BLACKROCK MUNIYIELD QUALITY FUND III, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-06540

Name of Fund: BlackRock MuniYield Quality Fund III, Inc. (MYI)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 07/31/2015

Date of reporting period: 01/31/2015


Item 1 – Report to Stockholders


JANUARY 31, 2015

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

BlackRock MuniYield California Quality Fund, Inc. (MCA)

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

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

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Semi-Annual Report:

 

Municipal Market Overview

    4   

The Benefits and Risks of Leveraging

    5   

Derivative Financial Instruments

    5   

Fund Summaries

    6   

Financial Statements:

 

Schedules of Investments

    16   

Statements of Assets and Liabilities

    42   

Statements of Operations

    43   

Statements of Changes in Net Assets

    44   

Statements of Cash Flows

    47   

Financial Highlights

    48   

Notes to Financial Statements

    53   

Officers and Directors

    62   

Additional Information

    63   

 

 

                
2    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


The Markets in Review

Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), escalating geopolitical risks, uneven global economic growth and expectations around policy moves from the world’s largest central banks. Surprisingly, U.S. interest rates trended lower through the period even as the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program, which ultimately ended in October.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields, although persistently low, were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, suddenly plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy stocks sold off sharply and oil-exporting economies struggled, mainly within emerging markets. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted at the beginning of 2015. U.S. equity markets starkly underperformed international markets due to stretched valuations and uncertainty around the Fed’s pending rate hike. In addition, the stronger U.S. dollar began to hurt earnings of large cap companies. The energy sector continued to struggle, although oil prices showed signs of stabilizing toward the end of January as suppliers became more disciplined in their exploration and production efforts.

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 markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2015  
    6-month     12-month  

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

    4.37     14.22

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

    4.72        4.41   

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

    (6.97     (0.43

Emerging market equities
(MSCI Emerging Markets
Index)

    (9.05     5.23   

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

Bill Index)

    0.01        0.03   

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

    9.29        12.25   

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

    4.36        6.61   

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

    4.51        8.81   

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

    (0.89     2.41   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Municipal Market Overview     

 

For the Reporting Period Ended January 31, 2015      

Municipal Market Conditions

Municipal bonds generated strong performance in 2014, thanks to a favorable supply-and-demand environment and declining interest rates. (Bond prices rise as rates fall.) Investor demand for municipal bonds was strong from the start of the year when U.S. economic data softened amid one of the harshest winters on record. Interest rates proceeded to move lower even as the U.S. Federal Reserve (the “Fed”) scaled back its open-market bond purchases. This surprising development, coupled with reassurance from the Fed that short-term rates would remain low for a considerable amount of time, resulted in strong demand for fixed income investments in 2014, with municipal bonds being one of the stronger performing sectors for the year. For the 12-month period ended January 31, 2015, municipal bonds garnered net inflows of approximately $32 billion (based on data from the Investment Company Institute).

From a historical perspective, total new issuance for the 12 months ended January 31, remained relatively strong at $342 billion (slightly higher than the $326 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 45%) as issuers took advantage of lower interest rates to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of January 31, 2015

  6 months:   4.51%

12 months:    8.81%

A Closer Look at Yields

 

LOGO

From January 31, 2014 to January 31, 2015, yields on AAA-rated 30-year municipal bonds decreased by 135 basis points (“bps”) from 3.85% to 2.50%, while 10-year rates decreased 81 bps from 2.53% to 1.72% and 5-year rates decreased 16 bps from 1.10% to 0.94% (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 146 bps and the spread between 2- and 10-year maturities flattened by 92 bps.

During the same time period, U.S. Treasury rates fell by 136 bps on 30-year bonds, 99 bps on 10-year bonds and 32 bps in 5-year issues. Accordingly, tax-exempt municipal bond performance was generally in line with Treasuries on both the long and short ends of the curve, while lagging in the intermediate portion of the curve as a result of increased supply. Municipals modestly outperformed Treasuries in the very short end of the curve as expectations around future Fed policy changes pressured short-term U.S. Treasury prices. Positive performance on the long end of the curve was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities had become scarce. More broadly, municipal bonds benefited from the greater appeal of tax-exempt investing in light of the higher tax rates implemented in 2014. 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 flexible approach to security selection and yield curve positioning 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, solid revenue growth exceeding pre-recession levels coupled with the elimination of more than 625,000 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 remain minimal and in the periphery, and that the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remain imperative amid uncertainty in a modestly improving economic environment.

Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (AMT). Capital gains distributions, if any, are taxable.

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

 

                
4    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


The Benefits and Risks of Leveraging     

 

The Funds 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 is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s shareholders 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 Fund’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 Fund’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 Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s financing cost of leverage is significantly lower than the income earned on the Fund’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 Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the Fund’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 Fund’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 Fund’s NAV positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Funds’ 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 Fund’s Common Shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund incurs 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 Fund has issued Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred 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 Fund 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 Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund 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 Fund segregates or designates on its books and records cash or liquid assets having a value not less than the value of the Fund’s obligations under the TOB (including accrued interest), a TOB is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

Derivative Financial Instruments     

 

The Funds may invest in various derivative financial instruments. 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 manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments also involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    5


Fund Summary as of January 31, 2015    BlackRock MuniHoldings Quality Fund II, Inc.

 

Fund Overview      

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

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 12.67% based on market price and 8.54% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.69% based on market price and 8.99% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

Municipal bonds generally delivered strong performance during the six-month period, with yields declining as prices rose. Long-term bonds outperformed their short-term counterparts, leading to a flattening of the yield curve. In this environment, the Fund’s duration positioning contributed positively to performance. The Fund’s longer dated holdings in the transportation, utilities and tax-backed sectors experienced the best price action on an absolute basis. The income generated from the Fund’s holdings of tax-exempt municipal bonds contributed to performance as well. In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

    MUE   

Initial Offering Date

    February 26, 1999   

Yield on Closing Market Price as of January 31, 2015 ($14.13)1

    5.99%   

Tax Equivalent Yield2

    10.58%   

Current Monthly Distribution per Common Share3

    $0.0705   

Current Annualized Distribution per Common Share3

    $0.8460   

Economic Leverage as of January 31, 20154

    35%   

 

  1   

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

 

  2   

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

 

  3   

The monthly distribution per Common Share, declared on March 2, 2015 was decreased to $0.0680 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4   

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

 

                
6    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniHoldings Quality Fund II, Inc.

 

Market Price and Net Asset Value Per Share Summary      

 

      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 14.13       $ 12.94         9.20    $ 14.13       $ 12.88   

Net Asset Value

   $ 15.17       $ 14.42         5.20    $ 15.17       $ 14.42   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*

 

Sector Allocation              
     1/31/15     7/31/14  

Transportation

    36     37

County/City/Special District/School District

    27        23   

Utilities

    14        17   

Health

    10        12   

State

    9        6   

Education

    2        2   

Housing

    1        1   

Tobacco

    1        2   

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

 

Credit Quality Allocation1              
     1/31/15     7/31/14  

AAA/Aaa

    6     6

AA/Aa

    66        67   

A

    25        25   

BBB/Baa

    3        2   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“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,

 

2015

    1

2016

    2   

2017

    1   

2018

    25   

2019

    15   

 

  2   

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

 

  *   Excludes short-term securities.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    7


Fund Summary as of January 31, 2015    BlackRock MuniYield California Quality Fund, Inc.

 

Fund Overview      

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

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 13.34% based on market price and 6.01% based on NAV. For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of 12.10% based on market price and 7.85% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

Municipal bonds generally delivered strong performance during the six-month period, with yields declining as prices rose. California issues gained an additional boost from the state’s improving credit profile. Longer-term municipal bonds generally outperformed shorter-term issues. In this environment, the Fund’s exposure to the long end of the yield curve had a positive impact on performance. Its positions in AA-rated issues, tax-backed bonds issued by local authorities, and the transportation, health care and utilities sectors also helped returns. In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information     

Symbol on NYSE

  MCA

Initial Offering Date

  October 30, 1992

Yield on Closing Market Price as of January 31, 2015 ($15.82)1

  5.54%

Tax Equivalent Yield2

  11.29%

Current Monthly Distribution per Common Share3

  $0.073

Current Annualized Distribution per Common Share3

  $0.876

Economic Leverage as of January 31, 20154

  35%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.93%, 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 Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 5.

 

                
8    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield California Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                              
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 15.82       $ 14.37         10.09    $ 15.82       $ 14.31   

Net Asset Value

   $ 16.62       $ 16.14         2.97    $ 16.62       $ 16.14   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*

 

Sector Allocation              
     1/31/15     7/31/14  

County/City/Special District/School District

    36     41

Utilities

    26        23   

Transportation

    12        10   

Education

    11        9   

Health

    10        10   

State

    5        7   

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

 

Credit Quality Allocation1              
     1/31/15     7/31/14  

AAA/Aaa

    9     10

AA/Aa

    74        79   

A

    17        11   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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,

 

2015

    9

2016

    8   

2017

    17   

2018

    10   

2019

    19   

 

  2   

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

 

  *   Excludes short-term securities.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    9


Fund Summary as of January 31, 2015    BlackRock MuniYield Michigan Quality Fund II, Inc.

 

Fund Overview      

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

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 10.42% based on market price and 9.33% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 8.27% based on market price and 7.81% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Fund’s duration positioning made the largest contribution to performance, as yields on municipal bonds decreased substantially during the period. (Bond prices rise as yields fall; duration measures sensitivity to interest rate movements). The income generated from the Fund’s holdings of Michigan tax-exempt municipal bonds contributed to performance as well. The Fund’s exposure to the long end of the yield curve helped performance as the yield curve flattened substantially over the period (long-term rates fell much more than intermediate rates, while two-year rates rose). The Fund also benefited from its credit exposure as spreads generally tightened, especially in the utilities sector. In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information     

Symbol on NYSE

  MYM

Initial Offering Date

  February 28, 1992

Yield on Closing Market Price as of January 31, 2015 ($13.45)1

  5.89%

Tax Equivalent Yield2

  10.87%

Current Monthly Distribution per Common Share3

  $0.066

Current Annualized Distribution per Common Share3

  $0.792

Economic Leverage as of January 31, 20154

  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 45.81%, 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 Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 5.

 

                
10    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield Michigan Quality Fund II, Inc.

 

Market Price and Net Asset Value Per Share Summary                              
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 13.45       $ 12.56         7.09    $ 13.45       $ 12.42   

Net Asset Value

   $ 15.12       $ 14.26         6.03    $ 15.12       $ 14.26   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*

 

Sector Allocation              
     1/31/15     7/31/14  

Health

    25     20

County/City/Special District/School District

    19        19   

Education

    18        18   

Utilities

    12        16   

State

    11        11   

Transportation

    8        9   

Housing

    5        5   

Corporate

    2        2   

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

 

Credit Quality Allocation1              
     1/31/15     7/31/14  

AAA/Aaa

    1     2

AA/Aa

    70        78   

A

    26        20   

BBB/Baa

    2          

N/R2

    1          

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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 not-rated 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 July 31, 2014 the market value of unrated securities deemed by the investment advisor to be investment grade was $160,241 representing less than 1% of the Fund’s total investments.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2015

    9

2016

    4   

2017

    8   

2018

    13   

2019

    6   

 

  3   

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    11


Fund Summary as of January 31, 2015    BlackRock MuniYield New York Quality Fund, Inc.

 

Fund Overview      

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

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 11.33% based on market price and 7.52% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 9.11% based on market price and 7.97% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

Municipal bonds generally delivered strong performance during the six-month period, with yields declining as prices rose. Longer-term municipal bonds generally outperformed shorter-term issues. In this environment, the Fund’s duration positioning and allocation to longer-dated bonds provided positive returns. The Fund’s exposure to the tax-backed (state and local), education and transportation sectors were positive contributors to performance. Positions in lower-coupon bonds, which tend to have longer durations and more capital appreciation potential than bonds with higher coupons, helped performance as yields fell during the period. (Duration is a measure of interest-rate sensitivity.) The Fund’s positions in zero-coupon bonds also aided returns, as these securities generated strong price performance. The Fund’s exposure to higher-yielding bonds in the lower Investment-grade quality category aided performance, as this market segment outperformed during the period. The Fund benefited from income generated in the form of coupon payments from its portfolio of municipal bond holdings. In addition, the Fund’s limited use of leverage provided both incremental return and income in an environment of declining interest rates. (Bond prices rise as yields fall).

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information     

Symbol on NYSE

  MYN

Initial Offering Date

  February 28, 1992

Yield on Closing Market Price as of January 31, 2015 ($13.74)1

  5.63%

Tax Equivalent Yield2

  11.39%

Current Monthly Distribution per Common Share3

  $0.0645

Current Annualized Distribution per Common Share3

  $0.7740

Economic Leverage as of January 31, 20154

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

 

                
12    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield New York Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                                        
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

     $13.74         $12.71         8.10%         $13.82         $12.68   

Net Asset Value

     $14.71         $14.09         4.40%         $14.71         $14.08   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*

 

Sector Allocation              
     1/31/15     7/31/14  

County/City/Special District/School District

    23     27

Transportation

    22        24   

Education

    17        17   

State

    16        11   

Utilities

    10        10   

Health

    6        6   

Housing

    3        3   

Corporate

    2        2   

Tobacco

    1          

For Fund compliance purposes, the Fund’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or 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.

 

Credit Quality Allocation1              
     1/31/15     7/31/14  

AAA/Aaa

    13     16

AA/Aa

    62        60   

A

    21        21   

BBB/Baa

    2        2   

BB/Ba

    1        1   

N/R2

    1          
  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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 not-rated 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 January 31, 2015 and July 31, 2014, the market value of unrated securities deemed by the investment advisor to be investment grade was $4,940,501 and $3,040,070, respectively, each representing less than 1% of the Fund’s total investments.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2015

    12

2016

    4   

2017

    10   

2018

    8   

2019

    8   

 

  3   

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    13


Fund Summary as of January 31, 2015    BlackRock MuniYield Quality Fund III, Inc.

 

Fund Overview      

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

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 13.15% based on market price and 8.26% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.69% based on market price and 8.99% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Fund’s duration positioning made the largest contribution to performance, as yields on municipal bonds decreased substantially during the period. (Bond prices rise as yields fall; duration measures sensitivity to interest rate movements). The income generated from the Fund’s holdings of tax-exempt municipal bonds contributed to performance as well. The Fund’s exposure to the long end of the yield curve helped performance as the yield curve flattened substantially over the period (long-term rates fell much more than intermediate rates, while two-year rates rose). In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information     

Symbol on NYSE

  MYI

Initial Offering Date

  March 27, 1992

Yield on Closing Market Price as of January 31, 2015 ($14.76)1

  6.02%

Tax Equivalent Yield2

  10.64%

Current Monthly Distribution per Common Share3

  $0.074

Current Annualized Distribution per Common Share3

  $0.888

Economic Leverage as of January 31, 20154

  37%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

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

 

                
14    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield Quality Fund III, Inc.

 

Market Price and Net Asset Value Per Share Summary                                        
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 14.76       $ 13.46         9.66    $ 14.83       $ 13.45   

Net Asset Value

   $ 15.57       $ 14.84         4.92    $ 15.57       $ 14.84   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*

 

Sector Allocation              
     1/31/15     7/31/14  

Transportation

    23     25

County/City/Special District/School District

    19        20   

State

    18        16   

Utilities

    18        19   

Health

    10        9   

Education

    9        8   

Housing

    2        2   

Corporate

    1        1   

For Fund compliance purposes, the Fund’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or 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.

 

Credit Quality Allocation1              
     1/31/15     7/31/14  

AAA/Aaa

    12     12

AA/Aa

    62        65   

A

    23        21   

BBB/Baa

    3        2   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P 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,

 

2015

    2

2016

    5   

2017

    16   

2018

    21   

2019

    12   

 

  2   

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

 

  *   Excludes short-term securities.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    15


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 3.2%

    

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

   $ 5,225      $ 6,145,854   

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A, 5.38%, 12/01/35

     940        1,062,134   

Mobile Board of Water & Sewer Commissioners, RB, (NPFGC), 5.00%, 1/01/16 (a)

     3,750        3,915,600   
    

 

 

 
               11,123,588   

California — 24.7%

    

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

     5,050        5,769,726   

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 8/15/42

     2,865        3,470,203   

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

     1,070        1,075,061   

City & County of San Francisco California Airports Commission, Refunding ARB, 2nd Series A, AMT:

    

5.50%, 5/01/28

     1,800        2,199,870   

5.25%, 5/01/33

     1,410        1,658,371   

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

     4,045        4,637,512   

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

     2,800        3,233,216   

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

     3,500        3,990,735   

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

     3,175        3,676,999   

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

     1,875        2,247,900   

Kern Community College District, GO, Safety, Repair & Improvement, Election of 2002, Series C, 5.50%, 11/01/33

     2,445        3,018,328   

Los Angeles Community College District California, GO:

    

Election of 2001, Series A (NPFGC), 5.00%, 8/01/17 (a)

     5,000        5,554,250   

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

     2,000        2,362,540   

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

     1,675        1,880,372   

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

     2,670        3,201,010   

Sequoia Union High School District, GO, Refunding, Election of 2004, Series B, 5.50%, 7/01/16 (a)

     5,190        5,575,825   

State of California, GO, Various Purpose,
5.00%, 4/01/43

     4,500        5,239,710   
Municipal Bonds   

Par  

(000)

    Value  

California (concluded)

    

State of California Public Works Board, LRB, Various Capital Projects, Series I:

    

5.50%, 11/01/30

   $ 5,000      $ 6,225,850   

5.50%, 11/01/31

     3,130        3,880,605   

5.50%, 11/01/33

     3,000        3,711,720   

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F,
5.25%, 9/01/33

     1,260        1,513,285   

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

     940        1,160,195   

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

     7,580        9,094,332   
    

 

 

 
               84,377,615   

Colorado — 2.1%

    

City & County of Denver Colorado Airport System, ARB, Series A, AMT:

    

5.50%, 11/15/28

     1,500        1,812,975   

5.50%, 11/15/30

     565        678,740   

5.50%, 11/15/31

     675        809,143   

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

     3,300        3,794,373   
    

 

 

 
               7,095,231   

Florida — 20.1%

    

City of Jacksonville Florida, Refunding RB, Series A,
5.25%, 10/01/33

     405        485,721   

City of St. Petersburg Florida Public Utility Revenue, Refunding RB, (NPFGC), 5.00%, 10/01/15 (a)

     3,000        3,097,200   

County of Broward Florida Airport System, ARB, Series A, AMT, 5.13%, 10/01/38

     5,665        6,484,669   

County of Hillsborough Florida Aviation Authority, Refunding ARB, Tampa International Airport, Series A, AMT, 5.50%, 10/01/29

     2,995        3,577,857   

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

     2,500        2,830,425   

County of Miami-Dade Florida, RB, Seaport:

    

Series A, 5.38%, 10/01/33

     1,765        2,069,604   

Series A, 5.50%, 10/01/42

     3,000        3,551,070   

Series B, AMT, 6.25%, 10/01/38

     800        1,004,096   

Series B, AMT, 6.00%, 10/01/42

     1,060        1,295,680   

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series B, 5.25%, 10/01/29

     3,130        3,802,480   

County of Miami-Dade Florida Aviation, Refunding ARB, AMT, Series A:

    

