BLACKROCK MUNIHOLDINGS NEW YORK QUALITY FUND, 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 811-08217

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2016

Date of reporting period: 02/29/2016


Item 1 – Report to Stockholders


FEBRUARY 29, 2016

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Maryland Municipal Bond Trust (BZM)

BlackRock Massachusetts Tax-Exempt Trust (MHE)

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

BlackRock New Jersey Municipal Bond Trust (BLJ)

BlackRock New York Municipal Bond Trust (BQH)

BlackRock New York Municipal Income Quality Trust (BSE)

BlackRock New York Municipal Income Trust II (BFY)

BlackRock Virginia Municipal Bond Trust (BHV)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

 

     Page  

The Markets in Review

    3   

Semi-Annual Report:

 

Municipal Market Overview

    4   

The Benefits and Risks of Leveraging

    5   

Derivative Financial Instruments

    5   

Trust Summaries

    6   
Financial Statements:  

Schedules of Investments

    22   

Statements of Assets and Liabilities

    60   

Statements of Operations

    62   

Statements of Changes in Net Assets

    64   

Statements of Cash Flows

    66   

Financial Highlights

    68   

Notes to Financial Statements

    76   

Officers and Trustees

    86   

Additional Information

    87   

 

                
2    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


The Markets in Review

 

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating the curtailment of the Federal Reserve’s near-zero interest rate policy, which ultimately came in December. In contrast, the European Central Bank and the Bank of Japan took measures to stimulate growth. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Global market volatility increased in the latter part of 2015 and continued into early 2016. Oil prices collapsed in mid-2015 due to excess supply, and remained precarious while the world’s largest oil producers sought to negotiate a deal. Developing countries, many of which rely heavily on oil exports to sustain their economies, were particularly affected by falling oil prices. Meanwhile, China, one of the world’s largest oil consumers, exhibited further signs of slowing economic growth. This, combined with a depreciating yuan and declining confidence in the country’s policymakers, stoked worries about the potential impact of China’s weakness on the broader global economy.

Toward the end of the period, volatility abated as investors were relieved to find that conditions were not as bad as previously feared. While the recent selloff in risk assets has resulted in more reasonable valuations and some appealing entry points, investors continue to face mixed economic data and uncertainty relating to oil prices, corporate earnings and an unusual U.S. presidential election season.

For the 12-month period, higher quality assets such as U.S. Treasuries, municipal bonds and investment grade corporate bonds generated positive returns, while risk assets such as equities and high yield bonds broadly declined.

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 February 29, 2016  
    6-month     12-month  

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

    (0.92 )%      (6.19 )% 

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

    (10.16     (14.97

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

    (9.48     (15.18

Emerging market equities
(MSCI Emerging Markets Index)

    (8.85     (23.41

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

    0.06        0.08   

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

    5.01        4.11   

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

    2.20        1.50   

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

    3.56        3.78   

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

    (5.57     (8.26
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 February 29, 2016      

Municipal Market Conditions

Municipal bonds generated positive performance for the period, due to a favorable supply-and-demand environment. Interest rates were volatile in 2015 (bond prices rise as rates fall) leading up to a long-awaited rate hike from the U.S. Federal Reserve (the “Fed”) that ultimately came in December. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments, with municipal bonds being one of the strongest-performing sectors. Investors favored the relative stability of municipal bonds amid bouts of volatility resulting from uneven U.S. economic data, falling oil prices, global growth concerns, geopolitical risks, and widening central bank divergence — i.e., policy easing outside the United States while the Fed was posturing to commence policy tightening. During the 12 months ended February 29, 2016, municipal bond funds garnered net inflows of approximately $18 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained relatively strong from a historical perspective at $390 billion (considerably higher than the $365 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 60%) as issuers took advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of February 29, 2016

  6 months: 3.56%

12 months: 3.78%

A Closer Look at Yields

 

LOGO

From February 28, 2015 to February 29, 2016, yields on AAA-rated 30-year municipal bonds decreased by 7 basis points (“bps”) from 2.87% to 2.80%, while 10-year rates fell by 26 bps from 2.02% to 1.76% and 5-year rates decreased 26 bps from 1.19% to 0.93% (as measured by Thomson Municipal Market Data). The municipal yield curve experienced significant flattening over the 12-month period with the spread between 2- and 30-year maturities flattening by 17 bps and the spread between 2- and 10-year maturities flattening by 36 bps.

During the same time period, on a relative basis, tax-exempt municipal bonds broadly outperformed U.S. Treasuries with the greatest outperformance experienced in longer-term issues. In absolute terms, the positive performance of municipal bonds 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.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized distress among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — have exhibited markedly improved credit fundamentals during the slow national recovery. However, several states with the largest unfunded pension liabilities have seen their bond prices decline noticeably and remain vulnerable to additional price deterioration. On the local level, Chicago’s credit quality downgrade is an outlier relative to other cities due to its larger pension liability and inadequate funding remedies. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of February 29, 2016, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. 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.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the alternative minimum tax. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


The Benefits and Risks of Leveraging     

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, 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 Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ 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 Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or

negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trusts were not leveraged. In addition, the Trusts 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 Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. The Trusts incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment advisor will be higher than if the Trusts did not use leverage.

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

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

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

 

 

 

Derivative Financial Instruments

 

    

The Trusts 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 Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    5


Trust Summary as of February 29, 2016    BlackRock Maryland Municipal Bond Trust

 

Trust Overview

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

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

 

Trust Information

 

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

   BZM

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($15.67)1

   4.17%

Tax Equivalent Yield2

   7.82%

Current Monthly Distribution per Common Share3

   $0.0545

Current Annualized Distribution per Common Share3

   $0.6540

Economic Leverage as of February 29, 20164

   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 46.65%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The monthly distribution per Common Share, declared on March 1, 2016, was decreased to $0.0499 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price        NAV  

BZM1,2

    10.92        4.60

Lipper Other States Municipal Debt Funds3

    10.19        5.35

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Trust moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

Maryland’s municipal bond market also generated gains on the strength of the state’s healthy credit fundamentals and slower pace of new bond issuance.

 

 

At a time in which yields declined, the Trust’s duration exposure contributed positively to performance. (Duration is a measure of interest rate sensitivity.) The Trust’s positions in long-maturity bonds, which outperformed short-term issues, also added value. Income in the form of coupon payments made up a meaningful contribution to the Trust’s total return. The Trust’s leverage allowed it to increase its income.

 

 

Using TOBs, the Trust continued to employ leverage in order to increase income at a time in which the municipal yield curve was steep and short-term interest rates remained low. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months. On a sector basis, the Trust’s positions in health care and education were key positive contributors to performance.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices. A position in the corporate municipal sector, which declined similarly with the broader corporate bond market, also detracted from the Trust’s return.

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Maryland Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 15.67      $ 14.44        8.52   $ 15.67      $ 14.28   

Net Asset Value

  $ 15.31      $ 14.96        2.34   $ 15.47      $ 14.79   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Health

    26     27

Education

    21        21   

Transportation

    18        19   

County/City/Special District/School District

    16        16   

Utilities

    8        7   

Housing

    8        7   

State

    1        2   

Corporate

    1        1   

Tobacco

    1          

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    10     10

AA/Aa

    39        35   

A

    28        30   

BBB/Baa

    14        15   

BB/Ba

    1        1   

N/R2

    8        9   

 

  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.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents 2% of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    3

2017

    3   

2018

    8   

2019

    11   

2020

    12   

 

  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    FEBRUARY 29, 2016    7


Trust Summary as of February 29, 2016    BlackRock Massachusetts Tax-Exempt Trust

 

Trust Overview

BlackRock Massachusetts Tax-Exempt Trust’s (MHE) (the “Trust”) investment objective is to provide as high a level of current income exempt from both regular federal income taxes and Massachusetts personal income taxes as is consistent with the preservation of shareholders’ capital. The Trust seeks to achieve its investment objective by investing primarily in Massachusetts tax-exempt obligations (including bonds, notes and capital lease obligations). The Trust invests, under normal market conditions, at least 80% of its assets in obligations that are rated investment grade at the time of investment. Under normal market conditions, the Trust invests its assets so that at least 80% of the income generated by the Trust is exempt from federal income taxes, including federal alternative minimum tax, and Massachusetts personal income taxes. The Trust invests primarily in long term municipal obligations with maturities of more than ten years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Trust Information

 

Symbol on NYSE MKT

   MHE

Initial Offering Date

   July 23, 1993

Yield on Closing Market Price as of February 29, 2016 ($14.45)1

   4.82%

Tax Equivalent Yield2

   8.98%

Current Monthly Distribution per Common Share3

   $0.058

Current Annualized Distribution per Common Share3

   $0.696

Economic Leverage as of February 29, 20164

   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 46.31%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MHE1,2

    11.81      4.96

Lipper Other States Municipal Debt Funds3.

    10.19      5.35

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from discount to NAV to a premium during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

The Commonwealth of Massachusetts slightly underperformed the national tax-exempt market during the period. Investors’ search for yield fueled greater buying interest in lower-rated states versus those, such as Massachusetts, with strong budgetary histories.

 

 

The Trust’s position in A-rated bonds, which outperformed higher-rated bonds amid investors’ continued search for yield, made a positive contribution to its six-month results. This was especially true with regard to the Trust’s position in longer-dated, A-rated bonds in the education, tax-backed state and transportation sectors.

 

 

At a time in which yields declined, the Trust’s longer-duration holdings contributed positively to its performance. (Duration is a measure of interest rate sensitivity.) Income in the form of coupon payments, made a meaningful contribution to the Trust’s total return. The Trust’s leverage allowed it to increase its income. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Massachusetts Tax-Exempt  Trust

 

 

Market Price and Net Asset Value Per Share Summary
     2/29/16    

8/31/15

    Change     High     Low  

Market Price

  $ 14.45      $ 13.26        8.97   $ 14.50      $ 12.84   

Net Asset Value

  $ 14.21      $ 13.89        2.30   $ 14.34      $ 13.74   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation              
     2/29/16     8/31/15  

Education

    45     47

Transportation

    17        19   

Health

    15        14   

State

    14        11   

Housing

    7        7   

County/City/Special District/School District

    2        2   

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

Credit Quality Allocation1                
      2/29/16      8/31/15  

AAA/Aaa

     9      11

AA/Aa

     59         55   

A

     25         27   

BBB/Baa

     7         7   

 

  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,

 

2016

      

2017

    11

2018

    6   

2019

    13   

2020

    17   

 

  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    FEBRUARY 29, 2016    9


Trust Summary as of February 29, 2016    BlackRock MuniHoldings New York Quality Fund, Inc.

 

Trust Overview

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

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

 

Trust Information

 

Symbol on NYSE

   MHN

Initial Offering Date

   September 19, 1997

Yield on Closing Market Price as of February 29, 2016 ($15.08)1

   5.33%

Tax Equivalent Yield2

   10.79%

Current Monthly Distribution per Common Share3

   $0.067

Current Annualized Distribution per Common Share3

   $0.804

Economic Leverage as of February 29, 20164

   40%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal 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 TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

MHN1,2

    13.59     5.32

Lipper New York Municipal Debt Funds3

    10.89     5.06

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

New York municipal bonds outperformed the national tax-exempt market, as the state’s healthy economy, robust overall financial position and general lack of pension-funding issues contributed to strong investor demand.

 

 

At a time in which yields declined, the Trust’s longer duration bonds generally contributed positively to performance during the past six months. (Duration is a measure of interest rate sensitivity.) On a sector basis, the Trust’s positions in the education, transportation and utilities segments were key contributors to performance. The Trust’s allocation to higher-yielding bonds also benefited performance, reflecting the fact that the middle-to-lower investment-grade quality categories of A and BBB generated the strongest returns.

 

 

Income in the form of coupon payments, which was augmented by the use of leverage, made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock MuniHoldings New York Quality Fund, Inc.

 

 

Market Price and Net Asset Value Per Share Summary
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 15.08      $ 13.65        10.48   $ 15.16      $ 13.47   

Net Asset Value

  $ 15.17      $ 14.81        2.43   $ 15.34      $ 14.65   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Transportation

    22     21

County/City/Special District/School District

    19        20   

Education

    19        19   

State

    16        16   

Utilities

    12        11   

Health

    6        6   

Housing

    3        4   

Corporate

    2        2   

Tobacco

    1        1   

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    17     11

AA/Aa

    58        63   

A

    20        19   

BBB/Baa

    3        4   

BB/Ba

    1        1   

N/R2

    1        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.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade represents 1% and less than 1%, respectively, of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    8

2017

    11   

2018

    7   

2019

    6   

2020

    5   

 

  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    FEBRUARY 29, 2016    11


Trust Summary as of February 29, 2016    BlackRock New Jersey Municipal Bond Trust

 

Trust Overview

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

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

 

Trust Information

 

Symbol on NYSE MKT

  BLJ

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($15.81)1

  5.28%

Tax Equivalent Yield2

  10.25%

Current Monthly Distribution per Common Share3

  $0.0695

Current Annualized Distribution per Common Share3

  $0.8340

Economic Leverage as of February 29, 20164

  38%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 48.48%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price        NAV  

BLJ1,2

    16.22        5.80

Lipper New Jersey Municipal Debt Funds3

    11.43        6.32

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets.

 

 

New Jersey municipal bonds outperformed the national tax-exempt market during the period. The slump in the state’s bond market during the first half of 2015 led to a significant widening of yield spreads (the extra yield received when compared to U.S. government securities.) Higher yields attracted buying interest in the state during the past six months, which increased prices at a time of dwindling supply.

 

 

The Trust’s position in A-rated bonds, outperformed higher-rated bonds amid investors’ continued search for yield and made a positive contribution to its six-month results. This was especially true with regard to the Trust’s position in longer-dated, A-rated bonds in the tax-backed state, tax-backed local and transportation sectors.

