BLACKROCK MUNIHOLDINGS NEW YORK QUALITY FUND, INC.
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 811-08217

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniHoldings New York Quality Fund, Inc., 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2014

Date of reporting period: 08/31/2014


Table of Contents

Item 1 – Report to Stockholders

 

2


Table of Contents

AUGUST 31, 2014

 

 

ANNUAL REPORT

 

    LOGO

 

BlackRock Maryland Municipal Bond Trust (BZM)

BlackRock Massachusetts Tax-Exempt Trust (MHE)

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)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents
Table of Contents     

 

     Page  

Shareholder Letter

    3   

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

    52   

Statements of Operations

    54   

Statements of Changes in Net Assets

    56   

Statements of Cash Flows

    60   

Financial Highlights

    62   

Notes to Financial Statements

    70   

Report of Independent Registered Public Accounting Firm

    80   

Disclosure of Investment Advisory Agreements

    81   

Automatic Dividend Reinvestment Plans

    86   

Officers and Trustees

    87   

Additional Information

    90   

 

                
2    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Shareholder Letter

 

Dear Shareholder,

The latter part of 2013 was a strong period for most risk assets such as equities and high yield bonds, despite the mixed tone of economic and financial news and uncertainty as to when and by how much the U.S. Federal Reserve would begin to gradually reduce (or “taper”) its asset purchase programs. Stock markets rallied in September when the Fed defied investors’ expectations with its decision to delay tapering. The momentum was disrupted temporarily, however, when the U.S. debt ceiling debate led to a partial government shutdown, roiling financial markets globally until a compromise was struck in mid-October. The remainder of 2013 was generally positive for developed market stocks, while fixed income and emerging market investments struggled as Fed tapering became increasingly imminent. When the central bank ultimately announced its tapering plans in mid-December, equity investors reacted positively, as this action signaled the Fed’s perception of real improvement in the economy.

Most asset classes moved higher in 2014 despite the pull back in Fed stimulus. The year got off to a rocky start, however, as a number of developing economies showed signs of stress while facing the onset of diminishing global liquidity. These risks, combined with disappointing U.S. economic data, caused equities to decline in January while bond markets found renewed strength from investors seeking relatively safer assets. Although these headwinds persisted, equities were back on the rise in February as investors were relieved by a one-year extension of the U.S. debt ceiling and market-friendly comments from the Fed’s new Chairwoman, Janet Yellen. While it was clear that U.S. economic data had softened, investors were assuaged by increasing evidence that the trend was temporary and weather-related, and continued to take on risk with the expectation that growth would pick up later in the year.

In the months that followed, interest rates trended lower and bond prices climbed higher in the modest growth environment. Financial markets exhibited a remarkably low level of volatility despite rising geopolitical risks and mixed global economic news. Tensions in Russia and Ukraine and signs of decelerating growth in China caused some turbulence, but markets were resilient as investors focused on signs of improvement in the U.S. recovery, stronger corporate earnings and increased merger-and-acquisition activity. Importantly, investors were comforted by reassurance from the Fed that no changes to short-term interest rates were on the horizon.

In the ongoing low-rate environment, investors looked to equities as a source of yield, pushing major indices to record levels. As stock prices continued to move higher, investors soon became wary of stretched valuations and a new theme emerged. Stocks that had experienced significant price appreciation in 2013, particularly growth and momentum names, broadly declined as investors fled to stocks with cheaper valuations. This rotation resulted in the strongest performers of 2013 struggling most in 2014, and vice versa. Especially hard hit were U.S. small cap and European stocks, where earnings growth had not kept pace with recent market gains. In contrast, emerging market stocks benefited from the trend after having suffered heavy selling pressure earlier in the year.

However, asset prices tend to be more vulnerable to bad news when investors believe valuations are high. Consequently, markets came under pressure in July as geopolitical turmoil intensified in Gaza, Iraq and Ukraine and financial troubles boiled over in Argentina and Portugal. Investors regained confidence in August and, although volatility ticked up, markets rebounded as low rates and an improving U.S. economy trumped full valuations and lingering geopolitical risks. Concurrently, a slowdown in Europe’s recovery fueled hopes for further monetary accommodation from the European Central Bank, driving global equities higher. Additionally, lower yields on European sovereign bonds made U.S. Treasuries more appealing by comparison, contributing to the persistence of low rates in the United States.

Despite a host of challenges, most asset classes generated solid returns for the six- and 12-month periods ended August 31, 2014, with equities generally outperforming fixed income. Emerging market equities delivered impressive gains. Developed markets also performed well, although the expensive U.S. small cap stocks lagged in 2014. Most fixed income assets produced positive results even as the Fed reduced its open-market purchases. Tax-exempt municipal bonds benefited from a favorable supply-and-demand environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic lows.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s world.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Asset prices pushed higher over the period despite modest global growth, geopolitical risks and a shift toward tighter U.S. monetary policy.

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2014  
    6-month     12-month  

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

    8.84     25.25

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

    (0.06     17.68   

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

    1.24        16.44   

Emerging market equities (MSCI Emerging
Markets Index)

    14.52        19.98   

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

    0.02        0.05   

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

    4.35        7.07   

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

    2.74        5.66   

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

    4.21        10.55   

U.S. high yield bonds

(Barclays U.S.
Corporate High Yield 2%
Issuer Capped Index)

    2.89        10.57   
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 August 31, 2014      

Municipal Market Conditions

The latter part of 2013 was a challenging period for municipal bond performance. Heightened uncertainty as to when the U.S. Federal Reserve would begin to reduce its bond-buying stimulus program (and by how much) caused interest rates to be volatile and generally move higher. (Bond prices fall as rates rise.) Municipal bond mutual funds saw strong outflows through year end when the Fed finally announced its plan to begin the gradual reduction of stimulus in January 2014. Relieved of anxiety around policy changes, investors again sought the relative safety of municipal bonds in the new year. Surprisingly, interest rates trended lower in the first half of 2014 even as the Fed pulled back on its open-market bond purchases. Softer U.S. economic data amid one of the harshest winters on record, coupled with reassurance from the Fed that short-term rates would remain low for a considerable amount of time, resulted in stronger demand for fixed income investments, with municipal bonds being one of the stronger performing sectors. Still, for the 12-month period ended August 31, 2014, municipal bond funds saw net outflows of approximately $11 billion (based on data from the Investment Company Institute).

High levels of interest rate volatility in the latter half of 2013, particularly on the long end of the curve, resulted in a curtailment of tax-exempt issuance during the period. However, from a historical perspective, total new issuance for the 12 months ended August 31 remained relatively strong at $305 billion (but meaningfully lower than the $354 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 40%) as issuers took advantage of lower interest rates to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of August 31, 2014

  6 months :   4.21%

12 months :   10.55%

A Closer Look at Yields

 

LOGO

From August 31, 2013 to August 31, 2014, muni yields on AAA-rated 30-year municipal bonds decreased by 142 basis points (“bps”) from 4.45% to 3.03%, while 10-year rates decreased 87 bps from 2.94% to 2.07% and 5-year rates fell 44 bps from 1.52% to 1.08% (as measured by Thomson Municipal Market Data). Overall, the municipal yield curve remained relatively steep over the 12-month period even as the spread between 2- and 30-year maturities flattened by 129 bps and the spread between 2- and 10-year maturities flattened by 74 bps.

During the same time period, U.S. Treasury rates fell by 62 bps on 30-year and 45 bps on 10-year bonds, while moving up 1 bp in 5-years. Accordingly, tax-exempt municipal bonds outperformed Treasuries across the yield curve as investors sought to reduce interest rate risk later in the period. On the short and intermediate parts of the curve, the outperformance of municipal bonds versus Treasuries was driven largely by a supply/demand imbalance within the municipal market and a rotation from long-duration assets into short- and intermediate-duration investments, which are less sensitive to interest rate movements. Additionally, municipal bonds benefited from the increased appeal of tax-exempt investing in the new higher tax rate environment. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise. The municipal market continues to be an attractive avenue for investors seeking yield in the low-rate environment. However, opportunities have not been as broad-based as in 2011 and 2012, warranting a more tactical approach going forward.

Financial Conditions of Municipal Issuers Continue to Improve

Following an extended period of nation-wide austerity and de-leveraging as states sought to balance their budgets, 16 consecutive quarters of positive revenue growth coupled with the elimination of more than 750,000 jobs in recent years have put state and local governments in a better financial position. Many local municipalities, however, continue to face increased health care and pension 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, appropriate structure and security selection remain imperative amid uncertainty in a modestly improving 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    ANNUAL REPORT    AUGUST 31, 2014   


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.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which will be based on short-term interest rates, will normally be lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the 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.

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

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trust’s return on assets purchased with leverage proceeds, income to shareholders will be lower than if the Trust had not used leverage. Furthermore, the value of the Trust’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trust’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trust’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, the Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit the Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. The 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.

To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOBs”) as described in the Notes to Financial Statements.

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

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

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments, including financial futures contracts, as specified in Note 4 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 and/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.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    5


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 21.68% based on market price and 20.39% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 17.50% based on market price and 18.73% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Trust’s duration exposure (sensitivity to interest rate movements) contributed positively to performance as municipal interest rates declined during the period (Bond prices rise when rates fall). The Trust’s exposure to long-maturity bonds also benefited performance given that the yield curve flattened, with yields falling more significantly for bonds in the 20- to 30-year maturity range than for intermediate- and short-term bonds. The income generated from coupon payments on the Trust’s portfolio of Maryland tax-exempt bonds also contributed to performance.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

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

   BZM

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of August 31, 2014 ($14.59)1

   4.89%

Tax Equivalent Yield2

   9.17%

Current Monthly Distribution per Common Share3

   $0.0595

Current Annualized Distribution per Common Share3

   $0.7140

Economic Leverage as of August 31, 20144

   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 and state tax rate of 46.65%, 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    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock Maryland Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 14.59      $ 12.66        15.24   $ 14.96      $ 11.86   

Net Asset Value

  $ 15.20      $ 13.33        14.03   $ 15.20      $ 13.22   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

Health

    20     17

Education

    20        17   

Transportation

    19        19   

County/City/Special District/School District

    17        16   

Housing

    14        15   

Utilities

    7        12   

Corporate

    2        1   

State

    1        3   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    15     15

AA/Aa

    36        40   

A

    23        20   

BBB/Baa

    11        11   

BB/Ba

    1        1   

N/R2

    14        13   

 

  1   

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $1,108,290 and $1,029,490, each representing 2%, respectively, of the Trust’s long-term investments.

 
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    6

2015

    6   

2016

      

2017

    3   

2018

    8   

 

  3   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    7


Table of Contents
Trust Summary as of August 31, 2014    BlackRock Massachusetts Tax-Exempt Trust

 

Trust Overview

BlackRock Massachusetts 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 Massachusetts tax-exempt obligations (including bonds, notes and capital lease obligations). The Trust invests, under normal market conditions, 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 12-month period ended August 31, 2014, the Trust returned 22.42% based on market price and 20.47% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 17.50% based on market price and 18.73% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities). In this environment, the Trust’s duration (interest rate sensitivity) had a positive impact on performance (Bond prices rise when rates fall). The Trust’s longer-dated holdings in the health care, education and transportation sectors were particularly strong contributors to performance.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE MKT

   MHE

Initial Offering Date

   July 23, 1993

Yield on Closing Market Price as of August 31, 2014 ($13.75)1

   5.45%

Tax Equivalent Yield2

   10.16%

Current Monthly Distribution per Common Share3

   $0.0625

Current Annualized Distribution per Common Share3

   $0.7500

Economic Leverage as of August 31, 20144

   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 and state tax rate of 46.37%, 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 as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares, 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    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock Massachusetts Tax-Exempt  Trust

 

 

Market Price and Net Asset Value Per Share Summary                              
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 13.75      $ 11.91        15.45   $ 15.00      $ 11.35   

Net Asset Value

  $ 14.02      $ 12.34        13.61   $ 14.02      $ 12.22   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

Education

    49     53

Health

    16        21   

State

    13        16   

Transportation

    13        4   

Housing

    7        6   

County/City/Special District/School District

    2          
Credit Quality Allocation1                
      8/31/14      8/31/13  

AAA/Aaa

     11      7

AA/Aa

     55         52   

A

     27         32   

BBB/Baa

     7         9   

 

  1   

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

Call/Maturity Schedule2       

Calendar Year Ended December 31,

 

2014

    1

2015

    11   

2016

    2   

2017

    11   

2018

    6   

 

  2   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    9


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 15.15% based on market price and 21.74% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 15.52% based on market price and 19.01% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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  

Tax-exempt rates declined during the period, supporting generally positive performance for municipal bonds (Bond prices rise when rates fall). Municipal bonds with longer durations (and greater sensitivity to interest rate movements) tended to provide the strongest returns. In this environment, The Trust’s exposure to the long end of the yield curve was a significant contributor to total return. This positioning allowed the Trust to maximize its income and also benefit from the flattening of the yield curve (wherein longer dated yields declined more than shorter maturity yields). Exposure to lower-coupon and zero-coupon bonds also drove returns, as these securities generated strong price performance due to their relatively long durations for their respective maturities.

 

Ÿ  

The Trust’s holdings in the health care, education and transportation sectors, which were among the market’s better performing sectors in the period, contributed positively to performance. The Trust’s significant exposure to A rated bonds had a positive impact on results, as bonds in this credit tier generally outperformed. Additionally, the Trust benefited from income generated from coupon payments on its municipal bond holdings. The use of leverage allowed the Trust to enhance its level of income.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE

   MHN

Initial Offering Date

   September 19, 1997

Yield on Closing Market Price as of August 31, 2014 ($13.64)1

   6.07%

Tax Equivalent Yield2

   12.28%

Current Monthly Distribution per Common Share3

   $0.069

Current Annualized Distribution per Common Share3

   $0.828

Economic Leverage as of August 31, 20144

   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 and state tax rate of 50.59%, 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    ANNUAL REPORT    AUGUST 31, 2014   


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

 

 

Market Price and Net Asset Value Per Share Summary
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 13.64      $ 12.65        7.83   $ 13.91      $ 12.00   

Net Asset Value

  $ 14.98      $ 13.14        14.00   $ 14.98      $ 13.00   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

County/City/Special District/School District

    25     27

Transportation

    24        25   

Education

    17        17   

State

    12        11   

Utilities

    10        7   

Health

    6        6   

Housing

    4        5   

Corporate

    2        2   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    15     15

AA/Aa

    63        47   

A

    19        33   

BBB/Baa

    2        3   

BB/Ba

    1        1   

N/R2

    3       1   

 

  1  

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $1,044,390 and $2,043,158, each representing less than 1%, respectively, of the Trust’s long-term investments.

 

  3   

Representing less than 1% of the Trust’s long-term investments.

Call/Maturity Schedule4       

Calendar Year Ended December 31,

 

2014

    9

2015

    9   

2016

    7   

2017

    11   

2018

    9   

 

  4   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    11


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 15.51% based on market price and 22.83% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 15.33% based on market price and 20.06% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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 municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities). In this environment, the Trust’s duration (interest rate sensitivity) had a positive impact on performance (Bond prices rise when rates fall). The Trust’s longer-dated holdings in the health care, education and transportation sectors were particularly strong contributors to performance.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE MKT

  BLJ

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of August 31, 2014 ($14.68)1

  6.09%

Tax Equivalent Yield2

  11.82%

Current Monthly Distribution per Common Share3

  $0.0745

Current Annualized Distribution per Common Share3

  $0.8940

Economic Leverage as of August 31, 20144

  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 and state tax rate of 48.48%, 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.

 

                
12    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock New Jersey Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary      
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 14.68      $ 13.54        8.42   $ 15.45      $ 12.88   

Net Asset Value

  $ 16.29      $ 14.13        15.29   $ 16.29      $ 13.99   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments

 

Sector Allocation              
     8/31/14     8/31/13  

Transportation

    26     23

State

    21        19   

Education

    19        18   

County/City/Special District/School District

    14        14   

Health

    8        9   

Corporate

    6        9   

Housing

    5        7   

Utilities

    1        1   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    8     9

AA/Aa

    39        38   

A

    34        36   

BBB/Baa

    8        6   

BB/Ba

    5        4   

B

    3        4   

N/R2

    3        3   

 

  1  

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investm nts and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $1,587,510, representing 3%, and $980,770, representing 2%, respectively, of the Trust’s long-term investments.

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    2

2015

      

2016

    1   

2017

    2   

2018

    13   

 

  3   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    13


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 18.16% based on market price and 25.66% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 15.52% based on market price and 19.01% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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  

Tax-exempt rates declined during the period, supporting generally positive performance for municipal bonds (Bond prices rise when rates fall). Municipal bonds with longer durations (and greater sensitivity to interest rate movements) tended to provide the strongest returns. In this environment, The Trust’s exposure to the long end of the yield curve was a significant contributor to total return. This positioning allowed the Trust to maximize its income and also benefit from the flattening of the yield curve (wherein longer dated yields declined more than shorter maturity yields). Exposure to lower-coupon and zero-coupon bonds also drove returns, as these securities generated strong price performance due to their relatively long durations for their respective maturities.

 

Ÿ  

The Trust’s holdings in the health care, corporate and transportation sectors, which were among the market’s better performing sectors in the period, contributed positively to performance. The Trust’s significant exposure to A rated bonds had a positive impact on results, as bonds in this credit tier generally outperformed. Additionally, the Trust benefited from income generated from coupon payments on its municipal bond holdings. The use of leverage allowed the Trust to enhance its level of income.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE

   BQH

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of August 31, 2014 ($13.86)1

   5.76%

Tax Equivalent Yield2

   11.66%

Current Monthly Distribution per Common Share3

   $0.0665

Current Annualized Distribution per Common Share3

   $0.7980

Economic Leverage as of August 31, 20144

   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 and state tax rate of 50.59%, 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.

 

                
14    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock New York Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 13.86      $ 12.45        11.33   $ 14.12      $ 12.09   

Net Asset Value

  $ 15.77      $ 13.32        18.39   $ 15.77      $ 13.19   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

County/City/Special District/School District

    25     28

Education

    22        21   

Health

    13        14   

Transportation

    12        10   

Utilities

    9        8   

Corporate

    8        10   

State

    6        4   

Housing

    5        5   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    14     14

AA/Aa

    43        37   

A

    26        31   

BBB/Baa

    7        8   

BB/Ba

    2        2   

N/R2

    8        8   

 

  1  

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $1,632,166, representing 2%, and $487,168 representing 1%, respectively, of the Trust’s long-term investments.

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    6

2015

    2   

2016

    4   

2017

    6   

2018

    4   

 

  3   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    15


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 15.99% based on market price and 22.65% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 15.52% based on market price and 19.01% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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  

Tax-exempt rates declined during the period, supporting generally positive performance for municipal bonds (Bond prices rise when rates fall). Municipal bonds with longer durations (and greater sensitivity to interest rate movements) tended to provide the strongest returns. In this environment, the Trust’s exposure to the long end of the yield curve was a significant contributor to total return. This positioning allowed the Trust to maximize its income and also benefit from the flattening of the yield curve (wherein longer dated yields declined more than shorter maturity yields). Exposure to lower-coupon and zero-coupon bonds also drove returns, as these securities generated strong price performance due to their relatively long durations for their respective maturities.

 

Ÿ  

The Trust’s holdings in the health care, education and transportation sectors, which were among the market’s better performing sectors in the period, contributed positively to performance. The Trust’s significant exposure to A rated bonds had a positive impact on results, as bonds in this credit tier generally outperformed. Additionally, the Trust benefited from income generated from coupon payments on its municipal bond holdings. The use of leverage allowed the Trust to enhance its level of income.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE

  BSE

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of August 31, 2014 ($13.16)1

  5.70%

Tax Equivalent Yield2

  11.54%

Current Monthly Distribution per Common Share3

  $0.0625

Current Annualized Distribution per Common Share3

  $0.7500

Economic Leverage as of August 31, 20144

  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 and state tax rate of 50.59%, 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.

 

                
16    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock New York Municipal Income Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 13.16      $ 12.05        9.21   $ 13.40      $ 11.58   

Net Asset Value

  $ 14.92      $ 12.92        15.48   $ 14.92      $ 12.77   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

County/City/Special District/School District

    24     28

Education

    21        23   

Transportation

    19        19   

Utilities

    14        11   

Health

    10        9   

State

    9        8   

Housing

    2        1   

Corporate

    1        1   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    19     15

AA/Aa

    54        50   

A

    23        28   

BBB/Baa

    1        3   

BB/Ba

           2   

B

    2          

N/R2

    1        2   

 

  1  

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $1,566,585, representing 1%, and $3,000,060 representing 2%, respectively, of the Trust’s long-term investments.

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    6

2015

    4   

2016

    1   

2017

    8   

2018

    9   

 

  3   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    17


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 18.80% based on market price and 24.75% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 15.52% based on market price and 19.01% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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  

Tax-exempt rates declined during the period, supporting generally positive performance for municipal bonds (Bond prices rise when rates fall). Municipal bonds with longer durations (and greater sensitivity to interest rate movements) tended to provide the strongest returns. In this environment, The Trust’s exposure to the long end of the yield curve was a significant contributor to total return. This positioning allowed the Trust to maximize its income and also benefit from the flattening of the yield curve (wherein longer dated yields declined more than shorter maturity yields). Exposure to lower-coupon and zero-coupon bonds also drove returns, as these securities generated strong price performance due to their relatively long durations for their respective maturities.

 

Ÿ  

The Trust’s holdings in the health care, corporate and transportation sectors, which were among the market’s better performing sectors in the period, contributed positively to performance. The Trust’s significant exposure to A-rated bonds had a positive impact on results, as bonds in this credit tier generally outperformed. Additionally, the Trust benefited from income generated from coupon payments on its municipal bond holdings. The use of leverage allowed the Trust to enhance its level of income.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE MKT

   BFY

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of August 31, 2014 ($14.02)1

   5.99%

Tax Equivalent Yield2

   12.12%

Current Monthly Distribution per Common Share3

   $0.07

Current Annualized Distribution per Common Share3

   $0.84

Economic Leverage as of August 31, 20144

   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 and state tax rate of 50.59%, 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.

 

                
18    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock New York Municipal Income Trust II

 

 

Market Price and Net Asset Value Per Share Summary
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 14.02      $ 12.56        11.62   $ 14.29      $ 12.16   

Net Asset Value

  $ 15.66      $ 13.36        17.22   $ 15.66      $ 13.23   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

County/City/Special District/School District

    23     23

Education

    16        13   

Transportation

    14        11   

Health

    13        18   

Utilities

    10        8   

State

    9        10   

Corporate

    8        10   

Housing

    7        7   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    16     13

AA/Aa

    39        33   

A

    30        34   

BBB/Baa

    5        7   

BB/Ba

    2        4   

N/R2

    8        9   

 

  1  

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $3,899,548, representing 3%, and $4,256,744, representing 4%, respectively, of the Trust’s long-term investments.

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    3

2015

    6   

2016

    5   

2017

    10   

2018

    4   

 

  3   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    19


Table of Contents
Trust Summary as of August 31, 2014    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 12-month period ended August 31, 2014, the Trust returned 16.06% based on market price and 20.31% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 17.50% based on market price and 18.73% 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 duration exposure (sensitivity to interest rate movements) contributed positively to performance as municipal interest rates declined during the period (Bond prices rise when rates fall). The Trust’s exposure to long-maturity bonds also benefited performance given that the yield curve flattened, with yields falling more significantly for bonds in the 20- to 30-year maturity range than for intermediate- and short-term bonds. The income generated from coupon payments on the Trust’s portfolio of Virginia tax-exempt bonds also contributed to performance.

 

Ÿ  

During the period, there were no material detractors from the Trust’s performance.

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

 

Trust Information

 

Symbol on NYSE MKT

  BHV

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of August 31, 2014 ($16.35)1

  5.25%

Tax Equivalent Yield2

  9.84%

Current Monthly Distribution per Common Share3

  $0.0715

Current Annualized Distribution per Common Share3

  $0.8580

Economic Leverage as of August 31, 20144

  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 and state tax rate of 46.65%, 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    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
     BlackRock Virginia Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary
     8/31/14     8/31/13     Change     High     Low  

Market Price

  $ 16.35      $ 14.91        9.66   $ 17.10      $ 14.15   

Net Asset Value

  $ 15.95      $ 14.03        13.68   $ 15.95      $ 13.92   

 

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

 

LOGO

 

Overview of the Trust’s Long-Term Investments
Sector Allocation              
     8/31/14     8/31/13  

Health

    23     20

Education

    18        18   

County/City/Special District/School District

    16        9   

Transportation

    15        15   

Housing

    11        12   

State

    6        9   

Utilities

    6        9   

Corporate

    5        8   
Credit Quality Allocation1              
     8/31/14     8/31/13  

AAA/Aaa

    21     20

AA/Aa

    47        45   

A

    13        15   

BBB/Baa

    7        7   

N/R2

    12        13   

 

  1  

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of August 31, 2014 and August 31, 2013, the market value of unrated securities deemed by the investment advisor to be investment grade was $2,784,940 and $2,638,768, each representing 7%, respectively, of the Trust’s long-term investments.

Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2014

    7

2015

      

2016

    1   

2017

    4   

2018

    19   

 

  3   

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    21


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Maryland — 131.8%

                

Corporate — 2.7%

  

Maryland EDC, Refunding RB:

    

CNX Marine Terminals, Inc., 5.75%, 9/01/25

   $ 500      $ 550,085   

Potomac Electric Power Co., 6.20%, 9/01/22

     250        299,577   
    

 

 

 
               849,662   

County/City/Special District/School District — 26.4%

  

City of Annapolis Maryland, Tax Allocation, Park Place Project, Series A, 5.35%, 1/01/15 (a)

     466        478,782   

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

     923        925,271   

County of Anne Arundel Maryland Consolidated Special Taxing District, 5.25%, 7/01/44 (b)

     250        250,745   

County of Anne Arundel Maryland Consolidated Special Taxing District, Refunding, Special Tax, The Villages of Dorchester and Farmington Project, 5.00%, 7/01/32

     500        560,205   

County of Frederick Maryland, GO, Series A, 5.00%, 8/01/24

     375        469,841   

County of Frederick Maryland, RB, Jefferson Technology Park Project, Series B, 7.13%, 7/01/43

     250        275,208   

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

     400        464,448   

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

     1,500        1,509,825   

State of Maryland, GO, Refunding, State & Local Facilities Loan, 3rd Series C, 5.00%, 11/01/20

     500        605,890   

State of Maryland, GO, State & Local Facilities Loan:

    

1st Series B, 5.00%, 3/15/19 (a)

     250        294,825   

2nd Series B, 3.00%, 8/01/27

     2,425        2,484,946   
    

 

 

 
               8,319,986   

Education — 30.2%

  

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

    

4.00%, 9/01/27

     510        547,434   

3.25%, 9/01/28

     360        360,745   

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

     1,000        1,060,450   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

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

     1,000        1,099,850   

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

     1,000        1,198,980   

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

     500        522,575   

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

     900        983,754   

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

     500        555,550   

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

     1,000        1,059,980   
Municipal Bonds   

Par  

(000)

    Value  

Maryland (continued)

                

Education (concluded)

  

Maryland Industrial Development Financing Authority, RB, Our Lady of Good Counsel School, Series A, 6.00%, 5/01/15 (a)

   $ 1,000      $ 1,037,690   

University System of Maryland, RB, Auxiliary Facility and Tuition, Series A, 5.00%, 4/01/24

     400        500,464   

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

     500        609,935   
    

 

 

 
               9,537,407   

Health — 31.6%

    

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

     250        281,087   

County of Howard Maryland, RB, Series A, 5.00%, 6/01/44

     550        589,897   

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

     550        516,725   

County of Howard Maryland, Tax Allocation Bonds, Annapolis Junction Town Center Project, 6.10%, 2/15/44

     250        267,990   

County of Montgomery Maryland, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/40

     1,000        1,097,340   

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

     1,000        1,098,830   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

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

     500        566,015   

Anne Arundel Health System, 5.00%, 7/01/40

     1,000        1,058,880   

Charlestown Community Project, 6.25%, 1/01/41

     1,000        1,108,290   

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

     1,250        1,240,450   

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

     1,000        1,063,470   

University of Maryland Medical System, Series A, 5.00%, 7/01/43

     1,000        1,088,060   
    

 

 

 
               9,977,034   

Housing — 15.0%

    

Maryland Community Development Administration, HRB:

    

Series A, 4.05%, 7/01/42

     1,220        1,244,022   

Series H, AMT, 5.10%, 9/01/37

     1,000        1,021,670   

Maryland Community Development Administration, RB, Residential:

    

5.05%, 9/01/39

     500        524,155   

4.75%, 9/01/39

     150        155,587   

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

     1,645        1,780,318   
    

 

 

 
               4,725,752   

 

Portfolio Abbreviations

 

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

 

See Notes to Financial Statements.

 

                
22    ANNUAL REPORT    AUGUST 31, 2014   


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)

                

Transportation — 15.0%

    

Maryland EDC, RB:

    

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

   $ 500      $ 535,925   

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

     500        535,925   

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

     1,000        1,113,570   

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

     1,925        2,014,590   

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

     445        516,151   
    

 

 

 
               4,716,161   

Utilities — 10.9%

    

City of Baltimore Maryland, RB:

    

Wastewater Project, Series C, 5.00%, 7/01/38

     1,000        1,139,940   

Water Project, Series A, 5.00%, 7/01/43

     1,000        1,134,770   

County of Montgomery Maryland, RB, Water Quality Protection Charge, Series A:

    

5.00%, 4/01/31

     500        579,355   

5.00%, 4/01/32

     500        577,840   
    

 

 

 
               3,431,905   
Total Municipal Bonds in Maryland        41,557,907   
    

District of Columbia — 3.6%

                

Transportation — 3.6%

  

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

     1,000        1,147,420   
    

Guam — 2.3%

                

State — 2.3%

  

Territory of Guam, RB, Series A:

    

Business Privilege Tax Bonds, 5.13%, 1/01/42

     250        267,720   

Limited Obligation Bonds, Section 30, 5.63%, 12/01/29

     410        452,919   
Total Municipal Bonds in Guam              720,639   
Municipal Bonds    Par  
(000)
    Value  

Multi-State — 6.4%

                

Housing — 6.4%

  

Centerline Equity Issuer Trust, Series B-2, 7.20%, 11/15/14 (c)(d)

   $ 2,000      $ 2,020,560   
Total Municipal Bonds — 144.1%              45,446,526   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
       

Maryland — 10.6%

                

Transportation — 10.6%

    

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

     3,000        3,339,750   
Total Long-Term Investments
(Cost — $46,627,067) — 154.7%
             48,786,276   
    
                  
Short-Term Securities    Shares         

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

     23,789        23,789   
Total Short-Term Securities
(Cost — $23,789) — 0.1%
        23,789   
Total Investments (Cost — $46,650,856) — 154.8%        48,810,065   
Other Assets Less Liabilities — 0.7%        224,794   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (4.8)%

   

    (1,500,283
VRDP Shares, at Liquidation Value — (50.7)%        (16,000,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 31,534,576   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Stifel, Nicolaus & Co.

     $ 250,745         $ 745   

 

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

 

(d)   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)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(f)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       421,659           (397,870        23,789         $ 306   

 

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    23


Table of Contents

Schedule of Investments (concluded)

   BlackRock Maryland Municipal Bond Trust (BZM)

 

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (17   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 2,138,281      $ (3,610

 

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 rating group indexes, and/or as defined by the investment advisor. 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 or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 48,786,276              $ 48,786,276   

Short-Term Securities

  $ 23,789                          23,789   
 

 

 

 

Total

  $ 23,789         $ 48,786,276              $ 48,810,065   
 

 

 

 

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

  $ (3,610                     $ (3,610

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 41,000                        $ 41,000   

Liabilities:

                

TOB trust certificates

            $ (1,500,000             (1,500,000

VRDP Shares

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

 

 

 

Total

  $ 41,000         $ (17,500,000           $ (17,459,000
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
24    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Massachusetts — 153.1%

                

County/City/Special District/School District — 3.5%

    

Town of Holyoke Massachusetts, GO, Refunding, 5.00%, 9/01/26

   $ 1,000      $ 1,173,490   

Education — 74.9%

    

Massachusetts Development Finance Agency, RB:

    

Boston University, Series T-1 (AMBAC), 5.00%, 10/01/39

     1,000        1,037,810   

Foxborough Regional Charter School, Series A, 7.00%, 7/01/42

     250        282,855   

Mount Holyoke College, Series B, 5.00%, 7/01/41

     500        545,875   

Smith College, 5.00%, 7/01/35

     2,000        2,064,260   

Wellesley College, Series J, 5.00%, 7/01/42

     1,950        2,195,895   

WGBH Educational Foundation, Series A (AMBAC), 5.75%, 1/01/42

     650        809,172   

Massachusetts Development Finance Agency, Refunding RB:

    

Boston University, Series P, 5.45%, 5/15/59

     1,500        1,765,095   

Clark University (Syncora), 5.13%, 10/01/35

     500        518,750   

Emerson College, Series A, 5.00%, 1/01/40

     200        210,896   

Trustees of Deerfield Academy, 5.00%, 10/01/40

     1,675        1,867,022   

Wheelock College, Series C, 5.25%, 10/01/37

     1,000        1,029,210   

Williston Northampton School Project (Syncora), 5.00%, 10/01/25

     500        509,340   

Worcester Polytechnic Institute (NPFGC), 5.00%, 9/01/27

     1,985        2,180,880   

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/27

     1,000        1,109,890   

Massachusetts Health & Educational Facilities Authority, RB:

    

Northeastern University, Series R, 5.00%, 10/01/33

     225        250,085   

Tufts University, Series O, 5.38%, 8/15/38

     1,000        1,138,930   

Massachusetts Health & Educational Facilities Authority, Refunding RB:

    

Berklee College of Music, Series A, 5.00%, 10/01/37

     1,000        1,096,740   

Harvard University, Series A, 5.50%, 11/15/36

     100        116,513   

Harvard University, Series B, 5.00%, 10/01/38

     400        447,020   

Northeastern University, Series T-1, 5.00%, 10/01/31

     500        561,410   

Northeastern University, Series T-2, 5.00%, 10/01/32

     500        557,645   

Springfield College, 5.63%, 10/15/40

     500        539,470   

Tufts University, Series M, 5.50%, 2/15/27

     1,000        1,289,230   

Massachusetts State College Building Authority, RB, Series A (AMBAC), 5.00%, 5/01/16 (a)

     1,000        1,078,390   

Massachusetts State College Building Authority, Refunding RB, Series B (Syncora), 5.50%, 5/01/39

     825        1,063,532   

University of Massachusetts Building Authority, RB, Senior-Series 2, 5.00%, 11/01/39

     500        563,865   
    

 

 

 
               24,829,780   

Health — 24.5%

    

Massachusetts Development Finance Agency, RB, 1st Mortgage, Edgecombe Project, Series A, 6.75%, 7/01/21

     660        661,676   

Massachusetts Development Finance Agency, Refunding RB:

    

Carleton-Willard Village, 5.63%, 12/01/30

     500        541,090   

Partners Healthcare System, Series L, 5.00%, 7/01/36

     1,000        1,127,400   

Seven Hills Foundation & Affiliates (Radian), 5.00%, 9/01/35

     240        240,838   

Massachusetts Health & Educational Facilities Authority, RB:

    

Cape Cod Healthcare Obligated Group, Series D (AGC), 5.00%, 11/15/31

     1,000        1,111,580   

Caregroup, Series E-1, 5.00%, 7/01/28

     500        527,990   
Municipal Bonds    Par  
(000)
    Value  

Massachusetts (concluded)

                

Health (concluded)

    

Massachusetts Health & Educational Facilities Authority, RB (concluded):

    

Children’s Hospital, Series M, 5.25%, 12/01/39

   $ 600      $ 682,662   

Children’s Hospital, Series M, 5.50%, 12/01/39

     500        574,485   

Lahey Clinic Medical Center, Series D, 5.25%, 8/15/37

     1,000        1,053,990   

Southcoast Health Obligation Group, Series D, 5.00%, 7/01/39

     500        530,580   

Massachusetts Health & Educational Facilities Authority, Refunding RB, Winchester Hospital, Series H, 5.25%, 7/01/38

     1,000        1,071,450   
    

 

 

 
               8,123,741   

Housing — 11.3%

    

Massachusetts HFA, RB, M/F Housing, Series A (FHA), 5.25%, 12/01/35

     185        202,036   

Massachusetts HFA, Refunding RB, AMT:

    

Series C, 5.00%, 12/01/30

     490        510,590   

Series C, 5.35%, 12/01/42

     2,000        2,081,100   

Series F, 5.70%, 6/01/40

     910        954,308   
    

 

 

 
               3,748,034   

State — 19.8%

    

Massachusetts Bay Transportation Authority, Refunding RB, Senior Series A, 5.25%, 7/01/29

     730        940,766   

Massachusetts School Building Authority, RB:

    

Dedicated Sales Tax, Senior, Series A, 5.00%, 5/15/43

     500        568,740   

Dedicated Sales Tax, Series A (AGM), 5.00%, 8/15/15 (a)

     1,000        1,046,640   

Senior Series B, 5.00%, 10/15/41

     1,000        1,137,560   

Massachusetts State College Building Authority, RB, Series A, 5.50%, 5/01/39

     2,500        2,858,400   
    

 

 

 
               6,552,106   

Transportation — 19.1%

    

Commonwealth of Massachusetts, RB, Series A, 5.00%, 6/15/27

     1,000        1,191,780   

Commonwealth of Massachusetts, Refunding RB, Series A, 5.00%, 6/01/38

     500        565,615   

Massachusetts Department of Transportation, Refunding RB, Senior Series B:

    

5.00%, 1/01/32

     1,120        1,237,264   

5.00%, 1/01/37

     1,000        1,092,790   

Massachusetts Port Authority, RB, Series A, AMT, 5.00%, 7/01/42

     1,000        1,091,270   

Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 7/01/36

     1,000        1,153,590   
    

 

 

 
               6,332,309   

Total Municipal Bonds

(Cost — $46,788,519) — 153.1%

  

  

    50,759,460   
    
   
Short-Term Securities    Shares         

BIF Massachusetts Municipal Money Fund, 0.00% (b)(c)

     291,104        291,104   
Total Short-Term Securities
(Cost — $291,104) — 0.9%
        291,104   
Total Investments (Cost — $47,079,623) — 154.0%        51,050,564   
Other Assets Less Liabilities — 1.8%        588,500   
VRDP Shares, at Liquidation Value — (55.8)%        (18,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 33,139,064   
    

 

 

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    25


Table of Contents

Schedule of Investments (concluded)

  

BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

 

Notes to Schedule of Investments

 

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

 

(b)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income  

BIF Massachusetts Municipal Money Fund

       5           291,099           291,104             

 

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

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (22   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 2,767,188      $ (4,671

 

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 rating group indexes, and/or as defined by the investment advisor. 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 or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 50,759,460              $ 50,759,460   

Short-Term Securities

  $ 291,104                          291,104   
 

 

 

 

Total

  $ 291,104         $ 50,759,460              $ 51,050,564   
 

 

 

 

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

  $ (4,671                     $ (4,671

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 16,250                        $ 16,250   

Cash pledged for financial futures contracts

    51,000                          51,000   

Liabilities:

                

VRDP Shares

            $ (18,500,000             (18,500,000
 

 

 

 

Total

  $ 67,250         $ (18,500,000           $ (18,432,750
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
26    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments August 31, 2014

  

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

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York — 136.6%

                

Corporate — 3.6%

  

City of New York New York Industrial Development Agency, Refunding RB, AMT:

    

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

   $ 1,500      $ 1,586,220   

Transportation Infrastructure Properties LLC, Series A, 5.00%, 7/01/28

     820        884,395   

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

     4,340        4,361,873   

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

     5,500        6,578,220   

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

     3,340        3,500,754   
    

 

 

 
               16,911,462   

County/City/Special District/School District — 35.0%

  

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

    

5.00%, 11/15/35

     19,150        19,893,977   

5.00%, 11/15/44

     5,605        5,832,395   

City of New York New York, GO:

    

Fiscal 2012, Sub-Series D-1, 5.00%, 10/01/33

     4,175        4,734,534   

Fiscal 2014, Sub-Series D-1, 15.00%, 8/01/31

     945        1,091,966   

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

     2,350        2,652,210   

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

     1,630        1,841,313   

City of New York New York, GO, Refunding:

    

Series E, 5.50%, 8/01/25

     5,500        6,807,570   

Series E, 5.00%, 8/01/30

     2,000        2,302,120   

Series E, 5.00%, 8/01/32

     2,000        2,302,580   

Series I, 5.00%, 8/01/32

     490        558,634   

City of New York New York Housing Development Corp., RB, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     6,505        7,611,696   

5.00%, 7/01/33

     1,375        1,558,521   

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/39 (b)

     1,380        475,672   

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

     800        932,416   

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

     3,500        3,593,765   

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

     6,640        6,789,466   

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

     2,200        2,252,228   

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

     9,500        9,690,475   

City of New York New York Transitional Finance Authority Future Tax Secured, RB:

    

(NPFGC), 5.00%, 2/01/33

     1,015        1,018,816   

Sub-Series A-1, 5.00%, 11/01/38

     950        1,081,718   

Sub-Series B-1, 5.00%, 11/01/35

     2,100        2,423,568   

Sub-Series B-1, 5.00%, 11/01/36

     1,690        1,942,773   

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

     180        180,711   

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

     1,000        1,103,570   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

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

  

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A, 5.25%, 5/01/31

   1,000      1,164,290   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     2,350        2,497,040   

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

     305        324,084   

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

     7,370        7,831,141   

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

     7,530        8,001,152   

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

     11,905        12,478,940   

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

     1,500        1,593,855   

New York Liberty Development Corp., Refunding RB:

    

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

     1,710        1,911,404   

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

     4,000        4,454,760   

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

     2,080        2,408,869   

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

     885        952,393   

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

     3,530        3,937,821   

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

    

5.25%, 10/15/27

     2,500        2,515,800   

5.00%, 10/15/32

     21,175        21,295,274   

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

     3,100        3,133,511   
    

 

 

 
               163,173,028   

Education — 22.6%

    

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

     4,975        5,263,998   

Build New York City Resource Corp., Refunding RB, Series A, 5.00%, 6/01/43 (c)

     450        508,932   

City of New York New York Trust for Cultural Resources, Refunding RB, Series A:

    

American Museum of National History, 5.00%, 7/01/37

     1,775        2,049,255   

American Museum of National History, 5.00%, 7/01/41

     750        858,375   

Carnegie Hall, 4.75%, 12/01/39

     3,150        3,312,634   

Carnegie Hall, 5.00%, 12/01/39

     1,850        1,973,820   

Wildlife Conservation Society, 5.00%, 8/01/42

     2,840        3,168,588   

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

     5,535        6,015,217   

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

     4,000        4,079,000   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     1,240        1,402,452   

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

    

5.00%, 12/01/29

     1,135        1,285,138   

5.00%, 12/01/36

     1,100        1,223,486   

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

    

5.00%, 7/01/37

     715        755,762   

5.00%, 7/01/42

     445        467,028   

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project:

    

6.00%, 9/01/34

     300        351,726   

5.38%, 9/01/41

     125        139,820   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    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 (continued)

                

Education (concluded)

    

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

    

5.50%, 7/01/33

   $ 500      $ 561,215   

5.25%, 7/01/36

     700        769,069   

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

     500        568,380   

Dobbs Ferry Local Development Corp., RB, Mercy College Project, 5.00%, 7/01/39

     750        833,025   

State of New York Dormitory Authority, RB:

    

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

     1,770        2,056,351   

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

     175        198,223   

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

     1,375        1,556,074   

General Purpose, Series A, 5.00%, 2/15/36

     4,500        5,106,915   

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

     1,000        1,064,380   

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

     3,500        4,554,655   

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

     400        453,104   

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

     3,000        3,354,000   

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

     2,000        2,237,540   

Siena College, 5.13%, 7/01/39

     1,345        1,440,213   

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

     750        849,082   

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

     1,500        1,641,855   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

     1,500        1,652,985   

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

     3,265        3,671,166   

State of New York Dormitory Authority, Refunding RB:

    

3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 5/15/29

     1,000        1,159,860   

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

     1,000        1,144,360   

Fordham University, 4.13%, 7/01/39

     740        763,510   

Fordham University, 5.00%, 7/01/44

     1,900        2,132,047   

New York University Mount Sinai School of Medicine (NPFGC), 5.00%, 7/01/35

     4,500        4,725,450   

New York University, Series A, 5.00%, 7/01/31

     3,000        3,420,720   

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

     4,180        4,728,750   

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

     3,300        3,451,338   

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

     500        551,725   

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

     750        825,967   

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

     1,550        1,626,539   

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

     370        423,983   

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

     500        568,625   

State University Dormitory Facilities, Series A, 5.25%, 7/01/31

     4,755        5,476,381   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     6,435        7,384,613   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

     1,490        1,670,201   
    

 

 

 
               105,477,532   

Health — 9.4%

    

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

     1,800        1,994,418   

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/34

     500        553,815   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Health (concluded)

    

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

   1,180      1,275,993   

County of Monroe New York Industrial Development Corp., Refunding RB:

    

Rochester General Hospital Project, Series B, 3.60%, 12/01/32

     795        787,400   

Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

     5,925        6,958,201   

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien, Remarketing, Series A, 5.00%, 11/01/30

     1,500        1,637,580   

State of New York Dormitory Authority, RB:

    

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

     2,250        2,530,958   

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

     5,500        6,024,315   

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

     1,000        1,013,270   

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

     2,680        3,015,375   

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

     1,800        2,029,608   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

     1,825        1,989,177   

North Shore-Long Island Jewish Obligated Group, Series C, 4.25%, 5/01/39

     1,000        1,032,350   

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

     685        707,160   

State of New York Dormitory Authority, Refunding RB:

    

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

     1,000        1,042,910   

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

     2,000        2,187,000   

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

     7,375        8,155,201   

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

     1,000        1,044,390   
    

 

 

 
               43,979,121   

Housing — 5.1%

    

City of New York New York Housing Development Corp., RB, M/F Housing, AMT:

    

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

     750        771,983   

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

     1,335        1,362,915   

Series C, 5.00%, 11/01/26

     1,250        1,271,788   

Series C, 5.05%, 11/01/36

     2,000        2,054,040   

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

     1,000        1,009,600   

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

     835        857,119   

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

     600        622,254   

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

     2,000        2,013,180   

State of New York HFA, RB:

    

Affordable Housing, Series E (SONYMA), 3.50%, 11/01/42

     4,225        4,121,149   

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

     1,000        1,009,770   

State of New York Mortgage Agency, RB, S/F Housing, 49th Series, 4.00%, 10/01/43

     2,000        2,045,780   

State of New York Mortgage Agency, Refunding RB:

    

48th Series, 3.70%, 10/01/38

     3,210        3,243,512   

S/F Housing, 143rd Series, AMT, 4.85%, 10/01/27

     1,085        1,135,941   

S/F Housing, 143rd Series, AMT (NPFGC), 4.85%, 10/01/27

     2,000        2,063,580   
    

 

 

 
               23,582,611   

 

See Notes to Financial Statements.