Miami International Airport (AGM),
5.25%, 10/01/41

     4,610        5,138,721   
Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.      EDC    Economic Development Corp.    IDRB    Industrial Development Revenue Bonds
AGM    Assured Guaranty Municipal Corp.      ERB    Education Revenue Bonds    ISD    Independent School District
AMBAC    American Municipal Bond Assurance Corp.      Fannie Mae    Federal National Mortgage Association    LRB    Lease Revenue Bonds
AMT    Alternative Minimum Tax (subject to)      FHA    Federal Housing Administration    M/F    Multi-Family
ARB    Airport Revenue Bonds      GAB    Grant Anticipation Bonds    NPFGC    National Public Finance Guarantee Corp.
BAM    Build America Mutual Assurance Co.      GARB    General Airport Revenue Bonds    PILOT    Payment in Lieu of Taxes
BARB    Building Aid Revenue Bonds      Ginnie Mae    Government National Mortgage Association    PSF-GTD    Permanent School Fund Guaranteed
BHAC    Berkshire Hathaway Assurance Corp.      GO    General Obligation Bonds    Q-SBLF    Qualified School Bond Loan Fund
BOCES    Board of Cooperative Educational Services      HDA    Housing Development Authority    RB    Revenue Bonds
CAB    Capital Appreciation Bonds      HFA    Housing Finance Agency    S/F    Single-Family
COP    Certificates of Participation      IDA    Industrial Development Authority    SONYMA    State of New York Mortgage Agency
EDA    Economic Development Authority      IDB    Industrial Development Board    Syncora    Syncora Guarantee

 

See Notes to Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

Florida (concluded)

    

County of Miami-Dade Florida Aviation, Refunding ARB, AMT, Series A (concluded):

    

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

   $ 4,180      $ 4,743,840   

5.00%, 10/01/31

     5,155        5,890,618   

5.00%, 10/01/32

     5,000        5,687,700   

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

     7,600        8,660,884   

Reedy Creek Improvement District, GO, Series A,
5.25%, 6/01/32

     1,805        2,156,867   

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

     6,965        8,285,355   
    

 

 

 
               68,762,787   

Hawaii — 0.7%

    

State of Hawaii, Department of Transportation, COP, AMT:

    

5.25%, 8/01/25

     740        893,964   

5.25%, 8/01/26

     1,205        1,446,097   
    

 

 

 
               2,340,061   

Idaho — 0.0%

    

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

     140        140,279   

Illinois — 17.8%

    

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien:

    

Series A, 5.75%, 1/01/39

     2,000        2,366,420   

Series C, 6.50%, 1/01/41

     9,085        11,117,587   

City of Chicago Illinois, GO, Refunding, Series A:

    

Project, 5.25%, 1/01/33

     1,460        1,587,735   

5.25%, 1/01/29

     1,125        1,234,901   

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A:

    

5.00%, 1/01/41

     970        1,084,567   

AMT, 5.50%, 1/01/28

     1,000        1,196,050   

AMT, 5.50%, 1/01/29

     1,500        1,785,840   

AMT, 5.38%, 1/01/33

     2,000        2,305,160   

City of Chicago Illinois Transit Authority, RB:

    

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

     3,400        3,976,538   

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

     2,940        3,410,988   

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

     1,500        1,733,205   

Sales Tax Receipts, 5.00%, 12/01/44

     2,355        2,757,893   

City of Chicago Illinois Wastewater Transmission, RB, 2nd Lien, 5.00%, 1/01/42

     2,985        3,339,648   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago:

    

5.25%, 12/01/30

     1,270        1,505,471   

5.50%, 12/01/38

     1,980        2,354,854   

5.25%, 12/01/43

     5,500        6,389,185   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     2,350        2,811,516   

6.00%, 6/01/28

     670        802,399   

State of Illinois, GO:

    

5.25%, 2/01/31

     1,495        1,679,588   

5.25%, 2/01/32

     2,320        2,595,105   

5.50%, 7/01/33

     1,000        1,144,730   

5.50%, 7/01/38

     700        796,383   

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

     2,500        2,863,525   
    

 

 

 
               60,839,288   

Indiana — 0.9%

  

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 7/01/40

     460        505,352   
Municipal Bonds   

Par  

(000)

    Value  

Indiana (concluded)

    

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

   $ 2,370      $ 2,698,458   
    

 

 

 
               3,203,810   

Louisiana — 2.4%

  

Lake Charles Harbor & Terminal District, RB, Series B, AMT, 5.50%, 1/01/29

     2,225        2,621,206   

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, 5.00%, 10/01/37

     2,760        3,268,585   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

     2,020        2,233,756   
    

 

 

 
               8,123,547   

Maryland — 0.2%

  

Maryland Health & Higher Educational Facilities Authority, Refunding RB, 5.00%, 7/01/45 (b)

     480        556,118   

Massachusetts — 0.5%

  

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

     1,500        1,590,930   

Michigan — 2.3%

  

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

     3,420        3,889,019   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (a)

     3,115        3,933,715   
    

 

 

 
               7,822,734   

Minnesota — 0.7%

  

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

     1,975        2,338,716   

Mississippi — 1.3%

    

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM), 6.88%, 12/01/40

     2,405        3,231,623   

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

     1,000        1,188,400   
    

 

 

 
               4,420,023   

Nevada — 2.7%

  

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A (AGM), 5.25%, 7/01/39

     3,210        3,675,354   

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/38

     5,000        5,549,050   
    

 

 

 
               9,224,404   

New Jersey — 5.7%

  

New Jersey EDA, RB:

    

School Facilities Construction, Series UU, 5.00%, 6/15/40

     1,460        1,627,506   

The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     1,940        2,180,191   

The Goethals Bridge Replacement Project, AMT (AGM), 5.00%, 1/01/31

     1,355        1,535,052   

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

     3,400        3,869,982   

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

    

Series A, 5.50%, 6/15/41

     3,030        3,493,045   

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

     2,930        3,428,510   

Series AA, 5.50%, 6/15/39

     3,040        3,545,157   
    

 

 

 
               19,679,443   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    17


Schedule of Investments (continued)

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

New York — 9.2%

  

City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution, Series EE:

    

Fiscal 2009, 5.25%, 6/15/40

   $ 6,930      $ 7,981,350   

5.38%, 6/15/43

     2,220        2,647,772   

City of New York New York Transitional Finance Authority, BARB, Fiscal 2015, Series S-1, 5.00%, 7/15/43

     675        797,479   

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

     940        1,105,167   

Metropolitan Transportation Authority, RB:

    

Series A, 5.25%, 11/15/38

     8,500        9,899,525   

Series A-1, 5.25%, 11/15/39

     1,550        1,846,732   

New York State Dormitory Authority, Refunding RB, Series C, 5.00%, 3/15/42

     3,990        4,681,906   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 7/15/36

     2,000        2,332,800   
    

 

 

 
               31,292,731   

Ohio — 0.9%

  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

     2,500        2,995,975   

Pennsylvania — 1.2%

  

Township of Bristol Pennsylvania School District, GO:

    

5.25%, 6/01/37

     2,500        2,962,675   

5.25%, 6/01/43

     1,100        1,298,187   
    

 

 

 
               4,260,862   

South Carolina — 4.1%

  

County of Charleston South Carolina, RB, Special Source, 5.25%, 12/01/38

     3,760        4,548,284   

County of Charleston South Carolina Airport District, ARB, Series A, AMT:

    

6.00%, 7/01/38

     2,940        3,562,604   

5.50%, 7/01/41

     2,500        2,939,525   

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

     2,500        2,875,100   
    

 

 

 
               13,925,513   

Texas — 19.3%

  

Central Texas Turnpike System, Refunding RB, Series C (b):

    

5.00%, 8/15/37

     1,625        1,852,386   

5.00%, 8/15/42

     760        863,679   

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

     2,345        2,786,095   

City of Houston Texas Utility System, Refunding RB, Combined 1st Lien, Series A (AGC), 6.00%, 11/15/35

     6,700        8,057,956   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

    

6.50%, 1/01/19 (a)

     620        749,940   

6.50%, 7/01/37

     2,380        2,759,324   

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

     4,555        5,174,571   

Dallas-Fort Worth International Airport, ARB, Joint Improvement, AMT:

    

Series A, 5.00%, 11/01/38

     1,615        1,818,361   

Series H, 5.00%, 11/01/37

     1,810        2,019,164   

Lower Colorado River Authority, Refunding RB, 5.50%, 5/15/33

     2,155        2,616,558   

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

     7,000        8,435,910   
Municipal Bonds   

Par  

(000)

    Value  

Texas (concluded)

    

North Texas Tollway Authority, Refunding RB, 1st Tier System:

    

Series A (NPFGC), 5.63%, 1/01/33

   $ 10,975      $ 12,233,284   

Series A (NPFGC), 5.75%, 1/01/40

     11,575        13,010,300   

Series B (NPFGC), 5.75%, 1/01/40

     1,000        1,124,000   

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

     1,000        1,167,330   

Red River Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     1,070        1,274,712   
    

 

 

 
               65,943,570   

Virginia — 1.1%

    

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

     945        1,084,539   

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

     2,195        2,666,683   
    

 

 

 
               3,751,222   

Washington — 1.5%

    

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

     2,400        2,809,512   

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

     1,865        2,210,193   
    

 

 

 
               5,019,705   
Total Municipal Bonds — 122.6%              418,828,152   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
 

Colorado — 3.0%

    

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

     9,410        10,089,026   

District of Columbia — 0.6%

    

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/18 (a)(d)

     1,700        2,021,281   

Florida — 4.4%

    

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

     705        722,505   

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

     12,500        14,479,125   
    

 

 

 
               15,201,630   

Illinois — 2.9%

    

City of Chicago Illinois, ARB, O’Hare International Airport, Series A (AGM), 5.00%, 1/01/38

     5,000        5,442,550   

City of Chicago Illinois, Refunding RB, Waterworks, 2nd Lien (AGM), 5.25%, 11/01/33

     3,967        4,406,454   
    

 

 

 
               9,849,004   

Kentucky — 0.8%

    

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

     2,304        2,664,668   

Nevada — 6.3%

    

County of Clark Nevada Water Reclamation District, GO:

    

Limited Tax, 6.00%, 7/01/38

     10,000        11,649,200   

Series B, 5.50%, 7/01/29

     8,247        9,732,891   
    

 

 

 
               21,382,091   

New Jersey — 1.7%

    

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

     3,861        4,181,580   

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

New Jersey (concluded)

    

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B,
5.25%, 6/15/36 (d)

   $ 1,500      $ 1,679,101   
    

 

 

 
               5,860,681   

New York — 6.9%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF, 5.00%, 6/15/45

     5,958        6,813,126   

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

     2,300        2,610,068   

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

     7,515        8,843,878   

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

     4,400        5,251,576   
    

 

 

 
               23,518,648   

Texas — 1.4%

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

     4,296        4,916,652   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

Utah — 0.8%

    

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

   $ 2,503      $ 2,816,419   

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 28.8%

   

    98,320,100   
Total Long-Term Investments
(Cost — $457,097,575) — 151.4%
        517,148,252   
    
   
Short-Term Securities    Shares         

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

     5,400,634        5,400,634   
Total Short-Term Securities
(Cost — $5,400,634) — 1.6%
        5,400,634   
Total Investments (Cost — $462,498,209) — 153.0%        522,548,886   
Other Assets Less Liabilities — 0.2%        548,205   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (14.8%)

   

    (50,569,865
VMTP Shares, at Liquidation Value — (38.4%)        (131,000,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 341,527,226   
    

 

 

 

 

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
 

Barclays Capital, Inc.

     $ 2,716,065         $ 38,363   

Morgan Stanley & Co. LLC

     $ 556,118         $ 4,334   

 

(c)   Represent bonds transferred to a TOB. In exchange for which the Fund 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.

 

(d)   All or a portion of security is subject to a recourse agreement, which may require the Fund 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 Fund could ultimately be required to pay under the agreement, which expire from October, 1, 2016 to November 15, 2019, is $4,822,897.

 

(e)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income  

FFI Institutional Tax-Exempt Fund

       4,174,381           1,226,253           5,400,634         $ 430   

 

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

 

Ÿ  

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

 

Contracts Short     Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (474   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 62,034,750      $ (1,698,145

 

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. 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:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund 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)

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    19


Schedule of Investments (concluded)

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

  Ÿ  

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

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

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 517,148,252              $ 517,148,252   

Short-Term Securities

  $ 5,400,634                          5,400,634   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 5,400,634         $ 517,148,252              $ 522,548,886   
 

 

 

      

 

 

      

 

    

 

 

 

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                

Interest rate contracts

  $ (1,698,145                     $ (1,698,145

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 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

  $ 643,000                        $ 643,000   

Liabilities:

                

Bank overdraft

            $ (2,576,264             (2,576,264

TOB trust certificates

              (50,557,016             (50,557,016

VMTP Shares

              (131,000,000             (131,000,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 643,000         $ (184,133,280           $ (183,490,280
 

 

 

      

 

 

      

 

    

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

California — 98.0%

                

Corporate — 0.5%

  

 

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

   $ 2,435      $ 2,923,144   

County/City/Special District/School District — 30.2%

  

Centinela Valley Union High School District, GO, Refunding, Election of 2008, Series B, 6.00%, 8/01/36

     2,250        2,845,913   

City & County of San Francisco California, COP, AMT, Port Facilities Project, Series C, 5.25%, 3/01/32

     1,050        1,234,139   

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

     2,000        2,354,740   

County of Los Angeles California Sanitation Districts Financing Authority, Refunding RB, (BHAC), 5.00%, 10/01/34

     5,000        5,166,300   

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

     2,500        2,859,100   

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

     9,045        10,610,509   

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

     2,755        3,402,783   

Garden Grove Unified School District, GO, Election of 2010, Series C, 5.25%, 8/01/37

     2,705        3,239,562   

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

     2,500        3,115,425   

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

     1,880        2,245,190   

Kern Community College District, GO, Safety Repair & Improvements, Series C, 5.25%, 11/01/32

     5,715        6,948,411   

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

     2,075        2,404,240   

Menlo Park City School District, GO, Refunding, 4.00%, 7/01/43

     2,550        2,760,018   

Mount San Antonio Community College District, GO, Refunding, Election of 2008, Series 2013 A, 5.00%, 8/01/34

     4,500        5,353,155   

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

     8,140        9,518,346   

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

     7,490        8,592,079   

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

     9,645        10,585,966   

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

    

5.50%, 8/01/34

     2,000        2,280,520   

5.63%, 8/01/39

     4,500        5,135,400   

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

     5,000        5,670,150   

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

     4,570        4,870,797   

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

     7,000        7,138,950   

San Jose California Financing Authority, Series A, LRB, Convention Center Expansion & Renovation Project:

    

5.75%, 5/01/36

     2,570        2,725,125   

5.75%, 5/01/42

     4,500        5,444,955   

San Jose California Financing Authority, Refunding LRB:

    

Civic Center Project, 5.00%, 6/01/32

     3,375        4,000,658   

Convention Center Expansion & Renovation Project, 5.00%, 6/01/39

     9,750        11,405,647   

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

     6,475        7,355,859   

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

     3,000        3,603,600   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

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

  

 

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

   $ 5,600      $ 6,618,136   

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

     7,680        9,323,136   

West Contra Costa California Unified School District, GO:

    

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

     6,140        7,153,960   

Election of 2010, Series B, 5.50%, 8/01/39

     3,000        3,626,760   

Election of 2012, Series A, 5.50%, 8/01/39

     2,500        3,022,300   
    

 

 

 
               172,611,829   

Education — 7.7%

    

California Educational Facilities Authority, RB, California Institute of Technology, 5.00%, 11/01/39

     3,500        4,058,040   

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

     2,750        3,280,915   

California State University, Refunding RB, Series C (NPFGC), 5.00%, 11/01/15 (a)

     14,000        14,511,700   

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

    

5.50%, 8/01/31

     2,165        2,575,462   

5.75%, 8/01/35

     8,400        10,101,756   

State of California, GO, Refunding,
5.00%, 10/01/44

     4,000        4,751,960   

University of California, RB,
5.25%, 5/15/36

     3,680        4,497,255   
    

 

 

 
               43,777,088   

Health — 11.8%

    

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

     2,345        2,893,237   

California Health Facilities Financing Authority, RB:

    

Children’s Hospital, Series A,
5.25%, 11/01/41

     10,500        11,885,895   

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

     4,105        4,813,359   

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

     6,970        7,494,771   

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

     7,715        9,344,717   

California Health Facilities Financing Authority, Refunding RB:

    

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

     2,310        2,746,336   

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

     5,500        6,497,535   

Stanford Hospital, Series A-3, 5.50%, 11/15/40

     3,140        3,841,288   

California Statewide Communities Development Authority, RB:

    

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

     6,000        6,259,380   

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

     4,555        5,517,198   

California Statewide Communities Development Authority, Refunding RB:

    

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

     865        959,354   

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

     2,850        3,220,500   

Washington Township Health Care District, GO, Series B, 5.50%, 8/01/38

     1,625        2,014,886   
    

 

 

 
               67,488,456   

State — 7.6%

    

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     5,500        6,814,060   

6.00%, 4/01/38

     17,180        20,765,122   

6.00%, 11/01/39

     3,510        4,335,447   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    21


Schedule of Investments (continued)

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

State (concluded)

  

 

State of California Public Works Board, LRB:

    

Department of Education, Riverside Campus Project, Series B, 6.50%, 4/01/34

   $ 3,670      $ 4,494,833   

Various Capital Projects, Series I, 5.50%, 11/01/33

     2,575        3,185,893   

Various Capital Projects, Sub-Series I-1,
6.13%, 11/01/29

     3,365        4,170,211   
    

 

 

 
               43,765,566   

Transportation — 17.7%

    

California Statewide Communities Development Authority, Refunding RB, 5.00%, 11/01/43

     4,250        4,987,503   

City & County of San Francisco California Airports Commission, ARB:

    

Series E, 6.00%, 5/01/39

     9,650        11,564,946   

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

     860        864,068   

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

     985        989,511   

City & County of San Francisco California Airports Commission, Refunding ARB, AMT:

    

2nd Series 34E (AGM), 5.75%, 5/01/24

     5,000        5,664,300   

2nd Series 34E (AGM), 5.75%, 5/01/25

     3,500        3,950,730   

2nd Series A, 5.25%, 5/01/33

     1,435        1,687,775   

City of Los Angeles California Department of Airports, ARB, Los Angeles International Airoport, Sub-Series B,
5.00%, 5/15/40

     2,500        2,867,225   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Senior Series A, 5.25%, 5/15/29

     4,760        5,574,769   

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

     1,400        1,670,242   

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

     5,000        5,575,250   

County of Sacramento California, ARB:

    

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

     8,055        8,748,938   

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

     5,555        6,388,195   

County of San Bernardino California Transportation Authority, RB, Series A, 5.25%, 3/01/40

     4,500        5,455,350   

County of San Diego California Regional Airport Authority, Refunding ARB, Series B, 5.00%, 7/01/40

     6,350        7,283,323   

Los Angeles County Metropolitan Transportation Authority, RB, (AMBAC):

    

5.00%, 7/01/15 (a)

     3,345        3,413,439   

5.00%, 7/01/15 (a)

     5,705        5,821,724   

5.00%, 7/01/27

     655        667,949   

5.00%, 7/01/35

     1,120        1,143,430   

Los Angeles Harbor Department, RB, Series B:

    

5.25%, 8/01/34

     5,530        6,431,003   

5.25%, 8/01/39

     2,750        3,198,058   

San Francisco City & County Airports Commisson-San Francisco International Airport, Refunding RB, AMT, Series A, 5.00%, 5/01/40