 

 

At a time in which yields declined, the Trust’s longer-duration holdings contributed positively to its performance. (Duration is a measure of interest rate sensitivity.) Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. The Trust’s leverage allowed it to increase its income. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock New Jersey Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary      
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 15.81      $ 13.99        13.01   $ 16.05      $ 13.79   

Net Asset Value

  $ 16.10      $ 15.65        2.88   $ 16.36      $ 15.48   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Transportation

    29     28

Education

    20        21   

State

    18        18   

County/City/Special District/School District

    17        18   

Health

    7        6   

Corporate

    6        7   

Housing

    2        2   

Utilities

    1          

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

Credit Quality Allocation1              
     2/29/16    

8/31/15

 

AAA/Aaa

           5

AA/Aa

    46     42   

A

    40        35   

BBB/Baa

    8        7   

BB/Ba

    5        9   

N/R2

    1        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.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade represents 1% and 3%, respectively, of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    1

2017

    2   

2018

    12   

2019

    12   

2020

    5   

 

  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    FEBRUARY 29, 2016    13


Trust Summary as of February 29, 2016    BlackRock New York Municipal Bond Trust

 

Trust Overview

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

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

 

Trust Information

 

Symbol on NYSE

   BQH

Initial Offering Date

   April 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($14.78)1

   5.03%

Tax Equivalent Yield2

   10.18%

Current Monthly Distribution per Common Share3

   $0.062

Current Annualized Distribution per Common Share3

   $0.744

Economic Leverage as of February 29, 20164

   38%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.59%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BQH1,2

    10.99     6.16

Lipper New York Municipal Debt Funds3

    10.89     5.06

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

New York municipal bonds also generated gains, as the state’s healthy economy, robust overall financial position and general lack of pension-funding issues contributed to strong investor demand.

 

 

At a time in which yields declined, the Trust’s longer duration bonds generally delivered positive performance during the past six months. (Duration is a measure of interest rate sensitivity.) On a sector basis, the Trust’s positions in the education, transportation and utilities segments were key contributors to performance. The Trust’s allocation to higher-yielding bonds also contributed positively, reflecting the fact that the middle-to-lower investment-grade quality categories of A and BBB generated strong returns.

 

 

Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock New York Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 14.78      $ 13.66        8.20   $ 15.31      $ 13.55   

Net Asset Value

  $ 16.30      $ 15.75        3.49   $ 16.51      $ 15.56   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

County/City/Special District/School District

    28     30

Education

    22        22   

Transportation

    14        13   

Health

    11        11   

Utilities

    9        9   

Corporate

    6        6   

State

    5        4   

Housing

    4        4   

Tobacco

    1        1   

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    11     9

AA/Aa

    50        49   

A

    22        23   

BBB/Baa

    6        7   

BB/Ba

    2        2   

B

           1   

N/R2

    9        9   

 

  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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents 2% of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    4

2017

    7   

2018

    7   

2019

    8   

2020

    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    FEBRUARY 29, 2016    15


Trust Summary as of February 29, 2016    BlackRock New York Municipal Income Quality  Trust

 

Trust Overview

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

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

 

Trust Information

 

Symbol on NYSE

  BSE

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 29, 2016 ($14.01)1

  4.93%

Tax Equivalent Yield2

  9.98%

Current Monthly Distribution per Common Share3

  $0.0575

Current Annualized Distribution per Common Share3

  $0.6900

Economic Leverage as of February 29, 20164

  38%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.59%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BSE1,2

    10.69     5.82

Lipper New York Municipal Debt Funds3

    10.89     5.06

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets.

 

 

New York municipal bonds also generated gains, as the state’s healthy economy, robust overall financial position and general lack of pension-funding issues contributed to strong investor demand.

 

 

At a time in which yields declined, the Trust’s longer duration bonds generally delivered strong performance during the past six months. (Duration is a measure of interest rate sensitivity.) On a sector basis, the Trust’s positions in the education, transportation and utilities segments were key contributors to performance. The Trust’s allocation to higher-yielding bonds also benefited performance, reflecting the fact that the middle-to-lower investment-grade quality categories of A and BBB generated the strongest returns.

 

 

Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. The Trust’s leverage allowed it to increase its income. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock New York Municipal Income Quality Trust

 

 

Market Price and Net Asset Value Per Share Summary
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 14.01      $ 12.99        7.85   $ 14.05      $ 12.74   

Net Asset Value

  $ 15.27      $ 14.81        3.11   $ 15.46      $ 14.64   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Education

    25     25

Transportation

    19        18   

County/City/Special District/School District

    19        20   

Utilities

    15        15   

State

    11        10   

Health

    8        9   

Housing

    3        3   

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    21     17

AA/Aa

    50        53   

A

    26        25   

BBB/Baa

    2        3   

N/R2

    1        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.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents 1% of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

      

2017

    5

2018

    9   

2019

    3   

2020

    4   

 

  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    FEBRUARY 29, 2016    17


Trust Summary as of February 29, 2016    BlackRock New York Municipal Income Trust II

 

Trust Overview

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

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

 

Trust Information

 

Symbol on NYSE MKT

   BFY

Initial Offering Date

   July 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($15.70)1

   5.35%

Tax Equivalent Yield2

   10.83%

Current Monthly Distribution per Common Share3

   $0.07

Current Annualized Distribution per Common Share3

   $0.84

Economic Leverage as of February 29, 20164

   39%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.59%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFY1,2

    14.01     5.80

Lipper New York Municipal Debt Funds3

    10.89     5.06

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.) In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets. New York municipal bonds also generated gains, as the state’s healthy economy, robust overall financial position and general lack of pension-funding issues contributed to strong investor demand.

 

 

At a time in which yields declined, the Trust’s longer duration bonds generally delivered the best performance during the past six months. (Duration is a measure of interest rate sensitivity.) On a sector basis, the Trust’s positions in the education, transportation and utilities segments were key contributors to performance. The Trust’s allocation to higher-yielding bonds also contributed positively, reflecting the fact that the middle-to-lower investment-grade quality categories of A and BBB generated the best returns.

 

 

Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. The Trust’s leverage allowed it to increase its income. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock New York Municipal Income Trust II

 

 

Market Price and Net Asset Value Per Share Summary
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 15.70      $ 14.16        10.88   $ 16.08      $ 13.93   

Net Asset Value

  $ 16.02      $ 15.57        2.89   $ 16.22      $ 15.39   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

County/City/Special District/School District

    25     24

Transportation

    17        15   

Education

    16        17   

Utilities

    12        12   

Health

    9        10   

State

    8        8   

Housing

    7        6   

Corporate

    5        7   

Tobacco

    1        1   

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    15     15

AA/Aa

    46        43   

A

    24        27   

BBB/Baa

    4        5   

BB/Ba

    2        2   

B

           1   

N/R2

    9        7   

 

  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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents 3% of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    6

2017

    9   

2018

    4   

2019

    8   

2020

    5   

 

  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    FEBRUARY 29, 2016    19


Trust Summary as of February 29, 2016    BlackRock Virginia Municipal Bond Trust

 

Trust Overview

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

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

 

Trust Information

 

Symbol on NYSE MKT

  BHV

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 29, 2016 ($19.31)1

  4.32%

Tax Equivalent Yield2

  8.10%

Current Monthly Distribution per Common Share3

  $0.0695

Current Annualized Distribution per Common Share3

  $0.8340

Economic Leverage as of February 29, 20164

  37%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 46.65%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

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

 

Performance

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BHV1,2

    18.43     4.16

Lipper Other States Municipal Debt Funds3

    10.19     5.35

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

  2  

The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

  3  

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Tax-exempt bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall.)

 

 

In addition, municipal bonds benefited from a general “flight to quality” caused by elevated volatility in the higher-risk segments of the financial markets. Virginia’s municipal bond market also generated gains on the strength of the state’s healthy credit fundamentals and slower pace of new bond issuance.

 

 

At a time in which yields declined, the Trust’s duration exposure contributed positively to performance. (Duration is a measure of interest rate sensitivity.) The Trust’s positions in long-maturity bonds, which outperformed short-term issues, also added value. Income in the form of coupon payments made a meaningful contribution to the Trust’s total return. The Trust’s leverage allowed it to increase its income. Leverage also amplifies the effect of interest rate movements, which was a positive for Trust performance during the past six months. On a sector basis, the Trust’s positions in the health care and education segments were key positive contributors to performance.

 

 

The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance due to the overall strength in bond prices.

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Virginia Municipal Bond Trust

 

 

Market Price and Net Asset Value Per Share Summary
     2/29/16     8/31/15     Change     High     Low  

Market Price

  $ 19.31      $ 16.70        15.63   $ 20.50      $ 16.25   

Net Asset Value

  $ 16.17      $ 15.90        1.70   $ 16.32      $ 15.71   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*
Sector Allocation              
     2/29/16     8/31/15  

Health

    26     27

Transportation

    20        21   

Education

    20        21   

County/City/Special District/School District

    17        17   

State

    6        7   

Housing

    5        6   

Utilities

    3          

Tobacco

    2          

Corporate

    1        1   

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

Credit Quality Allocation1              
     2/29/16     8/31/15  

AAA/Aaa

    13     15

AA/Aa

    49        51   

A

    14        15   

BBB/Baa

    3        3   

BB/Ba

    2        1   

B/B

    1          

N/R2

    18        15   

 

  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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of February 29, 2016 and August 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade represents 4% and 7%, respectively, of the Trust’s total investments.

 
   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    1

2017

    4   

2018

    18   

2019

    18   

2020

    16   

 

  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    FEBRUARY 29, 2016    21


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Maryland — 141.6%

                

Corporate — 1.9%

  

Maryland EDC, Refunding RB:

    

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

   $ 320      $ 305,530   

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

     250        287,945   
    

 

 

 
               593,475   

County/City/Special District/School District — 25.1%

  

City of Baltimore Maryland, RB, Series C, Wastewater Project, 5.00%, 7/01/39

     1,000        1,150,040   

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

     500        575,720   

County of Anne Arundel Maryland Consolidated, Special Tax District, Villages at Two Rivers Project, 5.25%, 7/01/44

     250        257,120   

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

     275        347,014   

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

     250        283,082   

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

     250        269,915   

County of Montgomery Maryland, GO, Refunding, Consolidated Public Improvement, Series A, 5.00%, 7/01/19 (a)

     175        199,105   

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

     1,500        1,501,350   

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

     500        593,490   

State of Maryland, GO:

    

State & Local Facilities Loan, 1st Series B, 5.00%, 3/15/19 (a)

     250        281,500   

State & Local Facilities Loan, 2nd Series B, 3.00%, 8/01/27

     2,425        2,515,574   
    

 

 

 
               7,973,910   

Education — 32.9%

    

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

    

4.00%, 9/01/27

     510        556,945   

3.25%, 9/01/28

     360        373,324   

Maryland EDC, Refunding RB:

    

University of Maryland College Park Project (AGM), 5.00%, 6/01/43 (b)

     1,350        1,527,417   

University of Maryland Project, 5.00%, 7/01/39

     500        535,000   

University Village at Sheppard Pratt, 5.00%, 7/01/33

     1,000        1,094,680   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

4.00%, 7/01/39

     100        104,247   

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

     1,000        1,128,170   
Municipal Bonds    Par  
(000)
    Value  

Maryland (continued)

                

Education (continued)

  

Maryland Health & Higher Educational Facilities Authority, Refunding RB (continued):

    

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

   $ 1,000      $ 1,200,500   

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

     10        10,585   

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

     900        1,007,433   

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

     500        562,195   

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

     1,000        1,075,370   

Peninsula Regional Medical Center, 5.00%, 7/01/45

     700        787,192   

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

     400        502,884   
    

 

 

 
               10,465,942   

Health — 41.3%

  

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

     250        282,220   

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

     550        550,693   

County of Montgomery Maryland, RB, Trinity Health Credit Group, 5.00%, 12/01/45

     750        875,775   

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

     1,000        1,118,980   

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

     1,000        1,115,630   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

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

     1,000        1,073,260   

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

     1,000        1,131,360   

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

     1,250        1,279,487   

Lifebridge Health Issue, 4.13%, 7/01/47

     500        520,410   

Medstar Health, Inc., 5.00%, 8/15/42

     1,000        1,134,260   

Meritus Medical Center Issue, 5.00%, 7/01/40

     1,000        1,110,150   

University of Maryland, 5.00%, 7/01/35

     200        228,162   

University of Maryland, 4.00%, 7/01/41

     500        513,725   

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

     1,000        1,078,550   

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

     1,000        1,108,540   
    

 

 

 
               13,121,202   

Housing — 12.3%

    

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

     550        598,394   

Maryland Community Development Administration, HRB, Series A, Residential:

    

4.05%, 7/01/42

     1,220        1,242,826   

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

     875        886,034   
 

 

Portfolio Abbreviations

 

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

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

Municipal Bonds    Par  
(000)
    Value  

Maryland (continued)

                

Housing (continued)

  

Maryland Community Development Administration, RB:

    

3.70%, 7/01/35

   $ 500      $ 507,130   

5.05%, 9/01/39

     500        518,070   

Series B, 4.75%, 9/01/39

     150        153,989   
    

 

 

 
               3,906,443   

Transportation — 14.9%

    

Maryland EDC, RB:

    

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

     500        545,745   

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

     500        546,305   

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

     1,000        1,094,090   

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

     1,925        2,037,305   

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

     445        520,623   
    

 

 

 
        4,744,068   

Utilities — 13.2%

    

City of Annapolis Maryland Water & Sewer Revenue, Refunding RB, Series A, 3.38%, 8/01/40

     780        772,980   

City of Baltimore Maryland, RB:

    

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

     1,000        1,155,370   

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

     1,000        1,144,760   

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

    

5.00%, 4/01/31

     500        572,790   

5.00%, 4/01/32

     500        568,565   
    

 

 

 
        4,214,465   
Total Municipal Bonds in Maryland        45,019,505   
    

District of Columbia — 3.5%

                

Transportation — 3.5%

    

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

     1,000        1,115,540   
Municipal Bonds    Par  
(000)
    Value  

Guam — 1.4%

                

State — 1.4%

    

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

   $ 410      $ 455,379   

Puerto Rico — 0.8%

                

Tobacco — 0.8%

    

Children’s Trust Fund Tobacoo Settlement, Refunding RB, Asset-Backed, 5.63%, 5/15/43

     250        250,635   
Total Municipal Bonds — 147.3%        46,841,059   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (c) — 10.2%
 

Maryland — 10.2%

                

Transportation — 10.2%

    

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

     3,000        3,251,610   
Total Long-Term Investments
(Cost — $47,518,379) — 157.5%
        50,092,669   
    
                  
Short-Term Securities — 0.9%    Shares         

BlackRock Liquidity Funds, MuniCash,
0.02% (d)(e)

     288,348        288,348   
Total Short-Term Securities
(Cost — $288,348) — 0.9%
        288,348   
Total Investments (Cost — $47,806,727) — 158.4%        50,381,017   
Liabilities in Excess of Other Assets — (3.4)%        (1,077,202

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (4.7)%

   

    (1,500,150
VRDP Shares, at Liquidation Value — (50.3)%        (16,000,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 31,803,665   
    

 

 

 
 
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.