 

                
28    ANNUAL REPORT    AUGUST 31, 2014   


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 — 15.8%

  

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

    

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

   $ 1,510      $ 1,566,927   

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

     4,000        4,568,040   

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

     3,000        3,444,120   

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

     1,250        1,432,788   

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

     3,750        4,045,012   

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

     4,000        4,090,680   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

    

Series B, 5.00%, 11/15/34

     2,500        2,828,975   

Sub-Series B-1, 5.00%, 11/15/31

     4,000        4,597,840   

State of New York Dormitory Authority, RB:

    

General Purpose, Series B, 5.00%, 3/15/37

     3,000        3,367,920   

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

     5,000        5,563,500   

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

     2,645        3,020,934   

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

     250        278,530   

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

     4,500        5,018,760   

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

     2,500        2,747,400   

Series C, 5.00%, 12/15/31

     2,320        2,531,282   

State of New York Dormitory Authority, Refunding RB:

    

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

     5,000        5,574,050   

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

     450        494,532   

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

     2,000        2,007,680   

State of New York Thruway Authority, RB:

    

2nd General Highway & Bridge Trust, Series A (AMBAC), 5.00%, 4/01/26

     8,700        9,279,855   

2nd General Highway & Bridge Trust, Series B, 5.00%, 4/01/27

     1,000        1,106,790   

Transportation, Series A, 5.00%, 3/15/32

     2,740        3,150,315   

State of New York Thruway Authority, Refunding RB, 2nd General Highway & Bridge Trust, Series A, 5.00%, 4/01/32

     1,000        1,131,910   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series A, 3.50%, 3/15/28

     1,660        1,725,603   
    

 

 

 
               73,573,443   

Transportation — 33.2%

  

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     1,000        1,171,200   

Series A, 5.00%, 11/15/30

     5,500        6,319,335   

Series A-1, 5.25%, 11/15/33

     1,620        1,888,677   

Series A-1, 5.25%, 11/15/34

     1,620        1,878,844   

Series B, 5.25%, 11/15/44

     1,000        1,135,910   

Series C, 6.50%, 11/15/28

     6,015        7,324,044   

Series D, 5.25%, 11/15/41

     2,000        2,227,980   

Series E, 5.00%, 11/15/38

     8,750        9,724,400   

Series H, 5.00%, 11/15/25

     1,000        1,188,700   

Sub-Series B, 5.00%, 11/15/25

     1,000        1,197,360   

Metropolitan Transportation Authority, Refunding RB, Series D, 5.00%, 11/15/30

     885        1,010,166   

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

     11,500        13,102,525   

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

     1,600        1,731,584   

Port Authority of New York & New Jersey, ARB:

    

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

     2,500        2,532,750   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Transportation (concluded)

  

Port Authority of New York & New Jersey, ARB (concluded):

    

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

   2,500      2,853,750   

Consolidated, 183rd Series, 4.00%, 6/15/44

     7,750        8,003,657   

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

     7,830        8,147,037   

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

     4,000        4,007,520   

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

     19,725        19,847,689   

Port Authority of New York & New Jersey, Refunding ARB:

    

178th Series, AMT, 5.00%, 12/01/33

     1,000        1,123,550   

179th Series, 5.00%, 12/01/38

     1,390        1,581,834   

Consolidated, 146th Series, AMT (AGM), 4.50%, 12/01/34

     5,000        5,109,500   

Consolidated, 147th Series, AMT, 4.75%, 4/15/37

     2,250        2,316,510   

Consolidated, 177th Series, AMT, 4.00%, 1/15/43

     1,100        1,117,204   

Consolidated, 178th Series, AMT, 5.00%, 12/01/43

     750        823,935   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 177th Series, AMT, 3.50%, 7/15/35

     1,600        1,546,448   

State of New York Thruway Authority, Refunding RB:

    

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

     1,250        1,289,325   

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

     1,030        1,062,043   

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

     15,450        15,998,011   

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

     1,000        1,178,390   

General, Series I, 5.00%, 1/01/37

     5,635        6,270,121   

General, Series I, 5.00%, 1/01/42

     4,270        4,718,991   

Series F (AMBAC), 5.00%, 1/01/15 (d)

     3,330        3,385,145   

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

     1,670        1,692,278   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

General, CAB, Series B, 0.00%, 11/15/32 (b)

     7,400        3,795,534   

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

     1,000        1,136,760   

Series C, 5.00%, 11/15/38

     1,385        1,559,510   

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

     2,500        2,918,775   

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

     875        1,013,329   
    

 

 

 
               154,930,321   

Utilities — 11.9%

    

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

     3,500        3,719,345   

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

    

Series BB, 5.00%, 6/15/31

     1,000        1,137,770   

Series DD, 5.00%, 6/15/32

     5,750        6,424,302   

Series FF, 5.00%, 6/15/31

     1,500        1,711,020   

Long Island Power Authority, RB, Series A:

    

General, Electric Systems (AGM), 5.00%, 5/01/36

     2,375        2,576,400   

(AMBAC), 5.00%, 9/01/14 (d)

     3,000        3,000,810   

Long Island Power Authority, Refunding RB:

    

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

     1,000        1,158,880   

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

     1,500        1,767,075   

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

     3,500        3,707,445   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    29


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)

    

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

   $ 6,000      $ 6,025,260   

State of New York Environmental Facilities Corp., Refunding RB, Revolving Funds New York City Municipal Water, 2nd General Resolution, Series B, 5.00%, 6/15/36

     3,200        3,662,336   

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

     2,580        2,905,132   

Utility Debt Securitization Authority, Refunding RB, Restructuring, Series E, 5.00%, 12/15/41

     15,490        17,782,675   
    

 

 

 
               55,578,450   
Total Municipal Bonds in New York              637,205,968   
    

Guam — 0.3%

                

Utility — 0.3%

    

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

     1,175        1,268,189   
    

Puerto Rico — 0.7%

                

Housing — 0.7%

    

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

     3,300        3,456,915   
Total Municipal Bonds — 137.6%              641,931,072   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
            

New York — 22.6%

                

County/City/Special District/School District — 5.7%

  

 

City of New York New York, GO:

    

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

     10,000        11,768,200   

Sub-Series I-1, 5.00%, 3/01/36

     2,500        2,837,800   

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

     1,650        1,856,926   

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

     6,000        6,917,922   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     2,610        2,978,976   
    

 

 

 
               26,359,824   

Education — 4.8%

    

City of New York New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 8/01/33

     1,981        2,267,665   

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

    

5.25%, 7/01/29

     5,000        5,706,150   

5.00%, 7/01/35

     4,448        5,052,310   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

New York (concluded)

                

Education (concluded)

    

State of New York Dormitory Authority, RB:

    

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

   2,999      3,293,216   

Series A, 5.00%, 7/01/38

     5,498        6,138,632   
    

 

 

 
               22,457,973   

State — 3.2%

    

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

     5,000        5,830,900   

State of New York Dormitory Authority, RB, Series C:

    

General Purpose, 5.00%, 3/15/41

     2,500        2,771,550   

Mental Health Services Facilities, AMT (AGM), 5.40%, 2/15/33

     5,458        6,140,815   
    

 

 

 
               14,743,265   

Transportation — 5.6%

  

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

     7,002        7,543,053   

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

     8,005        9,221,980   

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

     8,500        9,359,945   
    

 

 

 
               26,124,978   

Utilities — 3.3%

  

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

     4,004        4,615,196   

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

    

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

     7,151        8,133,554   

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

     2,400        2,757,535   
    

 

 

 
               15,506,285   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 22.6%
        105,192,325   

Total Long-Term Investments

(Cost — $695,945,944) — 160.2%

  

  

    747,123,397   
    
   
Short-Term Securities    Shares         

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

     8,416,390        8,416,390   

Total Short-Term Securities

(Cost — $8,416,390) — 1.8%

  

  

    8,416,390   
Total Investments (Cost — $704,362,334) — 162.0%        755,539,787   
Other Assets Less Liabilities — 1.3%        6,373,634   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.1)%

   

    (51,901,905
VRDP Shares, at Liquidation Value — (52.2)%        (243,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 466,411,516   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

(b)   Zero-coupon bond.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Morgan Stanley & Co. LLC

     $ 508,932         $ 7,592   

 

See Notes to Financial Statements.

 

                
30    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments (concluded)

  

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

 

 

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

 

(e)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 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, which expire from February 15, 2017 to February 15, 2019 is $8,472,296.

 

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

 

(h)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income        Realized
Gain
 

BIF New York Municipal Money Fund

       9,101,817           (685,427        8,416,390                   $ 568   

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (454   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 57,104,688      $ (96,401

 

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 rating group indexes, and/or as defined by the investment advisor. 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 or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 747,123,397              $ 747,123,397   

Short-Term Securities

  $ 8,416,390                          8,416,390   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 8,416,390         $ 747,123,397              $ 755,539,787   
 

 

 

      

 

 

      

 

    

 

 

 

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

  $ (96,401                     $ (96,401

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 620,000                        $ 620,000   

Liabilities:

                

TOB trust certificates

            $ (51,890,389             (51,890,389

VRDP Shares

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

 

 

 

Total

  $ 620,000         $ (295,490,389           $ (294,870,389
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    31


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New Jersey — 131.6%

                

Corporate — 9.8%

    

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

   $ 560      $ 28,560   

County of Salem New Jersey Pollution Control Financing Authority, Refunding RB, Series A:

    

Atlantic City Electric, 4.88%, 6/01/29

     750        806,490   

Chambers Project, AMT, 5.00%, 12/01/23

     200        223,738   

New Jersey EDA, RB, Continental Airlines, Inc. Project, Series B, AMT, 5.63%, 11/15/30

     1,550        1,667,877   

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

    

Series A, 5.70%, 10/01/39

     500        553,850   

Series B, 5.60%, 11/01/34

     395        439,216   
    

 

 

 
               3,719,731   

County/City/Special District/School District — 17.3%

  

 

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

    

5.00%, 1/15/27

     230        256,347   

5.00%, 1/15/28

     110        121,605   

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

    

5.50%, 10/01/28

     400        519,708   

5.50%, 10/01/29

     790        1,029,370   

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

     800        868,240   

County of Union New Jersey Improvement Authority, LRB, Guaranteed Lease, Family Court Building Project, 5.00%, 5/01/42

     280        315,456   

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

     685        756,206   

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

     2,250        2,666,970   
    

 

 

 
               6,533,902   

Education — 27.2%

    

New Jersey EDA, RB, The Team Academy Charter School Project, 6.00%, 10/01/33

     455        514,127   

New Jersey EDA, Refunding RB, Greater Brunswick Charter School, Inc. Project, Series A, 5.63%, 8/01/34

     215        215,882   

New Jersey Educational Facilities Authority, RB:

    

Higher Educational Capital Improvement Fund, Series A, 5.00%, 9/01/32

     635        714,248   

Montclair State University, Series J,
5.25%, 7/01/38

     180        200,417   

New Jersey Educational Facilities Authority, Refunding RB:

    

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

     1,010        1,119,242   

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

     150        159,648   

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

     700        799,288   

Montclaire State University, Series A,
5.00%, 7/01/44

     1,600        1,809,632   

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

     210        234,717   

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

     85        93,182   

Seton Hall University, Series D, 5.00%, 7/01/38

     105        116,334   

University of Medicine & Dentistry, Series B, 7.50%, 6/01/19 (c)

     450        585,500   

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

     915        1,048,498   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

Education (concluded)

    

New Jersey Higher Education Student Assistance Authority, Refunding RB:

    

Series 1, AMT, 5.75%, 12/01/29

   $ 640      $ 724,083   

Series 1A, 5.00%, 12/01/25

     135        142,784   

Series 1A, 5.00%, 12/01/26

     105        110,816   

Series 1A, 5.25%, 12/01/32

     300        327,093   

Student Loan, Series 1A, 5.13%, 12/01/27

     250        264,545   

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

     985        1,115,906   
    

 

 

 
               10,295,942   

Health — 12.6%

    

New Jersey EDA, Refunding RB:

    

1st Mortgage, Winchester, Series A, 5.80%, 11/01/31

     1,000        1,002,010   

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

     470        483,489   

New Jersey Health Care Facilities Financing Authority, RB:

    

Meridian Health System Obligated Group, Series I (AGC), 5.00%, 7/01/38

     240        253,877   

Robert Wood Johnson University Hospital, Series A, 5.50%, 7/01/43

     230        263,007   

Virtua Health, Series A (AGC), 5.50%, 7/01/38

     400        435,492   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

AHS Hospital Corp., 6.00%, 7/01/41

     610        717,000   

Meridian Health System Obligated Group, 5.00%, 7/01/26

     305        344,366   

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

     500        516,565   

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

     180        199,611   

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

     505        556,187   
    

 

 

 
               4,771,604   

Housing — 3.4%

    

New Jersey Housing & Mortgage Finance Agency, RB:

    

M/F Housing, Series A, 4.75%, 11/01/29

     370        391,330   

S/F Housing, Series AA, 6.38%, 10/01/28

     425        442,748   

S/F Housing, Series AA, 6.50%, 10/01/38

     130        133,899   

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

     310        328,467   
    

 

 

 
               1,296,444   

State — 29.8%

    

Garden State Preservation Trust, RB, CAB, Series B (AGM), 0.00%, 11/01/27 (d)

     4,000        2,715,040   

New Jersey EDA, RB:

    

5.00%, 9/01/36

     50        53,182   

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

     500        607,830   

School Facilities Construction (AGC), 5.50%, 12/15/18 (c)

     645        772,130   

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

     355        402,989   

School Facilities Construction, Series CC-2, 5.00%, 12/15/31

     500        549,175   

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/28

     255        282,535   

Cigarette Tax, 5.00%, 6/15/29

     500        551,470   

Cigarette Tax (AGM), 5.00%, 6/15/22

     750        874,193   

Lions Gate Project, 5.25%, 1/01/44

     135        137,233   

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

     500        556,120   

School Facilities Construction, Series GG, 5.25%, 9/01/27

     1,345        1,514,739   

 

See Notes to Financial Statements.

 

                
32    ANNUAL REPORT    AUGUST 31, 2014   


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)

                

State (concluded)

    

New Jersey EDA, Refunding RB (concluded):

    

School Facilities Construction, Series NN, 5.00%, 3/01/29

   $ 875      $ 971,512   

School Facilities Construction, Series RR, 5.00%, 6/15/33

     500        552,970   

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

     500        530,895   

State of New Jersey, COP, Equipment Lease Purchase, Series A, 5.25%, 6/15/28

     200        221,076   
    

 

 

 
               11,293,089   

Transportation — 30.7%

    

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

     250        268,735   

New Jersey EDA, RB, Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     1,060        1,148,521   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/38

     1,000        1,109,240   

Series E, 5.25%, 1/01/40

     370        413,519   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series C (AGM), 0.00%, 12/15/32 (d)

     1,250        552,788   

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

     955        1,080,525   

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

     425        479,234   

Transportation System, 6.00%, 12/15/38

     325        380,653   

Transportation System, Series A, 6.00%, 6/15/35

     1,275        1,555,768   

Transportation System, Series A, 5.88%, 12/15/38

     555        647,691   

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

     830        933,833   

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

     200        235,140   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8, 6.00%, 12/01/42

     450        520,065   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated:

    

152nd Series, AMT, 5.75%, 11/01/30

     525        596,825   

166th Series, 5.25%, 7/15/36

     500        572,335   

172nd Series, AMT, 5.00%, 10/01/34

     1,000        1,110,440   
    

 

 

 
               11,605,312   

Utility — 0.8%

    

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC), 0.00%, 9/01/33 (d)

     650        298,903   
Total Municipal Bonds in New Jersey              49,814,927   
    

Multi-State — 5.3%

                

Housing — 5.3%

    

Centerline Equity Issuer Trust, Series B-2, 7.20%, 11/15/14 (e)(f)

     2,000        2,020,560   
Total Municipal Bonds — 136.9%              51,835,487   
Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
   Par  
(000)
    Value  

New Jersey — 22.1%

                

County/City/Special District/School District — 5.2%

  

 

County of Union New Jersey Utilities Authority, Refunding LRB, Resource Recovery Facility, Covanta Union, Inc., Series A, AMT, 5.25%, 12/01/31

   $ 1,780      $ 1,952,873   

Education — 3.0%

    

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

     990        1,114,222   

State — 3.1%

  

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

    

6.00%, 12/15/18 (c)

     329        400,419   

6.00%, 12/15/34

     671        781,426   
    

 

 

 
               1,181,845   

Transportation — 10.8%

  

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

    

Series A (AMBAC), 5.00%, 12/15/32

     600        661,416   

Series B, 5.25%, 6/15/36 (h)

     1,000        1,103,281   

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

     1,500        1,642,980   

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

     630        696,632   
    

 

 

 
               4,104,309   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 22.1%
        8,353,249   
Total Long-Term Investments
(Cost — $55,253,636) — 159.0%
        60,188,736   
    
                  
Short-Term Securities    Shares         

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

     59,409        59,409   
Total Short-Term Securities
(Cost — $59,409) — 0.1%
        59,409   
Total Investments (Cost — $55,313,045) — 159.1%        60,248,145   
Other Assets Less Liabilities — 2.2%        841,214   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.9)%

   

    (4,520,862
VRDP Shares, at Liquidation Value — (49.4)%        (18,700,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 37,868,497   
    

 

 

 

 

Notes to Schedule of Investments      

 

(a)   Non-income producing security.

 

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

 

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

 

(d)   Zero-coupon bond.

 

(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)   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.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    33


Table of Contents

Schedule of Investments (concluded)

   BlackRock New Jersey Municipal Bond Trust (BLJ)

 

 

(g)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(h)   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 agreement, which expires on June 15, 2019 is $777,216.

 

(i)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income  

BIF New Jersey Municipal Money Fund

       630,435           (571,026        59,409             

 

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

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (23   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 2,892,969      $ (4,884

 

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 rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

  Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 60,188,736                   $ 60,188,736   

Short-Term Securities

  $ 59,409                               59,409   
 

 

 

 

Total

  $ 59,409         $ 60,188,736                   $ 60,248,145   
 

 

 

 

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

  $ (4,884                          $ (4,884

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 57,000                             $ 57,000   

Liabilities:

                

TOB trust certificates

            $ (4,519,518                  (4,519,518

VRDP Shares

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

 

 

 

Total

  $ 57,000         $ (23,219,518                $ (23,162,518
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
34    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York — 134.5%

                

Corporate — 13.0%

  

 

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport, AMT (a):

    

7.63%, 8/01/25

   $ 750      $ 823,305   

7.75%, 8/01/31

     1,000        1,103,580   

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

     690        744,186   

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

     750        821,355   

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

     100        112,480   

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

     500        502,520   

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

     250        299,010   

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

     375        383,261   

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

     920        938,915   
    

 

 

 
               5,728,612   

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

  

 

City of New York New York, GO:

    

Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

     245        283,102   

Series A-1, Fiscal 2009, 4.75%, 8/15/25

     500        562,785   

Series D, 5.38%, 6/01/32

     15        15,061   

Sub-Series G-1, 5.00%, 4/01/29

     250        289,025   

Sub-Series G-1, 6.25%, 12/15/31

     250        296,175   

Sub-Series I-1, 5.38%, 4/01/36

     450        516,272   

City of New York New York, GO, Refunding, Series E, 5.50%, 8/01/25

     455        563,172   

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

    

5.00%, 11/15/44

     250        260,143   

4.75%, 11/15/45

     500        505,720   

City of New York New York Housing Development Corp., RB, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     735        860,046   

5.00%, 7/01/33

     250        283,368   

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/41 (b)

     5,155        1,507,374   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (b)

     500        136,985   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/43 (b)

     2,000        521,320   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (b)

     950        219,403   

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

     100        116,552   

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

     500        510,360   

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

     175        178,509   

City of New York New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series B-1, 5.00%, 11/01/35

     200        230,816   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

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

  

 

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

   $ 650      $ 690,670   

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

     750        796,927   

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

     465        494,095   

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 7/15/47

     1,350        1,530,481   

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

     285        321,263   

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

     750        838,335   

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

     340        393,757   

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

     320        344,368   

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

     550        613,541   

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

     520        566,998   
    

 

 

 
               14,446,623   

Education — 37.1%

    

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

    

7.00%, 5/01/25

     200        30,020   

7.00%, 5/01/35

     130        19,513   

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

    

4.38%, 10/01/30

     250        264,567   

4.63%, 10/01/40

     140        148,133   

Build NYC Resource Corp., RB, Series A:

    

Bronx Charter School for Excellence Project, 5.50%, 4/01/43

     270        283,357   

Bronx Charter School for International Cultures & The Arts Project, 5.00%, 4/15/33

     200        199,508   

Build NYC Resource Corp., Refunding RB, City University New York Queens, Series A, 5.00%, 6/01/38 (e)

     250        284,072   

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

     250        280,792   

City of New York New York Trust for Cultural Resources, Refunding RB, Series A:

    

American Museum of National History, 5.00%, 7/01/37

     110        126,996   

Carnegie Hall, 4.75%, 12/01/39

     400        420,652   

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

     610        662,924   

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

     250        276,340   

County of Cattaraugus New York, St. Bonaventure University Project, 5.00%, 5/01/39

     60        63,389   

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

     415        388,066   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A:

    

5.00%, 7/01/31

     500        563,700   

5.00%, 7/01/41

     500        548,110   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     120        135,721   

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

     200        211,466   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    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  

New York (continued)

                

Education (concluded)

    

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

   $ 100      $ 112,243   

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

     160        181,866   

Hempstead Town Local Development Corp., Refunding RB, Adelphini University Project, 5.00%, 10/01/34 (e)

     105        119,052   

New York Dormitory Authority, Refunding RB, New York University, Series A, 5.00%, 7/01/42

     1,750        1,956,500   

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

     300        349,854   

State of New York Dormitory Authority, RB:

    

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

     300        348,534   

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

     245        312,573   

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

     1,250        1,397,500   

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     150        161,939   

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

     1,800        1,973,268   

Touro College & University System, Series A, 5.25%, 1/01/34

     250        277,130   

Touro College & University System, Series A, 5.50%, 1/01/39

     500        557,465   

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

     215        243,608   

University of Rochester, Series A, 5.75%, 7/01/39

     175        202,409   

State of New York Dormitory Authority, Refunding RB:

    

Brooklyn Law School, 5.75%, 7/01/33

     125        138,883   

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

     150        171,654   

Fordham University, 5.00%, 7/01/44

     340        381,524   

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

     445        503,420   

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

     250        283,675   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

     350        406,598   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     350        401,649   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

     225        252,212   

Teachers College, 5.50%, 3/01/39

     350        391,006   

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

     325        366,223   
    

 

 

 
               16,398,111   

Health — 20.5%

    

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A (AGM), 5.75%, 7/01/30

     350        396,574   

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

     150        150,053   

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

     370        400,099   

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

     275        322,954   

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

     200        209,040   

County of Suffolk New York Industrial Development Agency, Refunding RB, Jefferson’s Ferry Project, 5.00%, 11/01/28

     260        269,623   

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

    

Remarketing, Series A, 5.00%, 11/01/30

     1,150        1,255,478   

Series B, 6.00%, 11/01/30

     200        229,680   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Health (concluded)

    

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project:

    

4.00%, 1/01/23

   $ 550      $ 575,206   

5.00%, 1/01/34

     500        534,765   

State of New York Dormitory Authority, RB:

    

Mental Health Services (AGM), 5.00%, 8/15/18 (f)

     5        5,817   

Mental Health Services (AGM), 5.00%, 2/15/22

     330        377,890   

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

     185        204,719   

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

     220        247,531   

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

     260        284,970   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

     450        490,482   

North Shore-Long Island Jewish Obligated Group, Series A, 5.75%, 5/01/37

     500        551,700   

State of New York Dormitory Authority, Refunding RB:

    

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

     290        310,663   

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

     315        353,071   

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

     1,000        1,093,500   

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

     250        273,848   

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

     500        522,195   
    

 

 

 
               9,059,858   

Housing — 2.0%

    

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

     500        508,550   

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

     360        363,758   
    

 

 

 
               872,308   

State — 6.0%

    

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

     250        281,458   

State of New York Dormitory Authority, RB, Series C:

    

General Purpose, 5.00%, 3/15/41

     500        554,310   

5.00%, 12/15/31

     250        272,768   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

     80        91,980   

State of New York Thruway Authority, Refunding RB, 2nd General Highway and Bridge Trust, Series A, 5.00%, 4/01/32

     1,000        1,131,910   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 3/15/30

     250        290,092   
    

 

 

 
               2,622,518   

Transportation — 16.6%

    

Metropolitan Transportation Authority, RB:

    

Dedicated Tax Fund, Series A, 5.63%, 11/15/39

     250        286,378   

Series A, 5.00%, 11/15/30

     250        287,243   

Series C, 6.50%, 11/15/28

     700        852,341   

Series D, 5.25%, 11/15/41

     1,000        1,113,990   

Metropolitan Transportation Authority, Refunding RB:

    

Series D, 5.25%, 11/15/30

     250        294,965   

Series D, 5.25%, 11/15/31

     250        293,207   

Series D, 5.25%, 11/15/32

     170        198,786   

Series F, 5.00%, 11/15/30

     500        570,715   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8, 6.00%, 12/01/42

     500        577,850   

 

See Notes to Financial Statements.