     6,300        7,245,252   
    

 

 

 
               101,192,980   

Utilities — 22.5%

    

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

     5,000        5,988,400   

City of Los Angeles California Department of Water & Power, Refunding RB, Series A, 5.25%, 7/01/39

     8,000        9,255,760   
Municipal Bonds   

Par  

(000)

    Value  

California (concluded)

                

Utilities (concluded)

  

 

City of Los Angeles California Wastewater System, Refunding RB, Sub-Series A, 5.00%, 6/01/28

   $ 2,000      $ 2,336,120   

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

     8,070        8,785,325   

City of San Francisco California, Refunding RB, Public Utilities Water Commission, Series A, 5.25%, 11/01/31

     6,280        7,380,947   

City of San Francisco California Public Utilities Commission Water Revenue, RB, Series A, 5.00%, 11/01/37

     10,000        11,665,200   

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

     4,895        5,473,882   

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

     4,000        4,876,520   

East Bay California Municipal Utility District Water System Revenue, RB, Series A (NPFGC):

    

5.00%, 6/01/15 (a)

     10,905        11,083,842   

5.00%, 6/01/35

     4,000        4,067,160   

East Bay California Municipal Utility District Water System Revenue, Refunding RB:

    

Series A (NPFGC), 5.00%, 6/01/17 (a)

     4,000        4,381,200   

Sub-Series A (AGM), 5.00%, 6/01/37

     10,000        10,953,000   

Sub-Series A (AMBAC), 5.00%, 6/01/17 (a)

     3,000        3,277,830   

East Bay Municipal Utility District, Refunding RB, Sub-Series A, 5.00%, 6/01/30

     5,000        5,914,050   

El Dorado Irrigation District / El Dorado County Water Agency, Refunding RB, Series A (AGM),
5.25%, 3/01/39

     5,000        6,039,050   

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

     6,200        6,999,614   

Los Angeles County Public Works Financing Authority, Refunding RB, Series A, 5.00%, 12/01/44 (b)

     3,150        3,709,503   

Los Angeles Department of Water & Power, RB, Sub-Series A-2 (AGM), 5.00%, 7/01/35

     7,500        7,945,350   

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

     2,000        2,322,660   

Santa Monica Community College District, GO, Series B, 5.00%, 8/01/44

     5,000        5,944,400   
    

 

 

 
               128,399,813   
Total Municipal Bonds98.0%              560,158,876   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
 

California — 53.7%

                

County/City/Special District/School District — 24.1%

  

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

     7,925        8,555,233   

California Health Facilities Financing Authority, RB, Sutter Health, Series A, 5.00%, 8/15/52

     10,000        11,367,900   

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

     12,150        13,259,781   

Los Angeles Community College District California, GO:

    

Election of 2001, Series A (AGM),
5.00%, 8/01/17 (a)

     12,000        13,330,200   

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

     26,438        29,368,124   

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

     12,000        13,804,800   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series C,
6.00%, 8/01/33 (a)

     9,596        11,823,706   

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

California (continued)

                

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

  

 

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

   $ 5,000      $ 5,736,450   

Poway Unified School District, GO, Election of 2002, Improvement District 02, Series 1-B (AGM), 5.00%, 8/01/16 (a)

     10,000        10,706,000   

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

     19,630        20,023,581   
    

 

 

 
               137,975,775   

Education — 9.4%

    

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

     11,000        12,775,290   

University of California, RB:

    

5.25%, 5/15/44

     9,210        11,170,441   

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

     8,000        8,535,280   

Series L, 5.00%, 5/15/40

     7,398        7,893,036   

Series O, 5.75%, 5/15/34

     11,190        13,269,214   
    

 

 

 
               53,643,261   

Health — 3.9%

  

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

     19,860        22,489,861   

Utilities — 16.3%

  

Anaheim Public Financing Authority,:

    

5.00%, 5/01/39

     6,000        6,999,960   

5.00%, 5/01/46

     13,500        15,583,185   

City & County of San Francisco California Public Utilities Commission, RB, Water Revenue, Series B, 5.00%, 11/01/39

     4,380        5,052,242   

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

     8,510        9,496,139   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

California (concluded)

                

Utilities (concluded)

  

 

East Bay Municipal Utility District, Refunding RB, Sub-Series A (AMBAC), 5.00%, 6/01/17 (a)

   $ 7,990      $ 8,743,137   

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

    

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

     13,525        14,804,729   

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

     5,029        5,487,461   

Metropolitan Water District of Southern California, RB, Series A, 5.00%, 7/01/37

     15,000        16,457,250   

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

     9,277        10,467,840   
    

 

 

 
               93,091,943   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 53.7%
             307,200,840   
Total Long-Term Investments
(Cost — $787,940,108) — 151.7%
             867,359,716   
    
                  
Short-Term Securities    Shares         

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

     8,933,513        8,933,513   
Total Short-Term Securities
(Cost — $8,933,513) — 1.6%
        8,933,513   
Total Investments (Cost — $796,873,621) — 153.3%        876,293,229   
Other Assets Less Liabilities — 0.1%        1,052,431   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (24.3%)

   

    (139,183,969
VRDP Shares, at Liquidation Value — (29.1%)        (166,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 571,661,691   
    

 

 

 

 

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
 

Citigroup Global Markets, Inc.

     $ 3,709,503         $ 49,908   

 

(c)   Represent bonds transferred to a TOB. In exchange for which the Fund 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.

 

(d)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income  

BIF California Municipal Money Fund

       1,241,242           7,692,271           8,933,513         $ 1   

 

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

 

Ÿ  

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

 

Contracts Short     Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (400   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 52,350,000      $ (1,333,178

 

Ÿ  

For Fund compliance purposes, the Fund’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by 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.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    23


Schedule of Investments (concluded)

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

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. 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:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund 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 Fund’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 Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long Term Investments1

            $ 867,359,716                   $ 867,359,716   

Short-Term Securities

  $ 8,933,513                               8,933,513   
 

 

 

 

Total

  $ 8,933,513         $ 867,359,716                   $ 876,293,229   
 

 

 

 

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

  $ (1,333,178                          $ (1,333,178

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 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

  $ 543,000                             $ 543,000   

Liabilities:

                

TOB trust certificates

            $ (139,157,373                  (139,157,373

VRDP Shares

              (166,500,000                  (166,500,000
 

 

 

 

Total

  $ 543,000         $ (305,657,373                $ (305,114,373
 

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments January 31, 2015 (Unaudited)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

Michigan — 133.7%

  

Corporate — 2.8%

  

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

   $ 3,805      $ 5,124,498   

County/City/Special District/School District — 26.0%

  

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

    

4.38%, 5/01/27

     640        705,478   

4.50%, 5/01/29

     605        665,784   

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

    

5.00%, 4/01/25

     1,250        1,360,038   

5.00%, 4/01/26

     1,250        1,360,888   

5.00%, 4/01/27

     500        540,750   

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

     600        628,878   

Columbia Michigan School District, GO, Unlimited Tax, School Building & Site (Q-SBLF), 5.00%, 5/01/38

     1,970        2,302,615   

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

    

5.50%, 5/01/36

     450        532,449   

5.50%, 5/01/41

     830        981,375   

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

     400        404,140   

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

     2,000        2,291,940   

Dearborn School District, GO, Series A (Q-SBLF):

    

5.00%, 5/01/32

     570        676,453   

5.00%, 5/01/33

     610        721,301   

5.00%, 5/01/34

     455        536,463   

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

     1,880        2,076,441   

Fraser Public School District Michigan, GO, (Q-SBLF):

    

School Building & Site (AGM), 5.00%, 5/01/25 (a)

     1,255        1,270,462   

Refunding, 5.00%, 5/01/29 (b)

     580        696,452   

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

    

5.50%, 5/01/32

     400        476,708   

5.50%, 5/01/36

     800        946,576   

5.50%, 5/01/41

     1,000        1,182,380   

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

     1,000        1,011,750   

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

     2,650        3,013,421   

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

     1,085        1,096,121   

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

    

5.00%, 5/01/26

     1,050        1,062,936   

5.00%, 5/01/35

     2,000        2,024,640   

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

     1,675        1,746,740   

Livonia Public Schools School District Michigan, GO, Series I (AGM), 5.00%, 5/01/43

     1,910        2,196,385   

Romulus Community Schools, GO, Unlimited Tax, Refunding (AGM) (Q-SBLF):

    

4.25%, 5/01/27

     725        800,074   

4.50%, 5/01/29

     630        700,182   

Roseville Community Schools, GO, Refunding(Q-SBLF):

    

5.00%, 5/01/30

     1,615        1,931,282   

5.00%, 5/01/31

     1,000        1,191,900   

5.00%, 5/01/34 (b)

     2,320        2,726,812   

Thornapple Kellogg School District Michigan, GO, Refunding, School Building & Site (NPFGC)
(Q-SBLF), 5.00%, 5/01/32 (a)

     1,500        1,649,595   
Municipal Bonds   

Par  

(000)

    Value  

Michigan (continued)

  

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

  

Troy School District, GO, (Q-SBLF), 5.00%, 5/01/28

   $ 760      $ 915,580   

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

     750        832,268   

Walled Lake Consolidated School District, GO,
(Q-SBLF):

    

5.00%, 5/01/37

     1,080        1,266,008   

5.00%, 5/01/40

     1,000        1,167,160   

Walled Lake Consolidated School District, GO,
(Q-SBLF):

    

5.00%, 5/01/43

     1,530        1,780,599   
    

 

 

 
               47,471,024   

Education — 20.7%

  

Central Michigan University, Refunding RB, 5.00%, 10/01/39

     380        448,962   

Ciy of Grand Rapids Michigan, EDC, RB, Ferris State University Project, Series A, 5.50%, 10/01/35

     760        875,991   

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

    

4.50%, 10/01/24

     1,595        1,780,833   

4.50%, 10/01/25

     1,405        1,568,697   

Michigan Finance Authority, Refunding RB:

    

AMT, 4.00%, 11/01/28

     3,325        3,421,924   

AMT, 4.00%, 11/01/29

     2,240        2,296,627   

AMT, 4.00%, 11/01/30

     1,080        1,103,695   

AMT, 4.00%, 11/01/31

     1,195        1,220,011   

Michigan State University, Refunding RB, General:

    

Series A, 5.00%, 8/15/41

     3,035        3,556,716   

Series C, 5.00%, 2/15/40

     3,770        4,292,635   

Series C, 5.00%, 2/15/44

     1,000        1,138,630   

Michigan Technological University, Refunding RB, Series A, 5.00%, 10/01/34

     810        927,920   

Oakland University, RB, General:

    

5.00%, 3/01/32

     400        456,472   

Series A, 5.00%, 3/01/38

     1,820        2,095,093   

Series A, 5.00%, 3/01/43

     2,980        3,418,865   

University of Michigan, RB, Series A, 5.00%, 4/01/39

     1,300        1,554,215   

Wayne State University, RB, Series A, 5.00%, 11/15/40

     1,000        1,159,370   

Western Michigan University, Refunding RB, General:

    

5.00%, 11/15/39

     665        764,311   

University and College Improvements, 5.25%, 11/15/40

     1,400        1,607,018   

University and College Improvements, 5.25%, 11/15/43

     3,220        3,814,348   

University and College Improvements (AGM), 5.25%, 11/15/33

     380        443,388   
    

 

 

 
               37,945,721   

Health — 30.4%

  

Grand Traverse County Hospital Finance Authority, RB, Series A:

    

5.00%, 7/01/44

     655        751,934   

5.00%, 7/01/47

     835        956,559   

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

     2,750        3,059,073   

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

     3,000        3,500,370   

Michigan Finance Authority, RB, Sparrow Obligated Group, 5.00%, 11/15/36

     950        1,053,227   

Michigan Finance Authority, Refunding RB:

    

5.00%, 6/01/39

     570        656,190   

Hospital, Oakwood Obligated Group, 5.00%, 8/15/31

     570        664,204   

Trinity Health Credit Group, 5.00%, 12/01/31

     1,900        2,178,711   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    25


Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

Michigan (continued)

  

Health (concluded)

  

Michigan Finance Authority, Refunding RB (concluded):

    

Trinity Health Credit Group, 5.00%, 12/01/35

   $ 2,400      $ 2,719,968   

Trinity Health Credit Group, 5.00%, 12/01/39

     1,650        1,854,699   

Michigan State Hospital Finance Authority, RB:

    

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

     2,300        2,646,219   

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

     1,585        1,619,727   

MidMichigan Obligated Group, Series A, 5.00%, 4/15/16 (a)

     380        401,645   

Michigan State Hospital Finance Authority, Refunding RB:

    

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/21 (a)

     400        442,516   

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

     855        922,271   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/25 (a)

     2,470        2,732,536   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/37 (a)

     3,340        3,695,009   

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

     1,595        1,733,765   

McLaren Health Care, Series A, 5.00%, 6/01/35

     860        964,653   

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

     1,500        1,695,150   

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

     940        1,093,812   

Trinity Health Credit Group, Series A,
6.25%, 12/01/28

     570        666,193   

Trinity Health Credit Group, Series C,
4.00%, 12/01/32

     2,450        2,603,542   

Trinity Health Credit, Series A, 6.50%, 12/01/33

     1,400        1,654,170   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital:

    

Series D, 5.00%, 9/01/39

     10,500        12,086,970   

Series V, 8.25%, 9/01/18 (a)

     1,000        1,262,830   

Series W, 6.00%, 8/01/39 (a)

     575        702,265   

State of Michigan Hospital Finance Authority, Refunding RB, Henry Ford Health, 5.75%, 11/15/39

     1,200        1,379,136   
    

 

 

 
               55,697,344   

Housing — 7.4%

    

Michigan State HDA, RB:

    

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

     1,000        1,021,610   

Series A, 4.75%, 12/01/25

     2,605        2,826,243   

Series A, 4.45%, 10/01/34

     380        405,999   

Series A, 4.63%, 10/01/39

     1,325        1,412,596   

Series A, 4.75%, 10/01/44

     1,900        2,022,911   

Michigan State HDA, Refunding RB:

    

Rental Housing, Series D, 4.50%, 10/01/48

     3,770        3,991,261   

Michigan State HDA, Refunding RB:

    

Series A, 6.05%, 10/01/41

     1,625        1,814,199   
    

 

 

 
               13,494,819   

State — 13.0%

    

Michigan Finance Authority, Refunding RB, Detroit Regional Convention Facility Authority Local Project Bonds, 5.00%, 10/01/39

     2,050        2,373,183   

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

     2,650        3,070,740   

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

     2,510        2,788,058   

State of Michigan Building Authority, Refunding RB, Facilities Program:

    

Series I, 6.25%, 10/15/38

     2,350        2,761,650   
Municipal Bonds   

Par  

(000)

    Value  

Michigan (concluded)

  

State (concluded)

  

State of Michigan Building Authority, Refunding RB, Facilities Program (concluded):

    

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

   $ 2,000      $ 2,346,460   

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

     1,500        1,753,875   

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

     400        466,628   

Series I-A, 5.50%, 10/15/45

     750        875,025   

Series II (AGM), 5.00%, 10/15/26

     3,000        3,465,780   

State of Michigan Trunk Line Fund, RB:

    

5.00%, 11/15/33

     1,150        1,351,112   

5.00%, 11/15/36

     2,220        2,583,325   
    

 

 

 
               23,835,836   

Transportation — 13.1%

    

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

     3,250        3,609,353   

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

    

5.25%, 12/01/25

     3,730        3,868,047   

5.25%, 12/01/26

     3,700        3,836,937   

5.00%, 12/01/34

     3,550        3,661,718   

5.00%, 12/01/39

     560        632,352   

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

    

5.75%, 12/01/26

     3,060        3,496,234   

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

    

5.38%, 12/01/32

     4,300        4,863,644   
    

 

 

 
               23,968,285   

Utilities — 20.3%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A, 5.25%, 7/01/39

     1,010        1,112,111   

City of Detroit Michigan Water Supply System, RB, Senior Lien, Series A (NPFGC), 5.00%, 7/01/34

     915        918,175   

City of Detroit Michigan Water Supply System, Refunding RB, 2nd Lien, Series C (AGM), 5.00%, 7/01/29

     6,275        6,486,969   

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

     1,500        1,779,210   

City of Holland Michigan Electric Utility System, RB, Series A:

    

5.00%, 7/01/33

     1,140        1,324,965   

5.00%, 7/01/39

     4,640        5,366,810   

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A:

    

5.00%, 7/01/27

     1,210        1,418,507   

5.00%, 7/01/31

     2,600        3,006,614   

5.00%, 7/01/37

     1,270        1,452,347   

5.50%, 7/01/41

     2,000        2,403,040   

City of Port Huron Michigan, RB, Water Supply System:

    

5.25%, 10/01/31

     190        212,975   

5.63%, 10/01/40

     500        566,820   

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

     5,300        5,376,426   

Michigan Finance Authority, Refunding RB, Senior Lien, Detroit Water and Sewer, Series C-3:

    

5.00%, 7/01/31

     380        438,915   

5.00%, 7/01/32

     1,995        2,293,751   

5.00%, 7/01/33

     1,140        1,305,710   

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

    

5.00%, 10/01/27

     750        803,047   

Pooled Project, 5.00%, 10/01/27

     760        901,421   
    

 

 

 
               37,167,813   
Total Municipal Bonds in Michigan              244,705,340   

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

Guam — 3.4%

                

State — 3.4%

  

 

Territory of Guam, RB:

    

Business Privilege Tax Bonds, Series A, 5.25%, 1/01/36

   $ 310      $ 353,701   

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

     3,390        3,823,479   

Business Privilege Tax Bonds, Series B-1, 5.00%, 1/01/32

     570        645,308   

Business Privilege Tax Bonds, Series B-1, 5.00%, 1/01/37

     405        453,385   

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

     850        949,306   
Total Municipal Bonds in Guam              6,225,179   
    

U.S. Virgin Islands — 2.1%

                

State — 2.1%

  

 

Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39

     3,395        3,797,715   
Total Municipal Bonds — 139.2%              254,728,234   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
 

Michigan — 15.3%

                

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

  

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

     4,154        4,476,214   

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

     2,850        3,140,016   
    

 

 

 
               7,616,230   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

Michigan (concluded)

                

Education — 11.1%

    

Michigan State University, Refunding RB, General, Series A, 5.00%, 8/15/38

   $ 3,780      $ 4,451,819   

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

     2,500        2,773,375   

Wayne State Univeristy, RB, General, Series A, 5.00%, 11/15/40

     3,810        4,417,200   

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

     7,793        8,734,458   
    

 

 

 
               20,376,852   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 15.3%
             27,993,082   
Total Long-Term Investments
(Cost — $257,378,211) — 154.5%
             282,721,316   
    
                  
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (d)(e)

     2,086,460        2,086,460   
Total Short-Term Securities
(Cost — $2,086,460) — 1.1%
             2,086,460   
Total Investments
(Cost — $259,464,671) — 155.6%
        284,807,776   
Liabilities in Excess of Other Assets — (0.5)%        (1,027,355

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

   

    (13,495,214
VRDP Shares, at Liquidation Value — (47.7%)        (87,300,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 182,985,207   
    

 

 

 

 

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

     $ 3,423,264         $ 55,390   

 

(c)   Represent bonds transferred to a TOB. In exchange for which the Fund 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.