 

(c)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(d)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 288,348           288,348             

FFI Institutional Tax-Exempt Fund

       334,132           (334,132                $ 26   

Total

  

       288,348         $ 26   
              

 

 

 

 

(e)   Current yield as of period end.

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined 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    FEBRUARY 29, 2016    23


Schedule of Investments (continued)

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue      Expiration      Notional
Value
    Unrealized
Appreciation
           
  (5   5-Year U.S. Treasury Note      June 2016      $ 604,922      $ 736       
  (9   10-Year U.S. Treasury Note      June 2016      $ 1,174,641        728       
  (3   Long U.S. Treasury Bond      June 2016      $ 493,594        2,885       
  (1   Ultra U.S. Treasury Bond      June 2016      $ 173,156        686           
  Total                  $ 5,035       
             

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized appreciation1                                    $ 5,035               $ 5,035   

1   Includes cumulative appreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:    Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
   Foreign
Currency
Exchange
Contracts
   Interest
Rate
Contracts
     Other
Contracts
   Total  

Financial futures contracts

               $ (86,888       $ (86,888
 
Net Change in Unrealized Appreciation (Depreciation) on:  

Financial futures contracts

               $ 1,219          $ 1,219   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:  

Average notional value of contracts — short

  $ 1,671,711   

For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 50,092,669              $ 50,092,669   

Short-Term Securities

  $ 288,348                          288,348   
 

 

 

 

Total

  $ 288,348         $ 50,092,669              $ 50,381,017   
 

 

 

 

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 5,035                        $ 5,035   

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

       

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 34,350                        $ 34,350   

Liabilities:

                

TOB Trust Certificates

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

VRDP Shares

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

 

 

 

Total

  $ 34,350         $ (17,500,000           $ (17,465,650
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    25


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Massachusetts — 154.0%

                

County/City/Special District/School District — 3.6%

    

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

   $ 1,000      $ 1,198,330   

Education — 68.9%

    

Massachusetts Development Finance Agency, RB:

    

5.00%, 7/01/40 (a)

     500        578,985   

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

     250        281,705   

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

     500        551,310   

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

     1,950        2,247,667   

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

     650        830,505   

Massachusetts Development Finance Agency, Refunding RB:

    

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

     1,500        1,810,185   

Emerson College, 5.00%, 1/01/41

     500        555,770   

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

     200        212,304   

International Charter School, 5.00%, 4/15/40

     1,000        1,080,560   

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

     1,675        1,924,977   

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

     1,000        1,055,770   

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

     1,985        2,100,388   

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

     1,000        1,156,750   

Massachusetts Health & Educational Facilities Authority, RB:

    

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

     225        245,237   

Tufts University, Series O, 5.38%, 8/15/18 (b)

     1,000        1,115,110   

Massachusetts Health & Educational Facilities Authority, Refunding RB:

    

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

     1,000        1,060,640   

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

     100        112,525   

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

     400        426,420   

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

     500        571,575   

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

     500        567,685   

Springfield College, 5.63%, 10/15/40

     500        550,350   

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

     1,000        1,300,720   

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

     825        1,082,128   

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

     500        580,230   

University of Massachusetts Building Authority, Refunding RB, Series 1, 5.00%, 11/01/40

     1,000        1,171,370   
    

 

 

 
               23,170,866   

Health — 23.5%

    

Massachusetts Development Finance Agency, Refunding RB:

    

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

     500        562,735   

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

     1,000        1,152,260   

Partners Healthcare System, Series Q, 5.00%, 7/01/47

     500        573,295   

Massachusetts Health & Educational Facilities Authority, RB:

    

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

     1,000        1,125,470   

Caregroup, Series E-1, 5.00%, 7/01/28

     500        545,205   

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

     600        677,040   

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

     500        567,360   

Lahey Clinic Medical Center, Series D, 5.25%, 8/15/17 (b)

     1,000        1,068,610   
Municipal Bonds    Par  
(000)
    Value  

Massachusetts (continued)

                

Health (continued)

    

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

    

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

   $ 500      $ 537,955   

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

     1,000        1,106,300   
    

 

 

 
        7,916,230   

Housing — 11.1%

    

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

     185        202,797   

Massachusetts HFA, Refunding RB, AMT:

    

Series C, 5.00%, 12/01/30

     490        514,858   

Series C, 5.35%, 12/01/42

     2,000        2,085,220   

Series F, 5.70%, 6/01/40

     880        924,000   
    

 

 

 
        3,726,875   

State — 21.8%

    

Commonwealth of Massachusetts, GO, Series C, 5.00%, 7/01/45

     1,000        1,166,240   

Massachusetts Bay Transportation Authority, RB,
Series A, 5.00%, 7/01/45

     500        582,230   

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

     730        964,293   

Massachusetts School Building Authority, RB:

    

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

     500        577,000   

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

     1,000        1,173,590   

Massachusetts State College Building Authority, RB, Series A, 5.50%, 5/01/19 (b)

     2,500        2,868,150   
    

 

 

 
        7,331,503   

Transportation — 25.1%

    

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

     1,000        1,208,070   

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

     500        581,720   

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

    

5.00%, 1/01/32

     1,120        1,262,554   

5.00%, 1/01/37

     1,000        1,120,130   

Massachusetts Port Authority, RB, AMT:

    

Series A, 5.00%, 7/01/42

     1,000        1,115,240   

Series B, 5.00%, 7/01/45

     1,750        1,981,332   

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

     1,000        1,170,680   
    

 

 

 
               8,439,726   
Total Municipal Bonds
(Cost — $47,079,336) — 154.0%
        51,783,530   
    
                  
Short-Term Securities — 1.2%    Shares         

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

     389,673        389,673   
Total Short-Term Securities
(Cost — $389,673) — 1.2%
        389,673   
Total Investments (Cost — $47,469,009) — 155.2%        52,173,203   

Liabilities in Excess of Other Assets — (0.2)%

  

    (54,328
VRDP Shares, at Liquidation Value — (55.0)%        (18,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 33,618,875   
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

 

 

Notes to Schedule of Investments

 

(a)   When-issued security.

 

(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)   During the six months ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Income  

BIF Massachusetts Municipal Money Fund

       254,118           135,555           389,673             

 

(d)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue   Expiration   Notional
Value
    Unrealized
Appreciation
 
  (5   5-Year U.S. Treasury Note   June 2016   $ 604,922      $ 388   
  (9   10-Year U.S. Treasury Note   June 2016   $ 1,174,641        701   
  (3   Long U.S. Treasury Bond   June 2016   $ 493,594        2,885   
  (1   Ultra U.S. Treasury Bond   June 2016   $ 173,156        686   
  Total            $ 4,660   
       

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized appreciation                                    $ 4,660               $ 4,660   
Includes cumulative appreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.    

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                   $ (92,597            $ (92,597
Net Change in Unrealized Appreciation (Depreciation) on:          

Financial futures contracts

                                   $ (6,807            $ (6,807

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Financial futures contracts:     

Average notional value of contracts — short

     $ 1,608,492   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    27


Schedule of Investments (concluded)

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 51,783,530                   $ 51,783,530   

Short-Term Securities

  $ 389,673                               389,673   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 389,673         $ 51,783,530                   $ 52,173,203   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 2   

Assets:

                

Interest Rate Contracts

  $ 4,660                             $ 4,660   

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

      

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 34,050                             $ 34,050   

Liabilities:

                

VRDP Shares

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

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 34,050         $ (18,500,000                $ (18,465,950
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

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

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 133.8%

                

Corporate — 3.0%

  

 

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

   $ 820      $ 886,149   

County of Onondaga New York Industrial Development Agency, RB, Bristol-Meyers Squibb Co. Project, AMT, 5.75%, 3/01/24

     2,250        2,851,695   

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

     5,775        7,050,755   

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

     3,340        3,351,657   
    

 

 

 
        14,140,256   

County/City/Special District/School District — 27.6%

  

City of New York New York, GO:

    

5.00%, 8/01/31

     945        1,132,422   

Fiscal 2014, Series A-1, 5.00%, 8/01/35

     2,350        2,733,168   

Fiscal 2014, Sub-Series D-1, 5.00%, 10/01/33

     4,175        4,888,925   

City of New York New York, GO, Refunding:

    

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

     490        578,043   

Series E, 5.00%, 8/01/32

     2,000        2,386,060   

Series E, 5.50%, 8/01/25

     5,500        7,022,785   

Series E, 5.00%, 8/01/30

     2,000        2,382,360   

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

    

5.00%, 11/15/40

     5,000        5,800,250   

4.00%, 11/15/45

     1,200        1,267,176   

5.00%, 11/15/45

     12,215        14,092,445   

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

    

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

     1,380        560,887   

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

     800        906,544   

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

     3,500        3,589,180   

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

     6,150        6,297,231   

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

     2,200        2,242,262   

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

     9,500        9,635,850   

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

    

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

     950        1,114,113   

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

     2,100        2,468,844   

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

     1,690        1,975,982   

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

     1,455        1,715,081   

City of New York New York Transitional Finance Authority Future Tax Secured, Refunding RB, Series C, 5.00%, 11/01/30

     1,145        1,395,240   

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

     1,000        1,111,540   

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

     1,000        1,164,260   

County of Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project, 5.00%, 5/01/28

     2,250        2,765,317   

County of Nassau New York, GO, Series B, 5.00%, 10/01/30

     1,500        1,811,640   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

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

  

Haverstraw-Stony Point Central School District, GO, Refunding (AGM), 3.00%, 10/15/34

   $ 820      $ 813,038   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     2,350        2,430,441   

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

     305        315,977   

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

     7,370        7,635,246   

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

     7,530        7,801,005   

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

     11,905        12,246,673   

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

     1,500        1,551,345   

New York Liberty Development Corp., Refunding RB:

    

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

     1,710        1,970,553   

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

     4,000        4,479,240   

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

     1,755        2,044,540   

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

     885        970,491   

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

     3,530        3,913,464   

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

     3,100        3,133,976   
    

 

 

 
               130,343,594   

Education — 24.7%

    

Albany Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A:

    

5.00%, 12/01/30

     250        282,078   

5.00%, 12/01/32

     100        112,346   

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

     4,975        5,295,987   

Build NYC Resource Corp., Refunding RB:

    

New York Law School Project, 5.00%, 7/01/41

     930        1,032,951   

New York Law School Project, 4.00%, 7/01/45

     370        370,881   

Series A, 5.00%, 6/01/43

     450        506,597   

City of New York Albany Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A, 4.00%, 12/01/34

     110        112,693   

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

    

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

     1,775        2,062,124   

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

     750        858,720   

Carnegie Hall, 4.75%, 12/01/39

     3,150        3,488,908   

Carnegie Hall, 5.00%, 12/01/39

     1,850        2,074,368   

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

     2,840        3,197,244   

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

     5,535        6,253,664   

County of Madison New York Capital Resource Corp., RB, Colgate University Project, Series B:

    

5.00%, 7/01/40

     685        789,805   

5.00%, 7/01/43

     2,480        2,842,130   

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

    

5.00%, 7/01/38

     1,240        1,420,680   

4.00%, 7/01/39

     510        541,426   

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

    

5.00%, 12/01/29

     1,135        1,332,411   

5.00%, 12/01/36

     1,100        1,286,516   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    29


Schedule of Investments (continued)

  

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

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

    

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

    

5.00%, 7/01/37

   $ 715      $ 769,147   

5.00%, 7/01/42

     445        471,464   

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

    

6.00%, 9/01/34

     300        357,264   

5.38%, 9/01/41

     125        141,079   

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

    

5.50%, 7/01/33

     500        578,565   

5.25%, 7/01/36

     700        801,976   

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

     500        572,900   

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

     750        841,095   

State of New York Dormitory Authority, RB:

    

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

     1,770        2,073,661   

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

     175        207,944   

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

     1,375        1,642,506   

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

     4,500        5,242,770   

New School (AGM), 5.50%, 7/01/43

     3,265        3,755,925   

New York University Mount Sinai School of Medicine, 5.13%, 7/01/19 (b)

     1,000        1,136,520   

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

     3,500        4,730,565   

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

     400        449,324   

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

     3,000        3,437,040   

New York University, Series C, 5.00%, 7/01/18 (b)

     2,000        2,197,180   

Series C, 5.00%, 12/15/16 (b)