 

                
36    ANNUAL REPORT    AUGUST 31, 2014   


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 (concluded)

                

Transportation (concluded)

    

Port Authority of New York & New Jersey, Refunding ARB:

    

179th Series, 5.00%, 12/01/38

   $ 150      $ 170,702   

Consolidated, 146th Series, AMT (AGM), 4.50%, 12/01/34

     500        510,950   

Consolidated, 147th Series, AMT, 4.75%, 4/15/37

     150        154,434   

Port Authority of New York & New Jersey, Refunding RB, 178th Series, AMT, 5.00%, 12/01/32

     270        304,274   

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

    

5.00%, 1/01/27

     130        149,687   

5.00%, 1/01/37

     1,000        1,112,710   

5.00%, 1/01/42

     140        154,721   

Triborough Bridge & Tunnel Authority, Refunding RB CAB (b):

    

General, Series B, 0.00%, 11/15/32

     400        205,164   

Sub-Series A, 0.00%, 11/15/32

     170        84,918   
    

 

 

 
               7,323,035   

Utilities — 6.6%

    

Long Island Power Authority, RB, General, Electric Systems:

    

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

     225        244,080   

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

     500        610,660   

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

     100        113,192   

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

     600        675,612   

Utility Debt Securitization Authority, Refunding RB, Restructuring, 5.00%, 12/15/41

     1,115        1,280,031   
    

 

 

 
               2,923,575   

Total Municipal Bonds in New York

  

    59,374,640   
    

Multi-State — 5.7%

  

Housing — 5.7%

    

Centerline Equity Issuer Trust, Series B-2, 7.20%, 11/15/14 (g)(h)

     2,500        2,525,700   
    

Puerto Rico — 0.1%

  

Housing — 0.1%

    

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

     40        41,903   

Total Municipal Bonds140.3%

  

    61,942,243   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
 

New York — 19.1%

                

County/City/Special District/School District — 7.3%

  

City of New York New York, GO, Sub-Series I-1, 5.00%, 3/01/36

     250        283,780   
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
   Par  
(000)
    Value  

New York (concluded)

                

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

  

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

   $ 825      $ 928,463   

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

     700        807,091   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     1,050        1,198,439   
    

 

 

 
               3,217,773   

State — 1.3%

    

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

     500        562,192   

Transportation — 3.2%

    

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

     630        717,790   

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

     600        693,438   
    

 

 

 
               1,411,228   

Utilities — 7.3%

  

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

     405        466,705   

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

    

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

     990        1,125,996   

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

     1,500        1,652,861   
    

 

 

 
               3,245,562   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts
19.1%
             8,436,755   
Total Long-Term Investments
(Cost — $64,776,487) — 159.4%
             70,378,998   
    
                  
Short-Term Securities    Shares         

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

     426,743        426,743   
Total Short-Term Securities
(Cost — $426,743) — 0.9%
        426,743   
Total Investments (Cost — $65,203,230) — 160.3%        70,805,741   
Other Assets Less Liabilities — 0.8%        354,407   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.1%)

   

    (4,901,663
VRDP Shares, at Liquidation Value — (50.0%)        (22,100,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 44,158,485   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

(b)   Zero-coupon bond.

 

(c)   Non-income producing security.

 

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    37


Table of Contents

Schedule of Investments (continued)

  

BlackRock New York Municipal Bond Trust (BQH)

 

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Merrill Lynch, Pierce, Fenner & Smith Inc.

     $ 119,052         $ 762   

Morgan Stanley & Co. LLC

     $ 284,072         $ 3,803   

 

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

 

(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)   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.

 

(i)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(j)   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 agreement, which expires on February 15, 2019 is $370,628.

 

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

 

(l)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income        Realized
Gain
 

BIF New York Municipal Money Fund

       1,962,512           (1,535,769        426,743                   $ 119   

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (37   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 4,653,906      $ (7,857

 

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 rating group indexes, and/or as defined by the investment advisor. 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 or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 70,378,998                   $ 70,378,998   

Short-Term Securities

  $ 426,743                               426,743   
 

 

 

 

Total

  $ 426,743         $ 70,378,998                   $ 70,805,741   
 

 

 

 

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

       

 

See Notes to Financial Statements.

 

                
38    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New York Municipal Bond Trust (BQH)

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments1                 

Liabilities:

                

Interest rate contracts

  $ (7,857                          $ (7,857

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

      

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 85,000                             $ 85,000   

Liabilities:

                

TOB trust certificates

            $ (4,900,215                  (4,900,215

VRDP Shares

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

 

 

 

Total

  $ 85,000         $ (27,000,215                $ (26,915,215
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    39


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York — 123.1%

                

Corporate — 1.1%

  

 

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

   $ 165      $ 177,957   

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

     750        897,030   
    

 

 

 
               1,074,987   

County/City/Special District/School District — 26.8%

    

City of New York New York, GO:

    

Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

     440        508,429   

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

     200        225,720   

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

     330        372,781   

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

    

5.50%, 8/01/25

     830        1,027,324   

5.00%, 8/01/30

     1,000        1,151,060   

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

    

5.00%, 11/15/44

     2,710        2,819,945   

4.75%, 11/15/45

     500        505,720   

City of New York New York Housing Development Corp., RB, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     915        1,070,669   

5.00%, 7/01/33

     400        453,388   

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/39 (a)

     1,000        344,690   

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

     150        174,828   

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

     160        162,722   

City of New York New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series B-1, 5.00%, 11/01/35

     425        490,484   

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A:

    

5.25%, 5/01/31

     200        232,858   

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

     1,000        1,118,570   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     500        531,285   

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

     1,250        1,328,212   

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

     750        796,928   

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

     1,000        1,048,210   

Senior, Fiscal 2012, 5.75%, 2/15/47

     1,000        1,153,080   

New York Liberty Development Corp., Refunding RB:

    

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

     1,000        1,117,780   

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

     1,250        1,392,112   

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

     670        775,934   

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

     1,100        1,183,765   

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

     6,000        6,034,080   
    

 

 

 
               26,020,574   

Education — 29.1%

    

Build NYC Resource Corp., Refunding RB, City University New York Queens, Series A, 5.00%, 6/01/38 (b)

     250        284,072   

City of New York New York Trust for Cultural Resources, Refunding RB:

    

American Museum of National History, Series A, 5.00%, 7/01/37

     440        507,984   

American Museum of National History, Series A, 5.00%, 7/01/41

     500        572,250   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Education (continued)

    

City of New York New York Trust for Cultural Resources, Refunding RB (concluded):

    

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

   5      5,017   

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

     700        785,925   

Wildlife Conservation Society, Series A, 5.00%, 8/01/42

     410        457,437   

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

     1,645        1,787,720   

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

     1,600        1,742,256   

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

     1,000        1,019,750   

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

     500        563,700   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     400        452,404   

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

    

5.00%, 7/01/37

     180        190,262   

5.00%, 7/01/42

     115        120,693   

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 7/01/32

     940        1,055,065   

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

     250        280,608   

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

     1,000        1,136,760   

Dobbs Ferry Local Development Corp., RB, Mercy College Project:

    

5.00%, 7/01/39

     1,000        1,110,700   

5.00%, 7/01/44

     500        554,045   

Hempstead Town Local Development Corp., Refunding RB, Adelphini University Project (b):

    

5.00%, 10/01/34

     310        351,487   

5.00%, 10/01/35

     310        350,356   

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

     600        699,708   

State of New York Dormitory Authority, RB:

    

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

     300        348,534   

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

     500        566,350   

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

     500        565,640   

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

     1,000        1,118,770   

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

     550        625,856   

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

     600        656,742   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

     1,000        1,101,990   

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

     500        548,130   

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

     350        393,540   

State of New York Dormitory Authority, Refunding RB:

    

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

     250        286,090   

Fordham University, 4.13%, 7/01/39

     330        340,484   

Fordham University, 5.00%, 7/01/44

     640        718,163   

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

     2,000        2,100,200   

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

     745        842,804   

 

See Notes to Financial Statements.

 

                
40    ANNUAL REPORT    AUGUST 31, 2014   


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)

                

Education (concluded)

    

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

    

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

   $ 395      $ 409,520   

Skidmore College, Series A, 5.00%, 7/01/27

     135        154,404   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

     1,500        1,742,565   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     600        688,542   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

     450        504,423   

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

     525        591,591   
    

 

 

 
               28,332,537   

Health — 16.3%

  

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30

     500        559,045   

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

     850        919,147   

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

     725        851,426   

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien, Remarketing, Series A, 5.00%, 11/01/30

     1,000        1,091,720   

State of New York Dormitory Authority, RB:

    

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

     1,250        1,369,162   

Mental Health Services (AGM), 5.00%, 8/15/18 (c)

     5        5,817   

Mental Health Services (AGM), 5.00%, 8/15/18 (c)

     5        5,830   

Mental Health Services (AGM), 5.00%, 2/15/22

     990        1,133,669   

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

     250        281,890   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

     350        381,486   

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

     500        516,175   

St. Joachim & Anne Residence, 5.25%, 7/01/27

     3,000        3,000,120   

State of New York Dormitory Authority, Refunding RB:

    

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

     500        521,455   

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

     750        820,125   

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

     1,840        2,034,654   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

     750        810,825   

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

     1,500        1,566,585   
    

 

 

 
               15,869,131   

Housing — 2.4%

  

City of New York New York Housing Development Corp., RB, M/F Housing, Series B1, 5.25%, 7/01/30

     750        882,045   

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

     1,425        1,439,877   
    

 

 

 
               2,321,922   

State — 11.9%

  

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

    

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

     1,000        1,148,040   

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

     850        916,869   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

State (concluded)

  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

    

Series B, 5.00%, 11/15/34

   540      611,059   

Sub-Series B-1, 5.00%, 11/15/31

     750        862,095   

State of New York Dormitory Authority, RB:

    

General Purpose, Series B, 5.00%, 3/15/37

     1,000        1,122,640   

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

     1,500        1,669,050   

Series C, 5.00%, 12/15/31

     1,500        1,636,605   

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

     1,000        1,114,810   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

     320        367,920   

State of New York Thruway Authority, Refunding RB, 2nd General Highway and Bridge Trust, Series A, 5.00%, 4/01/32

     250        282,978   

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

    

Series A, 3.50%, 3/15/28

     1,200        1,247,424   

Series C, 5.00%, 3/15/30

     500        580,185   
    

 

 

 
               11,559,675   

Transportation — 24.5%

    

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     575        673,440   

Series A-1, 5.25%, 11/15/34

     270        313,141   

Series C, 6.50%, 11/15/28

     750        913,222   

Series D, 5.25%, 11/15/41

     2,000        2,227,980   

Series E, 5.00%, 11/15/38

     650        722,384   

Series H, 5.00%, 11/15/25

     1,500        1,783,050   

Series H, 5.00%, 11/15/30

     500        570,715   

Metropolitan Transportation Authority, Refunding RB, Series D, 5.25%, 11/15/31

     750        879,622   

Port Authority of New York & New Jersey, ARB, Consolidated 183rd Series, 4.00%, 6/15/44

     2,500        2,581,825   

Port Authority of New York & New Jersey, Refunding ARB, 179th Series, 5.00%, 12/01/38

     245        278,812   

State of New York Thruway Authority, Refunding RB, General:

    

Series H (AGM) (NPFGC), 5.00%, 1/01/37

     4,000        4,404,680   

Series I, 5.00%, 1/01/24

     1,000        1,178,390   

Series I, 5.00%, 1/01/37

     2,000        2,225,420   

Series I, 5.00%, 1/01/42

     425        469,689   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

General, CAB, Series B, 0.00%, 11/15/32 (a)

     1,250        641,138   

General, Remarketing, Series A, 5.00%, 11/15/34

     1,000        1,143,780   

Series C, 5.00%, 11/15/38

     1,000        1,126,000   

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

     1,485        1,719,764   
    

 

 

 
               23,853,052   

Utilities — 11.0%

    

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

     1,000        1,144,980   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 6/15/32

     1,100        1,228,997   

Long Island Power Authority, RB, General, Electric Systems:

    

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

     500        542,400   

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

     1,000        1,221,320   

Long Island Power Authority, Refunding RB, Electric Systems, Series A (AGC):

    

5.75%, 4/01/39

     1,690        1,958,507   

General, 6.00%, 5/01/33

     2,000        2,356,100   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    41


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 (concluded)

                

Utilities (concluded)

    

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

   $ 1,000      $ 1,126,020   

Utility Debt Securitization Authority, Refunding RB, Restructuring, 5.00%, 12/15/41

     1,000        1,148,010   
    

 

 

 
               10,726,334   
Total Municipal Bonds in New York              119,758,212   
    

Puerto Rico — 0.9%

                

Housing — 0.9%

    

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

     855        895,655   
Total Municipal Bonds — 124.0%              120,653,867   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
            

New York — 33.5%

                

County/City/Special District/School District — 12.1%

    

City of New York New York, GO:

    

Fiscal 2015, Series B, 4.00%, 8/01/32 (b)

     1,790        1,887,501   

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

     1,000        1,176,820   

Sub-Series G-1, 5.00%, 4/01/29

     1,000        1,156,100   

Sub-Series I-1, 5.00%, 3/01/36

     250        283,780   

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

     2,475        2,785,390   

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

     1,800        2,075,377   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     2,085        2,379,756   
    

 

 

 
               11,744,724   

Education — 5.2%

    

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

     1,999        2,270,701   

State of New York Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/37

     2,499        2,744,346   
    

 

 

 
               5,015,047   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

New York (concluded)

                

State — 0.8%

    

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

   750      831,465   

Transportation — 5.0%

    

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

     3,495        3,982,028   

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

     800        924,584   
    

 

 

 
               4,906,612   

Utilities — 10.4%

    

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

     495        570,418   

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

    

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

     2,249        2,557,721   

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

     2,011        2,214,833   

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

     405        465,334   

Utility Debt Securitization Authority, Refunding RB, 5.00%, 12/15/41

     3,719        4,269,302   
    

 

 

 
               10,077,608   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 33.5%
             32,575,456   
Total Long-Term Investments
(Cost — $142,079,000) — 157.5%
             153,229,323   
    
   
Short-Term Securities    Shares         

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

     2,433,429        2,433,429   

Total Short-Term Securities

(Cost — $2,433,429) — 2.5%

             2,433,429   
Total Investments (Cost — $144,512,429) — 160.0%        155,662,752   
Liabilities in Excess of Other Assets — (0.5)%        (451,276

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (17.9)%

   

    (17,435,208
VRDP Shares, at Liquidation Value — (41.6)%        (40,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 97,276,268   
    

 

 

 

 

Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

JPMorgan Securities Inc.

     $ 992,501         $ 29,553   

Merrill Lynch, Pierce, Fenner & Smith Inc.

     $ 701,843         $ 4,762   

Morgan Stanley & Co. LLC

     $ 284,072         $ 3,802   

 

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

 

(d)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 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, which expire from February 15, 2017 to February 15, 2019 is $1,482,592.

 

See Notes to Financial Statements.

 

                
42    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

(f)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income        Realized
Gain
 

BIF New York Municipal Money Fund

       3,752,091           (1,318,662        2,433,429                   $ 407   

 

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

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (91   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 11,446,094      $ (19,323

 

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 rating group indexes, and/or as defined by the investment advisor. 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 or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 153,229,323              $ 153,229,323   

Short-Term Securities

  $ 2,433,429                          2,433,429   
 

 

 

 

Total

  $ 2,433,429         $ 153,229,323              $ 155,662,752   
 

 

 

 

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

  $ (19,323                     $ (19,323

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 125,000                        $ 125,000   

Liabilities:

                

TOB trust certificates

            $ (17,431,015             (17,431,015

VRDP Shares

              (40,500,000             (40,500,000
 

 

 

 

Total

  $ 125,000         $ (57,931,015           $ (57,806,015
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    43


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 142.0%

                

Corporate — 13.1%

    

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport, AMT (a):

    

7.63%, 8/01/25

   $ 1,600      $ 1,756,384   

7.75%, 8/01/31

     1,500        1,655,370   

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

     330        355,915   

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

     500        547,570   

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

     200        224,960   

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

     2,500        2,512,600   

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

     1,030        1,231,921   

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

     625        638,769   

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

     1,305        1,331,831   
    

 

 

 
               10,255,320   

County/City/Special District/School District — 36.0%

  

 

City of New York New York, GO, Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

     690        797,309   

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

    

5.50%, 8/01/25

     1,280        1,584,307   

5.00%, 8/01/30

     500        575,530   

City of New York New York, GO:

    

Series A-1, Fiscal 2009, 4.75%, 8/15/25

     500        562,785   

Sub-Series G-1, 6.25%, 12/15/31

     250        296,175   

Sub-Series I-1, 5.38%, 4/01/36

     450        516,271   

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

    

5.00%, 11/15/35

     2,250        2,337,412   

5.00%, 11/15/44

     250        260,143   

4.75%, 11/15/45

     640        647,322   

City of New York New York Housing Development Corp., RB, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     915        1,070,669   

5.00%, 7/01/33

     400        453,388   

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/35 (b)

     500        213,100   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (b)

     1,750        479,448   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (b)

     500        115,475   

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

     100        116,552   

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

     500        510,360   

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

     740        752,587   

City of New York New York Industrial Development Agency, Refunding ARB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/22

     350        389,638   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

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

  

 

City of New York New York Transitional Finance Authority Future Tax Secured, RB:

    

5.00%, 11/01/27

   $ 5      $ 5,020   

Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

     825        928,463   

Sub-Series B-1, 5.00%, 11/01/36

     340        390,854   

City of Syracuse New York, GO, Airport Terminal Security & Access, Series A, AMT (AGM), 4.75%, 11/01/31

     500        534,085   

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

     280        309,000   

Hudson Yards Infrastructure Corp., RB, Series A:

    

Senior, Fiscal 2012, 5.75%, 2/15/47

     1,550        1,787,274   

5.00%, 2/15/47

     2,850        3,028,324   

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

     850        903,184   

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

     1,110        1,163,513   

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 7/15/47

     1,400        1,587,166   

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

     500        563,620   

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

     1,000        1,117,780   

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

     1,250        1,392,112   

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

     670        775,934   

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

     1,100        1,227,083   

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

     690        752,362   
    

 

 

 
               28,144,245   

Education — 27.3%

    

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

    

7.00%, 5/01/25

     345        51,785   

7.00%, 5/01/35

     220        33,022   

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

    

4.38%, 10/01/30

     500        529,135   

4.63%, 10/01/40

     275        290,975   

Build NYC Resource Corp., RB, Series A:

    

Bronx Charter School for Excellence Project, 5.50%, 4/01/43

     450        472,261   

Bronx Charter School for International Cultures & The Arts Project, 5.00%, 4/15/33

     400        399,016   

Build NYC Resource Corp., Refunding RB, City University New York Queens, Series A, 5.00%, 6/01/38 (e)

     250        284,073   

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

     500        561,585   

City of New York New York Trust for Cultural Resources, Refunding RB, Series A:

    

American Museum of National History, 5.00%, 7/01/37

     440        507,984   

Carnegie Hall, 4.75%, 12/01/39

     700        736,141   

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

     1,295        1,407,354   

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

     500        552,680   

County of Cattaraugus New York, St. Bonaventure University Project, 5.00%, 5/01/39

     125        132,060   

 

See Notes to Financial Statements.

 

                
44    ANNUAL REPORT    AUGUST 31, 2014   


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)

    

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

   $ 640      $ 598,464   

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

     265        288,561   

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

     1,000        1,127,400   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     240        271,442   

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

     350        370,066   

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project:

    

6.00%, 9/01/34

     150        175,863   

5.38%, 9/01/41

     650        727,064   

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

     450        505,093   

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

     400        454,664   

Hempstead Town Local Development Corp., Refunding RB, Adelphini University Project, 5.00%, 10/01/35 (e)

     210        237,338   

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

     300        349,854   

State of New York Dormitory Authority, RB:

    

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

     500        580,890   

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

     150        169,754   

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     250        269,898   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

     670        738,333   

Touro College & University System, Series A, 5.25%, 1/01/34

     1,200        1,330,224   

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

     250        283,265   

State of New York Dormitory Authority, Refunding RB:

    

Brooklyn Law School, 5.75%, 7/01/33

     250        277,765   

Fordham University, 5.00%, 7/01/44

     640        718,163   

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

     600        678,768   

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

     690        761,380   

Skidmore College, Series A, 5.25%, 7/01/29

     200        229,492   

Skidmore College, Series A, 5.25%, 7/01/31

     300        341,643   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

     1,220        1,417,286   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     700        803,299   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

     370        414,748   

Teachers College, 5.50%, 3/01/39

     650        726,154   

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

     525        591,591   
    

 

 

 
               21,396,533   

Health — 21.7%

    

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/40

     300        334,179   

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

     250        250,088   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (concluded)

    

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A:

    

5.00%, 12/01/32

   $ 180      $ 197,042   

5.00%, 12/01/37

     250        270,338   

County of Monroe New York Industrial Development Corp., Refunding RB:

    

Rochester General Hospital Project, Series B, 3.60%, 12/01/32

     250        247,610   

Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

     1,425        1,673,491   

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

     350        365,820   

County of Suffolk New York Industrial Development Agency, Refunding RB, Jefferson’s Ferry Project, 5.00%, 11/01/28

     450        466,654   

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

    

Remarketing, Series A, 5.00%, 11/01/30

     1,000        1,091,720   

Series B, 6.00%, 11/01/30

     150        172,260   

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project:

    

4.00%, 1/01/23

     920        962,164   

5.00%, 1/01/34

     500        534,765   

State of New York Dormitory Authority, RB:

    

General Purpose, Series E, 5.00%, 2/15/37

     1,000        1,121,440   

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

     500        562,435   

New York Hospital Medical Center-Queens (FHA), 4.75%, 2/15/37

     305        313,839   

New York State Association for Retarded Children, Inc., Series A, 6.00%, 7/01/32

     250        286,995   

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

     425        478,184   

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

     530        580,901   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

     750        817,470   

State of New York Dormitory Authority, Refunding RB:

    

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

     130        139,263   

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

     500        560,430   

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

     1,000        1,042,910   

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

     1,000        1,093,500   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

     750        810,825   

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

     500        547,695   

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

     2,000        2,088,780   
    

 

 

 
               17,010,798   

Housing — 3.6%

    

City of New York New York Housing Development Corp., RB, M/F Housing, Series J-2-A, AMT, 4.75%, 11/01/27

     1,420        1,468,081   

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

     1,000        1,017,100   

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

     360        363,759   
    

 

 

 
               2,848,940   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    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   

Par  

(000)

    Value  

New York (continued)

                

State — 9.2%

    

City of New York New York Transitional Finance Authority, BARB, Fiscal 2013, Series S-1, 4.00%, 7/15/42

   $ 1,000      $ 1,028,580   
    

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund, Sub-Series B-1, 5.00%, 11/15/31

     750        862,095   

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

     500        562,915   

State of New York Dormitory Authority, RB:

    

General Purpose, Series B, 5.00%, 3/15/37

     1,070        1,201,225   

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

     1,000        1,112,700   

General Purpose, Series C, 5.00%, 3/15/34

     1,000        1,140,570   

Series C, 5.00%, 12/15/31

     500        545,535   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

     160        183,960   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 3/15/30

     500        580,185   
    

 

 

 
               7,217,765   

Transportation — 18.7%

    

Metropolitan Transportation Authority, RB:

    

Series A-1, 5.25%, 11/15/34

     270        313,141   

Series C, 6.50%, 11/15/28

     750        913,222   

Series E, 5.00%, 11/15/38

     1,000        1,111,360   

Series H, 5.00%, 11/15/25

     1,000        1,188,700   

Metropolitan Transportation Authority, Refunding RB, Series F:

    

5.00%, 11/15/30

     1,500        1,712,145   

(AGM), 4.00%, 11/15/30

     500        523,510   

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

     500        569,675   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8, 6.00%, 12/01/42

     1,000        1,155,700   

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

    

146th Series (AGM), 4.50%, 12/01/34

     750        766,425   

147th Series, 4.75%, 4/15/37

     500        514,780   

177th Series, 4.00%, 1/15/43

     1,500        1,523,460   

178th Series, 5.00%, 12/01/43

     430        472,389   

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

    

5.00%, 1/01/37

     1,735        1,930,552   

5.00%, 1/01/42

     1,030        1,138,304   

Triborough Bridge & Tunnel Authority, Refunding RB CAB (b):

    

Sub-Series A, 0.00%, 11/15/32

     505        252,258   

General, Series B, 0.00%, 11/15/32

     1,000        512,910   
    

 

 

 
               14,598,531   

Utilities — 12.4%

    

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

     500        531,335   

Long Island Power Authority, RB:

    

CAB, Electric System, Series A (AGM), 0.00%, 6/01/28 (b)

     3,515        2,243,800   

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

     1,000        1,221,320   

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

     500        565,960   

State of New York Environmental Facilities Corp., Refunding RB:

    

Revolving Funds New York City Municipal Water, 2nd General Resolution, Series B, 5.00%, 6/15/36

     350        400,568   
Municipal Bonds   

Par  

(000)

    Value  

New York (concluded)

                

Utilities (concluded)

    

State of New York Environmental Facilities Corp., Refunding RB (concluded):

    

State Clean Water and Drinking Water Revolving New York City Municipal Water Finance Authority Projects, Series A, 5.00%, 6/15/37

   $ 1,500      $ 1,682,355   

Utility Debt Securitization Authority, Refunding RB, Restructuring, 5.00%, 12/15/41

     2,690        3,088,147   
    

 

 

 
               9,733,485   
Total Municipal Bonds in New York              111,205,617   
    

Multi-State — 5.6%

                

Housing — 5.6%

    

Centerline Equity Issuer Trust (g)(h):

    

Series A-4-1, 5.75%, 5/15/15

     500        515,495   

Series A-4-2, 6.00%, 5/15/19

     1,000        1,160,550   

Series B-3-1, 6.00%, 5/15/15

     1,500        1,546,680   

Series B-3-2, 6.30%, 5/15/19

     1,000        1,172,330   
Total Municipal Bonds in Multi-State              4,395,055   
    

Puerto Rico — 1.4%

                

Housing — 1.4%

    

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

     1,000        1,047,550   
Total Municipal Bonds — 149.0%              116,648,222   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (i)
 

New York — 13.0%

                

County/City/Special District/School District — 0.7%

  

 

City of New York New York, GO, Sub-Series I-1, 5.00%, 3/01/36

     500        567,560   

Education — 0.7%

    

City of New York New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 8/01/33

     510        584,096   

State — 3.3%

    

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

     1,300        1,461,700   

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

     1,000        1,108,620   
    

 

 

 
               2,570,320   

Transportation — 4.4%

    

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

     1,995        2,273,003   

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

     1,000        1,145,740   
    

 

 

 
               3,418,743   

Utilities — 3.9%

    

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

     240        276,566   

 

See Notes to Financial Statements.