 

(d)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net Activity        Shares Held
at January 31,
2015
       Income  

BIF Michigan Money Fund

       2,269,658           (2,269,658                    

FFI Institutional Tax-Exempt Fund

                 2,086,460           2,086,460         $ 147   

 

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

 

Ÿ  

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

 

Contracts Short     Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (135   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 17,668,125      $ (396,792

 

Ÿ  

For Fund compliance purposes, the Fund’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by 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.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    27


Schedule of Investments (concluded)

  

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

 

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. 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:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund 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 Fund’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 Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

       $ 282,721,316                   $ 282,721,316   

Short-Term Securities

  $ 2,086,460                               2,086,460   
 

 

 

 

Total

  $ 2,086,460         $ 282,721,316                   $ 284,807,776   
 

 

 

 

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

  $ (396,792                          $ (396,792

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 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

  $ 184,000                             $ 184,000   

Liabilities:

                

TOB trust certificates

            $ (13,492,998                  (13,492,998

VRDP Shares

              (87,300,000                  (87,300,000
 

 

 

 

Total

  $ 184,000         $ (100,792,998                $ (100,608,998
 

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments January 31, 2015 (Unaudited)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New York — 121.6%

                

Corporate — 3.4%

  

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      $ 1,566,150   

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

     930        1,036,187   

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

     4,000        4,018,520   

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

     6,500        8,108,295   

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

     4,750        4,932,400   
    

 

 

 
               19,661,552   

County/City/Special District/School District — 29.6%

  

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

     1,040        1,190,405   

City of New York New York, GO, Fiscal 2012, Sub-Series D-1, 5.00%, 10/01/33

     8,350        9,791,293   

City of New York New York, GO, Refunding:

    

Fiscal 2012, Series I, 5.00%, 8/01/32

     490        574,427   

Fiscal 2014, Series E, 5.00%, 8/01/32

     2,040        2,421,602   

Series E, 5.50%, 8/01/25

     6,230        7,944,434   

City of New York New York, GO:

    

Series A-1, 5.00%, 8/01/31

     1,300        1,547,559   

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

     1,950        2,272,023   

Sub-Series A-1, 5.00%, 8/01/33

     2,100        2,482,263   

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

     1,845        2,159,425   

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

    

5.00%, 11/15/35

     30,600        31,572,162   

5.00%, 11/15/44

     11,670        12,053,943   

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

     6,865        8,146,901   

5.00%, 7/01/33

     1,675        1,934,709   

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

    

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

     5,000        2,036,550   

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

     4,330        1,458,214   

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

     1,000        1,174,030   

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

     6,910        7,173,616   

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

     1,750        1,816,763   

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

     2,250        2,378,025   

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

     9,650        9,975,398   

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

    

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

     1,640        1,646,494   

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

     1,000        1,185,900   

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

     2,510        2,986,574   

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

     1,690        2,006,300   
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, Refunding RB, (NPFGC), 5.00%, 11/15/26

   $ 205      $ 205,814   

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A:

    

5.25%, 5/01/31

     2,305        2,726,354   

5.25%, 5/01/32

     1,000        1,180,880   

Hudson Yards Infrastructure Corp., RB:

    

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

     550        588,275   

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

     4,300        4,599,237   

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

     4,580        4,898,722   

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

     14,175        14,996,016   

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

     4,665        4,981,847   

New York Liberty Development Corp., Refunding RB:

    

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

     2,570        2,953,367   

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

     2,000        2,266,380   

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

     3,460        4,129,648   

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

     1,090        1,197,572   

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

     4,725        5,359,426   

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

     205        207,550   

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

     3,400        3,459,262   

Town of North Hempstead New York, GO, Refunding, Series B (NPFGC), 6.40%, 4/01/17

     555        622,222   
    

 

 

 
               172,301,582   

Education — 21.5%

  

Albany Capital Resource Corp., Refunding RB, Series A:

    

Albany College of Pharmacy and Health Sciences, 5.00%, 12/01/32

     100        115,998   

Albany College of Pharmacy and Health Sciences, 4.00%, 12/01/34

     110        114,540   

5.00%, 12/01/31

     250        290,225   

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

     2,000        2,172,560   

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

     525        614,119   

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

    

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

     2,265        2,712,337   

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

     825        977,345   

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

     3,550        3,948,594   

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

     2,150        2,453,838   

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

     1,000        1,129,360   

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

     750        869,160   

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

     6,445        7,330,156   

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

    

5.00%, 7/01/35

     2,675        2,703,997   

5.00%, 7/01/30

     5,410        5,474,379   

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

     3,885        4,251,394   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    29


Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Education (continued)

  

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

   $ 1,440      $ 1,678,478   

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

    

5.00%, 12/01/30

     1,190        1,376,651   

5.00%, 12/01/36

     1,150        1,315,600   

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

     1,255        1,260,447   

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project, 5.38%, 9/01/41

     500        576,770   

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

    

5.50%, 7/01/33

     500        577,880   

5.25%, 7/01/36

     860        977,192   

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

     675        787,003   

State of New York Dormitory Authority, RB:

    

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

     2,075        2,462,631   

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

     325        381,004   

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

     1,550        1,860,310   

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

     5,500        6,443,525   

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

     4,050        4,737,163   

New York University Mount Sinai School of Medicine at NYU, 5.13%, 7/01/39

     665        753,990   

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

     4,580        6,293,103   

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

     1,000        1,141,770   

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

     600        698,346   

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

     3,240        3,730,892   

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

     2,000        2,247,080   

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

     800        924,680   

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

     2,035        2,344,239   

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

     1,500        1,743,240   

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        1,192,410   

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

     1,000        1,162,560   

Fordham University, 4.13%, 7/01/39

     930        1,000,606   

Fordham University, 5.00%, 7/01/44

     2,130        2,479,150   

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

     6,100        6,572,140   

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

     3,955        4,626,559   

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

     4,775        5,557,670   

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

     2,355        2,515,423   

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

     500        571,780   

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

     750        853,905   

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

     1,370        1,488,039   

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

     430        503,973   

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

     4,195        5,126,500   

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

     8,735        10,659,670   
Municipal Bonds    Par  
(000)
    Value  

New York (concluded)

                

Education (concluded)

  

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

  

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

   $ 1,490      $ 1,707,123   
    

 

 

 
               125,487,504   

Health — 9.5%

    

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

     2,200        2,508,198   

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

    

5.50%, 4/01/30

     250        295,640   

5.50%, 4/01/34

     490        575,730   

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

    

5.00%, 12/01/32

     830        942,025   

5.00%, 12/01/37

     350        391,801   

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

    

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

     565        585,221   

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

     5,650        6,728,020   

County of Suffolk New York Economic Development Corp., RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     625        726,338   

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

     2,000        2,254,720   

State of New York Dormitory Authority, RB:

    

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

     2,000        2,268,120   

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

     6,500        7,100,275   

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

     1,500        1,505,595   

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

     3,450        4,035,879   

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

     1,100        1,287,891   

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

     2,075        2,369,608   

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

     1,000        1,069,450   

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

     800        855,560   

State of New York Dormitory Authority, Refunding RB, Series A:

    

New York University Hospitals Center, 4.90%, 8/15/15 (c)

     2,900        2,974,124   

New York University Hospitals Center, 5.00%, 7/01/36 (c)

     1,500        1,658,280   

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

     4,000        4,528,360   

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

     9,220        10,535,510   
    

 

 

 
               55,196,345   

Housing — 4.5%

    

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

    

Class F, 4.50%, 2/15/48

     1,230        1,259,754   

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

     750        780,517   

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

     1,335        1,377,787   

Series C, AMT, 5.00%, 11/01/26

     1,500        1,521,060   

Series C, AMT, 5.05%, 11/01/36

     2,000        2,042,560   

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Housing (concluded)

  

City of New York New York Housing Development Corp.,
RB, M/F Housing (concluded):

    

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

   $ 1,340      $ 1,361,561   

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

     840        872,432   

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

     600        629,148   

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

     2,445        2,461,357   

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

    

6.13%, 2/01/20

     480        481,637   

6.25%, 2/01/31

     1,125        1,127,756   

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

     1,500        1,524,930   

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

     2,405        2,504,904   

State of New York Mortgage Agency, Refunding RB:

    

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

     4,285        4,429,533   

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

     1,100        1,143,692   

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

     2,485        2,570,161   
    

 

 

 
               26,088,789   

State — 16.4%

  

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

    

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

     1,700        1,782,467   

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

     6,000        6,871,620   

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

     5,500        6,407,610   

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

     1,500        1,747,530   

Fiscal 2015, Series S-1, 5.00%, 7/15/43

     3,570        4,217,776   

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

     5,000        5,368,200   

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

     5,000        5,141,000   

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

     3,905        4,187,917   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

    

Series B, 5.00%, 11/15/34

     1,500        1,719,585   

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

     3,465        4,117,667   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 4.00%, 10/15/32

     13,080        14,761,565   

State of New York Dormitory Authority, RB:

    

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

     1,000        1,160,790   

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

     7,500        8,621,550   

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

     1,750        1,987,563   

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

     4,050        4,440,703   

Series C, 5.00%, 12/15/31

     6,230        6,757,245   

State Personal Income Tax, Series A, 5.00%, 2/15/43

     1,000        1,162,110   

State Supported Debt, Series A, 5.00%, 3/15/44

     4,550        5,411,497   

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

     550        603,059   

State of New York Thruway Authority, RB:

    

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

     4,380        4,613,279   

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

     1,500        1,652,745   

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

     1,130        1,337,434   

New York (continued)

                

State (concluded)

  

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

   $ 1,500      $ 1,589,565   
    

 

 

 
               95,660,477   

Tobacco — 1.2%

  

Chautauqua Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

     2,190        2,204,651   

Niagara Tobacco Asset Securitization Corp., Refunding RB:

    

5.25%, 5/15/34

     1,650        1,919,940   

5.25%, 5/15/40

     2,250        2,604,375   
    

 

 

 
               6,728,966   

Transportation — 25.4%

  

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     1,000        1,185,860   

Series A, 5.00%, 11/15/30

     2,935        3,476,478   

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

     2,565        3,084,874   

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

     2,840        3,403,286   

Series C, 6.50%, 11/15/28

     3,200        3,866,496   

Series D, 5.25%, 11/15/41

     3,450        4,004,035   

Series E, 5.00%, 11/15/38

     7,785        9,084,784   

Series E, 5.00%, 11/15/43

     4,000        4,637,480   

Series H, 5.00%, 11/15/25

     1,000        1,215,330   

Series H, 5.00%, 11/15/31

     1,690        1,991,310   

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

     3,250        3,991,227   

Metropolitan Transportation Authority, Refunding RB, Series D, 5.25%, 11/15/29

     1,000        1,176,510   

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

     3,500        4,118,905   

Niagara Falls Bridge Commission, RB, Series A (BAM), 4.00%, 10/01/44

     1,560        1,642,836   

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

     1,900        2,070,411   

Port Authority of New York & New Jersey, ARB:

    

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

     2,500        2,912,625   

Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     1,000        1,112,960   

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

     5,000        5,317,450   

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

     8,160        8,208,144   

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

    

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

     1,140        1,321,534   

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

     1,390        1,644,579   

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

     6,090        6,248,523   

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

     2,250        2,360,002   

Consolidated, 177th Series, AMT, 3.50%, 7/15/35

     1,370        1,361,657   

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

     1,975        2,047,226   

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

     750        855,638   

Port Authority of New York & New Jersey, Refunding RB, Series G (AGM), 5.75%, 12/01/25

     3,500        3,511,060   

State of New York Thruway Authority, Refunding RB:

    

General, Series G (AGM), 4.75%, 7/01/29 (c)

     7,250        7,388,257   

General, Series G (AGM), 4.75%, 7/01/30 (c)

     9,000        9,171,630   

General, Series G (AGM), 5.00%, 7/01/32 (c)

     17,030        17,372,473   

General, Series G (AGM), 5.00%, 1/01/37

     6,500        7,477,535   

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

     3,250        3,690,310   

Series G (AGM), 5.00%, 7/01/30 (c)

     2,000        2,040,220   

Series J, 5.00%, 1/01/41

     2,275        2,628,717   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    31


Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New York (concluded)

                

Transportation (concluded)

  

Triborough Bridge & Tunnel Authority, Refunding RB:

    

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

   $ 9,000      $ 5,168,340   

General, Series A, 5.00%, 11/15/38

     1,000        1,167,480   

Series C, 5.00%, 11/15/38

     2,000        2,251,040   

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

     2,500        2,980,300   

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

     875        1,040,751   
    

 

 

 
               148,228,273   

Utilities — 10.1%

    

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

     2,000        2,121,260   

City of New York New York Municipal Water Finance Authority, Refunding RB:

    

2nd General Resolution, Series BB, 5.00%, 6/15/31

     1,000        1,159,430   

2nd General Resolution, Series DD, 5.00%, 6/15/32

     6,750        7,538,805   

2nd General Resolution, Series FF, 5.00%, 6/15/32

     1,500        1,743,315   

2nd General Resolution, Series GG, 5.00%, 6/15/31

     1,000        1,142,650   

Series D (AGM), 5.00%, 6/15/32

     9,000        9,172,350   

Long Island Power Authority, RB, Series A (AGM), 5.00%, 5/01/36

     3,775        4,268,996   

Long Island Power Authority, Refunding RB:

    

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

     1,015        1,186,251   

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

     1,500        1,780,500   

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

     4,000        4,217,840   

Series A, 5.00%, 9/01/34

     1,000        1,163,710   

Series A, 5.00%, 9/01/44

     1,875        2,153,344   

State of New York Environmental Facilities Corp., Refunding RB, Series B, Revolving Funds, New York City Municipal Water:

    

2nd General Resolution, 5.00%, 6/15/36

     2,100        2,463,069   

5.00%, 6/15/33

     1,040        1,169,584   

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

     4,920        5,730,521   

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

     9,960        11,886,862   
    

 

 

 
               58,898,487   
Total Municipal Bonds in New York              708,251,975   
    

Guam — 0.3%

                

Utilities — 0.3%

  

 

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

     1,380        1,545,766   
    

Puerto Rico — 0.8%

                

Housing — 0.8%

  

 

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

     4,050        4,318,596   
    

Virgin Islands – 1.6%

                

State — 1.6%

  

 

Virgin Islands Public Finance Authority, Refunding RB, Series C:

    

5.00%, 10/01/39

     7,150        7,998,133   

4.50%, 10/01/44

     1,500        1,554,705   
Total Municipal Bonds in U.S. Virgin Islands        9,552,838   
Total Municipal Bonds — 124.3%        723,669,175   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
   Par  
(000)
    Value  

New York — 31.6%

  

County/City/Special District/School District — 5.4%

  

 

City of New York New York, GO, Refunding, Series E, 5.00%, 8/01/27

   $ 1,064      $ 1,236,483   

City of New York New York, GO:

    

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

     14,400        16,972,560   

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

     3,500        4,147,815   

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

     4,125        4,770,274   

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

     3,645        4,251,783   
    

 

 

 
               31,378,915   

Education — 4.9%

    

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

     1,981        2,346,852   

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

    

5.25%, 7/01/29

     6,000        6,876,960   

5.00%, 7/01/35

     5,198        6,061,721   

State of New York Dormitory Authority, RB:

    

5.00%, 7/01/38

     6,498        7,287,182   

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

     5,707        6,243,191   
    

 

 

 
               28,815,906   

State — 6.8%

    

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

     9,739        11,450,510   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 5.00%, 10/15/31

     7,995        9,926,272   

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

     7,850        9,225,634   

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

    

General Purpose, 5.00%, 3/15/41

     1,650        1,909,958   

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

     6,297        7,118,420   
    

 

 

 
               39,630,794   

Transportation — 9.1%

    

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

     18,000        21,182,940   

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT:

    

5.00%, 10/15/25

     7,990        9,263,926   

5.00%, 10/15/26

     6,000        6,902,820   

State of New York Thruway Authority, Refunding RB:

    

General, Series H (AGM), 5.00%, 1/01/37

     10,000        11,032,200   

Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

     3,940        4,679,499   
    

 

 

 
               53,061,385   

Utilities — 5.4%

    

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

     4,094        4,743,806   

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

     9,900        11,594,088   

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

     3,991        4,598,756   

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

     2,760        3,235,335   

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
   Par  
(000)
    Value  

New York (concluded)

  

Utilities (concluded)

  

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

   $ 5,998      $ 7,158,591   
    

 

 

 
               31,330,576   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts
31.6%
        184,217,575   

Total Long-Term Investments

(Cost — $827,206,889) — 155.9%

  

  

    907,886,750   
    
Short-Term Securities
   Shares     Value  

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

     8,344,352      $ 8,344,352   

Total Short-Term Securities

(Cost — $8,344,352) — 1.4%

  

  

    8,344,352   
Total Investments (Cost — $835,551,241) — 157.3%        916,231,102   
Other Assets Less Liabilities — 1.2%        6,910,647   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (16.0%)

   

    (93,130,811
VRDP Shares, at Liquidation Value — (42.5%)        (247,700,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 582,310,938   
    

 

 

 

 

Notes to Schedule of Investments

 

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

 

(b)   Zero-coupon bond.

 

(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 Fund 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 Fund 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 Fund could ultimately be required to pay under the agreement, which expire from February 15, 2017 to February 15, 2019, is $12,778,281.

