investing in a recourse TOB will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB, these losses will be shared ratably in proportion to their participation. The recourse TOB Trusts, if any, are identified in the Schedule of Investments.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Trusts 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, fees and amortization of offering costs in the Statements of Operations. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB for redemption at par at each reset date. At February 28, 2013, 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
 

BZM

  $ 4,826,158      $ 2,400,000        0.11% -0.15%   

MHN

  $ 161,903,533      $ 78,986,820        0.10% -0.23%   

BLJ

  $ 9,954,264      $ 5,283,730        0.11% -0.36%   

BQH

  $ 13,122,868      $ 7,815,842        0.10% -0.16%   

BSE

  $ 41,424,728      $ 23,330,301        0.10% -0.16%   

BFY

  $ 16,660,921      $ 9,131,222        0.10% -0.16%   

BHV

  $ 7,740,270      $ 4,107,550        0.11% -0.12%   

MHE

  $ 3,729,433      $ 2,009,595        0.12% -0.13%   

 

                
72    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Notes to Financial Statements (continued)     

 

For the six months ended February 28, 2013, the Trusts’ average TOB Trust Certificates outstanding and the daily weighted average interest rate, including fees, were as follows:

 

     Average TOB Trust
Certificates
Outstanding
    Daily Weighted
Average
Interest Rate
 

BZM

  $ 2,399,870        0.69

MHN

  $ 76,562,345        0.84

BLJ

  $ 4,292,556        0.77

BQH

  $ 7,528,934        0.73

BSE

  $ 21,735,014        0.72

BFY

  $ 8,335,652        0.85

BHV

  $ 4,107,550        0.70

MHE

  $ 2,009,595        0.71

Should short-term interest rates rise, the Trusts’ investments in TOBs may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g., TOBs and financial futures contracts), the Trusts 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 Trust engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer 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 are recorded on the ex-dividend dates. The character 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 Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ US federal tax returns remains open for each of the four years ended August 31, 2012. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In December 2011, the Financial Accounting Standards Board (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. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. 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 Trusts’ financial statement disclosures.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Other: Expenses directly related to a Trust are charged to that Trust. 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 Trusts have an arrangement with the custodians 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 custodians impose 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 Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to economically hedge, or protect, their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange or OTC.

 

                
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Table of Contents
Notes to Financial Statements (continued)     

 

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. The Trusts’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Trusts bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts and not the counterparty to perform. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Trusts may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between a Trust and each of its respective counterparties. An ISDA Master Agreement allows each Trust to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Trusts manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Trusts 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 Trusts and a 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, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk, interest rate risk and/or commodity price risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security at a price different from the current market value.

 

                
74    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Notes to Financial Statements (continued)     

 

 

Derivative Financial Instruments Categorized by Risk Exposure:                                             
Fair Values of Derivative Financial Instruments as of February 28, 2013  
   

Liability Derivatives

 
            MHN        BQH        BSE        BFY  
     Statements of Assets and Liabilities Location      Value  

Interest rate contracts:

Financial futures contracts

  Net unrealized depreciation1      $ (3,844      $ (384      $ (769      $ (641

 

  1   

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended February 28, 2013  
    Net Realized Loss From  
    MHN      BQH      BSE      BFY  
Interest rate contracts:           

Financial future contracts

  $ (122,063    $ (12,206    $ (24,412    $ (20,344

Options2

    (158,275      (15,181      (32,881      (26,247
Total   $ (280,338    $ (27,387    $ (57,293    $ (46,591
 

 

 

 

2   Options purchased are included in the net realized gain (loss) from investments.

          
          
     Net Change in Unrealized Appreciation/Depreciation  on  
     MHN      BQH      BSE      BFY  
Interest rate contracts:           

Financial future contracts

  $ (3,844    $ (384    $ (769    $ (641
          
For the six months ended February 28, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:   
          
     MHN      BQH      BSE      BFY  
Financial future contracts:           

