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 811-10333

 

Name of Fund: BlackRock Municipal Income Investment Trust (BBF)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Municipal Income Investment 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: 07/31/2012

 

Date of reporting period: 04/30/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments April 30, 2012 (Unaudited)

BlackRock Municipal Income Investment Trust (BBF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma Industrial Development Board,
RB, International Paper Company
Project, 5.38%, 12/01/35

 

$

275

 

$

289,941

 

Alaska — 0.2%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp.,
Refunding RB, Series A, 5.00%,
6/01/46

 

 

330

 

 

249,830

 

Arizona — 1.3%

 

 

 

 

 

 

 

Arizona State Board of Regents,
Refunding RB, Arizona State
University System, Series A:

 

 

 

 

 

 

 

5.00%, 7/01/28

 

 

690

 

 

800,310

 

5.00%, 6/01/42

 

 

500

 

 

555,620

 

 

 

 

 

 

 

1,355,930

 

California — 12.2%

 

 

 

 

 

 

 

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

 

 

1,315

 

 

1,497,482

 

California Health Facilities Financing
Authority, RB, Scripps Health, Series
A, 5.00%, 11/15/40

 

 

170

 

 

182,395

 

California Health Facilities Financing
Authority, Refunding RB, Catholic
Healthcare West, Series A, 6.00%,
7/01/39

 

 

890

 

 

1,026,908

 

California Statewide Communities
Development Authority, RB, Kaiser
Permanente, Series A, 5.00%,
4/01/42

 

 

695

 

 

741,447

 

Grossmont Union High School District,
GO, Election of 2008, Series B,
4.75%, 8/01/45

 

 

1,910

 

 

2,000,152

 

Los Angeles Department of Water &
Power, RB, Power System, Sub-Series
A-1, 5.25%, 7/01/38

 

 

1,750

 

 

1,991,570

 

San Diego Regional Building Authority
California, RB, County Operations
Center & Annex, Series A, 5.38%,
2/01/36

 

 

1,600

 

 

1,773,872

 

State of California, GO, Refunding,
Various Purpose, 5.25%, 2/01/30

 

 

1,500

 

 

1,699,320

 

State of California, GO, Various Purpose,
6.00%, 3/01/33

 

 

1,275

 

 

1,516,753

 

 

 

 

 

 

 

12,429,899

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority,
Refunding RB, Catholic Healthcare,
Series A, 5.50%, 7/01/34

 

 

1,095

 

 

1,225,382

 

Delaware — 1.3%

 

 

 

 

 

 

 

County of Sussex Delaware, RB, NRG
Energy, Inc., Indian River Project,
6.00%, 10/01/40

 

 

1,230

 

 

1,331,869

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

District of Columbia — 1.1%

 

 

 

 

 

 

 

District of Columbia Water & Sewer
Authority, RB, Series A, 5.25%,
10/01/29

 

$

1,000

 

$

1,166,720

 

Florida — 2.4%

 

 

 

 

 

 

 

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

 

 

780

 

 

858,764

 

Village Community Development District
No. 9, RB, Special Assessment, Series
2012, 5.25%, 5/01/31

 

 

895

 

 

911,737

 

Watergrass Community Development
District, Special Assessment Bonds,
Series B, 5.13%, 11/01/14

 

 

980

 

 

704,669

 

 

 

 

 

 

 

2,475,170

 

Georgia — 1.8%

 

 

 

 

 

 

 

Municipal Electric Authority of Georgia,
Refunding RB, Project One, Sub-Series
D, 6.00%, 1/01/23

 

 

1,565

 

 

1,854,666

 

Illinois — 15.8%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO,
Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

1,000

 

 

1,130,330

 

5.00%, 12/01/41

 

 

1,340

 

 

1,441,358

 

Chicago Park District, GO, Harbor
Facilities, Series C, 5.25%, 1/01/40

 

 

975

 

 

1,069,477

 

Chicago Transit Authority, RB, Sales Tax
Receipts, Series 2011, 5.25%,
12/01/31

 