 

(f)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income  

BIF New York Municipal Money Fund

       5,691,487           2,652,865           8,344,352         $ 2   

 

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

 

Ÿ  

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

 

Contracts Short     Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (648   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 84,807,000      $ (2,585,444

 

Ÿ  

For Fund compliance purposes, the Fund’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by 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. 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:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund 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 Fund’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 Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    33


Schedule of Investments (concluded)

  

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

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

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 907,886,750              $ 907,886,750   

Short-Term Securities

  $ 8,344,352                          8,344,352   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 8,344,352         $ 907,886,750              $ 916,231,102   
 

 

 

      

 

 

      

 

    

 

 

 

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

  $ (2,585,444                     $ (2,585,444

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 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

  $ 880,000                        $ 880,000   

Liabilities:

                

TOB trust certificates

            $ (93,113,130             (93,113,130

VRDP Shares

              (247,700,000             (247,700,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

    $880,000         $ (340,813,130           $ (339,933,130
 

 

 

      

 

 

      

 

    

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Alabama — 0.4%

  

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

   $ 3,605      $ 4,240,345   

Alaska — 1.7%

  

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

     2,000        2,034,900   

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

     2,690        3,121,853   

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

     10,150        12,290,533   
    

 

 

 
               17,447,286   

Arizona — 0.4%

  

City of Phoenix & County of Maricopa Arizona IDA, Refunding RB, S/F, Series A-2, AMT (Fannie Mae), 5.80%, 7/01/40

     200        203,434   

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

     3,075        3,495,076   
    

 

 

 
               3,698,510   

Arkansas — 0.1%

  

Pulaski County Public Facilities Board, RB, 5.00%, 12/01/42

     1,110        1,284,525   

California — 15.4%

  

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

     10,000        10,841,100   

California Health Facilities Financing Authority, RB:

    

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

     1,550        1,821,250   

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

     3,200        3,860,672   

California Health Facilities Financing Authority, Refunding RB, St. Joseph’s Health System, Series A, 5.00%, 7/01/37

     2,965        3,465,729   

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

     795        811,361   

California State University, RB, Systemwide, Series A, 5.50%, 11/01/39

     1,525        1,797,487   

California Statewide Communities Development Authority, RB:

    

Kaiser Permanente, Series A, 5.00%, 4/01/42

     4,030        4,563,653   

St. Joseph Health System, Series E (AGM), 5.25%, 7/01/47

     4,000        4,399,000   

Chabot-Las Positas Community College District, GO, CAB, Series C (AMBAC) (a):

    

0.00%, 8/01/34

     5,725        2,199,087   

0.00%, 8/01/36

     7,790        2,700,793   

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

     1,900        2,123,098   

City of San Jose California, Refunding ARB, AMT:

    

Series A (AMBAC), 5.50%, 3/01/32

     11,965        12,980,469   

Series A-1, 5.75%, 3/01/34

     2,300        2,666,022   

Coast Community College District, GO, Election of 2002, Series C (AGM), 0.00%, 8/01/33 (a)

     8,100        3,109,428   

County of Orange California Sanitation District, COP, Series B (AGM), 5.00%, 2/01/17 (b)

     10,780        11,756,668   

County of Sacramento California, ARB, Senior Series A, 5.00%, 7/01/41

     10,000        11,139,300   

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

     1,830        2,260,288   

Dublin Unified School District California, GO, CAB, Election of 2004, Series D, 0.00%, 8/01/34 (a)

     5,000        1,706,050   
Municipal Bonds    Par  
(000)
    Value  

California (concluded)

  

Grossmont Union High School District, GO, CAB, Election of 2004, 0.00%, 8/01/31 (a)

   $ 5,110      $ 2,763,386   

Las Virgenes Unified School District, GO, Series A, 5.00%, 8/01/16 (b)

     10,000        10,706,000   

Long Beach Unified School District, GO, Election of 2008, Series B, 0.00%, 8/01/34 (a)

     5,000        2,381,250   

Los Angeles Community College District California, GO, Election of 2001, Series A (AGM), 5.00%, 8/01/17 (b)

     1,200        1,333,020   

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 0.00%, 8/01/43 (c)

     3,975        2,865,657   

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 8/01/38 (a)

     7,620        2,942,387   

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

     2,500        2,806,525   

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement, Election of 2008, Series B (a):

    

0.00%, 8/01/35

     7,820        3,556,536   

0.00%, 8/01/36

     10,000        4,367,400   

Rio Hondo Community College District California, GO, CAB, Election of 2004, Series C (a):

    

0.00%, 8/01/37

     8,000        3,420,560   

0.00%, 8/01/38

     12,940        5,316,399   

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

     2,165        2,307,500   

San Diego California Unified School District, GO, CAB, Election of 2008, Series G (a):

    

0.00%, 7/01/34

     1,860        789,682   

0.00%, 7/01/35

     1,970        790,462   

0.00%, 7/01/36

     2,960        1,110,740   

0.00%, 7/01/37

     1,975        698,241   

San Diego California Unified School District, GO, Refunding, CAB, Election of 2008, Series R-1, 0.00%, 7/01/31 (a)

     3,485        1,961,916   

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

    

5.00%, 8/01/34

     1,800        2,117,538   

5.00%, 8/01/38

     1,600        1,861,088   

State of California, GO, Refunding, Various Purpose:

    

5.00%, 9/01/41

     2,700        3,096,900   

5.00%, 10/01/41

     2,555        2,934,903   

State of California, GO:

    

Series 2007-2 (NPFGC), 5.50%, 4/01/30

     10        10,043   

Various Purpose, 5.00%, 4/01/42

     2,000        2,306,400   

Various Purposes, 5.50%, 3/01/40

     1,020        1,193,420   

State of California Public Works Board, LRB:

    

Various Capital Projects, Series I, 5.00%, 11/01/38

     5,040        5,886,720   

Various Judicial Council Projects, Series A, 5.00%, 3/01/38

     1,940        2,243,843   

Walnut Valley Unified School District, GO, CAB, Election of 2007, Series B, 0.00%, 8/01/36 (a)

     6,545        2,823,055   

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

     3,600        3,842,568   
    

 

 

 
               162,635,594   

Colorado — 1.1%

  

Regional Transportation District, COP, Series A, 5.00%, 6/01/39

     9,870        11,386,822   

Florida — 11.8%

  

City of Lakeland Florida, RB, Regional Health, 5.00%, 11/15/40 (d)

     4,535        5,208,130   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    35


Schedule of Investments (continued)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Florida (concluded)

  

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

   $ 13,100      $ 14,650,123   

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

     2,250        2,549,880   

County of Collier Florida School Board, COP, (AGM), 5.00%, 2/15/16 (b)

     5,000        5,248,700   

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

     1,750        2,084,390   

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

    

5.63%, 10/01/26

     2,600        3,104,790   

5.38%, 10/01/32

     3,440        3,894,665   

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

    

Series B, 6.38%, 7/01/28

     6,000        7,029,480   

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

     3,700        4,249,598   

County of Miami-Dade Florida, RB:

    

Seaport Department, Series B, AMT, 6.00%, 10/01/30

     1,820        2,270,232   

Seaport, Series A, 6.00%, 10/01/38

     5,695        7,069,090   

Seaport, Series B, AMT, 6.25%, 10/01/38

     1,165        1,462,215   

Seaport, Series B, AMT, 6.00%, 10/01/42

     1,865        2,279,664   

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

     2,800        3,112,088   

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series C (BHAC), 6.00%, 10/01/23

     20,095        23,530,039   

County of Miami-Dade Florida Aviation, Refunding ARB, AMT:

    

5.00%, 10/01/34

     530        613,554   

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

     19,020        21,585,608   

County of Miami-Dade Florida Aviation Revenue, Refunding RB, AMT, 5.00%, 10/01/31

     4,000        4,681,640   

County of Palm Beach Florida Solid Waste Authority, Refunding RB, 5.00%, 10/01/31

     3,100        3,674,678   

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

     5,135        5,804,655   
    

 

 

 
               124,103,219   

Georgia — 1.1%

  

County of Burke Georgia Development Authority, Refunding RB, Oglethorpe Power-Vogtle Project, Series C, 5.70%, 1/01/43

     6,450        7,100,999   

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     1,405        1,680,633   

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

    

5.00%, 4/01/31

     540        617,614   

5.00%, 4/01/33

     395        449,079   

5.00%, 4/01/44

     1,775        2,001,508   
    

 

 

 
               11,849,833   

Hawaii — 0.4%

  

State of Hawaii Department of Transportation, COP, AMT:

    

5.00%, 8/01/27

     2,000        2,341,340   

5.00%, 8/01/28

     1,775        2,062,089   
    

 

 

 
               4,403,429   

Illinois — 21.3%

  

City of Chicago Illinois, GARB, 3rd Lien O’Hare International Airport:

    

Series A, 5.75%, 1/01/39

     9,000        10,648,890   

Series B-2, AMT (NPFGC), 5.25%, 1/01/27

     8,530        8,561,049   
Municipal Bonds    Par  
(000)
    Value  

Illinois (continued)

  

City of Chicago Illinois, GARB, 3rd Lien (concluded):

    

Series B-2, AMT (NPFGC), 6.00%, 1/01/27

   $ 1,695      $ 1,703,034   

City of Chicago Illinois, GO, Refunding, Series A:

    

Project, 5.25%, 1/01/33

     11,065        12,033,077   

5.00%, 1/01/34

     2,000        2,134,820   

5.00%, 1/01/35

     9,280        9,891,274   

5.00%, 1/01/36

     4,245        4,518,081   

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, AMT:

    

3rd Lien, Series C-2 (AGM), 5.25%, 1/01/30

     13,240        13,264,891   

Series B, 5.00%, 1/01/31

     2,425        2,714,715   

City of Chicago Illinois, Refunding RB, Series A:

    

Sales Tax Receipts, 5.00%, 1/01/41

     4,190        4,613,735   

Waterworks, 2nd Lien (AMBAC), 5.00%, 11/01/36

     3,500        3,700,970   

City of Chicago Illinois Midway International Airport, Refunding RB, 2nd Lien, Series A, AMT, 5.00%, 1/01/34

     3,035        3,438,291   

City of Chicago Illinois Park District, GO, Series C:

    

Harbor Facilities Revenue, 5.25%, 1/01/40

     1,505        1,669,286   

Harbor Facilities Revenues, 5.25%, 1/01/37

     4,000        4,477,800   

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

     1,620        1,879,524   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.13%, 12/01/38

     3,250        3,755,147   

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/37

     775        883,996   

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

     8,700        10,105,746   

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

     5,250        6,222,510   

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

    

5.00%, 2/01/35

     17,935        19,117,454   

5.25%, 2/01/35

     15,000        16,127,250   

Illinois State Toll Highway Authority, RB, Series B:

    

5.50%, 1/01/33

     4,000        4,449,240   

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

     2,000        2,231,920   

Metropolitan Pier & Exposition Authority, RB, CAB, Series A (NPFGC) (a):

    

McCormick Place Explosion Project, 0.00%, 12/15/26

     8,500        5,637,880   

Mccormick Place Explosion Project, 0.00%, 6/15/32

     14,000        6,951,700   

McCormick Place Explosion Project, 0.00%, 12/15/33

     20,000        9,194,400   

Mccormick Place Explosion Project, 0.00%, 12/15/34

     41,880        18,261,774   

Metropolitan Pier & Exposition Authority, Refunding RB, CAB, McCormick Place Expansion Project, Series B (AGM), 0.00%, 6/15/44 (a)

     9,430        2,573,541   

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

     1,700        2,035,937   

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

     1,000        1,184,020   

State of Illinois, GO:

    

5.25%, 7/01/29

     3,160        3,547,922   

5.25%, 2/01/33

     5,860        6,531,087   

5.50%, 7/01/33

     2,235        2,558,472   

5.25%, 2/01/34

     5,360        5,960,856   

5.50%, 7/01/38

     1,200        1,365,228   

5.00%, 2/01/39

     7,500        8,121,300   

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Illinois (concluded)

  

University of Illinois, RB, Auxiliary Facilities System, Series A, 5.00%, 4/01/39

   $ 2,580      $ 2,977,449   
    

 

 

 
               225,044,266   

Indiana — 3.1%

  

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

     5,000        5,552,500   

Indiana Finance Authority, RB, Series A:

    

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

     2,900        3,416,635   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

     1,400        1,532,720   

Private Activity Bond, Ohio River Bridges, AMT, 5.00%, 7/01/40

     2,425        2,664,081   

Indiana Municipal Power Agency, RB:

    

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

     3,850        4,099,441   

Series B, 6.00%, 1/01/39

     5,000        5,780,950   

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

    

5.75%, 1/01/38

     2,900        3,337,523   

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

     1,350        1,521,113   

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

     4,250        4,839,007   
    

 

 

 
               32,743,970   

Iowa — 2.7%

  

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

     12,650        14,663,753   

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

    

5.60%, 12/01/26

     3,365        3,626,528   

5.70%, 12/01/27

     3,360        3,602,794   

5.75%, 12/01/28

     1,775        1,904,735   

5.80%, 12/01/29

     2,270        2,437,798   

5.85%, 12/01/30

     2,355        2,531,036   
    

 

 

 
               28,766,644   

Kentucky — 1.1%

  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 1/01/40

     1,000        1,168,590   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/39 (c)

     8,225        6,143,417   

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

     4,000        4,577,400   
    

 

 

 
               11,889,407   

Louisiana — 1.1%

  

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

     6,405        6,960,057   

Louisiana Local Government Environmental Facilities & Community Development Authority, RB:

    

East Baton Rouge Sewerage Commission Projects, Sub-Lien, Series A, 5.00%, 2/01/43

     1,905        2,180,120   

Lctcs Act 360 Project , 5.00%, 10/01/39

     2,245        2,652,423   
    

 

 

 
               11,792,600   

Massachusetts — 1.0%

  

Massachusetts HFA, RB, M/F Housing, Series B, 7.00%, 12/01/38

     3,150        3,514,801   

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

     3,100        3,287,922   
Municipal Bonds    Par  
(000)
    Value  

Massachusetts (concluded)

  

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior, Series A, 5.00%, 5/15/43

   $ 3,495      $ 4,088,486   
    

 

 

 
               10,891,209   

Michigan — 7.5%

  

City of Detroit Michigan Water Supply System, RB, 2nd Lien, Series B (AGM), 6.25%, 7/01/36

     1,075        1,204,849   

City of Detroit Michigan Water Supply System, Refunding RB, 2nd Lien, Series D (NPFGC), 5.00%, 7/01/33

     5,000        5,144,150   

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

     3,185        3,826,841   

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

     16,100        18,097,366   

State of Michigan, RB, GAB (AGM):

    

5.25%, 9/15/22

     10,000        11,147,200   

5.25%, 9/15/26

     6,650        7,390,810   

State of Michigan Building Authority, Refunding RB, Facilities Program:

    

Series I, 6.25%, 10/15/38

     3,125        3,672,406   

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

     1,750        2,053,153   

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

     3,250        3,800,063   

Series I-A, 5.38%, 10/15/36

     2,075        2,397,559   

Series I-A, 5.38%, 10/15/41

     1,900        2,204,171   

Series II-A (AGM), 5.25%, 10/15/36

     8,040        9,273,979   

State of Michigan HDA, RB, S/F Housing, Series C, AMT, 5.50%, 12/01/28

     2,065        2,234,371   

Wayne County Airport Authority, Refunding RB, AMT (AGC), 5.38%, 12/01/32

     5,000        5,655,400   

Western Michigan University, Refunding RB, General, 5.00%, 11/15/39

     1,080        1,241,287   
    

 

 

 
               79,343,605   

Minnesota — 0.6%

  

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

     5,500        6,512,880   

Nebraska — 0.7%

  

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.25%, 9/01/37

     6,825        7,736,001   

Nevada — 1.0%

  

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

     2,250        2,649,262   

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A:

    

5.25%, 7/01/42

     2,000        2,288,940   

(AGM), 5.25%, 7/01/39

     5,170        5,919,495   
    

 

 

 
               10,857,697   

New Jersey — 8.7%

    

New Jersey EDA, RB:

    

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.13%, 1/01/34

     1,930        2,163,742   

School Facilities Construction, Series UU, 5.00%, 6/15/34

     1,620        1,812,731   

School Facilities Construction, Series UU, 5.00%, 6/15/40

     4,015        4,475,641   

The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     4,920        5,529,145   

New Jersey EDA, Refunding RB, School Facilities Construction:

    

Series N-1 (AMBAC), 5.50%, 9/01/24

     6,325        7,688,480   

Series N-1 (NPFGC), 5.50%, 9/01/28

     1,685        2,102,880   

New Jersey Educational Facilities Authority, RB, Higher Educational Capital Improvement Fund, Series A, 5.00%, 9/01/26

     2,245        2,599,014   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    37


Schedule of Investments (continued)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New Jersey (concluded)

  

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT:

    

5.50%, 12/01/25

   $ 1,250      $ 1,429,063   

5.50%, 12/01/26

     1,800        2,051,316   

5.75%, 12/01/28

     200        227,986   

5.88%, 12/01/33

     6,895        7,873,607   

New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series 2, AMT, 4.35%, 11/01/33

     3,360        3,545,304   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series A, 0.00%, 12/15/35 (a)

     18,525        7,212,894   

CAB, Transportation System, Series C (AGC) (AMBAC), 0.00%, 12/15/25 (a)

     10,000        7,096,300   

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

     4,150        4,777,107   

Transportation Program, Series AA, 5.00%, 6/15/38

     4,990        5,541,495   

Transportation System, Series A (NPFGC), 5.75%, 6/15/25

     4,000        5,094,760   

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

     5,725        6,676,323   

Transportation System, Series B, 5.00%, 6/15/42

     12,550        13,639,215   
    

 

 

 
               91,537,003   

New York — 2.0%

    

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

    

Fiscal 2009, Series S-4, 5.50%, 1/15/34

     7,250        8,446,395   

Future Tax Secured, Series C, 5.50%, 11/01/35

     1,820        2,205,749   

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/32

     4,150        4,934,848   

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

     1,920        2,257,363   

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

     3,250        3,736,233   
    

 

 

 
               21,580,588   

Ohio — 2.3%

    

American Municipal Power Inc, Refunding RB, Series A, 5.00%, 2/15/42

     985        1,135,764   

County of Lucas Ohio, Refunding RB, Promedica Healthcare, Series A, 6.50%, 11/15/37

     3,000        3,805,230   

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

     11,135        13,352,869   

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

    

5.25%, 2/15/32

     1,950        2,325,902   

5.25%, 2/15/33

     2,730        3,247,553   
    

 

 

 
               23,867,318   

Pennsylvania — 1.7%

    

Commonwealth Financing Authority, RB, Series B, 5.00%, 6/01/42

     3,305        3,765,254   

Pennsylvania Turnpike Commission, RB:

    

Series A, 5.00%, 12/01/38

     1,775        2,081,986   

Series C, 5.50%, 12/01/33

     1,565        1,919,786   

Sub-Series C (AGC), 6.25%, 6/01/38

     5,695        6,564,740   

Subordinate, Special Motor License Fund, 6.00%, 12/01/36

     2,575        3,102,180   
    

 

 

 
               17,433,946   

South Carolina — 2.6%

    

South Carolina Jobs EDA, Refunding RB, Palmetto Health, Series A (AGM), 6.50%, 8/01/39

     3,600        4,360,680   
Municipal Bonds    Par  
(000)
    Value  

South Carolina (concluded)

  

State of South Carolina Public Service Authority, RB, Santee Cooper:

    

Series A, 5.50%, 12/01/54

   $ 11,450      $ 13,662,369   

Series E, 5.50%, 12/01/53

     2,025        2,398,147   

State of South Carolina Public Service Authority, Refunding RB, Santee Cooper, Series B, 5.00%, 12/01/38

     5,870        6,809,259   
    

 

 

 
               27,230,455   

Texas — 15.6%

    

Central Texas Turnpike System, Refunding RB, Second Tier, Series C, 5.00%, 8/15/34 (d)

     1,780        2,035,341   

City of Houston Texas Utility System, Refunding RB:

    

Combined 1st Lien, Series A (AGC), 6.00%, 11/15/35

     5,700        6,855,276   

Combined 1st Lien, Series A (AGC), 5.38%, 11/15/38

     3,650        4,208,340   

Series A (AGM), 5.00%, 11/15/36

     10,000        10,992,200   

City of San Antonio Texas Public Service Board, RB, Junior Lien, 5.00%, 2/01/38

     1,450        1,679,550   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/36 (a)

     5,810        2,351,481   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Cook Children’s Medical Center, 5.25%, 12/01/39

     2,095        2,497,868   

Dallas ISD, GO, School Building (PSF-GTD), 6.38%, 2/15/18 (b)

     10,000        11,710,700   

Dallas-Fort Worth International Airport, ARB:

    

Joint Improvement, Series D, AMT, 5.00%, 11/01/38

     13,080        14,574,652   

Series F, 5.00%, 11/01/35

     5,000        5,654,600   

Dallas-Fort Worth International Airport, Refunding ARB, Series F, 5.25%, 11/01/33

     2,745        3,306,298   

Grand Prairie ISD, GO, Refunding,
0.00%, 8/15/28 (a)

     10,000        4,906,400   

Judson ISD Texas, GO, School Building (AGC), 5.00%, 2/01/37

     10,000        10,727,000   

Leander Independent School District, GO, CAB, Refunding, Series D, 0.00%, 8/15/38 (a)

     9,685        3,606,888   

North Texas Tollway Authority, RB, Series B, 0.00%, 9/01/43 (a)

     36,000        8,035,920   

North Texas Tollway Authority, Refunding RB, System:

    