Average number of contracts sold

    30         3         6         5   

Average notional value of contracts sold

  $ 4,313,438       $ 431,344       $ 862,688       $ 718,906   
Options:           

Average number of options contracts purchased

    1 3       1 3       1 3       1 3 

Average notional value of contracts sold

  $ 78,203       $ 7,500       $ 16,250       $ 12,969   

3   Actual contract amount shown due to limited activity.

          

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust pays the Manager a monthly fee based on a percentage of each Trust’s average weekly net assets except for MHN and MHE, which are based on average daily net assets at the following annual rates:

 

BZM

    0.65

MHN

    0.55

BLJ

    0.65

BQH

    0.65

BSE

    0.55

BFY

    0.55

BHV

    0.65

MHE

    0.50

 

Average weekly net assets and average daily net assets are the average weekly or the average daily value of each Trust’s total assets minus the sum of its accrued liabilities.

The Manager voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOBs for MHN that exceed 35% of total assets minus the sum of its accrued liabilities. For the six months ended February 38, 2013, the Manager waived $157,105, which is included in fees waived by Manager in the Statements of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are shown as fees waived by Manager in the Statements of

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    75


Table of Contents
Notes to Financial Statements (continued)     

 

Operations. For the six months ended February 28, 2013, the amounts waived were as follows:

 

BZM

  $ 309   

MHN

  $ 8,516   

BLJ

  $ 558   

BQH

  $ 533   

BSE

  $ 1,662   

BFY

  $ 1,285   

BHV

  $ 55   

MHE

  $ 2   

The Manager entered into sub-advisory agreements with BlackRock Investment Management LLC (“BIM”) for MHN and MHE and BlackRock Financial Management, Inc. (“BFM”) for all other Trusts. BIM and BFM are affiliates of the Manager. The Manager pays BIM and BFM, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

 

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in officer and trustees in the Statements of Operations.

4. Investments:

Purchases and sales of investments excluding short-term securities for the six months ended February 28, 2013 were as follows:

 

     Purchases     Sales  

BZM

  $ 4,339,708      $ 4,928,400   

MHN

  $ 66,587,937      $ 59,969,648   

BLJ

  $ 1,973,782      $ 1,100,974   

BQH

  $ 6,108,837      $ 4,848,028   

BSE

  $ 21,753,766      $ 20,601,755   

BFY

  $ 21,643,331      $ 20,573,649   

BHV

  $ 3,137,578      $ 3,551,706   

MHE

  $ 1,123,090      $ 1,972,125   

 

 

5. Income Tax Information:

As of August 31, 2012, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,     BZM     MHN     BLJ     BSE     BFY     BHV     MHE  

2013

  

         $ 15,054,033                                      

2014

  

           1,097,743                                      

2015

  

           2,782,666                    $ 70,160             $ 35,869   

2016

  

           710,089                      383,137               285,683   

2017

  

           4,069,997             $ 1,583,452        254,346               375,230   

2018

  

           3,861,956               1,544,362        357,549               32,672   

2019

  

  $ 57,495        673,531                      255,001      $ 51,866        74   

No expiration date1

  

    116,830        4,261,379      $ 161,191        956,682        121,001        547,027        274,631   
 

 

 

 

Total

  

  $ 174,325      $ 32,511,394      $ 161,191      $ 4,084,496      $ 1,441,194      $ 598,893      $ 1,004,159   
 

 

 

 

1   Must be utilized prior to losses subject to expiration.

      

 
As of February 28, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:   
               
     BZM     MHN     BLJ     BQH     BSE     BFY     BHV     MHE  

Tax cost

  $ 45,243,856      $ 673,545,269      $ 51,517,030      $ 61,983,034      $ 130,108,983      $ 114,408,995      $ 33,416,140      $ 47,436,454   
 

 

 

 