     1,000        1,036,390   

Siena College, 5.13%, 7/01/39

     1,345        1,441,746   

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

     750        853,260   

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

     1,500        1,703,145   

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

     1,500        1,719,195   

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        1,196,110   

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

     900        1,057,644   

Barnard College, Series A, 4.00%, 7/01/37

     850        898,152   

Barnard College, Series A, 5.00%, 7/01/43

     1,500        1,716,420   

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

     1,000        1,139,930   

Fordham University, 5.00%, 7/01/44

     1,900        2,151,465   

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

     1,200        1,386,756   

New York University Mount Sinai School of Medicine (NPFGC), 5.00%, 7/01/17 (b)

     4,500        4,769,235   

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

     3,000        3,566,670   

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

     4,180        4,884,999   

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

     3,300        3,526,479   

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

     750        842,880   

St. John’s University, Series A, 5.00%, 7/01/37

     2,400        2,756,712   

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

     4,755        5,690,023   

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

     6,435        7,657,328   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

    

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

    

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

   $ 1,490      $ 1,689,302   

State University Dormitory Facilities, Series B, 5.00%, 7/01/32

     500        595,715   

State University Dormitory Facilities, Series B, 5.00%, 7/01/33

     860        1,020,717   
    

 

 

 
               116,568,727   

Health — 9.7%

    

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

     1,800        2,010,474   

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

     500        572,105   

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

     1,180        1,314,886   

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

     5,925        6,929,110   

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     460        521,603   

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

     1,340        1,504,900   

State of New York Dormitory Authority, RB:

    

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

     2,250        2,505,128   

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

     5,500        5,805,415   

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

     1,000        1,003,780   

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

     2,680        3,088,378   

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

     1,800        2,060,640   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/19 (b)

     1,825        2,095,611   

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

     1,000        1,055,480   

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

     685        723,004   

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

    

New York University Hospitals Center, 5.00%, 7/01/17 (b)

     1,000        1,060,250   

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

     2,000        2,226,720   

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

     2,645        3,115,069   

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

     7,375        8,269,293   
    

 

 

 
        45,861,846   

Housing — 4.2%

    

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

    

Fund Grant Program, New York City Housing Authority Program, Series B1, 5.25%, 7/01/32

     6,505        7,611,826   

Fund Grant Program, New York City Housing Authority Program, Series B1, 5.00%, 7/01/33

     1,375        1,574,375   

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

     750        770,790   

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

     1,335        1,359,537   
 

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

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

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Housing (continued)

    

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

    

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

   $ 1,000      $ 1,012,900   

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

     835        856,176   

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

     600        617,880   

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

    

8 Spruce Street, Class F, 4.50%, 2/15/48

     1,075        1,152,088   

Sustainable Neighborhood, Series G, 3.85%, 11/01/45

     1,885        1,907,130   

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

     2,000        2,006,680   

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

     1,000        1,005,710   
    

 

 

 
        19,875,092   

State — 18.3%

    

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

    

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

     1,510        1,594,016   

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

     4,000        4,412,080   

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

     3,000        3,383,190   

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

     1,250        1,409,662   

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

     2,980        3,399,018   

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

     3,750        3,877,912   

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

     3,220        3,299,631   

Metropolitan Transportation Authority, RB, Dedicated Tax Fund, Series A (NPFGC), 5.00%, 11/15/16 (b)

     7,000        7,217,210   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

    

Series B, 5.00%, 11/15/34

     2,500        2,835,250   

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

     4,000        4,728,000   

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

     2,070        2,304,490   

State of New York Dormitory Authority, RB:

    

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

     3,000        3,498,840   

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

     4,600        5,255,224   

Master BOCES Program Lease (AGC),

5.00%, 8/15/28

     250        278,098   

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

     4,500        4,910,490   

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

     2,500        2,650,375   

Series B, 5.00%, 3/15/37

     1,500        1,789,950   

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

     495        569,517   

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

     4,850        5,606,163   

State of New York Dormitory Authority, Refunding RB:

    

School Districts Financing Program, Series A (AGM), 5.00%, 10/01/17 (b)

     450        481,631   

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

     5,000        5,467,050   

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

     2,000        2,008,220   

State of New York Thruway Authority, RB:

    

2nd General Highway & Bridge Trust, Series A (AMBAC), 5.00%, 4/01/16 (b)

     8,700        8,737,062   

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

     1,000        1,064,090   

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

     2,740        3,240,050   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 3/15/32

     2,000        2,365,000   
    

 

 

 
        86,382,219   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Tobacco — 1.1%

    

County of Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

   $ 1,875      $ 1,854,056   

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/40

     1,500        1,688,130   

Niagara Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/34

     1,495        1,710,056   
    

 

 

 
        5,252,242   

Transportation — 29.7%

    

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     1,000        1,177,600   

Series A, 5.00%, 11/15/30

     3,000        3,529,050   

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

     1,620        1,935,641   

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

     1,620        1,930,619   

Series B, 5.25%, 11/15/44

     1,000        1,162,630   

Series C, 6.50%, 11/15/28

     6,015        6,956,588   

Series D, 5.25%, 11/15/41

     2,000        2,366,140   

Series E, 5.00%, 11/15/38

     8,750        10,109,225   

Series E, 5.00%, 11/15/43

     1,000        1,144,130   

Series H, 5.00%, 11/15/25

     1,000        1,214,190   

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

     1,000        1,219,960   

Metropolitan Transportation Authority, Refunding RB:

    

Series A-1, 4.00%, 11/15/46

     315        329,515   

Series A-1, 5.25%, 11/15/56

     3,000        3,485,760   

Series D, 5.00%, 11/15/30

     885        1,054,239   

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

     11,500        13,316,655   

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

     1,315        1,405,577   

Port Authority of New York & New Jersey, ARB:

    

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

     2,500        2,854,475   

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

     4,000        4,237,320   

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

     4,000        4,139,040   

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

     19,725        20,164,078   

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

    

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

     1,000        1,146,370   

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

     1,390        1,622,895   

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

     4,000        4,069,040   

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

     2,250        2,304,113   

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

     285        290,489   

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

     750        836,580   

Consolidated, 189th Series, 5.00%, 5/01/45

     2,305        2,670,158   

State of New York Thruway Authority, Refunding RB:

    

5.00%, 1/01/29

     1,750        2,104,200   

5.00%, 1/01/31

     1,000        1,184,930   

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

     4,245        4,865,279   

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

     4,270        4,858,876   

Series J, 5.00%, 1/01/41

     5,000        5,649,000   

Triborough Bridge & Tunnel Authority, RB, Series B:

    

5.00%, 11/15/40

     940        1,105,985   

5.00%, 11/15/45

     820        958,744   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    31


Schedule of Investments (continued)

  

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

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Transportation (continued)

    

Triborough Bridge & Tunnel Authority, Refunding RB:

    

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

   $ 9,170      $ 5,327,678   

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

     1,000        1,156,890   

General, Series A, 5.25%, 11/15/45

     1,280        1,524,992   

General, Series A, 5.00%, 11/15/50

     3,000        3,471,780   

Series A, 5.00%, 11/15/46

     5,000        5,864,100   

Series C, 5.00%, 11/15/38

     1,385        1,526,173   

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

     2,500        2,993,375   

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

     875        1,042,344   
    

 

 

 
        140,306,423   

Utilities — 15.5%

    

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

     3,500        3,547,565   

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

    

2nd General Resolution, Fiscal 2010, Series FF, 5.00%, 6/15/31

     1,500        1,722,615   

2nd General Resolution, Fiscal 2011, Series BB, 5.00%, 6/15/31

     1,000        1,148,410   

2nd General Resolution, Fiscal 2011, Series GG, 5.00%, 6/15/43

     2,070        2,383,419   

2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     2,250        2,636,437   

Series A, 3.00%, 6/15/36 (c)

     1,250        1,223,888   

Series DD, 5.00%, 6/15/32

     5,750        6,272,962   

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

    

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

     2,375        2,705,101   

Series B, 5.00%, 9/01/45

     780        886,072   

Long Island Power Authority, Refunding RB, Electric Systems:

    

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

     1,000        1,134,800   

General, Series A, 5.00%, 9/01/44

     1,285        1,451,960   

General, Series A (AGC), 6.00%, 5/01/19 (b)

     1,500        1,742,280   

General, Series B (AGM), 5.00%, 6/01/16 (b)

     3,500        3,541,930   

State of New York Environmental Facilities Corp., RB, Series B, Revolving Funds, Green Bonds, 5.00%, 9/15/40

     3,170        3,704,462   

State of New York Environmental Facilities Corp., Refunding RB:

    

Series A, 5.00%, 6/15/40

     1,545        1,811,729   

Series A, 5.00%, 6/15/45

     7,935        9,227,532   

Series B, Revolving Funds, New York City Municipal Water, 5.00%, 6/15/36

     3,200        3,721,216   

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

     2,580        3,007,816   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     1,715        1,746,933   

Series E, 5.00%, 12/15/41

     15,490        18,108,894   

Western Nassau County Water Authority, RB, Series A, 5.00%, 4/01/40

     1,065        1,223,270   
    

 

 

 
               72,949,291   
Total Municipal Bonds in New York        631,679,690   
    

Guam — 0.3%

                

Utilities — 0.3%

    

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

     1,175        1,326,457   
Municipal Bonds   

Par  

(000)

    Value  

Puerto Rico — 0.7%

                

Housing — 0.7%

    

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

   $ 3,300      $ 3,569,478   
Total Municipal Bonds — 134.8%        636,575,625   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
       

New York — 28.8%

                

County/City/Special District/School District — 4.1%

  

City of New York New York, GO:

    

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

     10,000        11,422,000   

Sub-Series I-1, 5.00%, 3/01/36

     2,500        2,909,525   

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

     1,650        1,865,902   

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

     2,610        3,023,085   
    

 

 

 
               19,220,512   

Education — 5.9%

    

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

     1,981        2,325,098   

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

    

5.00%, 7/01/35

     4,448        5,163,337   

5.25%, 7/01/19 (b)

     5,000        5,740,500   

State of New York Dormitory Authority, RB, New York University, Series A (b):

    

5.00%, 7/01/18

     5,498        6,040,678   

(AMBAC), 5.00%, 7/01/17

     2,999        3,178,061   

State of New York Dormitory Authority, Refunding RB, Series E, 5.25%, 3/15/33

     4,500        5,510,700   
    

 

 

 
        27,958,374   

State — 8.2%

    

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

     5,999        6,972,642   

Sales Tax Asset Receivable Corp., Refunding RB:

    

Fiscal 2015, Series A, 5.00%, 10/15/31

     7,380        8,989,135   

Series 2016, 4.00%, 10/15/32

     6,000        6,679,680   

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

     5,000        5,720,750   

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

    

General Purpose, 5.00%, 3/15/41

     2,500        2,854,400   

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

     5,458        5,982,584   

State of New York Urban Development Corp., Refunding RB, State Personal Income Tax, Series A, 5.00%, 3/15/45

     1,471        1,697,586   
    

 

 

 
        38,896,777   

Transportation — 7.3%

    

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

     8,005        9,430,507   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     3,405        4,009,898   

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

     8,500        9,093,640   
 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

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

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

New York (continued)

                

Transportation (continued)

    

Triborough Bridge & Tunnel Authority, Refunding RB, Series A, 5.00%, 11/15/46

   $ 10,000      $ 11,728,200   
    

 

 

 
        34,262,245   

Utilities — 3.3%

    

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

     4,004        4,443,021   

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

    

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

     7,151        8,335,635   

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

     2,400        2,724,319   
    

 

 

 
        15,502,975   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts
28.8%
        135,840,883   
Total Long-Term Investments
(Cost — $713,960,940) — 163.6%
        772,416,508   
Short-Term Securities — 0.1%   

Shares

    Value  

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

   $ 468,659      $ 468,659   
Total Short-Term Securities
(Cost — $468,659) — 0.1%
        468,659   
Total Investments (Cost — $714,429,599) — 163.7%        772,885,167   
Other Assets Less Liabilities — 2.0%        9,420,263   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (14.1)%

   

    (66,572,479
VRDP Shares, at Liquidation Value — (51.6)%        (243,600,000
    

 

 

 
Net Assets Applicable to Common Shares 100.0%      $ 472,132,951   
    

 

 

 
 
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)   When-issued security.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2017 to February 15, 2019, is $8,472,762. See Note 4 of the Notes to Financial Statements for details.

 

(f)   Variable rate security. Rate as of period end.