 

1,060

 

 

1,197,948

 

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

 

 

2,955

 

 

3,544,257

 

City of Chicago Illinois, Refunding RB,
Sales Tax Receipts, Series 2011 A,
5.25%, 1/01/38

 

 

385

 

 

428,482

 

City of Chicago Illinois Transit Authority,
RB, Sales Tax Revenue, Series 2011,
5.25%, 12/01/36

 

 

310

 

 

345,294

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

Carle Foundation, Series A,
6.00%, 8/15/41

 

 

1,000

 

 

1,100,040

 

Navistar International,
Recovery Zone, 6.50%,
10/15/40

 

 

510

 

 

551,810

 

Rush University Medical
Center Obligation Group,
Series B, 7.25%, 11/01/30

 

 

1,600

 

 

2,017,360

 

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

 

 

1,900

 

 

2,190,035

 

Railsplitter Tobacco Settlement
Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

690

 

 

788,511

 

6.00%, 6/01/28

 

 

195

 

 

221,278

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT TRUST

APRIL 30, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

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

 

$

125

 

$

137,525

 

 

 

 

 

 

 

16,163,705

 

Indiana — 2.5%

 

 

 

 

 

 

 

Indiana Municipal Power Agency, RB,
Series B, 6.00%, 1/01/39

 

 

2,210

 

 

2,531,732

 

Kansas — 1.8%

 

 

 

 

 

 

 

Kansas Development Finance Authority,
Refunding RB, Adventist Health,
5.50%, 11/15/29

 

 

1,600

 

 

1,839,056

 

Kentucky — 4.3%

 

 

 

 

 

 

 

Kentucky Economic Development
Finance Authority, RB, Owensboro
Medical Health System, Series A,
6.38%, 6/01/40

 

 

660

 

 

755,099

 

Louisville & Jefferson County
Metropolitan Government, RB,
Parking Authority, Series A, 5.75%,
12/01/34

 

 

1,500

 

 

1,735,005

 

Louisville & Jefferson County
Metropolitan Government, Refunding
RB, Jewish Hospital & St. Mary’s
HealthCare, 6.13%, 2/01/37 (a)

 

 

1,450

 

 

1,843,095

 

 

 

 

 

 

 

4,333,199

 

Louisiana — 0.8%

 

 

 

 

 

 

 

Louisiana Local Government
Environmental Facilities & Community
Development Authority, RB, Westlake
Chemical Corp., Series A-1, 6.50%,
11/01/35

 

 

715

 

 

802,495

 

Maine — 1.5%

 

 

 

 

 

 

 

Maine Health & Higher Educational
Facilities Authority, RB, Maine General
Medical Center, 7.50%, 7/01/32

 

 

1,270

 

 

1,512,468

 

Massachusetts — 2.3%

 

 

 

 

 

 

 

Massachusetts Development Finance
Agency, RB, Wellesley College, Series
J, 5.00%, 7/01/42

 

 

330

 

 

372,940

 

Massachusetts Health & Educational
Facilities Authority, RB, Tufts
University, 5.38%, 8/15/38

 

 

1,000

 

 

1,168,240

 

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

 

 

750

 

 

834,570

 

 

 

 

 

 

 

2,375,750

 

Michigan — 3.4%

 

 

 

 

 

 

 

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

 

 

915

 

 

1,057,438

 

Michigan State Building Authority,
Refunding RB, Facilities Program,
Series I, 6.00%, 10/15/38

 

 

1,000

 

 

1,137,190

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (concluded)

 

 

 

 

 

 

 

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

 

$

995

 

$

1,265,322

 

 

 

 

 

 

 

3,459,950

 

Nevada — 5.2%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,853,456

 

County of Clark Nevada, RB, Series B,
5.75%, 7/01/42

 

 

3,075

 

 

3,433,668

 

 

 

 

 

 

 

5,287,124

 

New Jersey — 5.6%

 

 

 

 

 

 

 

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

 

 

1,140

 

 

1,226,777

 