Gross unrealized appreciation

  $ 2,886,870      $ 58,733,582      $ 6,191,136      $ 6,833,497      $ 12,001,388      $ 10,989,006      $ 4,390,844      $ 4,625,164   

Gross unrealized depreciation

    (41,045     (4,442,381     (545,926     (756,079     (546,912     (922,521     (37,929     (4,940
 

 

 

 

Net unrealized appreciation

  $ 2,845,825      $ 54,291,201      $ 5,645,210      $ 6,077,418      $ 11,454,476      $ 10,066,485      $ 4,352,915      $ 4,620,224   
 

 

 

 

 

6. Concentration, Market and Credit Risk:

Each Trust invests 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 Trusts 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 Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; 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 Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts 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 Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

 

                
76    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Notes to Financial Statements (continued)     

 

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

As of February 28, 2013, MHN invested a significant portion of its assets in securities in the transportation and county/city/special district/school district sectors. BLJ invested a significant portion of its assets in securities in the state and transportation sectors. BQH and BFY invested a significant portion of its assets in securities in the county/city/special district/school district sector. BSE invested a significant portion of its assets in securities in the education, county/city/special district/school district and transportation sectors. BHV invested a significant portion of its assets in securities in the health sector. MHE invested a significant portion of its assets in securities in the education and health sectors. Changes in economic conditions affecting the county/city/special district/school district, education, health, state and transportation sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

7. Capital Share Transactions:

Each Trust, except for MHN, is authorized to issue an unlimited number of shares (200 million shares for MHN), all of which were initially classified as Common Shares. The par value for the Trusts’ Common and Preferred Shares, except for MHN and MHE, is $0.001 per share ($0.10 for MHN and $0.01 for MHE). 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

February 28, 2013

   

Year Ended

August 31, 2012

 

BZM

    1,510        4,792   

MHN

    73,273        117,478   

BLJ

    1,527        3,421   

BQH

    6,212        10,545   

BSE

    11,608        19,103   

BFY

    10,180        18,300   

BHV

    2,502        5,351   

MHE

    2,095        5,309   

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of the Trust. The 1940 Act prohibits the declaration of any dividend on the Trusts’ Common Shares or the repurchase of the Trusts’ Common Shares if the Trusts 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 Trusts 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 Trusts 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 Trust. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

The BZM, MHN, BLJ, BQH, BSE, BFY, BHV and MHE (collectively, the “VRDP Trusts”) 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, as amended, (the “Securities Act”) and include a liquidity feature, pursuant to a liquidity agreement, that allows the holders of VRDP Shares to have their shares purchased by the liquidity providers in the event of a failed remarketing. The VRDP Trusts are required to redeem the VRDP Shares owned by the liquidity providers after six months of continuous, unsuccessful remarketing. Upon the occurrence of the first unsuccessful remarketing, the VRDP Trusts are required to segregate liquid assets to fund the redemption. The VRDP Shares are subject to certain restrictions on transfer.

The VRDP Shares outstanding as of February 28, 2013 were as follows:

 

     Issue
Date
    Shares
Issued
    Aggregate
Principal
    Maturity
Date
 

BZM

    6/14/12        160      $ 16,000,000        7/01/42   

MHN

    6/30/11        2,436      $ 243,600,000        7/01/41   

BLJ

    6/14/12        187      $ 18,700,000        7/01/42   

BQH

    9/15/11        221      $ 22,100,000        10/01/41   

BSE.