 

                
46    ANNUAL REPORT    AUGUST 31, 2014   


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)

                

Utilities (concluded)

    

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

    

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

   $ 1,500      $ 1,706,055   

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

     1,005        1,107,417   
    

 

 

 
               3,090,038   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 13.0%
             10,230,757   

Total Long-Term Investments

(Cost — $116,824,152) — 162.0%

             126,878,979   
Short-Term Securities        
Shares
    Value  

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

     863,476      $ 863,476   

Total Short-Term Securities

(Cost — $863,476) — 1.1%

             863,476   
Total Investments (Cost — $117,687,628) — 163.1%        127,742,455   
Other Assets Less Liabilities — 0.9%        687,579   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (7.3)%

   

    (5,726,302
VRDP Shares, at Liquidation Value — (56.7)%        (44,400,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 78,303,732   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

(b)   Zero-coupon bond.

 

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

 

(d)   Non-income producing security.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Merrill Lynch, Pierce, Fenner & Smith Inc.

     $ 237,338         $ 1,701   

Morgan Stanley & Co. LLC

     $ 284,073         $ 3,803   

 

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

 

(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)   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.

 

(i)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(j)   Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income        Realized
Gain
 

BIF New York Municipal Money Fund

       2,552,420           (1,688,944        863,476                   $ 310   

 

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

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (65   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 8,175,781      $ (13,802

 

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 rating group indexes, and/or as defined by the investment advisor. 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 or 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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    47


Table of Contents

Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Trust II (BFY)

 

used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 126,878,979                   $ 126,878,979   

Short-Term Securities

  $ 863,476                               863,476   
 

 

 

 

Total

  $ 863,476         $ 126,878,979                   $ 127,742,455   
 

 

 

 

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

  $ (13,802                          $ (13,802

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 89,000                             $ 89,000   

Liabilities:

                

TOB trust certificates

            $ (5,725,307                  (5,725,307

VRDP Shares

              (44,400,000                  (44,400,000
 

 

 

 

Total

  $ 89,000         $ (50,125,307                $ (50,036,307
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
48    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments August 31, 2014

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Virginia — 122.3%

                

Corporate — 7.2%

    

County of Chesterfield Virginia EDA, RB, Virginia Electric Power Co. Project, Series A, AMT, 5.60%, 11/01/31

   $ 500      $ 536,775   

Isle Wight County Virginia IDA, RB, International Paper, Series A, AMT, 5.70%, 11/01/27

     1,300        1,301,105   
    

 

 

 
               1,837,880   

County/City/Special District/School District — 24.9%

  

 

City of Norfolk Virginia, GO, Refunding, Capital Improvement, Series A, 5.00%, 8/01/38

     500        570,615   

City of Portsmouth Virginia, GO, Refunding, Series D, 5.00%, 7/15/34

     500        569,575   

City of Suffolk Virginia, GO, Refunding, 5.00%, 6/01/42

     1,000        1,110,450   

County of Fairfax Virginia EDA, RB, Silverline Phase I Project, 5.00%, 4/01/37

     1,000        1,089,820   

County of Fairfax Virginia Redevelopment & Housing Authority, Refunding RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

     1,500        1,620,705   

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 3/01/26

     500        491,070   

Mosaic District Community Development Authority, Special Assessment, Series A, 6.88%, 3/01/36

     250        288,032   

Shops at White Oak Village Community Development Authority, Special Assessment, 5.30%, 3/01/17

     113        120,438   

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

     360        444,481   
    

 

 

 
               6,305,186   

Education — 15.4%

  

 

County of Montgomery Virginia EDA, Refunding RB, Virginia Tech Foundation, Series A, 5.00%, 6/01/39

     355        386,577   

Virginia College Building Authority, Refunding RB:

    

Liberty University Projects, 5.00%, 3/01/41

     1,000        1,092,310   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/26

     500        612,815   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/31

     1,000        1,250,080   

Virginia Small Business Financing Authority, RB, Roanoke College, 5.75%, 4/01/41

     500        558,255   
    

 

 

 
               3,900,037   

Health — 28.9%

  

 

County of Fairfax Virginia EDA, Refunding RB:

    

Goodwin House, Inc., 5.00%, 10/01/27

     1,000        1,061,290   

Vinson Hall LLC, Series A, 5.00%, 12/01/42

     500        511,115   

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A, 5.00%, 7/01/42

     500        501,895   

County of Henrico Virginia EDA, Refunding RB, United Methodist Homes, 4.25%, 6/01/26

     145        145,229   

County of York Virginia EDA, Refunding RB, Series A, 1.88%, 5/01/33 (b)

     390        397,663   

Danville Virginia IDA, Refunding RB, Danville Regional Medical Center (AMBAC), 5.25%, 10/01/28 (c)

     1,000        1,232,580   

Peninsula Ports Authority, Refunding RB, Virginia Baptist Homes, Series C, 5.40%, 12/01/33

     250        232,283   

Roanoke EDA, Refunding RB:

    

Carilion Clinic Obligation Group, 5.00%, 7/01/30

     795        889,979   

Carilion Health System (AGM), 5.00%, 7/01/20 (a)

     5        6,000   

Carilion Health System, Series B (AGM), 5.00%, 7/01/38

     495        535,783   

Winchester EDA, Refunding RB, Valley Health System Obligation, Series A, 5.00%, 1/01/44 (d)

     1,000        1,103,480   
Municipal Bonds    Par  
(000)
    Value  

Virginia (concluded)

                

Health (concluded)

  

 

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 1/01/44

   650      712,803   
    

 

 

 
               7,330,100   

Housing — 10.9%

    

Virginia HDA, RB:

    

M/F Rental Housing, Series A, 5.25%, 5/01/41

     750        805,027   

M/F Rental Housing, Series B, 5.63%, 6/01/39

     1,000        1,084,080   

M/F Rental Housing, Series F, 5.25%, 10/01/38

     250        277,310   

Remarketing, S/F Housing, Sub-Series C-3, 3.25%, 4/01/31

     650        607,055   
    

 

 

 
               2,773,472   

State — 8.3%

    

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 9/01/33

     1,000        1,119,560   

Virginia Public School Authority, RB, School Financing, 1997 Resolution, Series B:

    

5.25%, 8/01/33

     500        561,890   

4.00%, 8/01/36

     405        420,880   
    

 

 

 
               2,102,330   

Transportation — 16.7%

    

Richmond Metropolitan Authority, Refunding RB (NPFGC), 5.25%, 7/15/22

     500        568,480   

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

     1,260        1,449,240   

Virginia Port Authority, RB, 5.00%, 7/01/36

     500        570,420   

Virginia Port Authority, Refunding RB, 5.00%, 7/01/40

     500        530,580   

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

     1,000        1,127,640   
    

 

 

 
               4,246,360   

Utilities — 10.0%

    

City of Richmond Virginia, Refunding RB, Series A, 5.00%, 1/15/29

     250        294,695   

Virginia Resources Authority, RB:

    

5.00%, 11/01/18 (a)

     105        122,679   

5.00%, 11/01/33

     1,895        2,127,194   
    

 

 

 
               2,544,568   
Total Municipal Bonds in Virginia              31,039,933   
    

District of Columbia — 7.7%

                

Transportation — 7.7%

    

Metropolitan Washington Airports Authority, Refunding RB:

    

Dulles Toll Road, 1st Senior Lien, Series A, 5.00%, 10/01/39

     290        311,367   

Dulles Toll Road, 1st Senior Lien, Series A, 5.25%, 10/01/44

     460        499,670   

Series B, 5.00%, 10/01/29

     1,000        1,140,520   
    

 

 

 
               1,951,557   
    

Guam — 1.9%

                

State — 1.9%

    

Territory of Guam, RB, Series A:

    

Business Privilege Tax Bonds, 5.13%, 1/01/42

     250        267,720   

Limited Obligation Bonds, Section 30, 5.63%, 12/01/29

     200        220,936   
    

 

 

 
               488,656   

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    49


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 — 6.0%

                

Housing — 6.0%

    

Centerline Equity Issuer Trust, Series B-2, 7.20%, 10/31/52 (e)(f)

   $ 1,500      $ 1,515,420   
Total Municipal Bonds — 137.9%        34,995,566   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
 

Virginia — 21.9%

  

Education — 13.2%

  

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

     2,999        3,335,424   

Health — 8.7%

  

County of Fairfax Virginia IDA, Refunding RB, Health Care, Inova Health System, Series A, 5.50%, 5/15/35

     999        1,121,346   

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

     1,000        1,084,427   
    

 

 

 
               2,205,773   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 21.9%
        5,541,197   
Total Long-Term Investments
(Cost — $37,131,161) — 159.8%
        40,536,763   
Short-Term Securities        
Shares
    Value  

FFI Institutional Tax-Exempt Fund, 0.03% (h)(i)

     76,230      $ 76,230   
Total Short-Term Securities
(Cost — $76,230) — 0.3%
        76,230   
Total Investments (Cost — $37,207,391) — 160.1%        40,612,993   
Liabilities in Excess of Other Assets — (2.5)%        (620,483

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.9)%

   

    (3,019,470
VRDP Shares, at Liquidation Value — (45.7)%        (11,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 25,373,040   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

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

 

(c)   Security is collateralized by municipal or U.S. Treasury obligations.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Wells Fargo Securities LLC

     $ 1,103,480         $ 12,460   

 

(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)   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.

 

(g)   Represent bonds transferred to a TOB. In exchange for which the Trust received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 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 year ended August 31, 2014, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2013
       Net
Activity
       Shares Held
at August 31,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       389,989           (313,759        76,230         $ 174   

 

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

 

Ÿ  

Financial futures contracts outstanding as of August 31, 2014 were as follows:

 

Contracts
Sold
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (13   10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 1,635,156      $ (2,760

 

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 rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

See Notes to Financial Statements.

 

                
50    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents

Schedule of Investments (concluded)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

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 or 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 fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the 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, please refer to Note 2 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 August 31, 2014:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 40,536,763              $ 40,536,763   

Short-Term Securities

  $ 76,230                          76,230   
 

 

 

 

Total

  $ 76,230         $ 40,536,763              $ 40,612,993   
 

 

 

 

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

  $ (2,760                     $ (2,760

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 35,000                        $ 35,000   

Liabilities:

                

TOB trust certificates

            $ (3,018,978             (3,018,978

VRDP Shares

              (11,600,000             (11,600,000
 

 

 

 

Total

  $ 35,000         $ (14,618,978           $ (14,583,978
 

 

 

 

There were no transfers between levels during the year ended August 31, 2014.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    51


Table of Contents
Statements of Assets and Liabilities     

 

August 31, 2014   BlackRock
Maryland
Municipal
Bond Trust
(BZM)
    BlackRock
Massachusetts
Tax-Exempt
Trust
(MHE)
    BlackRock
MuniHoldings
New York Quality
Fund, Inc.
(MHN)
    BlackRock
New Jersey
Municipal
Bond Trust
(BLJ)
 
       
Assets                                

Investments at value — unaffiliated1

  $ 48,786,276      $ 50,759,460      $ 747,123,397      $ 60,188,736   

Investments at value — affiliated2

    23,789        291,104        8,416,390        59,409   

Cash

           16,250                 

Cash pledged for financial futures contracts

    41,000        51,000        620,000        57,000   

TOB trust receivable

                           

Interest receivable

    544,263        626,162        8,575,459        738,006   

Investments sold receivable

                         219,739   

Variation margin receivable on financial futures contracts

    1,063        1,375        28,375        1,438   

Deferred offering costs

    78,904        89,687        414,524        83,952   

Prepaid expenses

    23,145        20,651        23,689        16,147   
 

 

 

 

Total assets

    49,498,440        51,855,689        765,201,834        61,364,427   
 

 

 

 
       
Accrued Liabilities                                

Investments purchased payable

    250,000               501,341          

Income dividends payable — Common Shares

    123,423        147,681        2,147,931        173,206   

Investment advisory fees payable

    24,833        21,766        331,208        33,473   

Officer’s and Trustees’ fees payable

    12,195        638        187,219        11,477   

Offering costs payable

    4,000        4,000               4,000   

Interest expense and fees payable

    283               11,516        1,344   

Other accrued expenses payable

    49,130        42,540        120,714        52,912   
 

 

 

 

Total accrued liabilities

    463,864        216,625        3,299,929        276,412   
 

 

 

 
       
Other Liabilities                                

TOB trust certificates

    1,500,000               51,890,389        4,519,518   

VRDP Shares, at liquidation value of $100,000 per share3,4

    16,000,000        18,500,000        243,600,000        18,700,000   
 

 

 

 

Total other liabilities

    17,500,000        18,500,000        295,490,389        23,219,518   
 

 

 

 

Total liabilities

    17,963,864        18,716,625        298,790,318        23,495,930   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 31,534,576      $ 33,139,064      $ 466,411,516      $ 37,868,497   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of                                

Paid-in capital5,6,7

  $ 29,397,385      $ 29,929,982      $ 444,767,468      $ 32,963,741   

Undistributed net investment income

    327,063        394,681        4,347,011        633,054   

Accumulated net realized loss

    (345,471     (1,151,869     (33,784,015     (658,514

Net unrealized appreciation/depreciation

    2,155,599        3,966,270        51,081,052        4,930,216   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 31,534,576      $ 33,139,064      $ 466,411,516      $ 37,868,497   
 

 

 

 

Net asset value per Common Share

  $ 15.20      $ 14.02      $ 14.98      $ 16.29   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 46,627,067      $ 46,788,519      $ 695,945,944      $ 55,253,636   

2    Investments at cost — affiliated

  $ 23,789      $ 291,104      $ 8,416,390      $ 59,409   

3    VRDP Shares outstanding:

       

Par value $0.001 per share

    160                      187   

Par value $0.10 per share

           185        2,436          

4    Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        unlimited        14,956        unlimited   

5    Par value per Common Share

  $ 0.001      $ 0.010      $ 0.100      $ 0.001   

6    Common Shares outstanding

    2,074,338        2,362,900        31,129,432        2,324,917   

7    Common Shares authorized

    unlimited        unlimited        200 million        unlimited   

 

 

See Notes to Financial Statements.      
                
52    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Statements of Assets and Liabilities (concluded)     

 

August 31, 2014   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)
 
       
Assets                                

Investments at value — unaffiliated1

  $ 70,378,998      $ 153,229,323      $ 126,878,979      $ 40,536,763   

Investments at value — affiliated2

    426,743        2,433,429        863,476        76,230   

Cash

                           

Cash pledged for financial futures contracts

    85,000        125,000        89,000        35,000   

TOB trust receivable

           895,000                 

Interest receivable

    759,202        1,687,074        1,373,677        526,416   

Investments sold receivable

                           

Variation margin receivable on financial futures contracts

    2,313        5,688        4,063        813   

Deferred offering costs

    130,224        140,842        135,602        81,962   

Prepaid expenses

    51,170        52,983        57,885        13,354   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    71,833,650        158,569,339        129,402,682        41,270,538   
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Accrued Liabilities                                

Investments purchased payable

    398,560        2,835,300        515,907        1,091,020   

Income dividends payable — Common Shares

    186,207        407,479        349,924        113,742   

Investment advisory fees payable

    38,898        71,476        59,435        17,561   

Officer’s and Trustees’ fees payable

    11,994        10,255        13,612        7,987   

Offering costs payable

                         9,863   

Interest expense and fees payable

    1,448        4,193        995        492   

Other accrued expenses payable

    37,843        33,353        33,770        37,855   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total accrued liabilities

    674,950        3,362,056        973,643        1,278,520   
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Other Liabilities                                

TOB trust certificates

    4,900,215        17,431,015        5,725,307        3,018,978   

VRDP Shares, at liquidation value of $100,000 per share3,4

    22,100,000        40,500,000        44,400,000        11,600,000   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total other liabilities

    27,000,215        57,931,015        50,125,307        14,618,978   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    27,675,165        61,293,071        51,098,950        15,897,498   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets Applicable to Common Shareholders

  $ 44,158,485      $ 97,276,268      $ 78,303,732      $ 25,373,040   
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of                                

Paid-in capital5,6,7

  $ 39,722,081      $ 92,413,763      $ 70,822,416      $ 22,685,149   

Undistributed net investment income

    711,425        692,757        1,275,825        253,780   

Accumulated net realized loss

    (1,869,675     (6,961,252     (3,835,534     (968,731

Net unrealized appreciation/depreciation

    5,594,654        11,131,000        10,041,025        3,402,842   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets Applicable to Common Shareholders

  $ 44,158,485      $ 97,276,268      $ 78,303,732      $ 25,373,040   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Common Share

  $ 15.77      $ 14.92      $ 15.66      $ 15.95   
 

 

 

   

 

 

   

 

 

   

 

 

 

1    Investments at cost — unaffiliated

  $ 64,776,487      $ 142,079,000      $ 116,824,152      $ 37,131,161   

2    Investments at cost — affiliated

  $ 426,743      $ 2,433,429      $ 863,476      $ 76,230   

3    VRDP Shares outstanding:

       

Par value $0.001 per share

    221        405        444        116   

Par value $0.10 per share

                           

4    Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        unlimited        unlimited        unlimited   

5    Par value per Common Share

  $ 0.001      $ 0.001      $ 0.001      $ 0.001   

6    Common Shares outstanding

    2,800,105        6,519,660        4,998,911        1,590,796   

7    Common Shares authorized

    unlimited        unlimited        unlimited        unlimited   

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    53


Table of Contents
Statements of Operations     

 

Year Ended August 31, 2014   BlackRock
Maryland
Municipal
Bond Trust
(BZM)
    BlackRock
Massachusetts
Tax-Exempt
Trust
(MHE)
    BlackRock
MuniHoldings
New York Quality
Fund, Inc.
(MHN)
    BlackRock
New Jersey
Municipal
Bond Trust
(BLJ)
 
       
Investment Income                                

Interest

  $ 2,017,576      $ 2,189,939      $ 32,676,739      $ 2,758,307   

Income — affiliated

    306                        
 

 

 

   

 

 

   

 

 

   

 

 

 

Total income

    2,017,882        2,189,939        32,676,739        2,758,307   
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Expenses                                

Investment advisory

    306,728        252,070        4,047,536        380,981   

Liquidity fees

                  1,016,693          

Professional

    38,195        34,648        109,731        38,899   

Remarketing fees on Preferred Shares

                  161,311          

Transfer agent

    16,568        19,488        33,932        16,378   

Accounting services

    9,873        10,365        97,889        11,596   

Printing

    8,456        5,142        16,823        7,382   

Custodian

    6,622        5,509        34,358        7,283   

Officer and Trustees

    3,674        2,596        60,001        4,098   

Registration

    875        1,002        10,344        987   

Miscellaneous

    29,586        32,202        90,230        34,722   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    420,577        363,022        5,678,848        502,326   

Interest expense, fees and amortization of offering costs1

    173,424        193,890        1,622,030        223,446   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    594,001        556,912        7,300,878        725,772   

Less fees waived by Manager

    (24,002            (338,558     (700
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    569,999        556,912        6,962,320        725,072   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1,447,883        1,633,027        25,714,419        2,033,235   
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments

    (32,935     (218,697     (9,627,231     (265,903

Capital gain distributions received from affiliated investment companies

                  568          

Financial futures contracts

    (163,751     (71,711     (1,924,660     (76,672
 

 

 

   

 

 

   

 

 

   

 

 

 
    (196,686     (290,408     (11,551,323     (342,575
 

 

 

   

 

 

   

 

 

   

 

 

 
Net change in unrealized appreciation/depreciation on:        

Investments

    4,162,929        4,403,091        70,400,136        5,420,312   

Financial futures contracts

    (3,610     (4,671     (96,401     (4,884
 

 

 

   

 

 

   

 

 

   

 

 

 
    4,159,319        4,398,420        70,303,735        5,415,428   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    3,962,633        4,108,012        58,752,412        5,072,853   
 

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 5,410,516      $ 5,741,039      $ 84,466,831      $ 7,106,088   
 

 

 

   

 

 

   

 

 

   

 

 

 

1    Related to TOBs and/or VRDP Shares.

       

 

 

See Notes to Financial Statements.      
                