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

 

 

 

 

 

 

 

Series A, 5.88%, 12/15/38

 

 

1,295

 

 

1,476,222

 

Series A, 5.50%, 6/15/41

 

 

1,000

 

 

1,139,940

 

Series B, 5.25%, 6/15/36

 

 

1,650

 

 

1,843,743

 

 

 

 

 

 

 

5,686,682

 

New York — 8.6%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,128,570

 

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

 

 

1,500

 

 

1,648,140

 

New York Liberty Development Corp.,
Refunding RB, Second Priority, Bank
of America Tower at One Bryant Park
Project, 6.38%, 7/15/49

 

 

605

 

 

673,565

 

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

 

 

3,250

 

 

3,601,000

 

Triborough Bridge & Tunnel Authority,
RB, General, Series A-2, 5.38%,
11/15/38

 

 

1,510

 

 

1,706,239

 

 

 

 

 

 

 

8,757,514

 

Pennsylvania — 5.4%

 

 

 

 

 

 

 

Pennsylvania Economic Development
Financing Authority, RB, American
Water Co. Project, 6.20%, 4/01/39

 

 

500

 

 

577,990

 

Pennsylvania Turnpike Commission, RB,
Sub-Series A:

 

 

 

 

 

 

 

5.63%, 12/01/31

 

 

1,500

 

 

1,693,035

 

6.00%, 12/01/41

 

 

1,500

 

 

1,665,525

 

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

 

 

1,375

 

 

1,532,094

 

 

 

 

 

 

 

5,468,644

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT TRUST

APRIL 30, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 2.8%

 

 

 

 

 

 

 

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

 

$

2,605

 

$

2,880,739

 

Texas — 15.5%

 

 

 

 

 

 

 

Central Texas Regional Mobility
Authority, RB, Senior Lien, 6.00%,
1/01/41

 

 

1,670

 

 

1,843,012

 

Conroe ISD Texas, GO, School Building,
Series A, 5.75%, 2/15/35

 

 

890

 

 

1,082,124

 

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

 

 

640

 

 

721,517

 

Harris County Health Facilities
Development Corp., Refunding RB,
Memorial Hermann Healthcare
System, Series B, 7.13%, 12/01/31

 

 

500

 

 

599,265

 

Lamar Texas Consolidated ISD, GO,
Refunding, School House, Series A,
5.00%, 2/15/45

 

 

750

 

 

840,563

 

Lower Colorado River Authority, RB:

 

 

 

 

 

 

 

5.50%, 5/15/33 (a)

 

 

80

 

 

101,553

 

5.50%, 5/15/33 (a)

 

 

5

 

 

6,374

 

5.50%, 5/15/33 (a)

 

 

5

 

 

6,324

 

5.50%, 5/15/33

 

 

1,910

 

 

2,144,013

 

North Texas Tollway Authority, RB,
Special Projects System, Series A,
5.50%, 9/01/41

 

 

1,670

 

 

1,939,738

 

North Texas Tollway Authority,
Refunding RB, System, First Tier,
Series K-1 (AGC), 5.75%, 1/01/38

 

 

1,000

 

 

1,115,740

 

Tarrant County Cultural Education
Facilities Finance Corp., RB, Scott &
White Healthcare, 6.00%, 8/15/45

 

 

1,905

 

 

2,188,883

 

Texas Private Activity Bond Surface
Transportation Corp., RB, Senior Lien,
NTE Mobility Partners LLC, North
Tarrant Express Managed Lanes
Project, 6.88%, 12/31/39

 

 

1,505

 

 

1,726,069

 

University of Texas, Refunding RB,
Financing System Series B, 5.00%,
8/15/43

 

 

1,355

 

 

1,548,196

 

 

 

 

 

 

 

15,863,371

 

Virginia — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,170,580

 

Washington — 1.5%

 

 

 

 

 

 

 

University of Washington, Refunding RB,
Series A, 5.00%, 7/01/41

 

 

1,385

 

 

1,566,476

 