    9/15/11        405      $ 40,500,000        10/01/41   

BFY

    9/15/11        444      $ 44,400,000        10/01/41   

BHV

    6/14/12        116      $ 11,600,000        7/01/42   

MHE

    6/14/12        185      $ 18,500,000        7/01/42   

The VRDP Trusts entered into a fee agreement with the liquidity providers that may require a per annum liquidity fee payable to the liquidity providers. The fee agreement for MHN also required an initial commitment fee. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    77


Table of Contents
Notes to Financial Statements (continued)     

 

The initial fee agreement between BQH, BSE and BFY and the liquidity provider was for a 364-day term and was scheduled to expire on September 15, 2012 and subsequently extended until March 15, 2013, unless renewed or terminated in advance. On November 29, 2012, BQH, BSE and BFY entered into a new fee agreement with an alternate liquidity provider. The new fee agreement is for a 2-year term and is scheduled to expire on December 4, 2014, unless renewed or terminated in advance. The change in liquidity provider resulted in a mandatory tender of BQH, BSE and BFY’s VRDP Shares on November 28, 2012, which were successfully remarketed by the remarketing agent. The fee agreement between MHN and its liquidity provider is for a 364-day term and is scheduled to expire on June 26, 2013, unless renewed or terminated in advance. The fee agreement between BZM, BLJ, BHV and MHN and its liquidity provider is for an approximately 3-year term and is scheduled to expire on July 9, 2015, unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and the VRDP Trusts do not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. The VRDP Trusts 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 Trusts are required to begin to segregate liquid assets with the VRDP Trusts’ custodian to fund the redemption. There is no assurance the VRDP Trusts will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Each VRDP Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, VRDP Trusts are required to redeem certain of its outstanding VRDP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may be redeemed, in whole or in part, at any time at the option of VRDP Trusts. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. In the event of an optional redemption of the VRDP Shares prior to the initial termination date of the fee agreement, the VRDP Trusts must pay the respective liquidity provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to the initial termination date.

Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. In May 2012, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of February 28, 2013, the VRDP Shares were assigned a long-term rating of Aa2 from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly related based upon either short-term rating. 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.

For financial reporting purposes, the VRDP Shares are considered debt of the issuer; therefore, the liquidation value, which approximates fair value, of the VRDP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

The VRDP Trusts may incur remarketing fees of 0.10% on the aggregate principal amount of all the VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. All of the VRDP Shares successfully remarketed prior to the beginning of the special rate period.

The average annualized dividend rates for the VRDP Shares for the six months ended February 28, 2013 were as follows:

 

     Rate  

BZM

    1.06

MHN

    0.32

BLJ

    1.06

BQH

    0.32

BSE

    0.21

BFY

    0.21

BHV

    1.06

MHE

    1.06

Upon issuance of the VRDP Shares on June 14, 2012, BZM, BLJ, BHV and MHE announced a special rate period for an approximate three-year term ending June 24, 2015 with respect to their VRDP Shares. The liquidity and fee agreements remain in effect for the duration of the special rate period; however, the VRDP Shares will not be remarketed or subject to optional or mandatory tender events during such time. During the special rate period, BZM, BLJ, BHV and MHE are required to maintain the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares. During the three-year term of the special rate period, BZM, BLJ, BHV and MHE will not pay any liquidity and remarketing fees and instead will pay dividends monthly based on the sum of SIFMA Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


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Notes to Financial Statements (concluded)     

 

If BZM, BLJ, BHV and MHE redeem the VRDP Shares on a date that is one year or more before the end of the special rate period and the VRDP Shares are rated above A1/A by Moody’s and Fitch respectively, then such redemption is subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. After June 24, 2015, the holder of the VRDP Shares and BZM, BLJ, BHV and MHE may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert back to remarketable securities and will be remarketed and available for purchase by qualified institutional investors. No short-term ratings were assigned by Moody’s, Fitch and/or S&P at issuance but will be assigned upon termination of the special rate period when the VRDP Shares revert to remarketable securities.

VRDP Shares issued and outstanding remained constant for the six months ended February 28, 2013. VRDP Shares issued and outstanding for MHN remained constant for the year ended August 31, 2012.

Offering Costs: The Funds incurred costs in connection with the issuance of VRDP Shares, which 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 providers, which were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

AMPS

The AMPS were redeemable at the option of each Trust, 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 Trust, as set forth in each Trust’s Articles of Supplementary/Statement of Preferences and/or Certificate of Designation (the “Governing Instrument”) were not satisfied.