54    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Statements of Operations (concluded)     

 

Year Ended August 31, 2014   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)
 
       
Investment Income                                

Interest

  $ 3,130,497      $ 6,294,965      $ 5,605,079      $ 1,791,375   

Income — affiliated

                         174   
 

 

 

 

Total income

    3,130,497        6,294,965        5,605,079        1,791,549   
 

 

 

 
       
Expenses                                

Investment advisory

    440,021        803,043        671,800        250,801   

Liquidity fees

    205,393        376,399        412,647          

Professional

    39,621        44,288        41,117        27,564   

Remarketing fees on Preferred Shares

    22,407        41,063        45,015          

Transfer agent

    16,478        20,058        17,137        15,947   

Accounting services

    12,808        26,898        17,267        1,786   

Printing

    5,256        9,154        9,112        7,438   

Custodian

    7,911        11,795        10,937        6,512   

Officer and Trustees

    4,661        8,486        7,436        2,578   

Registration

    8,904        8,953        2,131        678   

Miscellaneous

    58,728        61,057        62,700        29,515   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    822,188        1,411,194        1,297,299        342,819   

Interest expense, fees and amortization of offering costs1

    87,668        178,316        123,405        138,778   
 

 

 

 

Total expenses

    909,856        1,589,510        1,420,704        481,597   

Less fees waived by Manager

    (348     (1,085     (1,026     (12,102
 

 

 

 

Total expenses after fees waived

    909,508        1,588,425        1,419,678        469,495   
 

 

 

 

Net investment income

    2,220,989        4,706,540        4,185,401        1,322,054   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments

    (922,381     (1,301,504     (1,313,123     (63,709

Capital gain distributions received from affiliated investment companies

    119        407        310          

Financial futures contracts

    (171,942     (392,663     (294,722     (127,204
 

 

 

 
    (1,094,204     (1,693,760     (1,607,535     (190,913
 

 

 

 
Net change in unrealized appreciation/depreciation on:        

Investments

    7,971,745        15,007,974        13,166,714        3,290,485   

Financial futures contracts

    (7,857     (19,323     (13,802     (2,760
 

 

 

 
    7,963,888        14,988,651        13,152,912        3,287,725   
 

 

 

 

Net realized and unrealized gain

    6,869,684        13,294,891        11,545,377        3,096,812   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 9,090,673      $ 18,001,431      $ 15,730,778      $ 4,418,866   
 

 

 

 

1    Related to TOBs and/or VRDP Shares.

       

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    55


Table of Contents
Statements of Changes in Net Assets     

 

    BlackRock Maryland Municipal
Bond Trust (BZM)
        BlackRock Massachusetts
Tax-Exempt Trust (MHE)
 
    Year Ended August 31,         Year Ended August 31,  
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   2014     2013         2014     2013  
         
Operations                                    

Net investment income

  $ 1,447,883      $ 1,498,753        $ 1,633,027      $ 1,678,871   

Net realized gain (loss)

    (196,686     60,801          (290,408     187,502   

Net change in unrealized appreciation/depreciation

    4,159,319        (4,698,900       4,398,420        (4,838,619
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    5,410,516        (3,139,346       5,741,039        (2,972,246
 

 

 

     

 

 

 
         
Dividends to Common Shareholders From1                                    

Net investment income

    (1,518,416     (1,580,308       (1,771,870     (1,770,755
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends

           41,683          7,113        53,858   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    3,892,100        (4,677,971       3,976,282        (4,689,143

Beginning of year

    27,642,476        32,320,447          29,162,782        33,851,925   
 

 

 

     

 

 

 

End of year

  $ 31,534,576      $ 27,642,476        $ 33,139,064      $ 29,162,782   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 327,063      $ 394,995        $ 394,681      $ 521,978   
 

 

 

     

 

 

 

 

  1  

Dividends for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
56    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Statements of Changes in Net Assets     

 

 

 

    BlackRock MuniHoldings New York
Quality Fund, Inc. (MHN)
        BlackRock New Jersey Municipal
Bond Trust (BLJ)
 
    Year Ended August 31,         Year Ended August 31,  
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   2014     2013         2014     2013  
         
Operations                                    

Net investment income

  $ 25,714,419      $ 27,057,254        $ 2,033,235      $ 2,040,093   

Net realized loss

    (11,551,323     (1,942,217       (342,575     (189

Net change in unrealized appreciation/depreciation

    70,303,735        (74,508,341       5,415,428        (5,918,003
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    84,466,831        (49,393,304       7,106,088        (3,878,099
 

 

 

     

 

 

 
         
Dividends to Common Shareholders From1                                    

Net investment income

    (26,990,182     (28,662,477       (2,078,476     (2,046,497
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends

           1,536,366                 37,979   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    57,476,649        (76,519,415       5,027,612        (5,886,617

Beginning of year

    408,934,867        485,454,282          32,840,885        38,727,502   
 

 

 

     

 

 

 

End of year

  $ 466,411,516      $ 408,934,867        $ 37,868,497      $ 32,840,885   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 4,347,011      $ 5,755,389        $ 633,054      $ 675,286   
 

 

 

     

 

 

 

 

  1   

Dividends for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    57


Table of Contents
Statements of Changes in Net Assets     

 

    BlackRock New York Municipal
Bond Trust (BQH)
        BlackRock New York Municipal
Income Quality Trust (BSE)
 
    Year Ended August 31,         Year Ended August 31,  
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   2014     2013         2014     2013  
         
Operations                                    

Net investment income

  $ 2,220,989      $ 2,356,440        $ 4,706,540      $ 5,104,756   

Net realized loss

    (1,094,204     (511,799       (1,693,760     (669,198

Net change in unrealized appreciation/depreciation

    7,963,888        (7,892,037       14,988,651        (15,841,855
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    9,090,673        (6,047,396       18,001,431        (11,406,297
 

 

 

     

 

 

 
         
Dividends and Distributions to Common Shareholders From1                                    

Net investment income

    (2,234,484     (2,319,200       (4,987,540     (5,433,780

Net realized gain

           (627,819                
 

 

 

     

 

 

 

Decrease in net assets resulting from dividends and distributions to Common Shareholders

    (2,234,484     (2,947,019       (4,987,540     (5,433,780
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends and distributions

           139,133                 237,223   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    6,856,189        (8,855,282       13,013,891        (16,602,854

Beginning of year

    37,302,296        46,157,578          84,262,377        100,865,231   
 

 

 

     

 

 

 

End of year

  $ 44,158,485      $ 37,302,296        $ 97,276,268      $ 84,262,377   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 711,425      $ 700,770        $ 692,757      $ 977,243   
 

 

 

     

 

 

 

 

  1   

Dividends and distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
58    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Statements of Changes in Net Assets     

 

    BlackRock New York Municipal
Income Trust II (BFY)
        BlackRock Virginia Municipal
Bond Trust (BHV)
 
    Year Ended August 31,         Year Ended August 31,  
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   2014     2013         2014     2013  
         
Operations                                    

Net investment income

  $ 4,185,401      $ 4,442,803        $ 1,322,054      $ 1,337,324   

Net realized loss

    (1,607,535     (532,808       (190,913     (189,331

Net change in unrealized appreciation/depreciation

    13,152,912        (13,156,037       3,287,725        (4,004,854
 

 

 

     

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    15,730,778        (9,246,042       4,418,866        (2,856,861
 

 

 

     

 

 

 
         
Dividends to Common Shareholders From1                                    

Net investment income

    (4,199,085     (4,425,551       (1,370,335     (1,446,084
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common dividends

           215,906          68,529        92,688   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    11,531,693        (13,455,687       3,117,060        (4,210,257

Beginning of year

    66,772,039        80,227,726          22,255,980        26,466,237   
 

 

 

     

 

 

 

End of year

  $ 78,303,732      $ 66,772,039        $ 25,373,040      $ 22,255,980   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 1,275,825      $ 1,262,064        $ 253,780      $ 300,029   
 

 

 

     

 

 

 

 

  1   

Dividends for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    59


Table of Contents
Statements of Cash Flows     

 

Year Ended August 31, 2014  

BlackRock
Maryland
Municipal

Bond Trust
(BZM)

   

BlackRock
Massachusetts
Tax-Exempt
Trust

(MHE)

   

BlackRock
MuniHoldings
New York Quality
Fund, Inc.

(MHN)

   

BlackRock
New Jersey
Municipal
Bond Trust

(BLJ)

 
       
Cash Provided by Operating Activities                                

Net increase in net assets resulting from operations

  $ 5,410,516      $ 5,741,039      $ 84,466,831      $ 7,106,088   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

       

(Increase) decrease in interest receivable

    (5,684     16,841        (430,356     41,818   

Increase in variation margin receivable on financial futures contracts

    (1,063     (1,375     (28,375     (1,438

Increase in prepaid expenses

    (12,819     (13,098     (14,365     (11,697

Increase in cash pledged for financial futures contracts

    (41,000     (51,000     (620,000     (57,000

Increase (decrease) in investment advisory fees payable

    1,505        564        33,079        1,479   

Decrease in interest expense and fees payable

    (150     (338     (13,679     (817

Increase (decrease) in other accrued expenses payable

    6,861        4,867        (191,895     6,097   

Increase (decrease) in Officer’s and Trustees’ fees payable

    866        (363     36,809        749   

Net realized loss on investments

    32,935        218,697        9,626,663        265,903   

Net unrealized gain on investments

    (4,162,929     (4,403,091     (70,400,136     (5,420,312

Amortization of premium and accretion of discount on investments

    186,566        203,396        2,000,428        18,513   

Proceeds from sales of long-term investments

    6,871,251        7,532,825        149,142,819        9,477,462   

Purchases of long-term investments

    (7,163,197     (7,342,809     (136,713,206     (9,921,378

Net proceeds from sales of short-term securities

    397,870        1,708,901        3,085,427        571,026   
 

 

 

 

Net cash provided by operating activities

    1,521,528        3,615,056        39,980,044        2,076,493   
 

 

 

 
       
Cash Used for Financing Activities                                

Proceeds from TOB trust certificates

                  3,821,261          

Repayments of TOB trust certificates

           (1,839,595     (16,588,699       

Cash dividends paid to Common Shareholders

    (1,524,639     (1,764,725     (27,223,653     (2,078,476

Decrease in bank overdraft

    (73                     

Amortization of deferred offering costs

    3,184        3,481        11,047        1,983   
 

 

 

 

Net cash used for financing activities

    (1,521,528     (3,600,839     (39,980,044     (2,076,493
 

 

 

 
       
Cash                                

Net increase in cash

           14,217                 

Cash at beginning of year

           2,033                 
 

 

 

 

Cash at end of year

         $ 16,250                 
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the year for interest

  $ 170,390      $ 190,747      $ 1,624,662      $ 222,280   
 

 

 

 
       
Non-cash Financing Activities                                

Capital shares issued in reinvestment of dividends paid to Common Shareholders

         $ 7,113                 
 

 

 

 

 

 

See Notes to Financial Statements.      
                
60    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Statements of Cash Flows (concluded)     

 

Year Ended August 31, 2014   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)
 
       
Cash Provided by Operating Activities                                

Net increase in net assets resulting from operations

  $ 9,090,673      $ 18,001,431      $ 15,730,778      $ 4,418,866   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

       

(Increase) decrease in interest receivable

    (59,169     (92,906     (128,442     (6,505

Increase in variation margin receivable on financial futures contracts

    (2,313     (5,688     (4,063     (813

Increase in prepaid expenses

    (11,330     (7,990     (14,588     (12,596

Increase in cash pledged for financial futures contracts

    (85,000     (125,000     (89,000     (35,000

Increase (decrease) in investment advisory fees payable

    2,631        3,841        3,574        (3,248

Decrease in interest expense and fees payable

    (432     (2,872     (779     (606

Increase (decrease) in other accrued expenses payable

    8,088        (701     17,214        5,287   

Increase (decrease) in Officer’s and Trustees’ fees payable

    802        (104     557        311   

Net realized loss on investments

    922,262        1,301,097        1,312,813        63,709   

Net unrealized gain on investments

    (7,971,745     (15,007,974     (13,166,714     (3,290,485

Amortization of premium and accretion of discount on investments

    111,086        467,139        143,777        54,249   

Proceeds from sales of long-term investments

    12,459,612        35,962,834        27,998,745        4,100,482   

Purchases of long-term investments

    (13,912,476     (36,294,140     (29,849,218     (4,306,235

Net proceeds from sales of short-term securities

    1,535,769        1,318,662        1,688,944        313,759   
 

 

 

 

Net cash provided by operating activities

    2,088,458        5,517,629        3,643,598        1,301,175   
 

 

 

 
       
Cash Used for Financing Activities                                

Proceeds from TOB trust certificates

    125,020        3,478,980        1,090,368        68   

Repayments of TOB trust certificates

           (3,997,001     (562,576       

Cash dividends paid to Common Shareholders

    (2,234,484     (5,020,138     (4,199,085     (1,303,860

Decrease in bank overdraft

                         (121

Amortization of deferred offering costs

    21,006        20,530        27,695        2,738   
 

 

 

 

Net cash used for financing activities

    (2,088,458     (5,517,629     (3,643,598     (1,301,175
 

 

 

 
       
Cash                                

Net increase in cash

                           

Cash at beginning of year

                           
 

 

 

 

Cash at end of year

                           
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the year for interest

  $ 67,094      $ 160,658      $ 96,489      $ 136,646   
 

 

 

 
       
Non-cash Financing Activities                                

Capital shares issued in reinvestment of dividends paid to Common Shareholders

                       $ 68,529   
 

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    61


Table of Contents
Financial Highlights    BlackRock Maryland Municipal Bond Trust (BZM)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                           

Net asset value, beginning of year

  $ 13.33      $ 15.60      $ 14.61      $ 15.23      $ 13.81   
 

 

 

 

Net investment income1

    0.70        0.72        0.90        0.97        1.02   

Net realized and unrealized gain (loss)

    1.90        (2.23     1.05        (0.59     1.29   
Dividends and distributions to AMPS shareholders from:          

Net investment income

                  (0.02     (0.03     (0.03

Net realized gain

                         (0.00 )2        
 

 

 

 

Net increase (decrease) from investment operations

    2.60        (1.51     1.93        0.35        2.28   
 

 

 

 
Dividends and distributions to Common Shareholders from:3          

Net investment income

    (0.73     (0.76     (0.94     (0.95     (0.86

Net realized gain

                         (0.02       
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.73     (0.76     (0.94     (0.97     (0.86
 

 

 

 

Net asset value, end of year

  $ 15.20      $ 13.33      $ 15.60      $ 14.61      $ 15.23   
 

 

 

 

Market price, end of year

  $ 14.59      $ 12.66      $ 18.43      $ 15.02      $ 15.91   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                            

Based on net asset value

    20.39%        (10.24)%        13.08%        2.45%        16.80%   
 

 

 

 

Based on market price

    21.68%        (27.84)%        29.95%        0.83%        9.77%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                           

Total expenses

    2.00%        2.04%        1.66% 5      1.58% 5      1.56% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.92%        2.02%        1.60% 5      1.45% 5      1.35% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.34%        1.41%        1.44% 5,7      1.41% 5      1.31% 5 
 

 

 

 

Net investment income

    4.88%        4.73%        5.94% 5      6.73% 5      6.95% 5 
 

 

 

 

Dividends to AMPS shareholders

                  0.10%        0.19%        0.21%   
 

 

 

 

Net investment income to Common Shareholders

    4.88%        4.73%        5.84%        6.54%        6.74%   
 

 

 

 
         
Supplemental Data                           

Net assets applicable to Common Shareholders, end of year (000)

  $ 31,535      $ 27,642      $ 32,320      $ 30,203      $ 31,349   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                       $ 16,000      $ 16,000   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 16,000      $ 16,000      $ 16,000                 
 

 

 

 

Portfolio turnover rate

    15%        11%        30%        11%        13%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                       $  72,192      $  73,985   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  297,091      $  272,765      $  302,003                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Dividends and distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  5   

Does not reflect the effect of dividends to AMPS shareholders.

 

  6   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  7   

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.      
                
62    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Financial Highlights    BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                   

Net asset value, beginning of year

  $ 12.34      $ 14.35      $ 13.01      $ 13.52      $ 12.19   
 

 

 

 

Net investment income1

    0.69        0.71        0.84        0.90        0.89   

Net realized and unrealized gain (loss)

    1.74        (1.97     1.34        (0.54     1.31   

Dividends to AMPS Shareholders from net investment income

                  (0.01     (0.03     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    2.43        (1.26     2.17        0.33        2.17   
 

 

 

 

Dividends to Common Shareholders from net investment income2

    (0.75     (0.75     (0.83     (0.84     (0.84
 

 

 

 

Net asset value, end of year

  $ 14.02      $ 12.34      $ 14.35      $ 13.01      $ 13.52   
 

 

 

 

Market price, end of year

  $ 13.75      $ 11.91      $ 14.91      $ 13.11      $ 13.98   
 

 

 

 
         
Total Return Applicable to Common Shareholders3                    

Based on net asset value

    20.47%        (9.27)%        17.02%        2.78%        18.40%   
 

 

 

 

Based on market price

    22.42%        (15.72)%        20.66%        0.16%        24.37%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                   

Total expenses

    1.78%        1.77%        1.50% 4      1.39% 4      1.39% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.78%        1.77%        1.50% 4      1.39% 4      1.38% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5

    1.16%        1.12%        1.33% 4,6      1.36% 4      1.35% 4 
 

 

 

 

Net investment income

    5.22%        5.06%        6.07% 4      7.15% 4      6.95% 4 
 

 

 

 

Dividends to AMPS Shareholders

                  0.11%        0.22%        0.24%   
 

 

 

 

Net investment income to Common Shareholders

    5.22%        5.06%        5.96%        6.93%        6.71%   
 

 

 

 
         
Supplemental Data                   

Net assets applicable to Common Shareholders, end of year (000)

  $ 33,139      $ 29,163      $ 33,852      $ 30,611      $ 31,739   
 

 

 

 

AMPS outstanding at $50,000 liquidation preference, end of year (000)

                       $ 18,500      $ 18,500   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 18,500      $ 18,500      $ 18,500                 
 

 

 

 

Portfolio turnover rate

    14%        11%        17%        10%        12%   
 

 

 

 

Asset coverage per AMPS at $50,000 liquidation preference, end of year

                       $  132,732      $  135,785   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  279,130      $  257,637      $  282,983                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Dividends for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  4   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  5   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  6   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.24%.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    63


Table of Contents
Financial Highlights    BlackRock MuniHoldings New York Quality Fund, Inc.  (MHN)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                   

Net asset value, beginning of year

  $ 13.14      $ 15.64      $ 14.34      $ 15.09      $ 13.74   
 

 

 

 

Net investment income1

    0.83        0.87        0.89        0.97        1.04   

Net realized and unrealized gain (loss)

    1.88        (2.45     1.36        (0.73     1.21   

Dividends to AMPS Shareholders from net investment income

                         (0.03     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    2.71        (1.58     2.25        0.21        2.22   
 

 

 

 

Dividends to Common Shareholders from net investment income2

    (0.87     (0.92     (0.95     (0.96     (0.87
 

 

 

 

Net asset value, end of year

  $ 14.98      $ 13.14      $ 15.64      $ 14.34      $ 15.09   
 

 

 

 

Market price, end of year

  $ 13.64      $ 12.65      $ 15.86      $ 13.90      $ 15.17   
 

 

 

 
         
Total Return Applicable to Common Shareholders3                    

Based on net asset value

    21.74%        (10.59)%        16.15%        1.85%        16.87%   
 

 

 

 

Based on market price

    15.15%        (15.12)%        21.52%        (1.80)%        25.24%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                   

Total expenses

    1.66%        1.75%        1.95%        1.47% 4      1.29% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.59%        1.67%        1.87%        1.36% 4      1.14% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5

    1.22% 6      1.36% 6      1.45% 6      1.18% 4      1.02% 4 
 

 

 

 

Net investment income

    5.86%        5.73%        5.89%        6.98% 4      7.24% 4 
 

 

 

 

Dividends to AMPS Shareholders

                         0.19%        0.23%   
 

 

 

 

Net investment income to Common Shareholders

    5.86%        5.73%        5.89%        6.79%        7.01%   
 

 

 

 
         
Supplemental Data                   

Net assets applicable to Common Shareholders, end of year (000)

  $ 466,412      $ 408,935      $ 485,454      $ 443,325      $  464,853   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                              $ 243,625   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 243,600      $ 243,600      $ 243,600      $ 243,600          
 

 

 

 

Portfolio turnover rate

    16%        18%        14%        18%        10%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                              $ 72,703   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  291,466      $  267,871      $  299,283      $  281,989          
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Dividends for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  4   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  5   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  6   

For the years ended August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering cost, liquidity and remarketing fees was 0.95%, 0.95% and 1.02%, respectively.

 

 

See Notes to Financial Statements.      
                
64    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Financial Highlights    BlackRock New Jersey Municipal Bond Trust  (BLJ)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                   

Net asset value, beginning of year

  $ 14.13      $ 16.67      $ 14.55      $ 15.23      $ 13.53   
 

 

 

 

Net investment income1

    0.87        0.88        0.95        1.00        1.05   

Net realized and unrealized gain (loss)

    2.18        (2.54     2.12        (0.68     1.61   

Dividends and distributions to AMPS Shareholders from:

         

Net investment income

                  (0.02     (0.03     (0.03

Net realized gain

                         (0.00 )2        
 

 

 

 

Net increase (decrease) from investment operations

    3.05        (1.66     3.05        0.29        2.63   
 

 

 

 

Dividends and distributions to Common Shareholders from:3

         

Net investment income

    (0.89     (0.88     (0.93     (0.94     (0.93

Net realized gain

                         (0.03       
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.89     (0.88     (0.93     (0.97     (0.93
 

 

 

 

Net asset value, end of year

  $ 16.29      $ 14.13      $ 16.67      $ 14.55      $ 15.23   
 

 

 

 

Market price, end of year

  $ 14.68      $ 13.54      $ 16.66      $ 13.60      $ 15.63   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                    

Based on net asset value

    22.83%        (10.43)%        21.52%        2.46%        20.04%   
 

 

 

 

Based on market price

    15.51%        (14.12)%        29.94%        (6.68)%        22.65%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                   

Total expenses

    2.05%        2.10%        1.65% 5      1.57% 5      1.54% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.05%        2.10%        1.59% 5      1.43% 5      1.32% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.42%        1.45%        1.41% 5,7      1.41% 5      1.31% 5 
 

 

 

 

Net investment income

    5.74%        5.39%        6.01% 5      7.08% 5      7.32% 5 
 

 

 

 

Dividends to AMPS Shareholders

                  0.11%        0.20%        0.24%   
 

 

 

 

Net investment income to Common Shareholders

    5.74%        5.39%        5.90%        6.88%        7.08%   
 

 

 

 
         
Supplemental Data                   

Net assets applicable to Common Shareholders, end of year (000)

  $ 37,868      $ 32,841      $ 38,728      $  33,753      $  35,277   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                         18,775      $ 18,775   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 18,700      $ 18,700      $ 18,700                 
 

 

 

 

Portfolio turnover rate

    16%        8%        25%        19%        18%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                       $ 69,944      $ 71,974   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  302,505      $  275,620      $  307,099                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Dividends and distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  5   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  6   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  7   

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 1.34%.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    65


Table of Contents
Financial Highlights    BlackRock New York Municipal Bond Trust (BQH)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                   

Net asset value, beginning of year

  $ 13.32      $ 16.53      $ 14.89      $ 15.65      $ 14.56   
 

 

 

 

Net investment income1

    0.79        0.84        0.87        1.04        1.07   

Net realized and unrealized gain (loss)

    2.46        (3.00     1.73        (0.78     1.09   

Dividends and distributions to AMPS Shareholders from:

         

Net investment income

                  (0.00 )2      (0.03     (0.03

Net realized gain

                         (0.00 )2      (0.01
 

 

 

 

Net increase (decrease) from investment operations

    3.25        (2.16     2.60        0.23        2.12   
 

 

 

 

Dividends and distributions to Common Shareholders from:3

         

Net investment income

    (0.80     (0.83     (0.96     (0.99     (0.94

Net realized gain

           (0.22            (0.00 )2      (0.09
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.80     (1.05     (0.96     (0.99     (1.03
 

 

 

 

Net asset value, end of year

  $ 15.77      $ 13.32      $ 16.53      $ 14.89      $ 15.65   
 

 

 

 

Market price, end of year

  $ 13.86      $ 12.45      $ 16.56      $ 14.83      $ 15.79   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                    

Based on net asset value

    25.66%        (13.83)%        17.99%        1.81%        15.18%   
 

 

 

 

Based on market price

    18.16%        (19.61)%        18.68%        0.50%        18.15%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                   

Total expenses

    2.23%        2.26%        2.26% 5      1.50% 5      1.49% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.23%        2.26%        2.20% 5      1.37% 5      1.27% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    2.02% 7      1.96% 7      1.90% 5,7      1.36% 5      1.24% 5 
 

 

 

 

Net investment income

    5.45%        5.26%        5.52% 5      7.12% 5      7.07% 5 
 

 

 

 

Dividends to AMPS Shareholders

                  0.02%        0.19%        0.19%   
 

 

 

 

Net investment income to Common Shareholders

    5.45%        5.26%        5.50%        6.93%        6.88%   
 

 

 

 
         
Supplemental Data                   

Net assets applicable to Common Shareholders, end of year (000)

  $ 44,158      $ 37,302      $ 46,158      $ 41,399      $ 43,409   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                       $ 22,125      $ 22,125   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 22,100      $ 22,100      $ 22,100                 
 

 

 

 

Portfolio turnover rate

    18%        18%        45%        14%        22%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                       $  71,778      $  74,052   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  299,812      $  268,789      $  308,858                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Dividends and distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  5   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  6   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  7   

For the years ended August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.46%, 1.47% and 1.45%, respectively.

 

 

See Notes to Financial Statements.      
                
