BLACKROCK VIRGINIA MUNICIPAL BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number:  811-21053

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock Virginia Municipal Bond Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2015

Date of reporting period: 05/31/2015

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2015 (Unaudited)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

Virginia — 118.9%

                 

Corporate — 2.1%

  

  

County of Chesterfield Virginia EDA, RB, Virginia Electric Power Co. Project, Series A, AMT, 5.60%, 11/01/31

    $ 500      $ 530,935   

County/City/Special District/School District — 24.7%

  

City of Norfolk Virginia, GO, Refunding, Capital Improvement, Series A, 5.00%, 8/01/38

      500        562,715   

City of Portsmouth Virginia, GO, Refunding, Series D, 5.00%, 7/15/34

      500        561,365   

City of Suffolk Virginia, GO, Refunding, 5.00%, 6/01/42

      1,000        1,099,300   

County of Fairfax Virginia EDA, RB, Silverline Phase I Project, 5.00%, 4/01/37

      1,000        1,098,450   

County of Fairfax Virginia Redevelopment & Housing Authority, Refunding RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

      1,500        1,605,990   

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 3/01/26

      500        497,410   

Mosaic District Community Development Authority, Special Assessment, Series A, 6.88%, 3/01/36

      250        285,845   

Shops at White Oak Village Community Development Authority, Special Assessment, 5.30%, 3/01/17

      100        104,049   

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

      360        425,689   
    

 

 

  
               6,240,813   

Education — 19.1%

     

County of Montgomery Virginia EDA, Refunding RB, Virginia Tech Foundation, Series A, 5.00%, 6/01/39

      355        395,963   

Virginia College Building Authority, Refunding RB:

     

Liberty University Projects, 5.00%, 3/01/41

      1,000        1,123,830   

Marymount University Project, Series A, 5.00%, 7/01/45

      400        421,368   
Municipal Bonds    Par  
(000)		     Value  

Virginia (continued)

                 

Education (concluded)

  

Virginia College Building Authority, Refunding RB (concluded):

     

Washington & Lee University Project (NPFGC), 5.25%, 1/01/26

    $ 500      $ 603,450   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/31

      1,000        1,222,040   

Virginia Small Business Financing Authority, RB, Roanoke College, 5.75%, 4/01/41

      500        574,105   

Virginia Small Business Financing Authority, Refunding RB, 4.00%, 10/01/38

      500        492,040   
    

 

 

  
               4,832,796   

Health — 29.0%

     

City of Danville Virginia IDA, Refunding RB, Danville Regional Medical Center (AMBAC), 5.25%, 10/01/28 (b)

      1,000        1,186,690   

County of Fairfax Virginia EDA, Refunding RB:

     

Goodwin House, Inc., 5.00%, 10/01/27

      1,000        1,044,930   

Vinson Hall LLC, Series A, 5.00%, 12/01/42

      500        510,770   

County of Fairfax Virginia IDA, RB, Series A, 5.00%, 5/15/44

      1,000        1,113,700   

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A, 5.00%, 7/01/42

      500        512,570   

County of Henrico Virginia EDA, Refunding RB, United Methodist Homes, 4.25%, 6/01/26

      145        147,684   

Peninsula Ports Authority, Refunding RB, Virginia Baptist Homes, Series C, 5.40%, 12/01/33

      250        244,960   

Roanoke EDA, Refunding RB:

     

Carilion Clinic Obligation Group, 5.00%, 7/01/30

      795        876,082   

Carilion Health System (AGM), 5.00%, 7/01/20 (a)

      5        5,853   

Carilion Health System, Series B (AGM), 5.00%, 7/01/38

      495        541,386   

Winchester EDA, Refunding RB, Valley Health System Obligation, Series A, 5.00%, 1/01/44

      400        437,028   

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2015    1

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

Virginia (continued)

                 

Health (concluded)

     

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 1/01/44

    $ 650      $ 713,668   
    

 

 

  
               7,335,321   

Housing — 10.0%

     

Virginia HDA, RB:

     

M/F Housing, Rental Housing, Series A, 5.25%, 5/01/41

      750        804,330   

M/F Rental Housing, Series B, 5.63%, 6/01/39

      1,000        1,064,160   

M/F Rental Housing, Series F, 5.25%, 10/01/38

      250        271,713   

Remarketing, S/F Housing, Sub-Series C-3, 3.25%, 4/01/31

      400        386,016   
    

 

 

  
               2,526,219   

State — 8.2%

     

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 9/01/33

      1,000        1,104,170   

Virginia Public School Authority, RB, School Financing, 1997 Resolution, Series B:

     

5.25%, 8/01/18 (a)

      500        563,195   

4.00%, 8/01/36

      405        416,818   
    

 

 

  
               2,084,183   

Transportation — 25.3%

     

Richmond Metropolitan Authority, Refunding RB, (NPFGC), 5.25%, 7/15/22

      500        558,540   

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

      1,260        1,439,235   

Virginia Port Authority, RB, 5.00%, 7/01/36

      500        568,080   

Virginia Port Authority, Refunding RB, 5.00%, 7/01/40

      500        555,590   

Virginia Resources Authority, RB, Series B:

     

5.00%, 11/01/18 (a)

      880        993,872   

5.00%, 11/01/33

      1,015        1,124,508   
Municipal Bonds    Par  
(000)		     Value  

Virginia (concluded)

                 

Transportation (concluded)

     

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

    $ 1,000      $ 1,149,960   
    

 

 

  
               6,389,785   

Utilities — 0.5%

     

Virginia Resources Authority, RB, 5.00%, 11/01/18 (a)

      105        118,474   
Total Municipal Bonds in Virginia              30,058,526   
    

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        313,997   

Dulles Toll Road, 1st Senior Lien, Series A, 5.25%, 10/01/44

      460        509,441   

Series B, 5.00%, 10/01/29

      1,000        1,123,390   

Total Municipal Bonds in District of Columbia

  

     1,946,828   
    

Guam — 1.9%

  

State — 1.9%

  

Territory of Guam, RB, Series A:

     

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

      250        271,110   

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

      200        221,704   
Total Municipal Bonds in Guam        492,814   

Total Municipal Bonds — 128.5%

  

     32,498,168   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)		  

Virginia — 21.9%

  

Education — 13.1%

  

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

      2,999        3,303,544   

 

                
2    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2015   

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)		   

Par  

(000)

     Value  

Virginia (concluded)

  

Health — 8.8%

     

County of Fairfax Virginia IDA, Refunding RB, Health Care, Inova Health System, Series A, 5.50%, 5/15/35

    $ 999      $ 1,121,336   

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

      1,000        1,110,626   
    

 

 

  
               2,231,962   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 21.9%		         5,535,506   

Total Long-Term Investments

(Cost — $34,691,034) — 150.4%

  

  

     38,033,674   
Short-Term Securities    Shares     Value  

FFI Institutional Tax-Exempt Fund, 0.02% (d)(e)

      1,465,017      $ 1,465,017   

Total Short-Term Securities

(Cost — $1,465,017) — 5.8%

  

  

     1,465,017   
Total Investments (Cost — $36,156,051*) — 156.2%        39,498,691   
Other Assets Less Liabilities — 1.6%        405,953   

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

   

     (3,019,522 ) 
VRDP Shares, at Liquidation Value — (45.9)%        (11,600,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 25,285,122   
    

 

 

  

*  As of May 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

      

Tax cost

      $ 33,040,984   
    

 

 

  

Gross unrealized appreciation

      $ 3,368,105   

Gross unrealized depreciation

        70,624   
    

 

 

  

Net unrealized appreciation

      $ 3,438,729   
    

 

 

  

 

Notes to Schedule of Investments

 

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

 

(b)   Security is collateralized by municipal or U.S. Treasury obligations.

 

(c)   Represent bonds transferred to a TOB Trust in exchange of cash and residual interest certificates received by the Trust. These bonds serve as collateral in a secured borrowing.

 

(d)   During the period ended May 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2014		       

Net

Activity

        Shares Held
at May 31,
2015		        Income  

FFI Institutional Tax-Exempt Fund

        76,230           1,388,787           1,465,017         $ 539   

 

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

 

Portfolio Abbreviations

 

AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
EDA    Economic Development Authority
GO    General Obligation Bonds
HDA    Housing Development Authority
IDA    Industrial Development Authority
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
RB    Revenue Bonds
S/F    Single-Family

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2015    3

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

•  

As of May 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Short		     Issue   Exchange   Expiration   Notional
Value		     Unrealized
Depreciation		  
  (13 )    10-Year U.S. Treasury Note   Chicago Board of Trade   September 2015   $ 1,659,938      $ (7,433 ) 

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

 

•  

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

 

  •  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  •  

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

 

  •  

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

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. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

 

                
4    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2015   

Schedule of Investments (concluded)    BlackRock Virginia Municipal Bond Trust (BHV)

 

As of May 31, 2015, the following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 
Investments:                 

Long-Term Investments1

     —         $ 38,033,674         —      $ 38,033,674   

Short-Term Securities

   $ 1,465,017           —         —        1,465,017   
 

 

 

  

Total

   $ 1,465,017         $  38,033,674         —      $  39,498,691   
 

 

 

  

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

  $ (7,433 )         —         —      $ (7,433 ) 

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 reporting purposes. As of May 31, 2015, 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

   $      17,550           —         —      $ 17,550   

Liabilities:

                 

TOB Trust Certificates

     —         $ (3,018,978 )       —        (3,018,978 ) 

VRDP Shares

     —           (11,600,000 )       —        (11,600,000 ) 
 

 

 

  

Total

   $ 17,550         $ (14,618,978 )       —      $ (14,601,428 ) 
 

 

 

  

During the period ended May 31, 2015, there were no transfers between levels.

  

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2015    5

Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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

 

BlackRock Virginia Municipal Bond Trust
By:

/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Virginia Municipal Bond Trust
Date: July 23, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:

/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Virginia Municipal Bond Trust
Date: July 23, 2015
By:

/s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Virginia Municipal Bond Trust
Date: July 23, 2015