From February 13, 2008 to the redemption dates listed below, the AMPS of the Trusts failed to clear any of their auctions. A failed auction was not an event of default for the Trusts, but it had negative impact on the liquidity of AMPS. A failed auction occurs when there are more sellers of a Trust’s AMPS than buyers.

As of February 28, 2013, the Trusts did not have any AMPS outstanding.

During the year ended August 31, 2012, BZM, BLJ, BQH, BSE, BFY, BHV and MHE announced the following redemptions of AMPS at a price of $25,000 ($50,000 for MHE) per share plus any accrued and unpaid dividends through the redemption date:

 

     Series    

Redemption

Date

   

Shares

Redeemed

    Aggregate
Principal
 

BZM

    R-7        7/06/12        640      $ 16,000,000   

BLJ

    M-7        7/10/12        751      $ 18,775,000   

BQH

    T-7        10/12/11        885      $ 22,125,000   

BSE

    R-7        10/07/11        1,623      $ 40,575,000   

BFY

    W-7        10/06/11        1,779      $ 44,475,000   

BHV

    R-7        7/06/12        467      $ 11,675,000   

MHE

    A-7        6/21/12        185      $ 9,250,000   
      B-7        6/20/12        185      $ 9,250,000   

The Trusts financed the AMPS redemptions with proceeds received from the issuance of VRDP Shares as follows:

 

BZM

  $ 16,000,000   

BLJ

  $ 18,700,000   

BQH

  $ 22,100,000   

BSE

  $ 40,500,000   

BFY

  $ 44,400,000   

BHV

  $ 11,600,000   

MHE

  $ 18,500,000   

8. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Trust paid a net investment income dividend on April 1, 2013 to Common Shareholders of record on March 15, 2013 as follows:

 

     Common
Dividend
Per Share
 

BZM

  $ 0.0625   

MHN

  $ 0.0765   

BLJ

  $ 0.0730   

BQH

  $ 0.0665   

BSE

  $ 0.0675   

BFY

  $ 0.0700   

BHV

  $ 0.0730   

MHE

  $ 0.0625   

Additionally, the Trusts declared a net investment income dividend on April 1, 2013 payable to Common Shareholders of record on April 15, 2013 for the same amounts noted above.

The dividends declared on VRDP Shares for the period March 1, 2013 to March 31, 2013 for the Trusts were as follows:

 

     Series     Dividends
Declared
 

BZM

    W-7      $ 14,453   

MHN

    W-7      $ 66,006   

BLJ

    W-7      $ 16,891   

BQH

    W-7      $ 4,832   

BSE

    W-7      $ 7,345   

BFY

    W-7      $ 8,053   

BHV

    W-7      $ 10,478   

MHE

    W-7      $ 16,711   

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    79


Table of Contents
Officers and Trustees     

 

Richard E. Cavanagh, Chairman of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee

Paul. L. Audet, Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Henry Gabbay, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

John M. Perlowski, President and Chief Executive Officer

Anne Ackerley, Vice President

Brendan Kyne, Vice President

Robert W. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Janey Ahn, Secretary

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Advisors

BlackRock Financial Management, Inc.1

New York, NY 10055

BlackRock Investment Management, LLC2

Princeton, NJ 08540

Custodians

State Street Bank and Trust Company3

Boston, MA 02110

The Bank of New York Mellon4

New York, NY 10286

Transfer Agent

Common Shares

Computershare Trust Company, N.A.

Canton, MA 02021

VRDP Tender and Paying Agent

The Bank of New York Mellon

New York, NY 10289

VRDP Liquidity Providers

Bank of America, N.A.4

New York, NY 10036

Citibank, N.A.5

New York, NY 10179

Barclays Bank PLC.6

New York, NY 10019

VRDP Remarketing Agents

Merrill Lynch, Pierce, Fenner & Smith Incorporated4

New York, NY 10036

Citigroup Global Markets, Inc.5

New York, NY 10179

Barclays Capital, Inc.6

New York, NY 10019

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 Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

1   

For all Trusts except MHN and MHE.