Wisconsin — 2.8%

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

Ascension Health, Series D,
5.00%, 11/15/41 (b)

 

 

925

 

 

1,003,107

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wisconsin (concluded)

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, Refunding RB
(concluded):

 

 

 

 

 

 

 

Froedtert & Community Health
Inc., Series C, 5.25%,
4/01/39

 

$

1,675

 

$

1,820,440

 

 

 

 

 

 

 

2,823,547

 

Total Municipal Bonds – 102.8%

 

 

 

 

 

104,902,439

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

California — 19.1%

 

 

 

 

 

 

 

California Educational Facilities
Authority, RB, University of Southern
California, Series A, 5.25%, 10/01/39

 

 

1,995

 

 

2,263,467

 

Grossmont Union High School District,
GO, Election of 2008, Series B,
5.00%, 8/01/40

 

 

2,400

 

 

2,605,800

 

Los Angeles Community College District
California, GO, Election of 2008:

 

 

 

 

 

 

 

Series A, 6.00%, 8/01/33

 

 

3,898

 

 

4,610,625

 

Series C, 5.25%, 8/01/39

 

 

2,630

 

 

2,995,702

 

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

 

 

400

 

 

440,132

 

San Diego Public Facilities Financing
Authority, Refunding RB, Series B,
5.50%, 8/01/39

 

 

4,214

 

 

4,824,518

 

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

 

 

1,500

 

 

1,740,450

 

 

 

 

 

 

 

19,480,694

 

District of Columbia — 3.6%

 

 

 

 

 

 

 

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

 

 

1,395

 

 

1,703,002

 

District of Columbia Water & Sewer
Authority, RB, Series A, 5.50%,
10/01/39

 

 

1,799

 

 

2,020,529

 

 

 

 

 

 

 

3,723,531

 

Illinois — 3.3%

 

 

 

 

 

 

 

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

 

 

2,800

 

 

3,391,612

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts School Building
Authority, RB, Dedicated Sales Tax,
Senior, Series B, 5.00%, 10/15/41

 

 

1,490

 

 

1,669,903

 

Nevada — 5.3%

 

 

 

 

 

 

 

Clark County Water Reclamation
District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

2,500

 

 

3,068,675

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT TRUST

APRIL 30, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Nevada (concluded)

 

 

 

 

 

 

 

Clark County Water Reclamation
District, GO (concluded):

 

 

 

 

 

 

 

Series B, 5.50%, 7/01/29

 

$

1,994

 

$

2,301,361

 

 

 

 

 

 

 

5,370,036

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

New Hampshire Health & Education
Facilities Authority, RB, Dartmouth
College, 5.25%, 6/01/39

 

 

1,094

 

 

1,257,980

 

New Jersey — 2.2%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund
Authority, RB, Transportation System,
Series A (AGM), 5.00%, 12/15/32

 

 

2,000

 

 

2,215,700

 

New York — 10.9%

 

 

 

 

 

 

 

New York City Municipal Water Finance
Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,410

 

 

1,668,959

 

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

 

 

1,994

 

 

2,279,173

 

New York City Transitional Finance
Authority, RB, 5.00%, 2/01/42

 

 

860

 

 

955,054

 

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

 

 

2,205

 

 

2,477,648

 

New York Liberty Development Corp.,
Refunding RB, 4 World Trade Center
Project, 5.75%, 11/15/51

 

 

1,300

 

 

1,475,643

 

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

 

 

2,000

 

 

2,216,000

 

 

 

 

 

 

 

11,072,477

 

Ohio — 1.7%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB,
Catholic Healthcare, Series A, 5.25%,
6/01/38

 

 

1,560

 

 

1,690,166

 

Puerto Rico — 0.9%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
Refunding RB, Sales Tax, Senior
Series 2011 C, 5.25%, 8/01/40

 

 

880

 

 

962,896

 

South Carolina — 1.9%

 

 

 

 

 

 

 

South Carolina State Public Service
Authority, Refunding RB, Santee
Cooper, Series A, 5.50%, 1/01/38