1st Tier Series A, 6.00%, 1/01/28

     6,275        7,406,257   

1st Tier Series B (NPFGC), 5.75%, 1/01/40

     10,000        11,240,000   

Series A (NPFGC), 5.13%, 1/01/28

     20,000        21,942,600   

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, CAB (a):

    

0.00%, 9/15/35

     680        273,170   

0.00%, 9/15/36

     12,195        4,616,905   

0.00%, 9/15/37

     8,730        3,108,142   

State of Texas Turnpike Authority, RB, CAB (AMBAC), 0.00%, 8/15/31 (a)

              

Texas Municipal Gas Acquisition & Supply Corp. III, RB:

    

5.00%, 12/15/31

     1,665        1,869,645   

5.00%, 12/15/32

     5,565        6,207,980   

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 8/15/41

     13,435        15,149,440   
    

 

 

 
               164,956,653   

Utah — 1.7%

    

Utah Transit Authority, Refunding RB, CAB (a):

    

Sub-Series A (AGC), 0.00%, 6/15/20

     10,000        8,510,600   

Sub-Series A (NPFGC), 0.00%, 6/15/24

     13,930        9,693,887   
    

 

 

 
               18,204,487   

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Vermont — 0.1%

  

Vermont HFA, Refunding RB, Multiple Purpose, S/F Housing, Series C, AMT (AGM), 5.50%, 11/01/38

   $ 715      $ 727,334   

Washington — 1.0%

  

Washington Health Care Facilities Authority, RB:

    

MultiCare Health System, Remarketing, Series B, 5.00%, 8/15/44

     1,000        1,109,850   

Providence Health & Services, Series A, 5.25%, 10/01/39

     2,725        3,120,316   

Washington Health Care Facilities Authority, Refunding RB, Catholic Health Initiatives, Series D, 6.38%, 10/01/36

     5,400        6,376,644   
    

 

 

 
               10,606,810   

Wisconsin — 0.4%

  

State of Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Senior Credit Group, Series E, 5.00%, 11/15/33

     3,745        4,281,584   
Total Municipal Bonds — 108.6%              1,147,054,020   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
 

Arizona — 1.4%

    

Arizona School Facilities Board, COP, (AGC), 5.13%, 9/01/21 (f)

     10,000        11,289,800   

Salt River Project Agricultural Improvement & Power District, RB, Electric System, Series A, 5.00%, 1/01/38

     3,500        3,857,035   
    

 

 

 
               15,146,835   

California — 8.7%

  

California State University, RB, Systemwide, Series A (AGM), 5.00%, 11/01/33 (f)

     7,996        8,947,564   

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

     21,981        23,930,024   

City of Riverside California, RB, Issue D (AGM), 5.00%, 10/01/38

     20,000        22,404,000   

County of Alameda California Joint Powers Authority, Refunding LRB, (AGM), 5.00%, 12/01/34

     6,990        7,724,230   

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

     9,370        10,455,795   

Foothill-De Anza Community College District, GO, Election of 1999, Series C (NPFGC), 5.00%, 8/01/36

     7,500        7,683,675   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series C, 6.00%, 8/01/33 (b)

     5,248        6,466,089   

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/33

     1,047        1,223,510   

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

     2,205        2,614,711   
    

 

 

 
               91,449,598   

Colorado — 0.3%

  

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiatives, Series A, 5.50%, 7/01/34 (f)

     2,469        2,862,582   

Connecticut — 0.5%

  

Connecticut State Health & Educational Facility Authority, RB, Yale University, Series T-1, 4.70%, 7/01/29

     5,019        5,449,037   

District of Columbia — 2.5%

  

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

     2,595        3,090,429   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

District of Columbia (concluded)

  

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/35 (b)(f)

   $ 4,279      $ 5,088,873   

Metropolitan Washington Airports Authority, RB, Series B, AMT, 5.00%, 10/01/32

     10,000        10,762,200   

Metropolitan Washington Airports Authority, Refunding ARB, Series A, AMT, 5.00%, 10/01/30

     6,880        7,979,699   
    

 

 

 
               26,921,201   

Florida — 6.3%

  

City of Tallahassee Florida, RB, Energy System (NPFGC), 5.00%, 10/01/32 (f)

     3,300        3,604,689   

County of Highlands Florida Health Facilities Authority, RB, Adventist, Series C, 5.25%, 11/15/16

     5,400        5,808,456   

County of Miami-Dade Florida, Refunding RB, Transit System Sales Surtax, 5.00%, 7/01/42

     4,840        5,555,788   

County of Miami-Dade Florida Transit System, RB, (Syncora), 5.00%, 7/01/31

     19,800        20,893,158   

County of Miami-Dade Florida Water & Sewer System, (AGM), 5.00%, 10/01/39

     11,702        13,531,416   

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

     12,013        13,690,244   

State of Florida Board of Education, GO, Series D, 5.00%, 6/01/37 (f)

     3,299        3,625,066   
    

 

 

 
               66,708,817   

Georgia — 1.0%

  

Metropolitan Atlanta Rapid Transit Authority, Refunding RB, 3rd Indenture, Series B (AGM), 5.00%, 7/01/37

     10,000        10,868,832   

Illinois — 2.6%

  

City of Chicago Illinois, RB, Motor Fuel Tax Project, Series A (AGC), 5.00%, 1/01/38

     4,000        4,343,360   

Metropolitan Pier & Exposition Authority, RB, McCormick Place Expansion Project, Series A, 5.00%, 6/15/42

     719        800,695   

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

     3,499        3,980,564   

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

     10,000        11,860,700   

State of Illinois Toll Highway Authority, RB, Series A, 5.00%, 1/01/38

     5,836        6,632,937   
    

 

 

 
               27,618,256   

Kentucky — 0.7%

  

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

     5,985        6,921,216   

Louisiana — 1.0%

  

State of Louisiana Gas & Fuels, RB, Series A (AGM), 5.00%, 5/01/36

     10,000        10,592,000   

Nevada — 0.6%

  

County of Clark Nevada Water Reclamation District, GO, Series B:

    

Limited Tax, 5.75%, 7/01/34

     4,813        5,739,859   

5.50%, 7/01/29

     510        601,669   
    

 

 

 
               6,341,528   

New Jersey — 1.8%

  

Garden State Preservation Trust, RB, Election of 2005, Series A (AGM), 5.75%, 11/01/28

     10,000        13,012,100   

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 6/15/36 (f)

     4,961        5,552,228   
    

 

 

 
               18,564,328   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    39


Schedule of Investments (continued)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

New York — 7.8%

  

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

    

Fiscal 2013, Series CC, 5.00%, 6/15/47

   $ 15,521      $ 17,978,562   

Series DD, 5.00%, 6/15/37

     17,567        19,595,742   

City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2014, Series DD, 5.00%, 6/15/35

     4,740        5,659,181   

Metropolitan Transportation Authority, RB, 5.25%, 11/15/44

     9,850        11,810,446   

New York State Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 3/15/43

     14,280        16,616,065   

Port Authority of New York & New Jersey, Refunding RB, Construction, 143rd Series, AMT,
5.00%, 10/01/30

     5,180        5,377,306   

Triborough Bridge & Tunnel Authority, RB, General, Series A-2, 5.25%, 11/15/34 (f)

     4,500        5,170,590   
    

 

 

 
               82,207,892   

North Carolina — 0.7%

    

North Carolina HFA, RB, S/F Housing, Series 31-A, AMT, 5.25%, 7/01/38

     7,080        7,364,757   

Ohio — 0.7%

    

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 10/01/41

     4,990        5,344,041   

State of Ohio, RB, Cleveland Clinic Health Obligated Group, Series B, 5.50%, 1/01/34

     1,520        1,743,698   
    

 

 

 
               7,087,739   

South Carolina — 0.2%

    

State of South Carolina Housing Finance & Development Authority, Refunding RB, S/F Housing, Series B-1,
5.55%, 7/01/39

     2,609        2,676,250   

Texas — 4.9%

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

     1,799        2,058,133   

Dallas Fort Worth International Airport, ARB,
Series H, AMT, 5.00%, 11/01/37 (f)

     8,868        9,892,649   

Friendswood ISD Texas, GO, Schoolhouse (PSF-GTD), 5.00%, 2/15/37

     12,955        14,293,117   

Houston ISD, GO, Schoolhouse (PSF-GTD),
5.00%, 2/15/33

     10,000        10,803,200   

North East Texas ISD, GO, School Building, Series A (PSF-GTD), 5.00%, 8/01/37 (f)

     3,500        3,822,420   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

Texas (concluded)

  

Texas State University Systems, Refunding RB,
5.25%, 3/15/26

   $ 10,000      $ 11,259,500   
    

 

 

 
               52,129,019   

Virginia — 0.4%

    

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

     3,944        4,427,821   

Washington — 4.4%

    

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/34

     17,000        18,685,302   

County of King Washington, RB (AGM),
5.00%, 1/01/37

     15,785        17,451,155   

Washington Health Care Facilities Authority, Refunding RB, Seattle Children’s Hospital, 5.00%, 10/01/38

     8,205        10,001,813   
    

 

 

 
               46,138,270   

Wisconsin — 2.7%

    

State of Wisconsin, Refunding RB, Series A,
6.00%, 5/01/36

     14,780        17,672,150   

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group:

    

Froedtert & Community Health Inc., Series A, 5.00%, 4/01/42

     2,490        2,821,519   

Series C, 5.25%, 4/01/39 (f)

     7,459        8,337,971   
    

 

 

 
               28,831,640   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 49.2%
        520,307,618   
Total Long-Term Investments
(Cost — $1,483,191,851) — 157.8%
             1,667,361,638   
    
                  
Short-Term Securities    Shares         

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

     8,417,550        8,417,550   
Total Short-Term Securities
(Cost — $8,417,550) — 0.8%
             8,417,550   
Total Investments (Cost — $1,491,609,401) — 158.6%        1,675,779,188   
Other Assets Less Liabilities — 0.8%        9,368,649   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (25.7%)

   

    (271,956,539
VRDP Shares, at Liquidation Value — (33.7%)        (356,400,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 1,056,791,298   
    

 

 

 

 

Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

(b)   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.

 

(c)   Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Barclays Capital, Inc.

     $ 2,035,341         $ 29,815   

J.P. Morgan Securities LLC

     $ 5,208,130         $ 25,396   

 

(e)   Represent bonds transferred to a TOB. In exchange for which the Fund 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.

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (concluded)

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

(f)   All or a portion of security is subject to a recourse agreement, which may require the Fund 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 Fund could ultimately be required to pay under the agreement, which expire from February 1, 2016 to December 1, 2029, is $37,542,695.

 

(g)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income  

FFI Institutional Tax-Exempt Fund

       7,872,927           544,623           8,417,550         $ 2,090   

 

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

 

Ÿ  

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

 

Contracts Short     Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (801   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 104,830,875      $ (2,998,824
  (415   5-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 50,357,656        (866,245
  Total              $ (3,865,069
         

 

 

 

 

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. 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:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund 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 Fund’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 Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

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

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 1,667,361,638              $ 1,667,361,638   

Short-Term Securities

  $ 8,417,550                          8,417,550   
 

 

 

 

Total

  $ 8,417,550         $ 1,667,361,638              $ 1,675,779,188   
 

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Liabilities:

                

Interest rate contracts

  $ (3,865,069                     $ (3,865,069

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 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

  $ 1,461,600                        $ 1,461,600   

Liabilities:

                

TOB trust certificates

            $ (271,906,157             (271,906,157

VRDP Shares

              (356,400,000             (356,400,000
 

 

 

 

Total

  $ 1,461,600         $ (628,306,157           $ (626,844,557
 

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    41


Statements of Assets and Liabilities     
January 31, 2015 (Unaudited)   BlackRock
MuniHoldings
Quality
Fund II, Inc.
(MUE)
    BlackRock
MuniYield
California
Quality
Fund, Inc.
(MCA)
    BlackRock
MuniYield
Michigan
Quality
Fund II, Inc.
(MYM)
    BlackRock
MuniYield
New York
Quality
Fund, Inc.
(MYN)
    BlackRock
MuniYield
Quality
Fund III, Inc.
(MYI)
 
         
Assets                                        

Investments at value — unaffiliated1

  $ 517,148,252      $ 867,359,716      $ 282,721,318      $ 907,886,750      $ 1,667,361,638   

Investments at value — affiliated2

    5,400,634        8,933,513        2,086,416        8,344,352        8,417,550   

Cash pledged for financial futures contracts

    643,000        543,000        184,000        880,000        1,461,000   

Interest receivable

    5,365,950        11,587,707        3,011,504        9,014,382        17,751,925   

Investments sold receivable

    3,480,401        935,326               323,288        13,746,922   

Deferred offering costs

           300,415        210,919        399,757        527,065   

TOB trust receivable

           4,605,000                      5,470,000   

Prepaid expenses

    12,816        19,704        7,824        20,569        35,263   
 

 

 

 

Total assets

    532,051,053        894,284,381        288,221,981        926,869,098        1,714,771,363   
 

 

 

 
         
Accrued Liabilities                                        

Investments purchased payable

    4,131,635        13,445,727        3,367,874               22,033,175   

Income dividends payable — Common Shares

    1,587,323        2,510,956        798,496        2,553,335        5,021,814   

Variation margin payable on financial futures contracts

    325,875        275,000        92,813        445,500        741,978   

Investment advisory fees payable

    243,001        365,648        118,922        389,947        708,369   

Bank overdraft

    2,576,264                               

Officer’s and Directors’ fees payable

    3,576        218,146        1,727        230,959        394,047   

TOB trust payable

                                544,512   

Interest expense and fees payable

    12,849        26,596        2,216        17,681        50,381   

Other accrued expenses payable

    86,288        123,244        61,728        107,608        179,632   
 

 

 

 

Total accrued liabilities

    8,966,811        16,965,317        4,443,776        3,745,030        29,673,908   
 

 

 

 
         
Other Liabilities                                        

TOB trust certificates

    50,557,016        139,157,373        13,492,998        93,113,130        271,906,157   

VMTP Shares, at liquidation value of $100,000 per share3,4

    131,000,000                               

VRDP Shares, at liquidation value of $100,000 per share3,4

           166,500,000        87,300,000        247,700,000        356,400,000   
 

 

 

 

Total other liabilities

    181,557,016        305,657,373        100,792,998        340,813,130        628,306,157   
 

 

 

 

Total liabilities

    190,523,827        322,622,690        105,236,774        344,558,160        657,980,065   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 341,527,226      $ 571,661,691      $ 182,985,207      $ 582,310,938      $ 1,056,791,298   
 

 

 

 
         
Net Assets Applicable to Common Shareholders Consist of                                        

Paid-in capital5,6

  $ 300,068,094      $ 492,920,813      $ 162,583,742      $ 532,521,339      $ 952,923,760   

Undistributed net investment income

    2,903,649        4,596,644        1,131,112        5,260,097        16,224,907   

Accumulated net realized loss

    (19,794,087     (3,941,681     (5,630,732     (33,334,529     (92,409,844

Net unrealized appreciation/depreciation

    58,349,570        78,085,915        24,901,085        77,864,031        180,052,475   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 341,527,226      $ 571,661,691      $ 182,985,207      $ 582,310,938      $ 1,056,791,298   
 

 

 

 

Net asset value, per Common Share

  $ 15.17      $ 16.62      $ 15.12      $ 14.71      $ 15.57   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 457,097,575      $ 787,940,108      $ 257,378,255      $ 827,206,889      $ 1,483,191,851   

2    Investments at cost — affiliated

  $ 5,400,634      $ 8,933,513      $ 2,086,416      $ 8,344,352      $ 8,417,550   

3    Preferred Shares outstanding, par value $0.10 per share

    1,310        1,665        873        2,477        3,564   

4    Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    9,490        12,665        4,833        14,637        26,364   

5    Common Shares outstanding, par value $0.10 per share

    22,515,224        34,396,651        12,098,420        39,586,584        67,862,354   

6    Common Shares authorized

    199,990,510        199,987,335        199,995,167        199,985,363        199,973,636   

 

 

See Notes to Financial Statements.      
                
42    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Statements of Operations     
Six Months Ended January 31, 2015 (Unaudited)   BlackRock
MuniHoldings
Quality
Fund II, Inc.
(MUE)
    BlackRock
MuniYield
California
Quality
Fund, Inc.
(MCA)
    BlackRock
MuniYield
Michigan
Quality
Fund II, Inc.
(MYM)
    BlackRock
MuniYield
New York
Quality
Fund, Inc.
(MYN)
    BlackRock
MuniYield
Quality
Fund III, Inc.
(MYI)
 
         
Investment Income                                        

Interest

  $ 11,472,819      $ 17,771,697      $ 5,897,013      $ 18,970,007      $ 36,819,907   

Income — affiliated

    430        1        147        2        2,090   
 

 

 

 

Total income

    11,473,249        17,771,698        5,897,160        18,970,009        36,821,997   
 

 

 

 
         
Expenses                                        

Investment advisory

    1,428,485        2,160,074        699,628        2,286,615        4,157,715   

Professional

    45,070        63,186        33,638        55,755        98,081   

Accounting services

    38,840        56,141        22,776        58,537        87,922   

Officer and Directors

    14,701        25,521        8,086        25,633        46,605   

Transfer agent

    18,768        18,002        11,768        23,216        44,022   

Custodian

    13,254        18,039        8,095        19,830        32,202   

Registration

    4,759        6,057        4,717        6,954        11,965   

Printing

    4,778        5,927        3,849        6,428        8,992   

Miscellaneous

    38,275        44,191        36,395        51,312        65,089   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,606,930        2,397,138        828,952        2,534,280        4,552,593   

Interest expense, fees and amortization of offering costs1

    882,622        1,209,341        474,181        1,529,575        2,568,199   
 

 

 

 

Total expenses

    2,489,552        3,606,479        1,303,133        4,063,855        7,120,792   

Less fees waived by Manager

    (10,651     (444     (4,828     (1,707     (440
 

 

 

 

Total expenses after fees waived

    2,478,901        3,606,035        1,298,305        4,062,148        7,120,352   
 

 

 

 

Net investment income

    8,994,348        14,165,663        4,598,855        14,907,861        29,701,645   
 

 

 

 
         
Realized and Unrealized Gain (Loss)                                        

Net realized gain (loss) from:

         

Investments

    1,256,288        3,544,119        933,445        587,195        2,139,493   

Financial futures contracts

    (499,170     (1,225,893     (87,597     (1,658,302     (1,875,114

Capital gain distributions received from affiliated investment companies

           106               567          
 

 

 

 
    757,118        2,318,332        845,848        (1,070,540     264,379   
 

 

 

 
Net change in unrealized appreciation/depreciation on:          

Investments

    18,524,544        16,534,123        10,174,319        28,996,224        53,659,493   

Financial futures contracts

    (1,788,085     (1,417,935     (418,206     (2,808,859     (3,919,740
 

 

 

 
    16,736,459        15,116,188        9,756,113        26,187,365        49,739,753   
 

 

 

 

Net realized and unrealized gain

    17,493,577        17,434,520        10,601,961        25,116,825        50,004,132   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 26,487,925      $ 31,600,183      $ 15,200,816      $ 40,024,686      $ 79,705,777   
 

 

 

 

1    Related to TOBs, VMTP Shares and/or VRDP Shares.

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    43


Statements of Changes in Net Assets     
    BlackRock MuniHoldings
Quality Fund II, Inc. (MUE)
        BlackRock MuniYield California
Quality Fund, Inc. (MCA)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
        Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
 
         
Operations                                    

Net investment income

  $ 8,994,348      $ 18,473,318        $ 14,165,663      $ 29,819,595   

Net realized gain (loss)

    757,118        (7,372,515       2,318,332        (1,794,451

Net change in unrealized appreciation/depreciation

    16,736,459        33,803,179          15,116,188        48,350,927   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    26,487,925        44,903,982          31,600,183        76,376,071   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders From1                                    

Net investment income

    (9,523,940     (19,047,886       (15,065,733     (31,266,556
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    16,963,985        25,856,096          16,534,450        45,109,515   

Beginning of period

    324,563,241        298,707,145          555,127,241        510,017,726   
 

 

 

     

 

 

 

End of period

  $ 341,527,226      $ 324,563,241        $ 571,661,691      $ 555,127,241   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 2,903,649      $ 3,433,241        $ 4,596,644      $ 5,496,714   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
44    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Statements of Changes in Net Assets     
    BlackRock MuniYield Michigan
Quality Fund II, Inc. (MYM)
        BlackRock MuniYield New York
Quality Fund, Inc. (MYN)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
        Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
 
         
Operations                                    

Net investment income

  $ 4,598,855      $ 9,506,271        $ 14,907,861      $ 30,963,379   

Net realized gain (loss)

    845,848        (5,114,709       (1,070,540     (15,290,126

Net change in unrealized appreciation/depreciation

    9,756,113        17,403,906          26,187,365        53,389,204   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    15,200,816        21,795,468          40,024,686        69,062,457   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders From1                                    

Net investment income

    (4,790,974     (9,854,163       (15,320,008     (32,718,944
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    10,409,842        11,941,305          24,704,678        36,343,513   

Beginning of period

    172,575,365        160,634,060          557,606,260        521,262,747   
 

 

 

     

 

 

 

End of period

  $ 182,985,207      $ 172,575,365        $ 582,310,938      $ 557,606,260   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,131,112      $ 1,323,231        $ 5,260,097      $ 5,672,244   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    45


Statements of Changes in Net Assets     
    BlackRock MuniYield Quality
Fund III, Inc. (MYI)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended
January 31,

2015
(Unaudited)

   

Year Ended
July 31,

2014

 
   
Operations                

Net investment income

  $ 29,701,645      $ 60,545,009   

Net realized gain (loss)

    264,379        (6,658,344

Net change in unrealized appreciation/depreciation

    49,739,753        86,903,888   
 

 

 

   

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    79,705,777        140,790,553   
 

 

 

   

 

 

 
   
Distributions to Common Shareholders From1                

Net investment income

    (30,205,533     (59,311,697
 

 

 

   

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase in net assets applicable to Common Shareholders

    49,500,244        81,478,856   

Beginning of period

    1,007,291,054        925,812,198   
 

 

 

   

 

 

 

End of period

  $ 1,056,791,298      $ 1,007,291,054   
 

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 16,224,907      $ 16,728,795   
 

 

 

   

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

   

 

 

See Notes to Financial Statements.      
                