 

2   

For MHN and MHE.

 

3   

For all Trusts except MHN.

 

4   

For MHN.

 

5   

For BZM, BLJ, BHV and MHE.

 

6   

For BQH, BSE and BFY.

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
Additional Information     

 

 

Regulation Regarding Derivatives

 

Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to registered investment companies to regulation by the CFTC if a fund invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps (“CFTC Derivatives”), or if a fund markets itself as providing investment exposure to such instruments. To the extent a Trust uses CFTC-regulated futures, options and swaps, it intends to do so below such prescribed levels and will not market itself as a “commodity pool” or a vehicle for trading such instruments. Accordingly, BlackRock Advisors, LLC has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act (“CEA”) pursuant to Rule 4.5 under the CEA. BlackRock Advisors, LLC is not, therefore, subject to registration or regulation as a “commodity pool operator” under the CEA in respect to each Trust.

 

Dividend Policy

 

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

 

On July 29, 2010, the Manager announced that a derivative complaint had been filed by shareholders of BSE and BQH on July 27, 2010 in the Supreme Court of the State of New York, New York County. The complaint named the Manager, BlackRock, Inc. and certain of the trustees, officers and portfolio managers of BSE and BQH as defendants. The complaint alleged, among other things, that the parties named in the complaint breached fiduciary duties owed to BSE and BQH and their Common Shareholders by redeeming auction-market preferred shares, auction rate preferred securities, auction preferred shares and auction rate securities (collectively, “AMPS”) at their liquidation preference. The complaint sought unspecified damages for losses purportedly suffered by BSE and BQH as a result of the prior redemptions and injunctive relief preventing BSE and BQH from redeeming AMPS at their liquidation preference in the future. On March 15, 2012, the Supreme Court of the State of New York, New York County entered an order consolidating the above-referenced derivative complaint with another derivative complaint, containing almost identical allegations, already pending in that court. The court on March 15, 2012, also granted plaintiffs permission to file an amended complaint. On April 16, 2012, the plaintiffs filed a Consolidated Shareholder Derivative Complaint containing allegations substantially similar to those in the original complaint. Defendants moved to dismiss the Consolidated Shareholder Derivative Complaint on July 20, 2012. Plaintiffs on September 14, 2012 moved to hold the defendants’ motion to dismiss in abeyance and allow plaintiffs limited discovery of the Demand Review Committee of the Board of Directors, including depositions of its members and documents upon which they relied. The parties have agreed to proceed with limited discovery pending resolution of the defendants’ motion to dismiss. The Manager, BlackRock, Inc. and the other parties named in the complaint believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    81


Table of Contents
Additional Information (continued)     

 

General Information (concluded)

 

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website into this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ web-sites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ 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 Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other information as necessary from time to time. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website into this report.

 

                
82    SEMI-ANNUAL REPORT    FEBRUARY 28, 2013   


Table of Contents
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.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 28, 2013    83


Table of Contents

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 Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares and the risk that fluctuations in the 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.

 

 

LOGO

 

CEF-STMUNI-8-2/13-SAR    LOGO


Table of Contents
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

 

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Table of Contents

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 Virginia Municipal Bond Trust
By:       

/s/ John M. Perlowski

   John M. Perlowski
   Chief Executive Officer (principal executive officer) of
   BlackRock Virginia Municipal Bond Trust
Date: May 1, 2013

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 Virginia Municipal Bond Trust
Date: May 1, 2013
By:   

/s/ Neal J. Andrews

   Neal J. Andrews
   Chief Financial Officer (principal financial officer) of
   BlackRock Virginia Municipal Bond Trust

Date: May 1, 2013

 

3