 

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

 

(h)   During the six months ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Realized
Gain
 

BIF New York Municipal Money Fund

       3,034,667           (2,566,008        468,659         $ 1,504   

 

(i)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue      Expiration      Notional
Value
    Unrealized
Appreciation
(Depreciation)
      
  (87   5-Year U.S. Treasury Note      June 2016      $ 10,525,641      $ 6,030     
  (149   10-Year U.S. Treasury Note      June 2016      $ 19,446,828        (16,367  
  (67   Long U.S. Treasury Bond      June 2016      $ 11,023,594        64,482     
  (12   Ultra U.S. Treasury Bond      June 2016      $ 2,077,875        10,481       
  Total                  $ 64,626     
             

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    33


Schedule of Investments (continued)

  

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

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments   Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

  Net unrealized appreciation1                                   $ 80,993               $ 80,993   
Liabilities — Derivative Financial Instruments                                                       

Financial futures contracts

  Net unrealized depreciation1                                   $ 16,367               $ 16,367   

1   Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:    Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
   Foreign
Currency
Exchange
Contracts
   Interest
Rate
Contracts
     Other
Contracts
   Total  

Financial futures contracts

               $ (1,391,945       $ (1,391,945
Net Change in Unrealized Appreciation (Depreciation) on:  

Financial futures contracts

               $ 4,480          $ 4,480   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Financial futures contracts:  

Average notional value of contracts — short

  $ 27,735,965   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 772,416,508              $ 772,416,508   

Short-Term Securities

  $ 468,659                          468,659   
 

 

 

 

Total

  $ 468,659         $ 772,416,508              $ 772,885,167   
 

 

 

 

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 80,993                        $ 80,993   

Liabilities:

                

Interest rate contracts

    (16,367                       (16,367
 

 

 

 

Total

  $ 64,626                        $ 64,626   
 

 

 

 

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

       

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

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

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 605,850                        $ 605,850   

Liabilities:

                

TOB Trust Certificates

            $ (66,564,243             (66,564,243

VRDP Shares

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

 

 

 

Total

  $ 605,850         $ (310,164,243           $ (309,558,393
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    35


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey — 137.8%

                

Corporate — 9.7%

    

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

   $ 560      $ 22,232   

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

     750        832,658   

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

     1,550        1,751,918   

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

    

Series A, 5.70%, 10/01/39

     500        566,920   

Series B, 5.60%, 11/01/34

     395        445,323   
    

 

 

 
               3,619,051   

County/City/Special District/School District — 22.3%

    

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

    

5.00%, 1/15/27

     230        267,702   

5.00%, 1/15/28

     110        127,745   

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 7/01/45 (c)

     610        619,662   

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

    

5.50%, 10/01/28

     400        530,692   

5.50%, 10/01/29

     790        1,056,743   

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

     800        879,720   

County of Mercer Improvement Authority, RB, Courthouse Annex Project, 5.00%, 9/01/40

     235        271,517   

County of Middlesex New Jersey, COP, Refunding, Civic Square IV Redevelopment, 5.00%, 10/15/31

     440        547,523   

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

     180        207,428   

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

     685        763,289   

Monroe Township Board of Education Middlesex County, GO, Refunding, 5.00%, 3/01/38

     265        306,555   

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

     2,250        2,753,347   
    

 

 

 
               8,331,923   

Education — 29.2%

    

New Jersey EDA, RB:

    

Leap Academy Charter School, Series A,
6.00%, 10/01/34

     100        102,829   

Team Academy Charter School Project,
6.00%, 10/01/33

     455        519,150   

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

     215        223,536   

New Jersey Educational Facilities Authority, RB:

    

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

     635        674,281   

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

     180        195,737   

New Jersey Educational Facilities Authority, Refunding RB:

    

College of New Jersey, Series D (AGM),
5.00%, 7/01/18 (d)

     245        269,275   

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

     765        828,786   

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

     150        156,350   
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

                

Education (continued)

    

New Jersey Educational Facilities Authority, Refunding RB (continued):

    

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

   $ 700      $ 788,620   

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

     1,600        1,789,376   

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

     210        236,800   

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

     85        93,073   

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

     105        117,198   

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

     450        543,695   

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

     915        1,052,653   

New Jersey Higher Education Student Assistance Authority, Refunding RB:

    

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

     580        649,171   

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

     115        121,136   

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

     90        94,606   

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

     300        324,567   

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

     215        226,500   

New Jersey Institute of Technology, RB, Series A:

    

5.00%, 7/01/40

     500        568,675   

5.00%, 7/01/45

     220        246,085   

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

     985        1,129,027   
    

 

 

 
               10,951,126   

Health — 10.5%

    

New Jersey EDA, Refunding RB:

    

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

     135        139,589   

Seabrook Village, Inc. Facility, 5.25%, 11/15/16 (d)

     470        485,961   

New Jersey Health Care Facilities Financing Authority, RB:

    

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

     240        256,706   

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

     230        268,438   

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

     400        449,124   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

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

     610        728,858   

Princeton Healthcare System, 5.00%, 7/01/39

     250        284,845   

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

     500        516,880   

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

     180        211,385   

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

     505        585,315   
    

 

 

 
               3,927,101   

Housing — 2.5%

    

New Jersey Housing & Mortgage Finance Agency, RB:

    

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

     370        392,296   

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

     225        233,392   

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

     45        46,620   

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

     270        282,720   
    

 

 

 
               955,028   

State — 26.4%

    

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/44

     870        894,334   

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

     4,000        2,845,160   
 

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

                

State (continued)

    

New Jersey EDA, RB:

    

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

   $ 500      $ 590,580   

School Facilities Construction, 5.00%, 9/01/16 (d)

     50        51,181   

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

     645        730,185   

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

     355        390,159   

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/28

     255        272,763   

Cigarette Tax, 5.00%, 6/15/29

     500        532,760   

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

     750        872,573   

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

     500        545,510   

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

     1,295        1,403,793   

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

     500        524,015   

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

     200        216,820   
    

 

 

 
               9,869,833   

Transportation — 36.2%

  

 

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

     250        278,260   

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

     1,360        1,511,749   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/38

     1,175        1,332,908   

Series A, 5.00%, 1/01/43

     500        562,850   

Series E, 5.25%, 1/01/40

     370        406,785   

Series E, 5.00%, 1/01/45

     720        817,877   

New Jersey Transportation Trust Fund Authority, RB:

    

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

     1,250        609,788   

Transportation Program, Series AA, 5.00%, 6/15/38

     705        740,588   

Transportation Program, Series AA, 5.25%, 6/15/41

     480        515,746   

Transportation System, 6.00%, 12/15/38

     325        356,918   

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

     1,275        1,439,641   

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

     555        605,277   

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

     830        895,437   

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

     200        226,516   

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

     425        465,804   

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

     450        529,016   

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

    

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

     525        575,626   

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

     500        575,375   

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

     1,000        1,124,730   
    

 

 

 
               13,570,891   

Utilities — 1.0%

  

 

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

     650        365,242   
Total Municipal Bonds — 137.8%        51,590,195   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

New Jersey — 22.0%

                

County/City/Special District/School District — 5.3%

  

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

   $ 1,780      $ 1,970,336   

Education — 2.9%

  

 

Rutgers — The State University of New Jersey, RB, Series F, 5.00%, 5/01/19 (d)

     990        1,100,748   

State — 3.1%

  

 

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

    

6.00%, 12/15/18 (d)

     329        383,766   

6.00%, 12/15/34

     671        761,889   
    

 

 

 
               1,145,655   

Transportation — 10.7%

    

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

    

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

     600        630,078   

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

     1,000        1,062,723   

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

     1,500        1,645,360   

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

     630        680,485   
    

 

 

 
               4,018,646   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 22.0%
        8,235,385   
Total Long-Term Investments
(Cost — $54,856,663) — 159.8%
        59,825,580   
    
                  
Short-Term Securities — 0.8%    Shares         

BIF New Jersey Municipal Money Fund, 0.01% (h)(i)

     293,689        293,689   
Total Short-Term Securities
(Cost — $293,689) — 0.8%
        293,689   
Total Investments (Cost — $55,150,352) — 160.6%        60,119,269   
Other Assets Less Liabilities — 1.5%        537,617   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (12.1)%

   

    (4,520,312
VRDP Shares, at Liquidation Value — (50.0)%        (18,700,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 37,436,574   
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    37


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

 

 

Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

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

 

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

 

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

 

(e)   Zero-coupon bond.

 

(f)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(g)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on June 16, 2019, is $776,985. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the six months ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Realized
Gain
 

BIF New Jersey Municipal Money Fund

       954,370           (660,681        293,689         $ 48   

 

(i)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue      Expiration      Notional
Value
       Unrealized
Appreciation
      
  (6   5-Year U.S. Treasury Note      June 2016      $ 725,906         $ 466     
  (12   10-Year U.S. Treasury Note      June 2016      $ 1,566,188           934     
  (4   Long U.S. Treasury Bond      June 2016      $ 658,125           3,846     
  (1   Ultra U.S. Treasury Bond      June 2016      $ 173,156           686       
  Total                     $ 5,932     
                

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate
Contracts

     Other
Contracts
     Total  

Financial futures contracts

 

Net unrealized appreciation1

                                   $ 5,932               $ 5,932   

1    Includes cumulative appreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
   Foreign
Currency
Exchange
Contracts
  

Interest

Rate
Contracts

     Other
Contracts
   Total  

Financial futures contracts

              $ (118,244       $ (118,244
 
Net Change in Unrealized Appreciation (Depreciation) on:  

Financial futures contracts

              $ (11,019       $ (11,019

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Financial futures contracts:  

Average notional value of contracts — short

  $ 2,150,461   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 59,825,580              $ 59,825,580   

Short-Term Securities

  $ 293,689                          293,689   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 293,689         $ 59,825,580              $ 60,119,269   
 

 

 

      

 

 

      

 

    

 

 

 

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 5,932                        $ 5,932   

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

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 42,900                        $ 42,900   

Liabilities:

                

TOB Trust Certificates

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

VRDP Shares

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

 

 

 

Total

  $ 42,900         $ (23,219,518           $ (23,176,618
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

  

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    39


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 135.1%

                

Corporate — 8.7%

    

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

   $ 100      $ 107,680   

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

    

7.63%, 8/01/25

     750        776,805   

7.75%, 8/01/31

     1,000        1,037,740   

Series B, 2.00%, 8/01/28

     500        501,140   

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

     690        745,662   

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

     100        109,804   

County of Onondaga New York Industrial Development Agency, RB, Bristol-Meyers Squibb Co. Project, AMT, 5.75%, 3/01/24

     250        316,855   

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

     375        380,393   
    

 

 

 
               3,976,079   

County/City/Special District/School District — 39.3%

    

City of New York New York, GO:

    

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

     500        546,370   

Series D, 5.38%, 6/01/32

     15        15,066   

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

     5        5,755   

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

     245        293,591   

Sub-Series G-1, 6.25%, 12/15/18 (c)

     245        282,679   

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

     250        297,330   

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

     450        508,784   

City of New York New York, GO, Refunding:

    

Series E, 5.50%, 8/01/25

     455        580,976   

Series J, 5.00%, 8/01/32

     1,620        1,929,906   

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

    

5.00%, 11/15/40

     1,000        1,160,050   

5.00%, 11/15/45

     670        772,979   

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

    

CAB, Yankee Stadium Project, Series A (AGC),

0.00%, 3/01/41 (d)

     4,155        1,531,450   

CAB, Yankee Stadium Project, Series A (AGC),

0.00%, 3/01/43 (d)

     2,000        675,000   

CAB, Yankee Stadium Project, Series A (AGC),

0.00%, 3/01/42 (d)

     500        176,185   

CAB, Yankee Stadium Project, Series A (AGC),

0.00%, 3/01/45 (d)

     950        294,196   

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

     100        113,318   

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

     325        332,186   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/46

     250        255,090   

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

     175        177,503   

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

     200        235,128   

City of Yonkers, GO, Refunding, Series B (AGM), 5.00%, 8/01/23

     100        121,462   

Haverstraw-Stony Point Central School District, GO, Refunding, 5.00%, 10/15/35

     100        116,958   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     650        672,249   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

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

  

Hudson Yards Infrastructure Corp., RB, Series A (continued):

    

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

   $ 750      $ 776,992   

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

     790        812,673   

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

     465        480,917   

New York Liberty Development Corp., Refunding RB:

    

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

     1,350        1,532,236   

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

     285        320,787   

3 World Trade Center Project, Class 2,
5.38%, 11/15/40 (a)

     120        130,830   

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

     750        864,277   

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

     340        396,093   

7 World Trade Center Project, Class 1,

4.00%, 9/15/35

     320        350,912   

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

     550        609,747   

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

     520        571,064   
    

 

 

 
               17,940,739   

Education — 34.0%

    

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

     140        149,033   

Build NYC Resource Corp., RB, South Bronx Charter School for International Cultures & The Arts Project, Series A, 5.00%, 4/15/33

     200        206,398   

Build NYC Resource Corp., Refunding RB:

    

5.00%, 6/01/32

     450        523,431   

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

     250        284,743   

New York Law School Project, 5.00%, 7/01/41

     130        144,391   

New York Law School Project, 4.00%, 7/01/45

     185        185,440   

Packer Collegiate Institute Project, 5.00%, 6/01/40

     310        349,875   

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

     250        276,360   

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

    

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

     110        127,794   

Carnegie Hall, 4.75%, 12/01/39

     400        443,036   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

    

Series A, 5.13%, 9/01/40

     610        689,202   

Series B, 4.00%, 8/01/35

     110        115,513   

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

     250        282,330   

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

     60        64,795   

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

    

5.00%, 7/01/31

     500        572,450   

5.00%, 7/01/41

     500        564,520   

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

     120        137,485   

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

     200        214,786   
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Bond Trust (BQH)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

    

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

   $ 100      $ 115,713   

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

     160        183,454   

State of New York Dormitory Authority, RB:

    

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

     300        351,468   

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

     245        318,314   

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

     500        572,840   

Series B, 5.75%, 3/15/36

     300        343,245   

Series C, 5.00%, 12/15/16 (c)

     155        160,640   

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

     150        166,673   

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

     1,040        1,170,083   

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

     250        279,093   

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

     500        550,100   

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

     215        241,335   

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

     175        199,071   

State of New York Dormitory Authority, Refunding RB:

    

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

     100        117,516   

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

     125        140,023   

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

     150        170,990   

Fordham University, 5.00%, 7/01/44

     340        384,999   

Icahn School of Medicine at Mount Sinai, Series A,
5.00%, 7/01/35

     400        462,252   

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

     445        520,054   

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

     1,750        2,004,940   

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

     250        290,063   

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

     350        422,366   

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

     350        416,482   

State University Dormitory Facilities, Series B,
3.50%, 7/01/34

     100        101,593   

Teachers College, 5.50%, 3/01/39

     350        391,552   

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphini University Project, 5.00%, 10/01/34

     105        121,655   
    

 

 

 
               15,528,096   

Health — 17.2%

    

Buffalo & Erie County Industrial Land Development Corp., RB, 5.25%, 7/01/35

     500        581,720   

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

     350        403,882   

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

     140        140,148   

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

     370        412,295   

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

     275        321,604   

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

     200        211,472   

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     80        90,714   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (continued)

    

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

   $ 260      $ 264,160   

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

    

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

     1,030        1,156,752   

Series B, 6.00%, 11/01/30

     200        230,790   

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 1/01/34

     500        547,470   

State of New York Dormitory Authority, RB:

    