46    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Statements of Cash Flows     
Six Months Ended January 31, 2015 (Unaudited)   BlackRock
MuniHoldings
Quality
Fund II, Inc.
(MUE)
    BlackRock
MuniYield
California
Quality
Fund, Inc.
(MCA)
    BlackRock
MuniYield
Michigan
Quality
Fund II, Inc.
(MYM)
    BlackRock
MuniYield
New York
Quality
Fund, Inc.
(MYN)
    BlackRock
MuniYield
Quality
Fund III, Inc.
(MYI)
 
         
Cash Provided by Operating Activities                                        

Net increase in net assets resulting from operations

  $ 26,487,925      $ 31,600,183      $ 15,200,816      $ 40,024,686      $ 79,705,777   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

         

(Increase) decrease in interest receivable

    60,196        134,883        11,284        545,302        (55,219

Decrease in variation margin receivable on financial futures contracts

    9,843        16,498        2,344        26,903        28,872   

Decrease in prepaid expenses

    14,943        12,240        17,861        12,132        7,460   

Increase in cash pledged for financial futures contracts

    (356,000     (62,000     (109,000     (96,000     (620,000

Increase in investment advisory fees payable

    10,726        4,631        3,101        11,019        17,382   

Decrease in interest expense and fees payable

    (1,168     (6,269     (778     (1,508     (13,593

Decrease in other accrued expenses payable

    (23,314     (16,206     (26,248     (36,406     (39,672

Increase in variation margin payable on financial futures contracts

    325,875        275,000        92,813        445,500        741,978   

Increase (decrease) in Officer’s and Directors’ fees payable

    (786     11,117        (153     11,037        20,503   

Net realized gain on investments

    (1,256,288     (3,544,119     (933,445     (587,195     (2,139,493

Net unrealized gain on investments

    (18,524,544     (16,534,123     (10,174,319     (28,996,224     (53,659,493

Amortization of premium and accretion of discount on investments

    756,134        1,952,189        424,902        1,304,181        (1,613,375

Proceeds from sales of long-term investments

    22,586,838        165,149,444        30,361,709        77,461,940        72,798,099   

Purchases of long-term investments

    (20,123,572     (163,537,463     (30,267,150     (75,539,074     (69,214,800

Net proceeds from sales (purchases) of short-term securities

    (1,226,253     (7,692,271     183,198        (2,652,865     (544,623
 

 

 

 

Net cash provided by operating activities

    8,740,555        7,763,734        4,786,935        11,933,428        25,419,803   
 

 

 

 
         
Cash Used for Financing Activities                                        

Proceeds from TOB trust certificates

           24,680,000               5,330,000        25,647,451   

Repayments of TOB trust certificates

    (1,940,136     (17,525,000            (1,951,088     (21,174,109

Cash dividends paid to Common Shareholders

    (9,523,940     (15,065,733     (4,790,974     (15,320,008     (30,205,533

Increase in bank overdraft

    2,576,264                               

Amortization of deferred offering costs

    30,578        5,770        4,039        7,668        10,083   
 

 

 

 

Net cash used for financing activities

    (8,857,234     (7,904,963     (4,786,935     (11,933,428     (25,722,108
 

 

 

 
         
Cash                                        

Net decrease in cash

    (116,679     (141,229                   (302,305

Cash at beginning of period

    116,679        141,229                      302,305   
 

 

 

 

Cash at end of period

                                  
 

 

 

 
         
Supplemental Disclosure of Cash Flow Information                                        

Cash paid during the period for interest and fees

  $ 853,212      $ 1,209,734      $ 470,920      $ 1,522,848      $ 2,571,709   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    47


Financial Highlights    BlackRock MuniHoldings Quality Fund II, Inc. (MUE)
    Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended July 31,  
    2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.42      $ 13.27      $ 15.18      $ 13.07      $ 13.57      $ 12.27   
 

 

 

 

Net investment income1

    0.40        0.82        0.81        0.86        0.89        0.92   

Net realized and unrealized gain (loss)

    0.77        1.18        (1.87     2.14        (0.49     1.26   

Distributions to AMPS Shareholders from net investment income

                         (0.01     (0.02     (0.02
 

 

 

 

Net increase (decrease) from investment operations

    1.17        2.00        (1.06     2.99        0.38        2.16   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.42     (0.85     (0.85     (0.88     (0.88     (0.86
 

 

 

 

Net asset value, end of period

  $ 15.17      $ 14.42      $ 13.27      $ 15.18      $ 13.07      $ 13.57   
 

 

 

 

Market price, end of period

  $ 14.13      $ 12.94      $ 12.32      $ 15.55      $ 12.46      $ 14.26   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    8.54% 4      16.19%        (7.41)%        23.64%        3.19%        18.04%   
 

 

 

 

Based on market price

    12.67% 4      12.30%        (16.08)%        32.85%        (6.38)%        33.51%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.49% 5      1.61%        1.66%        1.52% 6      1.30% 6      1.28% 6 
 

 

 

 

Total expenses after fees waived

    1.48% 5      1.56%        1.60%        1.46% 6      1.23% 6      1.15% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.95% 5      0.95%        0.97%        1.00% 6,8      1.07% 6      0.99% 6 
 

 

 

 

Net investment income

    5.37% 5      6.01%        5.36%        6.05% 6      6.93% 6      6.92% 6 
 

 

 

 

Distributions to AMPS Shareholders

                         0.04%        0.17%        0.18%   
 

 

 

 

Net investment income to Common Shareholders

    5.37% 5      6.01%        5.36%        6.01%        6.76%        6.74%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $  341,527      $  324,563      $  298,707      $  341,144      $  293,356      $  303,667   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                              $ 131,000      $ 131,000   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                              $ 80,983      $ 82,953   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 131,000      $ 131,000      $ 131,000      $ 131,000                 
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 360,708      $ 347,758      $ 328,021      $ 360,416                 
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 50,557      $ 52,497      $ 83,123      $ 88,921      $ 62,183      $ 62,693   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 7,755      $ 7,183        4,594      $ 4,836      $ 5,718      $ 5,844   
 

 

 

 

Portfolio turnover rate

    5%        28%        40%        36%        24%        20%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VMTP Shares. See Note 3 and 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.97%.

 

 

See Notes to Financial Statements.      
                
48    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Financial Highlights    BlackRock MuniYield California Quality Fund, Inc.  (MCA)
    Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended July 31,  
    2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 16.14      $ 14.83      $ 16.60      $ 14.31      $ 14.66      $ 13.43   
 

 

 

 

Net investment income1

    0.41        0.87        0.88        0.90        0.91        0.87   

Net realized and unrealized gain (loss)

    0.51        1.35        (1.74     2.28        (0.37     1.15   

Distributions to AMPS Shareholders from net investment income

                                (0.02     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.92        2.22        (0.86     3.18        0.52        1.99   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.44     (0.91     (0.91     (0.89     (0.87     (0.76
 

 

 

 

Net asset value, end of period

  $ 16.62      $ 16.14      $ 14.83      $ 16.60      $ 14.31      $ 14.66   
 

 

 

 

Market price, end of period

  $ 15.82      $ 14.37      $ 13.66      $ 16.59      $ 13.00      $ 14.02   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    6.01% 4      16.04%        (5.41)%        23.15%        4.21%        15.69%   
 

 

 

 

Based on market price

    13.34% 4      12.16%        (12.83)%        35.48%        (1.01)%        23.00%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.27% 5      1.40%        1.48%        1.62%        1.50% 6      1.11% 6 
 

 

 

 

Total expenses after fees waived

    1.27% 5      1.40%        1.48%        1.61%        1.49% 6      1.10% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.85% 5      0.90%        0.92%        1.20% 8      1.15% 6      0.95% 6 
 

 

 

 

Net investment income

    5.00% 5      5.63%        5.37%        5.79%        6.49% 6      6.10% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.16%        0.20%   
 

 

 

 

Net investment income to Common Shareholders

    5.00% 5      5.63%        5.37%        5.79%        6.33%        5.90%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $   571,662      $   555,127      $   510,018      $   570,559      $   491,798      $   503,869   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 166,525   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 100,648   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 166,500      $ 166,500      $ 166,500      $ 166,500      $ 166,500          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 443,340      $ 433,410      $ 406,317      $ 442,678      $ 395,374          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 139,157      $ 127,397      $ 188,185      $ 199,874      $ 179,422      $ 171,137   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 5,108      $ 5,357      $ 3,710      $ 3,855      $ 3,741      $ 3,944   
 

 

 

 

Portfolio turnover rate

    17%        15%        25%        34%        26%        30%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related 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.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.95%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    49


Financial Highlights    BlackRock MuniYield Michigan Quality Fund II, Inc.  (MYM)
    Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 14.26      $ 13.28      $ 15.14      $ 13.53      $ 13.82      $ 12.87   
 

 

 

 

Net investment income1

    0.38        0.79        0.81        0.80        0.86        0.91   

Net realized and unrealized gain (loss)

    0.88        1.00        (1.84     1.68        (0.26     0.90   

Distributions to AMPS Shareholders from net investment income

                                (0.03     (0.04
 

 

 

 

Net increase (decrease) from investment operations

    1.26        1.79        (1.03     2.48        0.57        1.77   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.40     (0.81     (0.83     (0.87     (0.86     (0.82
 

 

 

 

Net asset value, end of period

  $ 15.12      $ 14.26      $ 13.28      $ 15.14      $ 13.53      $ 13.82   
 

 

 

 

Market price, end of period

  $ 13.45      $ 12.56      $ 11.64      $ 14.52      $ 12.28      $ 13.67   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    9.33% 4      14.84%        (6.99)%        19.01%        4.74%        14.62%   
 

 

 

 

Based on market price

    10.42% 4      15.39%        (14.99)%        25.76%        (3.89)%        26.01%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.46% 5      1.55%        1.54%        1.71%        1.32% 6      1.08% 6 
 

 

 

 

Total expenses after fees waived

    1.46% 5      1.55%        1.54%        1.71%        1.31% 6      1.07% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.92% 5      0.96%        0.95%        1.37% 8      1.21% 6      1.03% 6 
 

 

 

 

Net investment income

    5.16% 5      5.81%        5.41%        5.56%        6.46% 6      6.74% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.23%        0.28%   
 

 

 

 

Net investment income to Common Shareholders

    5.16% 5      5.81%        5.41%        5.56%        6.23%        6.46%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

   $ 182,985      $  172,575      $  160,634      $  183,076      $  163,276      $  166,773   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 87,350   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 72,733   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 87,300      $ 87,300      $ 87,300      $ 87,300      $ 87,300          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 309,605      $ 297,681      $ 284,002      $ 309,709      $ 287,029          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 13,493      $ 13,492      $ 19,344      $ 16,718      $ 9,030      $ 9,030   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 14,561      $ 13,791      $ 9,304      $ 11,951      $ 19,082      $ 19,469   
 

 

 

 

Portfolio turnover rate

    11%        17%        14%        19%        18%        18%   
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Distributions 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 distributions.

 

  4  

Aggregate total return.

 

  5  

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7  

Interest expense, fees and amortization of offering costs related 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.

 

  8  

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.98%.

 

 

See Notes to Financial Statements.      
                
50    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


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

Six Months Ended

January 31,

2015
(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 14.09      $ 13.17      $ 15.07      $ 13.44      $ 13.89      $ 12.65   
 

 

 

 

Net investment income1

    0.38        0.78        0.83        0.83        0.87        0.90   

Net realized and unrealized gain (loss)

    0.63        0.97        (1.88     1.65        (0.44     1.08   

Distributions to AMPS Shareholders from net investment income

                                (0.03     (0.04
 

 

 

 

Net increase (decrease) from investment operations

    1.01        1.75        (1.05     2.48        0.40        1.94   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.39     (0.83     (0.85     (0.85     (0.85     (0.70
 

 

 

 

Net asset value, end of period

  $ 14.71      $ 14.09      $ 13.17      $ 15.07      $ 13.44      $ 13.89   
 

 

 

 

Market price, end of period

  $ 13.74      $ 12.71      $ 12.34      $ 15.11      $ 12.60      $ 13.57   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    7.52% 4      14.21%        (7.33)%        19.10%        3.36%        16.15%   
 

 

 

 

Based on market price

    11.33% 4      9.95%        (13.40)%        27.38%        (0.81)%        26.36%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.42% 5      1.50%        1.53%        1.65%        1.34% 6      1.11% 6 
 

 

 

 

Total expenses after fees waived

    1.42% 5      1.50%        1.53%        1.65%        1.33% 6      1.10% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.88% 5      0.91%        0.91%        1.27% 8      1.14% 6      1.00% 6 
 

 

 

 

Net investment income

    5.20% 5      5.82%        5.59%        5.78%        6.55% 6      6.69% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.21%        0.27%   
 

 

 

 

Net investment income to Common Shareholders

    5.20% 5      5.82%        5.59%        5.78%        6.34%        6.42%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $  582,311      $  557,606      $  521,263      $  594,807      $  530,058      $  547,812   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 247,700   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 80,293   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 247,700      $ 247,700      $ 247,700      $ 247,700      $ 247,700          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 335,087      $ 325,114      $ 310,441      $ 340,132      $ 313,992          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 93,113      $ 89,734      $ 108,615      $ 117,960      $ 78,615      $ 78,615   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 7,254      $ 7,214      $ 5,799      $ 6,042      $ 7,742      $ 7,968   
 

 

 

 

Portfolio turnover rate

    8%        18%        10%        17%        18%        7%   
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Distributions 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 distributions.

 

  4  

Aggregate total return.

 

  5  

Annualized.

 

  6  

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7  

Interest expense, fees and amortization of offering costs related 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.

 

  8  

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.92%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    51


Financial Highlights    BlackRock MuniYield Quality Fund III, Inc. (MYI)
   

Six Months Ended

January 31,

2015
(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 14.84      $ 13.64      $ 15.32      $ 13.19      $ 13.67      $ 12.27   
 

 

 

 

Net investment income1

    0.44        0.89        0.89        0.87        0.89        0.89   

Net realized and unrealized gain (loss)

    0.74        1.18        (1.70     2.13        (0.48     1.31   

Distributions to AMPS Shareholders from net investment income

                                (0.03     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    1.18        2.07        (0.81     3.00        0.38        2.17   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.45     (0.87     (0.87     (0.87     (0.86     (0.77
 

 

 

 

Net asset value, end of period

  $ 15.57      $ 14.84      $ 13.64      $ 15.32      $ 13.19      $ 13.67   
 

 

 

 

Market price, end of period

  $ 14.76      $ 13.46      $ 12.80      $ 15.81      $ 12.17      $ 14.17   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    8.26% 4      16.23%        (5.66)%        23.45%        3.22%        18.19%   
 

 

 

 

Based on market price

    13.15% 4      12.35%        (14.21)%        38.08%        (8.12)%        24.03%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.37% 5      1.47%        1.43%        1.57%        1.32% 6      1.11% 6 
 

 

 

 

Total expenses after fees waived

    1.37% 5      1.47%        1.43%        1.56%        1.32% 6      1.11% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.88% 5      0.91%        0.89%        1.19% 8      1.12% 6      0.97% 6 
 

 

 

 

Net investment income

    5.73% 5      6.35%        5.83%        6.04%        6.85% 6      6.73% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.22%        0.26%   
 

 

 

 

Net investment income to Common Shareholders

    5.73% 5      6.35%        5.83%        6.04%        6.63%        6.47%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $  1,056,791      $  1,007,291      $  925,812      $  1,036,022      $  890,985      $  920,234   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 356,450   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 89,545   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 356,400      $ 356,400      $ 356,400      $ 356,400      $ 356,400          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 396,518      $ 382,629      $ 359,768      $ 390,691      $ 349,996          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 271,906      $ 262,507      $ 287,426      $ 249,148      $ 216,503      $ 195,663   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 4,887      $ 4,837      $ 4,221      $ 5,158      $ 5,115      $ 5,703   
 

 

 

 

Portfolio turnover rate

    5%        15%        9%        18%        12%        13%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions 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 distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related 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.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.90%.

 

 

See Notes to Financial Statements.      
                
52    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (Unaudited)     

1. Organization:

The following are registered under the 1940 Act as closed-end management investment companies and referred to herein collectively as the “Funds”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock MuniHoldings Quality Fund ll, Inc.

  MUE    Maryland    Non-diversified

BlackRock MuniYield California Quality Fund, Inc.

  MCA    Maryland    Non-diversified

BlackRock MuniYield Michigan Quality Fund II, Inc.

  MYM    Maryland    Non-diversified

BlackRock MuniYield New York Quality Fund, Inc.

  MYN    Maryland    Non-diversified

BlackRock MuniYield Quality Fund III, Inc.