 

 

1,755

 

 

1,976,534

 

Texas — 6.4%

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding
RB, Series A, 5.25%, 2/01/31

 

 

2,025

 

 

2,322,417

 

Harris County Cultural Education
Facilities Finance Corp., RB, Hospital,
Texas Children’s Hospital Project,
5.50%, 10/01/39

 

 

2,750

 

 

3,070,403

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Waco Educational Finance Corporation,
Refunding RB, Baylor University,
5.00%, 3/01/43

 

$

1,005

 

$

1,116,233

 

 

 

 

 

 

 

6,509,053

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

899

 

 

1,004,878

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 59.1%

 

 

 

 

 

60,325,460

 

Total Long-Term Investments
(Cost – $148,548,972) – 161.9%

 

 

 

 

 

165,227,899

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.09% (d)(e)

 

 

749,733

 

 

749,733

 

Total Short-Term Securities
(Cost – $749,733) – 0.8%

 

 

 

 

 

749,733

 

Total Investments (Cost - $149,298,705*) – 162.7%

 

 

 

 

 

165,977,632

 

Other Assets Less Liabilities – 0.9%

 

 

 

 

 

932,786

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (30.1)%

 

 

 

 

 

(30,666,108

)

VRDP Shares, at Liquidation Value – (33.5)%

 

 

 

 

 

(34,200,000

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

102,044,310

 

 

 

 

 

*

As of April 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


 

 

 

 

 

Tax Cost

 

$

119,148,595

 

Gross unrealized appreciation

 

$

16,954,503

 

Gross unrealized depreciation

 

 

(777,668

)

Net unrealized appreciation

 

$

16,176,835

 

 

 

(a)

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

 

 

(b)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Morgan Stanley Co., Inc.

 

$

1,003,107

 

$

9,306

 

 

 

(c)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction.


 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT TRUST

APRIL 30, 2012

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)


 

 

(d)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
July 31, 2011

 

Net
Activity

 

Shares
Held at
April 30, 2012

 

Income

 

FFI Institutional
Tax-Exempt
Fund

 

 

2,119,108

 

 

(1,369,375

)

 

749,733

 

$

475

 

 

 

(e)

Represents the current yield as of report date.

 

 

•

Financial futures contracts sold as of April 30, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

102

 

10-Year
US Treasury
Note

 

Chicago
Board of
Trade

 

June
2012

 

$

13,492,688

 

$

(151,600

)

 

Portfolio Abbreviations

 

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


 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

ERB

Education Revenue Bonds

GO

General Obligation Bonds

IDA

Industrial Development Authority

ISD

Independent School District

RB

Revenue Bonds

S/F

Single-Family

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the 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. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

 

 

 

The following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

165,227,899

 

 

—

 

$

165,227,899

 

Short-Term
Securities

 

$

749,733

 

 

—

 

 

—

 

 

749,733

 

Total

 

$

749,733

 

$

165,227,899

 

 

—

 

$

165,977,632

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(151,600

)

 

—

 

 

—

 

$

(151,600

)

 

 

2

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


 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT TRUST

APRIL 30, 2012

5


 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Trust (BBF)

Certain of the Trust’s assets and liabilities are held at carrying amount which approximates fair value. Such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged
as collateral
for financial
futures
contracts

 

$

135,000

 

 

—

 

 

—

 

$

135,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust
certificates

 

 

—

 

$

(30,652,202

)

 

—

 

 

(30,652,202

)

VRDP shares

 

 

—

 

 

(34,200,000

)

 

—

 

 

(34,200,000

)

Total

 

$

135,000

 

$

(64,852,202

)

 

—

 

$

(64,717,202

)

There were no transfers between levels during the period ended April 30, 2012.

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT TRUST

APRIL 30, 2012

6

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 Municipal Income Investment Trust

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Investment Trust
   
  Date: June 22, 2012
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Investment Trust
   
  Date: June 22, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Municipal Income Investment Trust
     
  Date: June 22, 2012