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

     5        5,528   

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

     330        365,165   

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

     185        212,400   

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

     220        253,524   

North Shore-Long Island Jewish Obligated Group, Series A, 5.75%, 5/01/19 (c)

     500        578,050   

State of New York Dormitory Authority, Refunding RB:

    

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

     290        310,573   

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

     315        359,220   

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

     1,000        1,113,360   

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

     250        277,217   
    

 

 

 
               7,836,044   

Housing — 5.9%

    

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

    

5.25%, 7/01/32

     735        860,060   

5.00%, 7/01/33

     250        286,250   

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

    

8 Spruce Street, Class F, 4.50%, 2/15/48

     500        535,855   

Sustainable Neighborhood, Series G, 3.85%, 11/01/45

     505        510,929   

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

     500        504,990   
    

 

 

 
               2,698,084   

State — 4.7%

    

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

     250        285,152   

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

     250        278,775   

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

     80        94,600   

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

     1,000        1,167,410   

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

     250        299,195   
    

 

 

 
               2,125,132   

Tobacco — 1.0%

  

County of Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

     75        74,162   

County of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     200        208,594   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    41


Schedule of Investments (continued)

  

BlackRock New York Municipal Bond Trust (BQH)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Tobacco (continued)

  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/40

   $ 170      $ 191,321   
    

 

 

 
               474,077   

Transportation — 16.7%

  

Metropolitan Transportation Authority, RB:

    

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

     250        280,855   

Series C, 6.50%, 11/15/28

     700        809,578   

Series D, 5.25%, 11/15/41

     1,000        1,183,070   

Metropolitan Transportation Authority, Refunding RB:

    

Series D, 5.25%, 11/15/30

     250        302,445   

Series D, 5.25%, 11/15/31

     250        301,438   

Series D, 5.25%, 11/15/32

     170        203,782   

Series F, 5.00%, 11/15/30

     500        595,615   

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

     500        587,795   

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

    

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

     150        175,133   

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

     500        508,630   

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

     150        153,608   

Consolidated, 189th Series, 5.00%, 5/01/45

     575        666,091   

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

     270        311,140   

State of New York Thruway Authority, Refunding RB:

    

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

     440        504,293   

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

     140        159,307   

Series J, 5.00%, 1/01/41

     250        282,450   

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

     140        164,721   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Sub-Series A, 0.00%, 11/15/32 (d)

     170        102,362   

General, Series A, 5.25%, 11/15/45

     275        327,635   
    

 

 

 
               7,619,948   

Utilities — 7.6%

  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     250        292,937   

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

    

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

     225        256,273   

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

     500        627,550   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.50%, 4/01/19 (c)

     100        114,229   

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

     600        699,492   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     150        152,793   

Series E, 5.00%, 12/15/41

     1,115        1,303,513   
    

 

 

 
               3,446,787   
Total Municipal Bonds in New York        61,644,986   
    

Puerto Rico — 1.7%

                

Housing — 0.6%

    

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

     250        270,415   
Municipal Bonds   

Par  

(000)

    Value  

Puerto Rico (continued)

                

Tobacco — 1.1%

    

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed, 5.63%, 5/15/43

   $ 500      $ 501,270   
Total Municipal Bonds in Puerto Rico              771,685   
Total Municipal Bonds — 136.8%              62,416,671   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
            

New York — 21.7%

                

County/City/Special District/School District — 5.3%

  

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

     250        290,953   

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

     825        932,951   

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

     1,050        1,216,183   
    

 

 

 
               2,440,087   

State — 3.7%

    

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

     500        554,779   

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

     700        813,475   

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

     255        310,600   
    

 

 

 
               1,678,854   

Transportation — 5.4%

    

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

     630        729,503   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     360        423,954   

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

     600        705,336   

Triborough Bridge & Tunnel Authority, Refunding RB, Series A, 5.00%, 11/15/46

     500        586,410   
    

 

 

 
               2,445,203   

Utilities — 7.3%

    

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

     405        449,294   

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

    

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

     990        1,153,974   

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

     1,500        1,725,291   
    

 

 

 
               3,328,559   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 21.7%
             9,892,703   
Total Long-Term Investments
(Cost — $65,284,799) — 158.5%
             72,309,374   
 

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Bond Trust (BQH)

 

Short-Term Securities — 0.3%    Shares     Value  

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

     163,223      $ 163,223   

Total Short-Term Securities

(Cost — $163,223) — 0.3%

  

  

    163,223   
Total Investments (Cost — $65,448,022) — 158.8%        72,472,597   
Other Assets Less Liabilities — 1.8%        822,748   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (12.2)%

   

    (5,561,239
VRDP Shares, at Liquidation Value — (48.4)%        (22,100,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 45,634,106   
    

 

 

 
Notes to Schedule of Investments

 

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

 

(b)   Variable rate security. Rate as of period end.

 

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

 

(d)   Zero-coupon bond.

 

(e)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(f)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(g)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on February 15, 2019, is $370,682. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the six months ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Realized
Gain
 

BIF New York Municipal Money Fund

       1,383,932           (1,220,709        163,223         $ 139   

 

(i)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue   Expiration   Notional
Value
    Unrealized
Appreciation
(Depreciation)
      
  (9   5-Year U.S. Treasury Note   June 2016   $ 1,088,859      $ 624     
  (15   10-Year U.S. Treasury Note   June 2016   $ 1,957,734        (1,648  
  (6   Long U.S. Treasury Bond   June 2016   $ 987,188        5,775     
  (3   Ultra U.S. Treasury Bond   June 2016   $ 519,469        2,620       
  Total            $ 7,371     
       

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments        Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Financial futures contracts

  Net unrealized appreciation1                               $ 9,019             $ 9,019   
Liabilities — Derivative Financial Instruments                                                      

Financial futures contracts

  Net unrealized depreciation1                               $ 1,648             $ 1,648   

1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    43


Schedule of Investments (concluded)

  

BlackRock New York Municipal Bond Trust (BQH)

 

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                                  $ (156,797            $ (156,797
Net Change in Unrealized Appreciation (Depreciation) on:                                                  

Financial futures contracts

                                  $ (79            $ (79

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Financial futures contracts:     

Average notional value of contracts — short

     $ 2,944,617   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 72,309,374              $ 72,309,374   

Short-Term Securities

  $ 163,223                          163,223   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 163,223         $ 72,309,374              $ 72,472,597   
 

 

 

      

 

 

      

 

    

 

 

 

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 9,019                        $ 9,019   

Liabilities:

                

Interest rate contracts

    (1,648                       (1,648
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 7,371                        $ 7,371   
 

 

 

      

 

 

      

 

    

 

 

 

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 67,350                        $ 67,350   

Liabilities:

                

TOB Trust Certificates

            $ (5,560,191             (5,560,191

VRDP Shares

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

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 67,350         $ (27,660,191           $ (27,592,841
 

 

 

      

 

 

      

 

    

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 118.0%

                

Corporate — 0.5%

    

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

   $ 165      $ 178,311   

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

     250        305,227   
    

 

 

 
        483,538   

County/City/Special District/School District — 19.3%

  

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

    

5.50%, 8/01/25

     830        1,059,802   

5.00%, 8/01/30

     1,000        1,191,180   

City of New York New York, GO:

    

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

     200        232,610   

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

     440        527,265   

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

    

5.00%, 11/15/40

     1,100        1,276,055   

5.00%, 11/15/45

     1,250        1,442,125   

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

    

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

     1,000        406,440   

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

     150        169,977   

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

     425        499,647   

City of New York New York Transitional Finance Authority Future Tax Secured, Refunding RB, Series C, 5.00%, 11/01/30

     590        718,945   

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

    

5.25%, 5/01/31

     200        232,852   

(AGM), 5.75%, 5/01/17 (b)

     1,000        1,062,460   

County of Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project, 5.00%, 5/01/28

     750        921,773   

Haverstraw-Stony Point Central School District, GO, Refunding, 5.00%, 10/15/36

     240        279,794   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     500        517,115   

5.75%, 2/15/47

     1,000        1,162,210   

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

     1,250        1,294,987   

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

     750        776,993   

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

     1,000        1,028,700   

New York Liberty Development Corp., Refunding RB:

    

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

     1,000        1,152,370   

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

     1,250        1,399,762   

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

     545        634,914   

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

     1,100        1,206,260   
    

 

 

 
        19,194,236   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education — 34.0%

    

Build NYC Resource Corp., Refunding RB:

    

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

   $ 250      $ 284,743   

Ethical Culture Fieldston School Project, 5.00%, 6/01/33

     300        347,901   

Ethical Culture Fieldston School Project, 5.00%, 6/01/35

     350        402,833   

New York Law School Project, 5.00%, 7/01/41

     130        144,391   

New York Law School Project, 4.00%, 7/01/45

     185        185,440   

Packer Collegiate Institute Project, 5.00%, 6/01/40

     690        778,755   

City of New York Albany Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A:

    

5.00%, 12/01/33

     175        196,464   

4.00%, 12/01/34

     130        133,182   

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

    

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

     440        511,174   

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

     500        572,480   

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

     700        766,472   

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

     410        461,574   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

    

Series A, 5.13%, 9/01/40

     1,645        1,858,587   

Series B, 4.00%, 8/01/35

     230        241,528   

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

     1,500        1,638,900   

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

     500        572,450   

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

     400        458,284   

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

    

5.00%, 7/01/37

     180        193,631   

5.00%, 7/01/42

     115        121,839   

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 7/01/32

     500        575,370   

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

     250        289,283   

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

     1,000        1,145,800   

Dobbs Ferry Local Development Corp., RB, Mercy College Project:

    

5.00%, 7/01/39

     1,000        1,121,460   

5.00%, 7/01/44

     500        557,260   

State of New York Dormitory Authority, RB:

    

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

     300        351,468   

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

     500        594,125   

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

     350        402,626   

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

     500        584,330   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    45


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

    

State of New York Dormitory Authority, RB (continued):

    

New York University, Series C,
5.00%, 7/01/18 (b)

   $ 1,000      $ 1,098,590   

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

     550        624,486   

Series B, 5.75%, 3/15/36

     600        686,490   

Series C, 5.00%, 12/15/16 (b)

     750        777,292   

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

     600        681,258   

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

     1,000        1,146,130   

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

     400        450,032   

State of New York Dormitory Authority, Refunding RB:

    

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

     200        235,032   

Barnard College, Series A, 4.00%, 7/01/36

     190        202,181   

Barnard College, Series A, 5.00%, 7/01/43

     2,960        3,387,069   

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

     250        284,983   

Fordham University, 5.00%, 7/01/44

     640        724,704   

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

     1,600        1,849,008   

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

     745        870,652   

Pratt Institute, Series A, 5.00%, 7/01/44

     500        558,795   

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

     395        417,870   

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

     1,500        1,810,140   

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

     600        713,970   

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

     450        510,192   

State University Dormitory Facilities, Series B, 5.00%, 7/01/32

     545        649,329   

Town of Hempstead New York Local Development Corp., Refunding RB:

    

Adelphi University Project, 5.00%, 10/01/35

     310        358,152   

Adelphini University Project, 5.00%, 10/01/34

     310        359,172   
    

 

 

 
        33,887,877   

Health — 13.0%

    

Buffalo & Erie County Industrial Land Development Corp., RB, 5.25%, 7/01/35

     500        581,720   

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30

     500        576,120   

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

     850        947,163   

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

     725        847,866   

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     150        170,088   

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

     895        1,005,139   

State of New York Dormitory Authority, RB:

    

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

     1,250        1,319,412   

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

     5        5,528   

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

     5        5,528   

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

     985        1,089,962   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (continued)

    

State of New York Dormitory Authority, RB (continued):

    

Mental Health Services, 2nd Series (AGM), 5.00%, 8/15/18 (b)

   $ 5      $ 5,528   

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

     250        286,200   

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

     500        527,740   

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

    

New York University Hospitals Center, 5.00%, 7/01/17 (b)

     500        530,125   

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

     750        835,020   

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

     1,840        2,063,118   

North Shore-Long Island Jewish Obligated Group, 5.00%, 5/01/41

     750        826,253   

North Shore-Long Island Jewish Obligated Group, 5.00%, 5/01/43

     1,140        1,284,552   
    

 

 

 
        12,907,062   

Housing — 3.7%

    

City of New York New York Housing Development Corp., RB, M/F Housing, Series B1:

    

Fund Grant Program, New York City Housing Authority Program, 5.25%, 7/01/32

     915        1,070,687   

Fund Grant Program, New York City Housing Authority Program, 5.00%, 7/01/33

     400        458,000   

5.25%, 7/01/30

     750        893,303   

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

    

8 Spruce Street, Class F, 4.50%, 2/15/48

     500        535,855   

Series G, 3.85%, 11/01/45

     760        768,922   
    

 

 

 
        3,726,767   

State — 10.8%

    

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

    

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

     1,000        1,127,730   

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

     850        878,993   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

    

Series B, 5.00%, 11/15/34

     540        612,414   

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

     750        886,500   

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

     750        913,530   

State of New York Dormitory Authority, RB, General Purpose, Series B:

    

5.00%, 3/15/37

     1,000        1,166,280   

5.00%, 3/15/42

     1,400        1,599,416   

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

     1,000        1,093,410   

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

     320        378,400   

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

     250        291,853   

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

    

5.00%, 3/15/30

     500        598,390   

5.00%, 3/15/32

     1,000        1,182,500   
    

 

 

 
        10,729,416   
 

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Tobacco — 0.3%

    

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/40

   $ 290      $ 326,372   

Transportation — 22.7%

    

Metropolitan Transportation Authority, RB:

    

Series A, 5.00%, 11/15/27

     575        677,120   

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

     270        321,770   

Series C, 6.50%, 11/15/28

     750        867,405   

Series D, 5.25%, 11/15/41

     2,000        2,366,140   

Series E, 5.00%, 11/15/38

     650        750,971   

Series H, 5.00%, 11/15/25

     1,500        1,821,285   

Metropolitan Transportation Authority, Refunding RB, Series D, 5.25%, 11/15/31

     750        904,312   

Port Authority of New York & New Jersey, ARB, Consolidated, 183rd Series, 4.00%, 6/15/44