66    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Financial Highlights    BlackRock New York Municipal Income Quality Trust  (BSE)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                   

Net asset value, beginning of year

  $ 12.92      $ 15.51      $ 14.25      $ 14.90      $ 13.61   
 

 

 

 

Net investment income1

    0.72        0.78        0.81        0.90        0.91   

Net realized and unrealized gain (loss)

    2.05        (2.54     1.31        (0.67     1.23   

Dividends to AMPS Shareholders from net investment income

                  (0.00 )2      (0.02     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    2.77        (1.76     2.12        0.21        2.11   
 

 

 

 

Dividends to Common Shareholders from net investment income3

    (0.77     (0.83     (0.86     (0.86     (0.82
 

 

 

 

Net asset value, end of year

  $ 14.92      $ 12.92      $ 15.51      $ 14.25      $ 14.90   
 

 

 

 

Market price, end of year

  $ 13.16      $ 12.05      $ 15.74      $ 13.54      $ 14.91   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                    

Based on net asset value

    22.65%        (11.80)%        15.23%        1.94%        16.04%   
 

 

 

 

Based on market price

    15.99%        (18.94)%        23.07%        (3.20)%        20.18%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                   

Total expenses

    1.75%        1.79%        1.82% 5      1.28% 5      1.21% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.75%        1.78%        1.82% 5      1.26% 5      1.12% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.55% 7      1.51% 7      1.50% 5,7      1.17% 5      1.03% 5 
 

 

 

 

Net investment income

    5.18%        5.20%        5.38% 5      6.50% 5      6.45% 5 
 

 

 

 

Dividends to AMPS Shareholders

                  0.01%        0.16%        0.18%   
 

 

 

 

Net investment income to Common Shareholders

    5.18%        5.20%        5.37%        6.34%        6.27%   
 

 

 

 
         
Supplemental Data                   

Net assets applicable to Common Shareholders, end of year (000)

  $ 97,276      $ 84,262      $ 100,865      $ 92,411      $ 96,617   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                       $ 40,575      $ 40,575   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 40,500      $ 40,500      $ 40,500                 
 

 

 

 

Portfolio turnover rate

    24%        25%        24%        24%        8%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                       $  81,938      $  84,531   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  340,188      $  308,055      $  349,050                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Dividends for annual periods are determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  5   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  6   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  7   

For the year ended August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were 1.09%, 1.09% and 1.13% respectively.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    AUGUST 31, 2014    67


Table of Contents
Financial Highlights    BlackRock New York Municipal Income Trust II  (BFY)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 13.36      $ 16.09      $ 14.66      $ 15.33      $ 14.03   
 

 

 

 

Net investment income1

    0.84        0.89        0.92        1.05        1.06   

Net realized and unrealized gain (loss)

    2.30        (2.73     1.50        (0.69     1.25   

Dividends to AMPS Shareholders from net investment income

                  (0.00 )2      (0.03     (0.04
 

 

 

 

Net increase (decrease) from investment operations

    3.14        (1.84     2.42        0.33        2.27   
 

 

 

 

Dividends to Common Shareholders from net investment income3

    (0.84     (0.89     (0.99     (1.00     (0.97
 

 

 

 

Net asset value, end of year

  $ 15.66      $ 13.36      $ 16.09      $ 14.66      $ 15.33   
 

 

 

 

Market price, end of year

  $ 14.02      $ 12.56      $ 16.81      $ 14.38      $ 15.48   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                                        

Based on net asset value

    24.75%        (12.01)%        17.00%        2.56%        16.69%   
 

 

 

 

Based on market price

    18.80%        (20.82)%        24.61%        (0.37)%        18.09%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                                        

Total expenses

    1.96%        1.97%        2.03% 5      1.27% 5      1.21% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.95%        1.97%        1.95% 5      1.18% 5      1.13% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.78% 7      1.71% 7      1.62% 5,7      1.18% 5      1.13% 5 
 

 

 

 

Net investment income

    5.76%        5.68%        5.96% 5      7.34% 5      7.21% 5 
 

 

 

 

Dividends to AMPS Shareholders

                  0.01%        0.22%        0.25%   
 

 

 

 

Net investment income to Common Shareholders

    5.76%        5.68%        5.95%        7.12%        6.96%   
 

 

 

 
         
Supplemental Data                                        

Net assets applicable to Common Shareholders, end of year (000)

  $ 78,304      $ 66,772      $ 80,228      $ 72,817      $ 75,872   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                       $ 44,475      $ 44,475   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 44,400      $ 44,400      $ 44,400                 
 

 

 

 

Portfolio turnover rate

    21%        30%        25%        20%        16%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                       $  65,931      $  67,651   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  276,360      $  250,387      $  280,693                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Dividends for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  5   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  6   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  7   

For the years ended August 31, 2014, August 31, 2013 and 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 1.15%, 1.14% and 1.11%, respectively.

 

 

See Notes to Financial Statements.      
                
68    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Financial Highlights    BlackRock Virginia Municipal Bond Trust (BHV)

 

    Year Ended August 31,  
    2014     2013     2012     2011     2010  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 14.03      $ 16.74      $ 15.33      $ 16.02      $ 15.05   
 

 

 

 

Net investment income1

    0.83        0.84        0.97        1.02        1.04   

Net realized and unrealized gain (loss)

    1.95        (2.64     1.45        (0.60     1.19   
Dividends and distributions to AMPS Shareholders from:          

Net investment income

                  (0.02     (0.03     (0.02

Net realized gain

                         (0.00 )2      (0.01
 

 

 

 

Net increase (decrease) from investment operations

    2.78        (1.80     2.40        0.39        2.20   
 

 

 

 
Dividends and distributions to Common Shareholders from:3          

Net investment income

    (0.86     (0.91     (0.99     (1.00     (0.96

Net realized gain

                         (0.08     (0.27
 

 

 

 

Total dividends and distributions to Common Shareholders

    (0.86     (0.91     (0.99     (1.08     (1.23
 

 

 

 

Net asset value, end of year

  $ 15.95      $ 14.03      $ 16.74      $ 15.33      $ 16.02   
 

 

 

 

Market price, end of year

  $ 16.35      $ 14.91      $ 19.58      $ 17.77      $ 18.77   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                                        

Based on net asset value

    20.31%        (11.96)%        15.19%        1.98%        14.15%   
 

 

 

 

Based on market price

    16.06%        (20.01)%        16.23%        0.89%        15.02%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                                        

Total expenses

    2.01%        2.18%        1.69% 5      1.66% 5      1.57% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.96%        2.18%        1.64% 5      1.52% 5      1.36% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.38%        1.58%        1.43% 5,7      1.44% 5      1.31% 5 
 

 

 

 

Net investment income

    5.52%        5.18%        6.03% 5      6.81% 5      6.71% 5 
 

 

 

 

Dividends to AMPS Shareholders

                  0.09%        0.17%        0.16%   
 

 

 

 

Net investment income to Common Shareholders

    5.52%        5.18%        5.94%        6.64%        6.55%   
 

 

 

 
         
Supplemental Data                                        

Net assets applicable to Common Shareholders, end of year (000)

  $ 25,373      $ 22,256      $ 26,466      $ 24,155      $ 25,141   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                       $ 11,675      $ 11,675   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 11,600      $ 11,600      $ 11,600                 
 

 

 

 

Portfolio turnover rate

    11%        8%        23%        12%        26%   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year

                       $  76,725      $  78,836   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  318,733      $  291,862      $  328,157                 
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Dividends and distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of dividends and distributions.

 

  5   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  6   

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  7   

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.      
                
   ANNUAL REPORT    AUGUST 31, 2014    69


Table of Contents
Notes to Financial Statements     

 

1. Organization:

BlackRock Maryland Municipal Bond Trust (“BZM”), BlackRock Massachusetts Tax-Exempt Trust (“MHE”), 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”), and BlackRock Virginia Municipal Bond Trust (“BHV”) (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 Boards of Directors and Boards of Trustees 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 the “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

2. Significant Accounting Policies:

The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Trusts:

Valuation: U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board of the Trusts. 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.

In the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair 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, deems relevant consistent with the principles of fair value measurement. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., financial futures contracts) or certain borrowings (e.g., TOBs) that would be “senior securities” for 1940 Act purposes, the Trust may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Trust’s future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trust may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

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 U.S. GAAP. Dividends and distributions to Preferred Shareholders are accrued and determined as described in Note 9.

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.

 

                
70    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Notes to Financial Statements (continued)     

 

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.

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Trusts’ financial statement disclosures.

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.

3. Securities and Other Investments:

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 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 year ended August 31, 2014, 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 each Trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    71


Table of Contents
Notes to Financial Statements (continued)     

 

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 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, including the maximum potential amounts owed by the Trusts at August 31, 2014, in proportion to their participation. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by the Trusts at August 31, 2014.

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 August 31, 2014, 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

  $ 3,339,750       $ 1,500,000         0.10%   

MHN

  $ 105,192,325       $ 51,890,389         0.05% - 0.24%   

BLJ

  $ 8,353,249       $ 4,519,518         0.05% - 0.30%   

BQH

  $ 8,436,755       $ 4,900,215         0.05% - 0.24%   

BSE

  $ 32,575,456       $ 17,431,015         0.05% - 0.24%   

BFY

  $ 10,230,757       $ 5,725,307         0.05% - 0.08%   

BHV

  $ 5,541,197       $ 3,018,978         0.04% - 0.06%   

For the year ended August 31, 2014, 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

  $ 1,500,000         0.58%   

MHE

  $ 644,960         0.57%   

MHN

  $ 53,325,480         0.65%   

BLJ

  $ 4,519,459         0.70%   

BQH

  $ 4,818,363         0.64%   

BSE

  $ 14,601,029         0.63%   

BFY

  $ 5,077,642         0.61%   

BHV

  $ 3,018,945         0.62%   

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.

4. 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 their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

Financial Futures Contracts: The Trusts purchase and/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.

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Trusts agree to receive from or pay to the

 

                
72    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Notes to Financial Statements (continued)     

 

broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

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.

The following is a summary of the Trusts’ derivative financial instruments categorized by risk exposure:

 

Fair Values of Derivative Financial Instruments as of August 31, 2014  
         Value  
         Derivative Liabilities  
      Statements of Assets and Liabilities Location   BZM     MHE     MHN     BLJ     BQH     BSE     BFY     BHV  

Interest rate contracts

   Net unrealized appreciation/depreciation1   $ (3,610   $ (4,671   $ (96,401   $ (4,884   $ (7,857   $ (19,323   $ (13,802   $ (2,760

 

  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
Year Ended August 31, 2014
 
    Net Realized (Loss) From         Net Change in Unrealized Appreciation/Depreciation on  
    BZM     MHE     MHN     BLJ     BQH     BSE     BFY     BHV         BZM     MHE     MHN     BLJ     BQH     BSE     BFY     BHV  
Interest rate contracts:                                   

Financial futures contracts

  $ (163,751   $ (71,711   $ (1,924,660   $ (76,672   $ (171,942   $ (392,663   $ (294,722   $ (127,204       $ (3,610   $ (4,671   $ (96,401   $ (4,884   $ (7,857   $ (19,323   $ (13,802   $ (2,760

For the year ended August 31, 2014, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

     BZM     MHE     MHN     BLJ     BQH     BSE     BFY     BHV  
Financial futures contracts:                

Average number of contracts purchased

                  174 2                                    

Average number of contracts sold

    21        27        463        30        42        95        73        18   

Average notional value of contracts purchased

                $ 21,561,937 2                                    

Average notional value of contracts sold

  $ 2,568,223      $ 3,419,969      $ 57,997,910      $ 3,733,648      $ 5,297,441      $ 11,912,836      $ 9,185,082      $ 2,285,547   

 

  2   

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

Counterparty Credit Risk: A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. 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 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 MHE and MHN, which are based on average daily net assets, at the following annual rates:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Investment advisory fee

    0.65%         0.50%         0.55%         0.65%         0.65%         0.55%         0.55%         0.65%   

 

                
   ANNUAL REPORT    AUGUST 31, 2014    73


Table of Contents
Notes to Financial Statements (continued)     

 

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 its total accrued liabilities.

The Manager voluntarily agreed to waive a portion of the investment advisory fees with respect to BZM, at the annual rate as a percentage of the average weekly net assets of 0.05%. For the year ended August 31, 2014, the Manager waived $23,594, which is included in fees waived by Manager in the Statements of Operations.

The Manager, for MHN, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOBs that exceed 35% of total assets minus the sum of its accrued liabilities. This amount is included in fees waived by Manager in the Statements of Operations. For the year ended August 31, 2014, the waiver was $334,117.

Effective June 9, 2014, the Manager voluntarily agreed to waive a portion of the investment advisory fees with respect to BHV, at the annual rate as a percentage of the average weekly net assets of 0.13%. For the year ended August 31, 2014, the Manager waived $11,844, 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 included in fees waived by Manager in the Statements of Operations. For the year ended August 31, 2014, the amounts waived were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Amounts waived

  $ 408               $ 4,441       $ 700       $ 348       $ 1,085       $ 1,026       $ 258   

Prior to July 1, 2014, BlackRock Investment Management, LLC (“BIM”), served as a sub-advisor to MHE and MHN and BlackRock Financial Management, Inc. (“BFM”), served as a sub-advisor to all other Trusts. BIM and BFM are affiliates of the Manager. BIM and BFM received for their services a monthly fee from the Manager at an annual rate equal to a percentage of the investment advisory fees paid by each Trust to the Manager. Effective July 1, 2014, the sub-advisory agreements between the Manager and BIM, with respect to MHE and MHN were terminated and the sub-advisory agreements with BFM expired.

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 compensation paid to the Trusts’ Chief Compliance Officer, which is included in officer and directors in the Statements of Operations.

6. Purchases and Sales:

Purchases and sales of investments, excluding short-term securities, for the year ended August 31, 2014, were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Purchases

  $ 7,413,197       $ 6,987,973       $ 117,578,418       $ 9,172,903       $ 12,093,006       $ 34,624,384       $ 25,071,554       $ 5,397,255   

Sales

  $ 6,831,251       $ 7,532,825       $ 142,494,057       $ 9,692,201       $ 11,784,918       $ 34,210,131       $ 24,862,650       $ 4,100,482   

7. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ U.S. federal tax returns remains open for each of the four years ended August 31, 2014. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application the Trusts’ facts and circumstances and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of August 31, 2014, the following permanent differences attributable to amortization methods on fixed income securities, non-deductible expenses and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Paid-in capital

  $ (3,185    $ (3,481    $ (1,113,164    $ (3,112    $ (24,593    $ (27,102    $ (27,693    $ (2,948

Undistributed net investment income

  $ 2,601       $ 11,546       $ (132,615    $ 3,009       $ 24,150       $ (3,486    $ 27,445       $ 2,032   

Accumulated net realized loss

  $ 584       $ (8,065    $ 1,245,779       $ 103       $ 443       $ 30,588       $ 248       $ 916   

 

                
74    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Notes to Financial Statements (continued)     

 

The tax character of distributions paid was as follows:

 

             BZM      MHE      MHN      BLJ  

Tax-exempt income1

    8/31/14       $ 1,679,937       $ 1,958,629       $ 28,169,835       $ 2,266,102   
    8/31/13       $ 1,752,510       $ 1,969,715       $ 29,455,195       $ 2,246,594   

Ordinary income2

    8/31/14                       $ 81,526       $ 1,152   
    8/31/13               $ 149       $ 19,211       $ 1,164   

Long-term capital gains

    8/31/13                                   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

    8/31/14       $ 1,679,937       $ 1,958,629       $ 28,251,361       $ 2,267,254   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
    8/31/13       $ 1,752,510       $ 1,969,864       $ 29,474,406       $ 2,247,758   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

             BQH      BSE      BFY      BHV  

Tax-exempt income1

    8/31/14       $ 2,266,805       $ 5,044,020       $ 4,264,019       $ 1,487,438   
    8/31/13       $ 2,357,279       $ 5,526,330       $ 4,527,591       $ 1,559,733   

Ordinary income2

    8/31/14               $ 2,750                   
    8/31/13       $ 326,379       $ 5,421       $ 5,366       $ 11,332   

Long-term capital gains

    8/31/13       $ 322,879                           
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

    8/31/14       $ 2,266,805       $ 5,046,770       $ 4,264,019       $ 1,487,438   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
    8/31/13       $ 3,006,537       $ 5,531,751       $ 4,532,957       $ 1,571,065   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1  

The Trusts designate these amounts paid during the fiscal year ended August 31, 2014, as exempt-interest dividends.

 

  2   

Ordinary income consists primarily of taxable income recognized from market discount and net short-term capital gains. Additionally, all ordinary income distributions are comprised of interest related dividends and qualified short-term capital gain dividends for non-U.S. residents and are eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

As of August 31, 2014, the tax components of accumulated net earnings were as follows:

 

     BZM      MHE      MHN      BLJ  

Undistributed tax-exempt income

  $ 224,222       $ 391,237       $ 3,300,494       $ 444,381   

Undistributed ordinary income

                    1,471         10,574   

Capital loss carryforwards

    (219,412      (953,765      (29,089,803      (386,651

Net unrealized gains3

    2,232,272         3,984,912         50,154,181         4,880,265   

Qualified late-year losses4

    (99,891      (213,302      (2,722,295      (43,813
 

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 2,137,191       $ 3,209,082       $ 21,644,048       $ 4,904,756   
 

 

 

    

 

 

    

 

 

    

 

 

 

 

     BQH      BSE      BFY      BHV  

Undistributed tax-exempt income

  $ 547,221       $ 346,958       $ 1,045,824       $ 184,656   

Undistributed ordinary income

    736                 6,605           

Capital loss carryforwards

    (1,554,326      (5,988,806      (3,179,806      (901,785

Net unrealized gains3

    5,612,178         10,795,885         10,003,245         3,494,193   

Qualified late-year losses4

    (169,405      (291,532      (394,552      (89,173
 

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 4,436,404       $ 4,862,505       $ 7,481,316       $ 2,687,891   
 

 

 

    

 

 

    

 

 

    

 

 

 

 

  3  

The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the tax deferral of losses on wash sales and straddles, amortization and accretion methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the timing and recognition of partnership income, the treatment of residual interests in tender option bond trusts and the deferral of compensation to trustees.

 

  4  

The Trusts have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of August 31, 2014, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

2015

          $ 35,869       $ 2,782,666                               $ 9,638           

2016

            285,683         710,089                                 383,137           

2017

            375,230         4,069,997                       $ 1,583,452         254,346           

2018

            32,672         3,861,956                         1,544,362         357,549           

2019

  $ 40,297         74         673,531                                 255,001       $ 51,866   

No expiration date5

    179,115         224,237         16,991,564       $ 386,651       $ 1,554,326         2,860,992         1,920,135         849,919   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 219,412       $ 953,765       $ 29,089,803       $ 386,651       $ 1,554,326       $ 5,988,806       $ 3,179,806       $ 901,785   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  5  

Must be utilized prior to losses subject to expiration.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    75


Table of Contents
Notes to Financial Statements (continued)     

 

As of August 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BZM     MHE     MHN     BLJ     BQH     BSE     BFY     BHV  

Tax cost

  $ 45,066,200      $ 47,065,647      $ 653,211,518      $ 50,837,595      $ 60,282,187      $ 127,427,439      $ 112,001,214      $ 34,092,324   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 2,247,675      $ 3,985,217      $ 51,719,849      $ 5,500,651      $ 5,925,451      $ 11,227,672      $ 10,626,825      $ 3,502,866   

Gross unrealized depreciation

  $ (3,810   $ (300   $ (1,281,969   $ (609,619   $ (302,112   $ (423,374   $ (610,891   $ (1,175
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 2,243,865      $ 3,984,917      $ 50,437,880      $ 4,891,032      $ 5,623,339      $ 10,804,298      $ 10,015,934      $ 3,501,691   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

8. 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 or U.S. territories.

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.

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.

The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. See the Schedules of Investments for these securities and/or derivatives. Changes in market interest rates or economic conditions, including the Federal Reserve’s decision in December 2013 to taper its quantitative easing policy, may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

As of August 31, 2014, BZM invested a significant portion of its assets in securities in the health and education sectors. MHE invested a significant portion of its assets in securities in the education sector, MHN invested a significant portion of its assets in securities in the county/city/special district/school district and transportation sectors, BLJ invested a significant portion of its assets in securities in the transportation and state sectors. BQH and BSE invested a significant portion of their assets in securities in the county/city/special district/school district and education sectors. BFY invested a significant portion of its assets in securities in the county/city/special district/school district sector, and BHV invested a significant portion of its assets in securities in the health sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

On December 10, 2013, regulators published final rules implementing section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”), which prohibit banking entities from engaging in proprietary trading of certain instruments and limit such entities’ investments in, and relationships with, “covered funds,” as defined in the rules. Banking entities subject to the Volcker Rule are required to fully comply by July 21, 2015. The Volcker Rule may preclude banking entities and their affiliates from (i) sponsoring TOB trust programs (as such programs are presently structured) and (ii) continuing relationships with or services for existing TOB trust programs. As a result, TOB trusts may need to be restructured or unwound. There can be no assurances that TOB trusts can be restructured, that new sponsors of TOB trusts will develop, or that alternative forms of leverage will be available to the Trusts. Any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

TOB transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule may adversely impact the municipal market, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. Any such developments could adversely affect the Trust. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

 

                
76    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Notes to Financial Statements (continued)     

 

9. 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 each Trust’s Common Shares and Preferred Shares, except for MHE and MHN, is $0.001 per share ($0.01 for MHE and $0.10 for MHN). The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares, including AMPs, without approval of Common Shareholders.

Common Shares

For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

Year Ended August 31,   BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

2014

            515                                                 4,549   

2013

    2,555         3,680         98,145         2,232         8,420         15,168         13,314         4,872   

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trusts and distribution of assets upon dissolution or liquidation of the Trusts. 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 instruments, 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 instruments or comply with the basic maintenance amount requirement of the agencies 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 Trustees for each Trust. In addition, the 1940 Act requires that along with the 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 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 provider in the event of a failed remarketing. The Trusts are required to redeem the VRDP Shares owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Upon the occurrence of the first unsuccessful remarketing, the 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 August 31, 2014 were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BZM

    6/14/12         160       $ 16,000,000         7/01/42   

MHE

    6/14/12         185       $ 18,500,000         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   

The Trusts entered into a fee agreement with the liquidity provider that required a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The fee agreement between BQH, BSE and BFY and the liquidity provider was scheduled to expire on December 4, 2014 and subsequently extended until June 4, 2015, unless renewed or terminated in advance. The fee agreement between MHN and its liquidity provider is scheduled to expire on April 19, 2017 unless renewed or terminated in advance. The fee agreement between BZM, MHE, BLJ and BHV and their liquidity provider is for an approximately three year term and is scheduled to expire on July 9, 2015 unless renewed or terminated in advance.

In the event the fee agreements are not renewed or are terminated in advance, and the 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 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

 

                
   ANNUAL REPORT    AUGUST 31, 2014    77


Table of Contents
Notes to Financial Statements (continued)     

 

Shares by the liquidity provider, the Trusts are required to begin to segregate liquid assets with each Trust’s custodian to fund the redemption. There is no assurance the Trusts will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Each 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 Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, 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 the 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 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 of MHN, BQH, BSE and BFY were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. The VRDP Shares of BZM, MHE, BLJ and BHV were assigned an initial long-term rating of Aa2 by Moody’s under the new methodology. In May 2012, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of August 31, 2014, the VRDP Shares were assigned a long term rating of Aa2 for BZM, MHN, BLJ, BQH, BSE, BFY and BHV and Aa3 for MHE from Moody’s under its new rating 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. As of August 31, 2014, the short-term ratings of the liquidity provider and the VRDP Shares for BQH, BSE and BFY were P1, F1 and A1 as rated by Moody’s, Fitch and S&P respectively, which is within the two highest rating categories. 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. The short-term ratings on the VRDP Shares of MHN were withdrawn by Moody’s, Fitch and/or S&P at the commencement of its special rate period, as described below. No short-term ratings on the VRDP Shares of BZM, MHE, BLJ and BHV were assigned by Moody’s, Fitch and S&P at issuance. Short-term ratings on the VRDP Shares of BZM, MHE, MHN, BLJ, and BHV may be assigned upon termination of the special late period when the VRDP Shares revert to remarketable securities.

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 Trusts that are not in a special rate period 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.

The annualized dividend rates for the VRDP Shares for the year ended August 31, 2014 were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Rate

    1.01%         1.01%         0.52%         1.01%         0.15%         0.15%         0.15%         1.01%   

Upon issuance of the VRDP Shares on June 14, 2012, BZM, MHE, BLJ and BHV announced a special rate period for an approximate three-year term ending June 24, 2015 with respect to 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, MHE, BLJ and BHV 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, MHE, BLJ and BHV will not pay any liquidity and remarketing fees and instead will pay dividends monthly based on the sum of (Securities Industry and Financial Markets Association) Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to VRDP Shares.

If BZM, MHE, BLJ or BHV redeems 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 holders 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, MHE, BLJ and BHV may mutually agree to extend the special rate period. If the rate period is not extended, the VRDP Shares will revert back to remarketable securities and will be remarketed and available for purchase by

 

                
78    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Notes to Financial Statements (concluded)     

 

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 year ended August 31, 2014.

On April 17, 2014, MHN commenced a three-year term ending April 19, 2017 (“special rate period”) with respect to its VRDP Shares. The implementation of the special rate period resulted in a mandatory tender of MHN’s VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing.