  MYI    Maryland    Non-diversified

The Board of Directors of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors thereof are collectively referred to throughout this report as “Directors.” The Funds determine and make available for publication the NAVs of their Common Shares on a daily basis.

2. Significant Accounting Policies:

The Funds’ 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 Fund 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 Funds:

Valuation: The Funds’ investments are valued at fair value as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the report date). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Funds 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 Investments”). When determining the price for Fair Value Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability 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 Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Segregation and Collateralization: In cases where a Fund 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 Fund 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 Fund’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 Fund 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.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Distributions to Preferred Shareholders are accrued and determined as described in Note 9.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    53


Notes to Financial Statements (continued)     

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the independent Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Deferred compensation liabilities are included in officer’s and directors’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Funds 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 Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Municipal Bonds Transferred to TOB Trusts: The Funds leverage their assets through the use of TOB Trusts. The Funds transfer municipal bonds into a special purpose entity (“TOB Trust”). Other funds managed by the investment advisor may also contribute municipal bonds to a TOB Trust into which a Fund 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 Trust, the rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the Trust.

The municipal bonds transferred to a TOB Trust typically are high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB transaction includes a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider. The Funds, as TOB Residual holders, would be responsible for the payment of the credit enhancement fee and for reimbursement of any payments of principal and interest made by the credit enhancement provider.

The Residuals held by a Fund include the right of a Fund (subject to the non-occurrence of certain termination events enumerated below, and a specified number of days’ prior notice), to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates at par plus accrued interest. Thereafter, that Fund may withdraw a corresponding share of the municipal bonds from the TOB Trust. The TOB Trust may also be collapsed without the consent of a Fund, upon the occurrence of tender option termination events (“TOTEs”) and mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs may include the bankruptcy or default of the issuer of the municipal bond, a substantial downgrade in credit quality of the issuer of the municipal bond, failure of any scheduled payment of principal or interest on the underlying bonds, and a judgment or ruling that interest on the municipal bond is subject to federal income taxation. MTEs may include, among other things, a failed remarketing of the TOB Trust Certificates, the inability of the TOB Trust to obtain renewal of the liquidity support agreement and a substantial decline in the market value of the municipal bond. Upon the occurrence of a TOTE or an MTE, the TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the remarketing agent and the Liquidity Provider. In the case of an MTE, after the payment of fees, the TOB Trust Certificate holders would be paid senior to the Residual holders (i.e., the Funds). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificate holders and Residual holders would be paid equally in proportion to the respective face values of their certificates. During the six months ended January 31, 2015, no TOB Trusts in which the Funds participated were terminated without the consent of the Funds.

The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less transaction expenses, is paid to a Fund. The Funds typically invest the cash received in additional municipal bonds. Each Fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes; therefore, the municipal bonds deposited into a TOB Trust are presented in the Funds’ Schedules of Investments and the TOB Trust

 

                
54    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

Certificates are shown in other liabilities in the Statements of Assets and Liabilities. The carrying amount of each Fund’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 Funds may invest in TOB Trusts 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 Fund invests in TOB Trusts on a non-recourse basis, and the Liquidity Provider is required to make a payment under the liquidity facility, 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 Fund invests in a TOB Trust on a recourse basis, the Fund will typically enter into a reimbursement agreement with the Liquidity Provider where the Fund is required to repay the Liquidity Provider the amount of any Liquidation Shortfall. As a result, a Fund investing in a recourse TOB Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by the Funds at January 31, 2015, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by the Funds at January 31, 2015.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Funds on an accrual basis. Interest expense incurred on the secured borrowing and other expenses related to remarketing, administration and trustee services to a TOB Trust 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 January 31, 2015, the aggregate value of the underlying municipal bonds transferred to TOB Trusts, the related liability for TOB Trust Certificates and the range of interest rates on the liability for TOB Trust Certificates were as follows:

 

     Underlying
Municipal
Bonds
Transferred to
TOBs
     Liability for
TOB Trust
Certificates
    

Range of

Interest Rates

 

MUE

  $ 98,320,100       $ 50,557,016         0.02% - 0.25%   

MCA

  $ 307,200,840       $ 139,157,373         0.02% - 0.17%   

MYM

  $ 27,993,082       $ 13,492,998         0.02% - 0.17%   

MYN

  $ 184,217,575       $ 93,113,130         0.02% - 0.20%   

MYI

  $ 520,307,618       $ 271,906,157         0.02% - 0.30%   

For the six months ended January 31, 2015, the Funds’ 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
 

MUE

  $ 51,671,341        0.63

MCA

  $ 128,141,968        0.57

MYM

  $ 13,492,998        0.51

MYN

  $ 91,268,439        0.62

MYI

  $ 264,659,186        0.58

Should short-term interest rates rise, the Funds’ investments in TOB transactions may adversely affect the Funds’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Funds’ NAVs per share.

While the Funds’ investment policies and restrictions expressly permit investments in inverse floating rate securities such as Residuals, they generally do not allow the Funds to borrow money for purposes of making investments. The Funds’ management believes that the Funds’ restrictions on borrowings do not apply to secured borrowings. For accounting purposes, the Funds’ transfer of municipal bonds to a TOB Trust are deemed secured borrowings.

4. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds 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 Funds invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Funds and 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.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    55


Notes to Financial Statements (continued)     

Upon entering into a financial futures contract, the Funds 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 Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Funds 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 Funds 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 Funds’ derivative financial instruments categorized by risk exposure:

 

Fair Values of Derivative Financial Instruments as of January 31, 2015  
          Value  
          MUE      MCA      MYM      MYN      MYI  
      Statements of Assets and Liabilities Location    Derivative Liabilities  

Interest rate contracts

   Net unrealized appreciation/ depreciation1    $ (1,698,145    $ (1,333,178    $ (396,792    $ (2,585,444    $ (3,865,069

 

  1  

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended January 31, 2015
 
    Net Realized Loss From         Net Change in Unrealized Appreciation/Depreciation on  
    MUE     MCA     MYM     MYN     MYI         MUE     MCA     MYM     MYN     MYI  
Interest rate contracts                      

Financial futures contracts

  $ (499,170   $ (1,225,893   $ (87,597   $ (1,658,302   $ (1,875,114       $ (1,788,085   $ (1,417,935   $ (418,206   $ (2,808,859   $ (3,919,740

For the six months ended January 31, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

     MUE      MCA      MYM      MYN      MYI  
Financial future contracts:              

Average notional value of contracts—short

  $ 51,740,313       $ 52,394,570       $ 11,993,047       $ 78,668,641       $ 116,512,953   

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 Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund 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 Funds.

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 Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee at an annual rate of each Fund’s average daily net assets at the following annual rates:

 

MUE

    0.55%   

MCA

    0.50%   

MYM

    0.50%   

MYN

    0.50%   

MYI

    0.50%   

 

                
56    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

Average daily net assets are the average daily value of each Fund’s total assets minus its total accrued liabilities.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investments in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For the six months ended January 31, 2015, the amounts waived were as follows:

 

MUE

  $ 76   

MCA

  $ 444   

MYM

  $ 4,828   

MYN

  $ 1,707   

MYI

  $ 440   

The Manager for MUE voluntarily agreed to waive its investment advisory fee on the proceeds of 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 six months ended January 31, 2015, the waiver was $10,575.

Certain officers and/Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in officer and directors in the Statements of Operations.

6. Purchases and Sales:

For the six months ended January 31, 2015, purchases and sales of investments, excluding short-term securities, were as follows:

 

     MUE      MCA      MYM      MYN      MYI  

Purchases

  $ 24,255,207       $ 162,866,806       $ 33,635,024       $ 75,539,074       $ 91,247,975   

Sales

  $ 26,067,239       $ 143,854,222       $ 30,361,709       $ 77,710,228       $ 84,406,228   

7. Income Tax Information:

It is the Funds’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns remains open for each of the four years ended July 31, 2014. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application the Funds’ facts and circumstances and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

As of July 31, 2014, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires July 31,   MUE      MCA      MYM      MYN      MYI  

2015

                                  $ 5,979,955   

2016

                  $ 714,516       $ 2,330,288         25,066,903   

2017

  $ 3,385,582                 253,932         2,295,738         21,251,301   

2018

    6,013,130       $ 4,809,571                 3,370,191         26,460,028   

2019

                            1,287,746           

No expiration date1

    9,116,400         537,912         5,349,882         19,438,022         6,704,293   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 18,515,112       $ 5,347,483       $ 6,318,330       $ 28,721,985       $ 85,462,480   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

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

 

     MUE      MCA      MYM      MYN      MYI  

Tax cost

  $ 412,671,382       $ 657,201,310       $ 245,914,818       $ 743,783,687       $ 1,224,389,615   
 

 

 

 

Gross unrealized appreciation

  $ 60,056,174       $ 79,934,546       $ 25,399,960       $ 80,708,795       $ 184,175,371   

Gross unrealized depreciation

    (735,686                      (1,374,510      (4,691,955
 

 

 

 

Net unrealized appreciation

  $ 59,320,488       $ 79,934,546       $ 25,399,960       $ 79,334,285       $ 179,483,416   
 

 

 

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    57


Notes to Financial Statements (continued)     

8. Principal Risks:

MCA, MYM and MYN invest a substantial amount of their assets in issuers located in a single state or limited number of states. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

The Funds invest a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. See the Schedules of Investments for these securities and derivatives. Changes in market interest rates or economic conditions, 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 Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

As of January 31, 2015, MUE and MYN invested a significant portion of their assets in securities in the county/city/special district/school district and transportation sectors. MCA invested a significant portion of its assets in securities in the county/city/special district/school district and utilities sectors. MYM invested a significant portion of its assets in securities in the health sector. MYI invested a significant portion of its assets in securities in the transportation sector. Changes in economic conditions affecting such sectors would have a greater impact on the Funds and could affect the value, income and/or liquidity of positions in such securities.

The Funds 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 Funds 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 fund.

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 Volcker Rule. The Volcker Rule precludes banking entities and their affiliates from sponsoring existing TOB Trusts as such Trusts have been structured to date. In response to these restrictions, market participants have developed a new structure for TOB Trusts designed to ensure that no banking entity is sponsoring the TOB Trust for purposes of the Volcker Rule. In such a structure, certain responsibilities that previously belonged to the sponsor bank will be performed by the Funds. The Funds may utilize the service providers in meeting these responsibilities. This structure remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Funds’ ability to hold Residuals. Under the new TOB Trust structure, the Funds will have certain additional duties and responsibilities, which may give rise to certain additional risks including compliance, securities law and operational risks.

There can be no assurance that the Funds can successfully enter into restructured TOB Trust transactions in order to refinance their existing Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Funds unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Funds and any alternative forms of leverage may be more or less advantageous to the Funds 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 Funds. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

 

                
58    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

9. Capital Share Transactions:

Each Fund is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s Common Shares is $0.10. The par value for each Fund’s Preferred Shares outstanding is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

Common Shares

For the six months ended January 31, 2015 and the year ended July 31, 2014, shares issued and outstanding remained constant for the Funds.

Preferred Shares

Each Fund’s Preferred Shares rank prior to the Fund’s Common Shares as to the payment of dividends by the Fund and distribution of assets upon dissolution or liquidation of the Fund. The 1940 Act prohibits the declaration of any dividend on the Fund’s Common Shares or the repurchase of the Fund’s Common Shares if the Fund fails 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 Fund is 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 Fund fails 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 Directors for each Fund. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Fund’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

MCA, MYM, MYN and MYI (collectively, the “VRDP Funds”), have issued Series W-7 VRDP Shares, $100,000 liquidation value per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, 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 VRDP Funds are required to redeem the VRDP Shares owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Upon the occurrence of the first unsuccessful remarketing, the VRDP Funds are required to segregate liquid assets to fund the redemption. The VRDP Shares are subject to certain restrictions on transfer.

As of the six months ended January 31, 2015, the VRDP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

MCA

    4/21/11         1,665       $ 166,500,000         5/01/41   

MYM

    5/19/11         873       $ 87,300,000         6/01/41   

MYN

    4/21/11         2,477       $ 247,700,000         5/01/41   

MYI

    5/19/11         3,564       $ 356,400,000         6/01/41   

Each VRDP Fund entered into a fee agreement with the liquidity provider may require 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 each VRDP Fund and the liquidity provider is scheduled to expire on July 9, 2015 unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and the VRDP Funds do not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. The VRDP Funds are required to redeem any VRDP Shares purchased by the liquidity provider six months after the purchase date. Immediately after the purchase of any VRDP Shares by the liquidity provider, the VRDP Funds are required to begin to segregate liquid assets with the VRDP Funds’ custodian to fund the redemption. There is no assurance the VRDP Funds will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Each VRDP Fund is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Fund is required to begin to segregate liquid assets with the VRDP Funds’ custodian to fund the redemption. In addition, each VRDP Fund is 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 VRDP Funds. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends.

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

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    59


Notes to Financial Statements (continued)     

maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of January 31, 2015, the VRDP Shares were assigned a long-term rating of Aa2 for MCA, MYM and MYN and Aa1 for MYI from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly related based upon either short-term rating. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories. The short-term ratings on the VRDP Shares were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period, as described below.

For financial reporting purposes, the VRDP Shares are considered debt of the issuer; therefore, the liquidation value, which approximates fair value, of the VRDP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

The VRDP Funds 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.

For the six months ended January 31, 2015, the annualized dividend rates for the VRDP Shares were as follows:

 

     MCA      MYM      MYN      MYI  

Rate

    0.99%         0.99%         0.99%         0.99%   

On June 21, 2012, the VRDP Funds commenced a three-year term ending June 24, 2015 (“special rate period”) with respect to their VRDP Shares. The implementation of the special rate period resulted in a mandatory tender of the 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 Funds 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, the VRDP Funds are required to maintain the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares. The VRDP Funds will not pay any liquidity and remarketing fees during the special rate period and instead will pay dividends monthly based on the sum of Securities Industry and Financial Markets Association (“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 the VRDP Funds redeem the VRDP Shares on a date that is one year or more before the end of the special rate period and the VRDP Shares are rated above A1/A by Moody’s and Fitch respectively, then such redemption is subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. After June 24, 2015, the holder of the VRDP Shares and the VRDP Funds 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.

As of the six months ended January 31, 2015, VRDP Shares issued and outstanding remained constant.

VMTP Shares

MUE has issued Series W-7 VMTP Shares, $100,000 liquidation value per share, in a privately negotiated offering and sale of VMTP Shares exempt from registration under the Securities Act.

As of the six months ended January 31, 2015, the VMTP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

MUE

    12/16/11         1,310       $ 131,000,000         12/31/15   

MUE is required to redeem its VMTP Shares on the term date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of the MUE’s VMTP Shares will be extended further or that VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to term date, MUE is required to begin to segregate liquid assets with MUE’s custodian to fund the redemption. In addition, MUE is required to redeem certain of its outstanding VMTP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

 

                
60    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (concluded)     

Subject to certain conditions, MUE’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of MUE. The redemption price per VMTP Share is equal to the liquidation value per share plus any outstanding unpaid dividends and applicable redemption premium. If MUE redeems the VMTP Shares on a date that is one year or more prior to the term date and the VMTP Shares are rated above A1/A+ by Moody’s and Fitch, respectively, then such redemption is subject to a prescribed redemption premium (up to 3% of the liquidation preference) payable to the holder of the VMTP Shares based on the time remaining to the term date, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. The VMTP Shares are subject to certain restrictions on transfer, and MUE may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing document generally require the consent of the holders of VMTP Shares.

Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the SIFMA Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by Moody’s and Fitch. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of January 31, 2015, the VMTP Shares were assigned a long-term rating of Aa1 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. The dividend rate on the VMTP Shares is subject to a step-up spread if MUE fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

For the six months ended January 31, 2015, the average annualized dividend rate of the VMTP Shares was 1.04%.

For financial reporting purposes, the VMTP Shares are considered debt of the issuer; therefore the liquidation value, which approximates fair value, of the VMTP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

For the six months ended January 31, 2015, VMTP Shares issued and outstanding remained constant.

Offering Costs: The Funds incurred costs in connection with the issuance of VRDP Shares and/or VMTP Shares. For VRDP Shares, these costs were recorded as a deferred charge and will be amortized over the 30-year life of the VRDP Shares with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. For VMTP Shares, these costs were recorded as a deferred charge and will be amortized over the 3-year life of the VMTP Shares. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Fund paid a net investment income dividend on March 2, 2015 to Common Shareholders of record on February 13, 2015:

 

     Common
Dividend
Per Share
 

MUE

  $ 0.0705   

MCA

  $ 0.0730   

MYM

  $ 0.0660   

MYN

  $ 0.0645   

MYI

  $ 0.0740   

Additionally, the Funds declared a net investment income dividend on March 2, 2015 payable to Common Shareholders of record on March 13, 2015 for the same amounts noted above, except the amount for MUE was $0.0680.

The dividends declared on VMTP or VRDP Shares for the period February 1, 2015 to February 28, 2015 were as follows:

 

     Preferred
Shares
     Series      Dividend
Declared
 

MUE

    VMTP Shares         W-7       $ 102,503   

MCA

    VRDP Shares         W-7       $ 123,894   

MYM

    VRDP Shares         W-7       $ 64,961   

MYN

    VRDP Shares         W-7       $ 184,316   

MYI

    VRDP Shares         W-7       $ 265,201   

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    61


Officers and Directors     

 

Richard E. Cavanagh, Chairman of the Board and Director

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Director

Michael J. Castellano, Director and Member of the Audit Committee

Frank J. Fabozzi, Director and Member of the Audit Committee

Kathleen F. Feldstein, Director

James T. Flynn, Director and Member of the Audit Committee

Jerrold B. Harris, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director and Member of the Audit Committee

Barbara G. Novick, Director

John M. Perlowski, Director, President and Chief Executive Officer

Robert W. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective September 5, 2014, Brendan Kyne resigned as a Vice President of the Funds.

Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Directors of the Funds. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Directors of the Funds.

 

         

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Transfer Agent

Common Shares

Computershare Trust Company, N.A.

Canton, MA 02021

 

VRDP Remarketing Agent

Citigroup Global Markets Inc.

New York, NY 10179

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

Custodian

State Street Bank and
Trust Company

Boston, MA 02110

 

VRDP Tender and Paying Agent and

VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Liquidity Prorider

Citibank, N.A.

New York, NY 10179

 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

New York, NY 10036

 
   

Accounting Agent

State Street Bank and

Trust Company

Boston, MA 02110

   

 

                
62    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Additional Information     

 

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    63


Additional Information (continued)     

 

General Information (concluded)

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) 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 Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Shelf Offering Program

From time-to-time, each Fund may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Fund 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 Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Fund 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 Funds have not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Fund Common Shares and is not a solicitation of an offer to buy Fund Common Shares. If a Fund files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Fund and should be read carefully before investing.

 

                
64    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Additional Information (concluded)     

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    65


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

LOGO

MHMYINS5-1/15-SAR    LOGO


Item 2 – Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies
  (a) Not Applicable to this semi-annual report
  (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 – Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) –    Certifications – Attached hereto

 

2


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

BlackRock MuniYield Quality Fund III, Inc.

 

By:    

/s/ John M. Perlowski                

John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock MuniYield Quality Fund III, Inc.

Date: April 2, 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 MuniYield Quality Fund III, Inc.

 

Date: April 2, 2015

 

By:

/s/ Neal J. Andrews

Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock MuniYield Quality Fund III, Inc.

Date: April 2, 2015

 

3