     1,000        1,059,330   

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

    

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

     245        286,050   

Consolidated, 189th Series, 5.00%, 5/01/45

     860        996,241   

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

    

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

     4,000        4,279,360   

Series I, 5.00%, 1/01/37

     1,325        1,518,609   

Series I, 5.00%, 1/01/42

     425        483,612   

Series K, 5.00%, 1/01/32

     750        883,523   

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

     280        329,442   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

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

     1,010        586,800   

General, Remarketing, Series A, 5.00%, 11/15/34

     1,000        1,167,660   

General, Series A, 5.25%, 11/15/45

     370        440,818   

Series C, 5.00%, 11/15/38

     1,000        1,101,930   

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

     1,485        1,769,006   
    

 

 

 
        22,611,384   

Utilities — 13.7%

  

 

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

     1,000        1,166,590   

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

    

2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     1,000        1,171,750   

Series DD, 5.00%, 6/15/32

     1,100        1,200,045   

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

    

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

     500        569,495   

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

     1,000        1,255,100   

Long Island Power Authority, Refunding RB, Electric Systems, Series A:

    

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

     1,690        1,917,812   

General, 5.00%, 9/01/44

     310        350,278   

General (AGC), 6.00%, 5/01/19 (b)

     2,000        2,323,040   

State of New York Environmental Facilities Corp., RB, Series B, Revolving Funds, Green Bonds, 5.00%, 9/15/40

     635        742,061   

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

     1,000        1,165,820   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     300        305,586   

Series E, 5.00%, 12/15/41

     1,000        1,169,070   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Utilities (continued)

  

 

Western Nassau County Water Authority, RB, Series A, 5.00%, 4/01/40

   $ 250      $ 287,153   
    

 

 

 
        13,623,800   
Total Municipal Bonds in New York        117,490,452   
    

Puerto Rico — 1.5%

  

       

Housing — 1.5%

  

 

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

     1,400        1,514,323   
Total Municipal Bonds — 119.5%        119,004,775   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
       

New York — 38.1%

                

County/City/Special District/School District — 9.8%

  

 

City of New York New York, GO:

    

Fiscal 2015, Series B, 4.00%, 8/01/32

     1,790        1,934,775   

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

     1,000        1,142,200   

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

     1,000        1,189,320   

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

     250        290,952   

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

     2,475        2,798,854   

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

     2,085        2,414,993   
    

 

 

 
        9,771,094   

Education — 5.0%

  

 

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

     1,999        2,320,601   

State of New York Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/17 (b)

     2,499        2,648,384   
    

 

 

 
        4,968,985   

State — 5.9%

    

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

     1,800        2,091,793   

Sales Tax Asset Receivable Corp., Refunding RB:

    

Fiscal 2015, Series A, 5.00%, 10/15/31

     990        1,205,860   

Series 2016, 4.00%, 10/15/32

     1,500        1,669,920   

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

     750        856,320   
    

 

 

 
        5,823,893   

Transportation — 7.1%

    

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

     3,495        4,047,007   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     735        865,573   

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

     800        940,448   

Triborough Bridge & Tunnel Authority, Refunding RB, Series A, 5.00%, 11/15/46

     1,000        1,172,820   
    

 

 

 
        7,025,848   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    47


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

New York (continued)

                

Utilities — 10.3%

    

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

   $ 495      $ 549,137   

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

    

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

     2,249        2,621,269   

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

     2,011        2,311,889   

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

     405        459,729   

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

     3,719        4,347,620   
    

 

 

 
        10,289,644   
Total Municipal Bonds Transferred
to Tender Option Bond Trusts — 38.1%
        37,879,464   
Total Long-Term Investments
(Cost — $143,708,617) — 157.6%
        156,884,239   
    
Short-Term Securities
   Shares     Value  

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

     528,955      $ 528,955   
Total Short-Term Securities
(Cost — $528,955) — 0.5%
        528,955   
Total Investments (Cost — $144,237,572) — 158.1%        157,413,194   
Other Assets Less Liabilities — 2.5%        2,468,189   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (19.9)%

   

    (19,833,214
VRDP Shares, at Liquidation Value — (40.7)%        (40,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 99,548,169   
    

 

 

 
 
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)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(d)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2017 to February 15, 2019, is $1,482,731. See Note 4 of the Notes to Financial Statements for details.

 

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

 

(f)   Variable rate security. Rate as of period end.

 

(g)   During the six months ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Realized
Gain
 

BIF New York Municipal Money Fund

       767,884           (238,929        528,955         $ 144   

 

(h)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts

Short

    Issue   Expiration   Notional Value  

Unrealized

Appreciation
(Depreciation)

      
  (19   5-Year U.S. Treasury Note   June 2016   $2,298,703   $ 1,317     
  (35   10-Year U.S. Treasury Note   June 2016   $4,568,047     (3,844  
  (15   Long U.S. Treasury Bond   June 2016   $2,467,969     14,436     
  (3   Ultra U.S. Treasury Bond   June 2016   $   519,469     2,620       
  Total            $ 14,529     
       

 

 

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized appreciation1                                    $ 18,373               $ 18,373   
Liabilities — Derivative Financial Instruments                                                        

Financial futures contracts

   Net unrealized depreciation1                                    $ 3,844               $ 3,844   

1   Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:    Commodity
Contracts
   Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

                              $ (325,004            $ (325,004

Net Change in Unrealized Appreciation (Depreciation) on:

  

Financial futures contracts

                              $ 356               $ 356   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      
Financial futures contracts:  

Average notional value of contracts — short

  $ 6,383,418   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 156,884,239              $ 156,884,239   

Short Term Securities

  $ 528,955                          528,955   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 528,955         $ 156,884,239              $ 157,413,194   
 

 

 

      

 

 

      

 

    

 

 

 

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

      

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 18,373                        $ 18,373   

Liabilities:

                

Interest rate contracts

    (3,844                       (3,844
 

 

 

 

Total

  $ 14,529                        $ 14,529   
 

 

 

 

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

      

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 139,300                        $ 139,300   

Liabilities:

                

TOB Trust Certificates

            $ (19,830,899             (19,830,899

VRDP Shares

              (40,500,000             (40,500,000
 

 

 

 

Total

  $ 139,300         $ (60,330,899           $ (60,191,599
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    49


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 140.5%

                

Corporate — 8.2%

  

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

   $ 140      $ 150,752   

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

    

7.63%, 8/01/25

     1,600        1,657,184   

Series B, 2.00%, 8/01/28

     750        751,710   

7.75%, 8/01/31

     1,500        1,556,610   

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

     330        356,621   

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

     200        219,608   

County of Onondaga New York Industrial Development Agency, RB, Bristol-Meyers Squibb Co. Project, AMT, 5.75%, 3/01/24

     500        633,710   

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

     500        610,455   

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

     625        633,988   
    

 

 

 
               6,570,638   

County/City/Special District/School District — 39.0%

  

City of New York New York, GO:

    

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

     500        546,370   

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

     690        826,848   

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

     5        5,755   

Sub-Series G-1, 6.25%, 12/15/18 (c)

     245        282,679   

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

     450        508,784   

City of New York New York, GO, Refunding:

    

Series A, 5.00%, 8/01/30

     1,700        2,058,615   

Series E, 5.50%, 8/01/25

     1,280        1,634,394   

Series E, 5.00%, 8/01/30

     500        595,590   

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

    

5.00%, 11/15/40

     1,250        1,450,062   

5.00%, 11/15/45

     2,340        2,699,658   

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

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/35 (d)

     500        248,505   

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

     1,750        616,648   

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

     500        154,840   

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

     100        113,318   

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

     500        511,055   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/46

     500        510,180   

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

     500        507,150   

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

     400        406,896   

City of New York New York Industrial Development Agency, Refunding ARB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/22

     350        395,294   

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

    

Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

     825        932,951   

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

     340        397,535   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

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

  

City of Syracuse New York, GO, Airport Terminal Security & Access, Series A, AMT (AGM), 4.75%, 11/01/31

   $ 500      $ 542,320   

City of Yonkers, GO, Refunding, Series B (AGM), 5.00%, 8/01/23

     100        121,462   

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

     280        311,231   

Haverstraw-Stony Point Central School District, GO, Refunding:

    

3.00%, 10/15/34

     235        233,005   

5.00%, 10/15/36

     120        139,897   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     2,850        2,947,555   

5.75%, 2/15/47

     1,550        1,801,425   

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

     850        880,591   

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

     1,110        1,141,857   

New York Liberty Development Corp., Refunding RB:

    

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

     1,400        1,588,986   

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

     500        562,785   

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (a)

     200        218,050   

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

     1,000        1,152,370   

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

     1,250        1,399,762   

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

     670        780,537   

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

     1,100        1,219,493   

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

     690        757,758   
    

 

 

 
               31,202,211   

Education — 24.8%

  

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

     275        292,743   

Build NYC Resource Corp., RB, South Bronx Charter School for International Cultures & The Arts Project, Series A, 5.00%, 4/15/33

     400        412,796   

Build NYC Resource Corp., Refunding RB:

    

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

     250        284,743   

New York Law School Project, 5.00%, 7/01/41

     265        294,336   

New York Law School Project, 4.00%, 7/01/45

     185        185,440   

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

     500        552,720   

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

    

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

     440        511,174   

Carnegie Hall, 4.75%, 12/01/39

     700        775,313   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

    

Series A, 5.13%, 9/01/40

     1,000        1,129,840   

Series B, 4.00%, 8/01/35

     190        199,523   

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

     500        564,660   

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

     125        134,990   
 

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

  

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

   $ 1,000      $ 1,144,900   

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

     240        274,970   

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

     350        375,875   

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

    

6.00%, 9/01/34

     150        178,632   

5.38%, 9/01/41

     650        733,609   

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

     450        520,708   

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

     400        458,636   

State of New York Dormitory Authority, RB:

    

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

     500        585,780   

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

     150        179,183   

Series B, 5.75%, 3/15/36

     300        343,245   

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

     250        277,788   

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

     670        767,907   

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

     1,200        1,339,644   

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

     250        280,623   

State of New York Dormitory Authority, Refunding RB:

    

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

     150        176,274   

Barnard College, Series A, 4.00%, 7/01/36

     165        175,578   

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

     250        280,045   

Fordham University, 5.00%, 7/01/44

     640        724,704   

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

     800        924,504   

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

     600        701,196   

Skidmore College, Series A, 5.25%, 7/01/29

     200        236,144   

Skidmore College, Series A, 5.25%, 7/01/31

     300        352,203   

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

     1,220        1,472,247   

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

     700        832,965   

State University Dormitory Facilities, Series B, 3.50%, 7/01/34

     205        208,266   

Teachers College, 5.50%, 3/01/39

     650        727,168   

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphi University Project, 5.00%, 10/01/35

     210        242,619   
    

 

 

 
               19,853,691   

Health — 15.4%

    

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/40

     300        338,922   

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

     230        230,244   

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

    

5.00%, 12/01/32

     180        202,795   

5.00%, 12/01/37

     250        278,578   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (continued)

    

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

   $ 1,425      $ 1,666,495   

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

     350        370,076   

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     150        170,088   

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

     450        457,200   

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

    

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

     895        1,005,139   

Series B, 6.00%, 11/01/30

     150        173,093   

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 1/01/34

     500        547,470   

State of New York Dormitory Authority, RB:

    

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

     500        556,695   

New York Hospital Medical Center-Queens (FHA), 4.75%, 2/15/37

     305        314,778   

New York State Association for Retarded Children, Inc., Series A, 6.00%, 7/01/32

     250        287,028   

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

     425        489,761   

State of New York Dormitory Authority, Refunding RB:

    

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

     130        139,222   

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

     500        570,190   

New York University Hospitals Center, Series A, 5.00%, 7/01/17 (c)

     1,000        1,060,250   

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

     1,000        1,113,360   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

     750        826,252   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/43

     860        969,048   

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

     500        554,435   
    

 

 

 
               12,321,119   

Housing — 6.4%

    

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

    

Fund Grant Program, New York City Housing Authority Program, Series B1, 5.25%, 7/01/32

     915        1,070,687   

Fund Grant Program, New York City Housing Authority Program, Series B1, 5.00%, 7/01/33

     400        458,000   

Series J-2-A, AMT, 4.75%, 11/01/27

     1,420        1,448,414   

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

    

8 Spruce Street, Class F, 4.50%, 2/15/48

     500        535,855   

Sustainable Neighborhood, Series G, 3.85%, 11/01/45

     600        607,044   

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

     1,000        1,009,980   
    

 

 

 
               5,129,980   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    51


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

State — 9.2%

    

City of New York New York Transitional Finance Authority, BARB, Series S-1:

    

Fiscal 2013, 4.00%, 7/15/42

   $ 1,000      $ 1,043,450   

Fiscal 2015, 5.00%, 7/15/43

     500        570,305   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund, Sub-Series B-1, 5.00%, 11/15/31

     750        886,500   

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

     500        557,550   

State of New York Dormitory Authority, RB, General Purpose:

    

Series B, 5.00%, 3/15/37

     1,070        1,247,920   

Series B, 5.00%, 3/15/42

     1,000        1,142,440   

Series C, 5.00%, 3/15/34

     1,000        1,155,940   

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

     160        189,200   

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

     500        598,390   
    

 

 

 
               7,391,695   

Tobacco — 1.1%

    

County of Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

     250        247,207   

County of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     400        417,188   

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/40

     230        258,847   
    

 

 

 
               923,242   

Transportation — 20.9%

  

Metropolitan Transportation Authority, RB:

    