The liquidity and fee agreements remain in effect for the duration of the special rate period and the VRDP Shares are still subject to mandatory redemption by the VRDP Trusts on maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during such time. During the special rate period, MHN is required to maintain the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares. MHN will pay liquidity and remarketing fees during the special rate period and will also 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. The short-term ratings were withdrawn by Moody’s, Fitch and/or S&P. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

If MHN redeems 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, Fitch and S&P, 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 April 19, 2017, the holder of the VRDP Shares and MHN 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.

Offering Costs: The Trusts 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 provider which are 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.

10. 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 October 1, 2014 to Common Shareholders of record on September 15, 2014 as follows:

 

    

Common

Dividend

Per Share

 

BZM

  $ 0.0595   

MHE

  $ 0.0625   

MHN

  $ 0.0690   

BLJ

  $ 0.0745   

BQH

  $ 0.0665   

BSE

  $ 0.0625   

BFY

  $ 0.0700   

BHV

  $ 0.0715   

Additionally, the Trusts declared a net investment income dividend on October 1, 2014 payable to Common Shareholders of record on October 15, 2014 for the same amounts noted above.

The dividends declared on VRDP Shares for the period September 1, 2014 to September 30, 2014 were as follows:

 

     Series     

Dividends

Declared

 

BZM

    W-7       $ 13,032   

MHE

    W-7       $ 15,069   

MHN

    W-7       $ 184,402   

BLJ

    W-7       $ 15,232   

BQH

    W-7       $ 2,198   

BSE

    W-7       $ 4,028   

BFY

    W-7       $ 4,416   

BHV

    W-7       $ 9,448   

 

                
   ANNUAL REPORT    AUGUST 31, 2014    79


Table of Contents
Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Directors of BlackRock MuniHoldings New York Quality Fund, Inc. and to the Shareholders and Board of Trustees of: BlackRock Maryland Municipal Bond Trust, BlackRock Massachusetts Tax-Exempt Trust (formerly The Massachusetts Health & Education Tax-Exempt Trust), BlackRock New Jersey Municipal Bond Trust, BlackRock New York Municipal Bond Trust, BlackRock New York Municipal Income Quality Trust, BlackRock New York Municipal Income Trust II, and BlackRock Virginia Municipal Bond Trust (collectively, the “Trusts”):

We have audited the accompanying statements of assets and liabilities of BlackRock MuniHoldings New York Quality Fund, Inc., BlackRock Maryland Municipal Bond Trust, BlackRock Massachusetts Tax-Exempt Trust, BlackRock New Jersey Municipal Bond Trust, BlackRock New York Municipal Bond Trust, BlackRock New York Municipal Income Quality Trust, BlackRock New York Municipal Income Trust II, and BlackRock Virginia Municipal Bond Trust, including the related schedules of investments as of August 31, 2014, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of the securities owned as of August 31, 2014, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock MuniHoldings New York Quality Fund, Inc., BlackRock Maryland Municipal Bond Trust, BlackRock Massachusetts Tax-Exempt Trust, BlackRock New Jersey Municipal Bond Trust, BlackRock New York Municipal Bond Trust, BlackRock New York Municipal Income Quality Trust, BlackRock New York Municipal Income Trust II, and BlackRock Virginia Municipal Bond Trust, as of August 31, 2014, the results of their operations and cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

October 23, 2014

 

                
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Table of Contents
Disclosure of Investment Advisory Agreements     

 

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Maryland Municipal Bond Trust (“BZM”), BlackRock Massachusetts Tax-Exempt Trust (“MHE”), 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”) and BlackRock Virginia Municipal Bond Trust (“BHV” and together with BZM, MHE, MHN, BLJ, BQH, BSE and BFY, each a “Fund,” and, collectively, the “Funds”) met in person on May 9, 2014 (the “May Meeting”) and June 5-6, 2014 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement,” and, collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. At the June Meeting, it was noted that (i) with respect to BZM, BLJ, BQH, BSE, BFY and BHV, the sub-advisory agreement among the Manager, BlackRock Financial Management, Inc. and each Fund would expire effective July 1, 2014, and (ii) with respect to MHE and MHN, the sub-advisory agreement among the Manager, BlackRock Investment Management, LLC and each Fund would expire effective July 1, 2014. It was also noted that the non-renewal of each Fund’s sub-advisory agreement would not result in any change in the nature or quality of services provided to such Fund, or in the portfolio management team that serves such Fund. The Manager is referred to herein as “BlackRock.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Advisory Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Advisory Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Advisory Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including, as applicable, investment management, administrative, and shareholder services; oversight of fund service providers; marketing services; risk oversight; compliance and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, consider at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Advisory Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objective, policies and restrictions, and meeting new regulatory requirements; (e) the Funds’ compliance with their Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as: BlackRock’s profitability; investment performance; subadvisory and advisory relationships with other clients (including mutual funds sponsored by third parties); investment professional investment in funds they manage; and management fee levels and breakpoints. The Boards further discussed with BlackRock: BlackRock’s management structure; portfolio turnover; BlackRock’s portfolio manager compensation and performance accountability; marketing support for the Funds; services provided to the Funds by BlackRock affiliates; and BlackRock’s oversight of relationships with third party service providers.

The Board of each Fund considered BlackRock’s efforts during the past year with regard to refinancing outstanding AMPS, as well as ongoing time and resources devoted to other forms of preferred shares and alternative leverage. As of the date of this report, each Fund has redeemed 100% of its outstanding AMPS.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    81


Table of Contents
Disclosure of Investment Advisory Agreements (continued)

 

Board Considerations in Approving the Advisory Agreements

The Approval Process: Prior to the May Meeting, the Boards requested and received materials specifically relating to the Advisory Agreements. The Boards are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the May Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper1 and a customized peer group selected by BlackRock; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Advisory Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the May Meeting, the Boards reviewed materials relating to their consideration of the Advisory Agreements. As a result of the discussions that occurred during the May Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and its Fund for a one-year term ending June 30, 2015. In approving the continuation of the Advisory Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, each Board compared its Fund’s performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to the Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger or consolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

 

1   

Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
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Table of Contents
Disclosure of Investment Advisory Agreements (continued)

 

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the May Meeting, the Boards worked with their independent legal counsel, BlackRock and Lipper to develop a template for, and were provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in that Fund’s applicable Lipper category and the customized peer group selected by BlackRock. The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

The Board of each of BZM and BHV noted that for each of the one-, three- and five-year periods reported, its respective Fund ranked first out of two funds against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for BZM and BHV in that it measures a blend of total return and yield.

The Board of MHE noted that for each of the one-, three- and five-year periods reported, MHE ranked in the first quartile against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for MHE in that it measures a blend of total return and yield.

The Board of MHN noted that for the one-, three- and five-year periods reported, MHN ranked in the first, first and second quartiles, respectively, against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for MHN in that it measures a blend of total return and yield.

The Board of BLJ noted that for the one-, three- and five-year periods reported, BLJ ranked in the third, first and second quartiles, respectively, against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for BLJ that it measures a blend of total return and yield. The Board of BLJ and BlackRock reviewed and discussed the reasons for BLJ’s underperformance during the one-year period and noted that they will monitor BLJ’s performance.

The Board of BQH noted that for the one-, three- and five-year periods reported, BQH ranked in the fourth, third and third quartiles, respectively, against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for BQH in that it measures a blend of total return and yield. The Board of BQH and BlackRock reviewed and discussed the reasons for BQH’s underperformance during these periods. BQH’s Board was informed that, among other things, duration positioning was a negative contributor to one-year performance. For the three- and five-year periods, underperformance continues to suffer from BQH’s total return during 2011. During that time, BQH’s longer dated holdings exhibited short durations due to their shorter, now in the money, call features. While helping to provide a competitive distribution yield, these higher coupon and older bonds were negatively impacted by their shorter effective maturities. This limited BQH’s upside appreciation and resulted in a reduced total return.

The Board of BSE noted that for the one-, three- and five-year periods reported, BSE ranked in the third, fourth and third quartiles, respectively, against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for BSE in that it measures a blend of total return and yield. The Board of BSE and BlackRock reviewed and discussed the reasons for BSE’s underperformance during these periods. BSE’s Board was informed that, among other things, the one-year performance was impacted by BSE’s longer duration positioning during the year’s most recent Federal Reserve induced increase in yields. BSE’s underperformance over the long-term is driven by the yield, which is impacted by BSE’s long-running below average income.

The Board of BFY noted that for each of the one-, three- and five-year periods reported, BFY ranked in the third quartile against its Customized Lipper Peer Group Composite. BlackRock believes that the Customized Lipper Peer Group Composite is an appropriate performance metric for BFY in that it measures a blend of total return and yield. The Board of BFY and BlackRock reviewed and discussed the reasons for BFY’s underperformance during these periods. BFY’s Board was informed that, among other things, the total return of BFY for the one-year period has negatively impacted the composite return during each of the time periods. The one-year total return reflects the portfolio’s longer duration positioning during the year’s most recent Federal Reserve induced increase in yields.

BlackRock and the Board of each of BQH, BSE and BFY also discussed BlackRock’s strategy for improving its respective Fund’s performance and BlackRock’s commitment to providing the resources necessary to assist the Fund’s portfolio managers in seeking to improve the Fund’s performance.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: The Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared the Fund’s total expense ratio, as well as its actual management fee rate, to those of other funds in its Lipper category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment

 

                
   ANNUAL REPORT    AUGUST 31, 2014    83


Table of Contents
Disclosure of Investment Advisory Agreements (continued)

 

related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2013 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Advisory Agreements and to continue to provide the high quality of services that is expected by the Boards. The Boards further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Funds in contrast to what is required of BlackRock with respect to other products with similar investment objectives across the open-end fund, ETF, closed-end fund and institutional account product channels, as applicable.

The Board of BZM noted that BZM’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to BZM’s Expense Peers. The Board of BZM determined that BZM’s actual management fee rate was appropriate in light of the median actual management fee rate paid by BZM’s Expense Peers. In addition, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BZM, which was implemented on June 6, 2013. After discussions between the Board of BZM, including the Independent Board Members, and BlackRock, BZM’s Board and BlackRock agreed to a continuation of the voluntary advisory fee waiver, which will result in savings to shareholders.

The Board of each of MHE, MHN and BSE noted that its respective Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Fund’s Expense Peers.

The Board of BLJ noted that BLJ’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio each ranked in the fourth quartile, relative to BLJ’s Expense Peers.

The Board of BQH noted that BQH’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the fourth quartile, relative to BQH’s Expense Peers. The Board of BQH determined that BQH’s total expense ratio was appropriate in light of the median total expense ratio paid by BQH’s Expense Peers.

The Board of BFY noted that BFY’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to BFY’s Expense Peers.

The Board of BHV noted that BHV’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio each ranked in the fourth quartile, relative to BHV’s Expense Peers. After discussion between the Board of BHV, including the Independent Board Members, and BlackRock, BHV’s Board and BlackRock agreed to a voluntary advisory fee waiver. This waiver, which will result in savings to shareholders, became effective on June 9, 2014.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

 

                
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Disclosure of Investment Advisory Agreements (concluded)

 

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that it had considered the investment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Advisory Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that their Fund’s fees and expenses are too high or if they are dissatisfied with the performance of their Fund.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included completion of the refinancing of auction rate preferred securities; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and its Fund for a one-year term ending June 30, 2015. Based upon their evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Advisory Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Advisory Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    85


Table of Contents
Automatic Dividend Reinvestment Plans

 

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agents will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants in BZM, BLJ, BQH, BSE, BFY and BHV that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. Participants in MHE and MHN that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

 

                
86    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Officers and Trustees     

 

 

Name, Address1

and Year of Birth

 

Position(s)

Held with

Trusts

 

Length

of Time
Served as
a Trustee3

  Principal Occupation(s) During Past Five Years  

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”)  Consisting of

investment Portfolios
(“Portfolios”) Overseen

 

Public

Directorships

Independent Trustees2                    

Richard E. Cavanagh

 

1946

  Chairman of the Board and Trustee  

Since

2007

  Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.  

82 RICs consisting of

82 Portfolios

  None

Karen P. Robards

 

1950

  Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee  

Since

2007

  Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987.  

82 RICs consisting of

82 Portfolios

  AtriCure, Inc. (medical devices); Greenhill & Co. Inc.

Michael J. Castellano

 

1946

  Trustee and Member of the Audit Committee  

Since

2011

  Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010. Trustee, Domestic Church Media Foundation since 2012.  

82 RICs consisting of

82 Portfolios

  None

Frank J. Fabozzi4

 

1948

  Trustee and Member of the Audit Committee  

Since

2007

  Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.  

115 RICs consisting of

237 Portfolios

  None

Kathleen F. Feldstein

 

1941

 

Trustee

 

Since

2007

  President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.  

82 RICs consisting of

82 Portfolios

 

The McClatchy
Company

(publishing)

James T. Flynn

 

1939

  Trustee and Member of the Audit Committee  

Since

2007

  Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.  

82 RICs consisting of

82 Portfolios

  None

Jerrold B. Harris

 

1942

 

Trustee

 

Since

2007

  Trustee, Ursinus College since 2000; Director, Ducks Unlimited, Inc. (conservations) since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.  

82 RICs consisting of

82 Portfolios

 

BlackRock Kelso

Capital Corp.

(business development company)

R. Glenn Hubbard

 

1958

 

Trustee

 

Since

2007

  Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.  

82 RICs consisting of

82 Portfolios

  ADP (data and information services); Metropolitan Life Insurance Company (insurance)

 

                
   ANNUAL REPORT    AUGUST 31, 2014    87


Table of Contents
Officers and Trustees (continued)     

 

Name, Address1

and Year of Birth

 

Position(s)

Held with

Trusts

 

Length

of Time
Served as
a Trustee3

  Principal Occupation(s) During Past Five Years  

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of

investment Portfolios
(“Portfolios”) Overseen

 

Public

Directorships

Independent Trustees2 (concluded)                    

W. Carl Kester

 

1951

  Trustee and Member of the Audit Committee  

Since

2007

  George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.  

82 RICs consisting of

82 Portfolios

  None
 

1    The address of each Trustee is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

 

2    Independent Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Trustees by action of a majority of the Trustees upon finding good cause thereof. In 2013, the Board of Trustees unanimously approved further extending the mandatory retirement age for James T. Flynn by one additional year which the Board believed would be in the best interest of shareholders. Mr. Flynn can serve until December 31 of the year in which he turns 75. Mr. Flynn turns 75 in 2014.

 

3    Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Trustees as joining the Trusts’ board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.

 

4    Dr. Fabozzi is also a board member of the BlackRock Equity-Liquidity Complex.

Interested Trustees5     

Paul L. Audet

 

1953

  Trustee  

Since

2011

  Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer from 1998 to 2005.  

144 RICs consisting of

330 Portfolios

  None

Henry Gabbay

 

1947

 

Trustee

 

Since

2007

  Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.  

144 RICs consisting of

330 Portfolios.

  None
 

5    Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Trusts based on his position with BlackRock and its affiliates as well as his ownership of BlackRock securities. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of two complexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the BlackRock Equity-Bond Complex. Interested Trustees of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding good cause thereof.

 

                
88    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Officers and Trustees (concluded)     

 

 

Name, Address1
and Year of Birth
  Position(s)
Held with
Trusts
  Length of
Time Served
  Principal Occupation(s) During Past Five Years
Officers2               

John M. Perlowski

 

1964

  President and Chief Executive Officer   Since
2011
  Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.

Brendan Kyne

 

1977

  Vice
President
  Since
2009
  Managing Director of BlackRock since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Americas Product Development for BlackRock since 2013, Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 to 2013 and Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.

Robert W. Crothers

 

1981

  Vice
President
  Since
2012
  Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010.

Neal Andrews

 

1966

  Chief
Financial
Officer
  Since
2007
  Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.

Jay Fife

 

1970

  Treasurer   Since
2007
  Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Charles Park

 

1967

  Chief Compliance Officer and Anti-Money Laundering Officer   Since
2014
  Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

 

1975

  Secretary   Since
2012
  Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the Funds from 2008 to 2012.
 

1    The address of each Officer is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055.

   

2    Officers of the Trusts serve at the pleasure of the Board.

 

Effective June 6, 2014, Brian Kindelan resigned as Chief Compliance Officer and Anti-Money Laundering Officer of the Trusts and Charles Park became Chief Compliance Officer and Anti-Money Laundering Officer of the Trusts.

 

         

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Custodians

State Street Bank and

Trust Company1

Boston, MA 02110

 

The Bank of New York Mellon2

New York, NY 10286

 

VRDP Tender and

Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Liquidity Providers

Bank of America, N.A.2

New York, NY 10036

 

Citibank, N.A.3

New York, NY 10179

 

Barclays Bank PLC4

New York, NY 10019

 

VRDP Remarketing Agents

Merrill Lynch, Pierce,

Fenner & Smith Incorporated2

New York, NY 10036

 

Citigroup Global Markets, Inc.3

New York, NY 10179

 

Barclays Capital, Inc.4

New York, NY 10019

Accounting Agent

State Street Bank and

Trust Company

Boston, MA 02110

 

Transfer Agent

Common Shares

Computershare Trust

Company, N.A.

Canton, MA 02021

   

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

New York, NY 10036

 

1    For all Trusts except MHN.

 

2    For MHN.

 

3    For BZM, MHE, BLJ and BHV.

 

4    For BQH, BSE and BFY.

     

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

                
   ANNUAL REPORT    AUGUST 31, 2014    89


Table of Contents
Additional Information     

 

Proxy Results

The Annual Meeting of Shareholders was held on July 30, 2014 for shareholders of record on June 3, 2014 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Class I Trustees as follows:

 

     

Paul L. Audet

  

Michael J. Castellano

  

R. Glenn Hubbard

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

BZM

   1,937,717      10,407    0    1,936,694      11,430    0    1,938,061      10,063    0

BLJ

   1,702,273    163,873    0    1,707,321    158,825    0    1,694,455    171,691    0

BSE

   4,934,612    505,112    0    4,936,575    503,149    0    5,009,115    430,609    0

BQH

   2,317,989    131,292    0    2,320,244    129,037    0    2,310,276    139,005    0

BFY

   4,264,109    103,724    0    4,264,109    103,724    0    4,237,349    130,484    0

BHV

   1,441,962      33,230    0    1,443,971      31,221    0    1,430,099      45,093    0
    

W. Carl Kester¹

                             
      Votes For    Votes
Withheld
   Abstain                              

BZM

             160               0    0                  

BLJ

             187               0    0                  

BSE

             305               0    0                  

BQH

             221               0    0                  

BFY

             444               0    0                  

BHV

             116               0    0                              

 

  ¹   Voted on by holders of preferred shares only.

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.

Approved the Trustees as follows:

 

     

Paul L. Audet

  

Michael J. Castellano

  

Richard E. Cavanagh

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

MHN

   25,579,988    935,476    0    25,607,552       907,912    0    25,614,954       900,510    0

MHE

     2,087,358      90,893    0      2,087,358         90,893    0      2,084,510         93,740    0
    

Frank J. Fabozzi2

  

Kathleen F. Feldstein

  

James T. Flynn

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

MHN

            2,436               0    0    25,101,846    1,413,618    0    25,202,580    1,312,884    0

MHE

               185               0    0      2,084,120         94,130    0      2,079,920         98,331    0
    

Henry Gabbay

  

Jerrold B. Harris

  

R. Glenn Hubbard

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

MHN

   25,583,256    932,208    0    25,226,396    1,289,068    0    25,469,233    1,046,231    0

MHE

     2,087,358      90,893    0      2,077,692       100,558    0      2,077,599       100,651    0
    

W. Carl Kester2

  

Karen P. Robards

              
      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

MHN

            2,436               0    0    25,537,605       977,859    0         

MHE

               185               0    0      2,080,989         97,261    0               

 

  2   

Voted on by holders of preferred shares only.

 

                
90    ANNUAL REPORT    AUGUST 31, 2014   


Table of Contents
Additional Information (continued)     

 

 

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

 

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, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. 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’ website 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 material 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.

 

                
   ANNUAL REPORT    AUGUST 31, 2014    91


Table of Contents
Additional Information (concluded)     

 

 

Shelf Offering Program

 

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. The Trusts have not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Trust Common Shares and is not a solicitation of an offer to buy Trust Common Shares. If a Trust files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Trust and should be read carefully before investing.

 

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.

 

                
92    ANNUAL REPORT    AUGUST 31, 2014   


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This report is intended for existing shareholders. 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 interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

LOGO

 

CEF-STMUNI-8-8/14-AR    LOGO


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Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

 

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

James T. Flynn

W. Carl Kester

Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

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Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

      (a) Audit Fees    (b) Audit-Related Fees1    (c) Tax Fees2    (d) All Other  Fees3
Entity Name    Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
   Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
   Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
   Current
Fiscal Year  
End
   Previous
Fiscal Year  
End
BlackRock MuniHoldings New York Quality Fund, Inc.    $37,263    $36,563    $0    $0    $18,100    $18,100    $0    $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

              Current Fiscal Year End                    Previous Fiscal Year End        

(b) Audit-Related Fees1

   $0    $0

(c) Tax Fees2

   $0    $0

(d) All Other Fees3

   $2,555,000    $2,865,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

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Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

Entity Name   

Current Fiscal Year

End

  

Previous Fiscal Year

End

BlackRock MuniHoldings New York Quality Fund, Inc.    $18,100    $18,100

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,555,000 and $2,865,000, respectively, were billed by D&T to the Investment Adviser.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

Item 5 – Audit Committee of Listed Registrants

 

  (a) The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi

James T. Flynn

W. Carl Kester

Karen P. Robards

 

  (b) Not Applicable

 

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.

 

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(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 – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2014.

(a)(1) The registrant is managed by a team of investment professionals comprised of Timothy Browse, Director at BlackRock, Theodore R. Jaeckel, Jr., CFA, Managing Director at BlackRock, and Walter O’Connor, Managing Director at BlackRock. Each of the foregoing professionals is a member of BlackRock’s municipal tax-exempt management group and is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Browse, Jaeckel and O’Connor have been members of the registrant’s portfolio management team since 2004, 2006 and 2006, respectively.

 

Portfolio Manager    Biography
Timothy Browse    Director of BlackRock since 2008; Vice President of BlackRock from 2006 to 2007; Vice President of Merrill Lynch Investment Managers, L.P. (“MLIM”) from 2004 to 2006.
Theodore R. Jaeckel, Jr.    Managing Director of BlackRock since 2006; Managing Director of Merrill Lynch Investment Managers, L.P. (“MLIM”) from 2005 to 2006; Director of MLIM from 1997 to 2005.
Walter O’Connor    Managing Director of BlackRock since 2006; Managing Director of MLIM from 2003 to 2006; Director of MLIM from 1998 to 2003.

 

 

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(a)(2) As of August 31, 2014:

 

     

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

  Investment  

Companies

  

  Other Pooled  

Investment

Vehicles

  

Other

  Accounts  

  

Other

Registered

Investment

  Companies  

  

  Other Pooled  

Investment

Vehicles

  

Other

  Accounts  

Timothy Browse

   11    0    0    0    0    0
     $2.62 Billion    $0    $0    $0    $0    $0

Theodore R. Jaeckel, Jr.

   64    0    0    0    0    0
     $26.51 Billion    $0    $0    $0    $0    $0

Walter O’Connor

   64    0    0    0    0    0
     $26.51 Billion    $0    $0    $0    $0    $0

 

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc. its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc. or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that a portfolio manager may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Such portfolio managers may therefore be entitled to receive a portion of any incentive fees earned on such accounts. Currently, the portfolio managers of this fund are not entitled to receive a portion of incentive fees of other accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and

 

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equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of August 31, 2014:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of August 31, 2014.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: a combination of market-based indices (e.g., Standard & Poor’s Municipal Bond Index), certain customized indices and certain fund industry peer groups.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in

 

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BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock,Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Jaeckel and O’Connor have unvested long-term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($260,000 for 2014). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of August 31, 2014.

 

Portfolio Manager   Dollar Range of Equity Securities    
of the Fund Beneficially Owned
Timothy Browse   None
Walter O’Connor   None
Theodore R. Jaeckel, Jr.   None

 

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   (b) Not Applicable

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

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 – See Item 2

 

   (a)(2) – Certifications – Attached hereto

 

   (a)(3) – Not Applicable

 

   (b) – Certifications – Attached hereto

 

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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 MuniHoldings New York Quality Fund, Inc.

 

  By:       /s/ John M. Perlowski                        
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock MuniHoldings New York Quality Fund, Inc.

Date: November 3, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By:       /s/ John M. Perlowski                        
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock MuniHoldings New York Quality Fund, Inc.

Date: November 3, 2014

 

  By:       /s/ Neal J. Andrews                            
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock MuniHoldings New York Quality Fund, Inc.

Date: November 3, 2014

 

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