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

     270        321,770   

Series C, 6.50%, 11/15/28

     750        867,405   

Series E, 5.00%, 11/15/38

     1,000        1,155,340   

Series H, 5.00%, 11/15/25

     500        607,095   

Metropolitan Transportation Authority, Refunding RB:

    

Series A-1, 4.00%, 11/15/46

     55        57,534   

Series A-1, 5.25%, 11/15/56

     250        290,480   

Series C-1, 5.00%, 11/15/35

     500        587,365   

Series F, 5.00%, 11/15/30

     1,500        1,786,845   

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

     500        578,985   

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

     1,000        1,175,590   

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

    

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

     750        762,945   

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

     500        512,025   

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

     480        489,245   

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

     430        479,639   

189th Series, 5.00%, 5/01/45

     860        996,241   

State of New York Thruway Authority, Refunding RB:

    

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

     1,530        1,753,564   

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

     1,030        1,172,047   

Series J, 5.00%, 1/01/41

     1,000        1,129,800   

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

     240        282,379   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Sub-Series A, 0.00%, 11/15/32 (d)

     505        304,076   

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

     775        450,267   

General, Series A, 5.25%, 11/15/45

     370        440,818   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Transportation (continued)

  

Triborough Bridge & Tunnel Authority, Refunding RB (continued):

    

General, Series A, 5.00%, 11/15/50

   $ 500      $ 578,630   
    

 

 

 
               16,780,085   

Utilities — 15.5%

    

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

     500        506,795   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     1,500        1,757,625   

Long Island Power Authority, RB:

    

CAB, Electric System, Series A (AGM), 0.00%, 6/01/28 (d)

     3,515        2,546,723   

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

     1,000        1,255,100   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.50%, 4/01/19 (c)

     500        571,145   

State of New York Environmental Facilities Corp., Refunding RB, New York City Municipal Water:

    

Series B, Revolving Funds, 5.00%, 6/15/36

     350        407,008   

State Clean Water and Drinking Water Revolving Finance Authority Projects, Series A, 5.00%, 6/15/37

     1,500        1,637,505   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     550        560,241   

Series E, 5.00%, 12/15/41

     2,690        3,144,798   
    

 

 

 
               12,386,940   
Total Municipal Bonds in New York        112,559,601   
    

Multi-State — 2.8%

                

Housing — 2.8%

    

Centerline Equity Issuer Trust (a)(e):

    

Series A-4-2, 6.00%, 5/15/19

     1,000        1,125,940   

Series B-3-2, 6.30%, 5/15/19

     1,000        1,134,150   
Total Municipal Bonds in Multi-State              2,260,090   
    

Puerto Rico — 2.5%

                

Housing — 1.4%

    

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

     1,000        1,081,660   

Tobacco — 1.1%

    

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed, 5.63%, 5/15/43

     900        902,286   
Total Municipal Bonds in Puerto Rico        1,983,946   
Total Municipal Bonds — 145.8%        116,803,637   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
       

New York — 15.7%

                

County/City/Special District/School District — 0.7%

  

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

     500        581,905   
 

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

New York (continued)

                

Education — 0.7%

    

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

   $ 510      $ 598,889   

State — 4.1%

    

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

     1,300        1,442,425   

Sales Tax Asset Receivable Corp., Refunding RB:

    

Fiscal 2015, Series A, 5.00%, 10/15/31

     255        310,600   

Series 2016, 4.00%, 10/15/32

     350        389,648   

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

     1,000        1,141,760   
    

 

 

 
               3,284,433   

Transportation — 6.2%

  

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

     1,995        2,310,094   

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

     1,000        1,172,550   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     735        865,573   

Triborough Bridge & Tunnel Authority, Refunding RB, Series A, 5.00%, 11/15/46

     500        586,410   
    

 

 

 
               4,934,627   

Utilities — 4.0%

    

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

     240        266,248   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

New York (continued)

                

Utilities (continued)

    

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

    

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

   $ 1,500      $ 1,748,445   

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

     1,005        1,155,945   
    

 

 

 
               3,170,638   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 15.7%
             12,570,492   
Total Long-Term Investments
(Cost — $117,305,004) — 161.5%
             129,374,129   
    
                  
Short-Term Securities    Shares         

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

     40,025        40,425   
Total Short-Term Securities
(Cost — $40,425) — 0.1%
             40,425   
Total Investments (Cost — $117,345,429) — 161.6%        129,414,554   
Other Assets Less Liabilities — 2.3%        1,882,807   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (8.5)%

   

    (6,810,725
VRDP Shares, at Liquidation Value — (55.4)%        (44,400,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 80,086,636   
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Variable rate security. Rate as of period end.

 

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

 

(d)   Zero-coupon bond.

 

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

 

(f)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(g)   During the six months ended February 29, 2016, investments in issuers considered to be an affiliate of the trust for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Realized
Gain
 

BIF New York Municipal Money Fund

       1,485,545           (1,445,120        40,425         $ 337   

 

(h)   Current yield as of period end.

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined 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    FEBRUARY 29, 2016    53


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust II (BFY)

 

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue      Expiration      Notional
Value
     Unrealized
Appreciation
(Depreciation)
      
  (15   5-Year U.S. Treasury Note      June 2016      $1,814,766      $ 1,040     
  (29   10-Year U.S. Treasury Note      June 2016      $3,784,953        (3,186  
  (12   Long U.S. Treasury Bond      June 2016      $1,974,375        11,549     
  (3   Ultra U.S. Treasury Bond      June 2016      $519,469        2,620       
  Total                     $ 12,023     
                

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments   Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Financial futures contracts   Net unrealized appreciation1                                   $ 15,209               $ 15,209   
               
Liabilities — Derivative Financial Instruments                                                       
Financial futures contracts   Net unrealized depreciation1                                   $ 3,186               $ 3,186   

1    Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Financial futures contracts

                              $ (260,644          $ (260,644
Net Change in Unrealized Appreciation (Depreciation) on:                                     

Financial futures contracts

                              $ 394             $ 394   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Financial futures contracts:     

Average notional value of contracts — short

     $ 5,240,328   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 129,374,129                   $ 129,374,129   

Short-Term Securities

  $ 40,425                               40,425   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 40,425         $ 129,374,129                   $ 129,414,554   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

                

 

See Notes to Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Trust II (BFY)

 

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments1                 

Assets:

                

Interest Rate Contracts

  $ 15,209                        $ 15,209   

Liabilities:

                

Interest Rate Contracts

    (3,186                       (3,186
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 12,023                        $ 12,023   
 

 

 

      

 

 

      

 

    

 

 

 

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 115,400                        $ 115,400   

Liabilities:

                

TOB Trust Certificates

            $ (6,810,251             (6,810,251

VRDP Shares

              (44,400,000             (44,400,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 115,400         $ (51,210,251           $ (51,094,851
 

 

 

      

 

 

      

 

    

 

 

 
During the six months ended February 29, 2016, there were no transfers between levels.   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    55


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Virginia — 124.3%

                

Corporate — 2.0%

    

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

   $ 500      $ 523,120   

County/City/Special District/School District — 26.8%

  

Cherry Hill Community Development Authority, Special Assessment, Potomac Shores Project, 5.40%, 3/01/45 (a)

     250        258,590   

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

     500        576,870   

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

     500        570,440   

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

     1,000        1,149,330   

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

     1,000        1,127,380   

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

     1,500        1,665,795   

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

     500        513,875   

Lower Magnolia Green Community Development Authority, Special Assessment Bonds, 5.00%, 3/01/35 (a)

     250        253,802   

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

     250        287,765   

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

     100        102,731   

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

     360        416,934   
    

 

 

 
               6,923,512   

Education — 19.4%

    

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

     355        399,890   

Virginia College Building Authority, RB, Marymount University Project, Series B, 5.00%, 7/01/45 (a)

     100        102,316   

Virginia College Building Authority, Refunding RB:

    

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

     1,000        1,125,410   

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

     400        409,264   

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

     500        618,255   

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

     1,000        1,271,400   

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

     500        573,095   

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

     500        511,810   
    

 

 

 
               5,011,440   

Health — 33.3%

    

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

     1,000        1,218,050   

County of Fairfax Virginia EDA, Refunding RB:

    

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

     1,000        1,044,150   

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

     500        518,835   

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

     1,000        1,135,210   

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

     500        514,460   
Municipal Bonds   

Par  

(000)

    Value  

Virginia (continued)

                

Health (continued)

    

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

   $ 145      $ 154,893   

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

     250        245,888   

Roanoke EDA, Refunding RB:

    

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

     795        904,821   

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

     5        5,859   

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

     495        543,856   

Winchester EDA, Refunding RB, Valley Health System Obligation:

    

5.00%, 1/01/44

     1,000        1,132,800   

Series A, 5.00%, 1/01/44

     400        449,256   

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 1/01/19 (b)

     650        738,244   
    

 

 

 
               8,606,322   

Housing — 8.5%

    

Virginia HDA, RB, Rental Housing:

    

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

     750        804,412   

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

     1,000        1,111,880   

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

     250        274,615   
    

 

 

 
               2,190,907   

State — 7.7%

    

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 9/01/18 (b)

     1,000        1,107,140   

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

    

5.25%, 8/01/18 (b)

     400        443,584   

4.00%, 8/01/36

     405        425,120   
    

 

 

 
               1,975,844   

Tobacco — 2.4%

    

Tobacco Settlement Financing Corp., Refunding RB, Convertible, Senior, Series B2, 5.20%, 6/01/46

     750        613,973   

Transportation — 19.2%

    

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

     500        563,980   

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

     500        569,290   

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

     500        554,710   

Virginia Resources Authority, RB, Series B:

    

5.00%, 11/01/18 (b)

     1,035        1,152,897   

5.00%, 11/01/33

     860        947,703   

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

     1,000        1,156,780   
    

 

 

 
               4,945,360   

Utilities — 5.0%

    

Hampton Roads Sanitation District, Refunding RB, Series A, 5.00%, 8/01/43 (d)

     1,000        1,181,020   

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

     105        116,961   
    

 

 

 
               1,297,981   
Total Municipal Bonds in Virginia        32,088,459   
    
 

 

See Notes to Financial Statements.

 

                
56    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

Municipal Bonds   

Par  

(000)

    Value  

District of Columbia — 7.6%

                

Transportation — 7.6%

    

Metropolitan Washington Airports Authority, Refunding RB:

    

Dulles Toll Road, 1st Senior Lien, Series A, 5.00%, 10/01/39

   $ 290      $ 321,842   

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

     460        513,420   

Series B, 5.00%, 10/01/29

     1,000        1,122,110   
Total Municipal Bonds in District of Columbia              1,957,372   
    

Guam — 0.9%

                

State — 0.9%

    

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

     200        222,136   
    

Puerto Rico — 1.1%

                

Tobacco — 1.1%

    

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed, 5.63%, 5/15/43

     285        285,724   
Total Municipal Bonds — 133.9%              34,553,691   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
            

Virginia — 27.0%

                

Education — 12.6%

    

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

     2,999        3,262,864   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

Health — 8.7%

    

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

   $ 999      $ 1,128,871   

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

     1,000        1,110,165   
    

 

 

 
               2,239,036   

Transportation — 5.7%

    

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

     1,261        1,465,161   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 27.0%
             6,967,061   
Total Long-Term Investments
(Cost — $37,679,927) — 160.9%
             41,520,752   
    
                  
Short-Term Securities — 1.6%    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (f)(g)

     422,216        422,216   
Total Short-Term Securities
(Cost — $422,216) — 1.6%
             422,216   
Total Investments (Cost — $38,102,143) — 162.5%        41,942,968   
Liabilities in Excess of Other Assets — (2.6)%        (675,109

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (15.0)%

   

    (3,859,807
VRDP Shares, at Liquidation Value — (44.9)%        (11,600,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

  

  $ 25,808,052   
    

 

 

 
 
Notes to Schedule of Investments      

 

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

 

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

 

(d)   When-issued security.

 

(e)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(f)   During the six months ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 422,216           422,216         $ 3   

FFI Institutional Tax-Exempt Fund

       40,525           (40,525                  35   

Total

                 422,216         $ 38   
              

 

 

 

 

(g)   Current yield as of period end.

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

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    57


Schedule of Investments (continued)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

Derivative Financial Instruments Outstanding as of Period End      

Financial Futures Contracts

 

Contracts
Short
    Issue      Expiration      Notional
Value
     Unrealized
Appreciation
           
  (5   5-Year U.S. Treasury Note      June 2016      $604,922      $ 736       
  (5   10-Year U.S. Treasury Note      June 2016      $652,578        405       
  (2   Long U.S. Treasury Bond      June 2016      $329,063        1,923           
  Total                     $ 3,064       
                

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Assets — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Financial futures contracts

   Net unrealized Appreciation1                                    $ 3,064               $ 3,064   

1  Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

      

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

Net Realized Gain (Loss) from:    Commodity
Contracts
   Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Financial futures contracts                               $ (60,336            $ (60,336

Net Change in Unrealized Appreciation (Depreciation) on:

                                                          
Financial futures contracts                               $ (25            $ (25

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      
Financial futures contracts:  

Average notional value of contracts — short

  $ 1,115,398   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 41,520,752                   $ 41,520,752   

Short-Term Securities

  $ 422,216                               422,216   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 422,216         $ 41,520,752                   $ 41,942,968   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

      

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                 

Assets:

                

Interest Rate Contracts

  $ 3,064                             $ 3,064   

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

       

 

See Notes to Financial Statements.

 

                
58    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, 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

  $ 19,950                             $ 19,950   

Liabilities:

                

TOB Trust Certificates

            $ (3,859,659                  (3,859,659

VRDP Shares

              (11,600,000                  (11,600,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 19,950         $ (15,459,659                $ (15,439,709
 

 

 

      

 

 

      

 

 

      

 

 

 
During the six months ended February 29, 2016, there were no transfers between levels.   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    59


Statements of Assets and Liabilities     

 

February 29, 2016 (Unaudited)   BlackRock
Maryland
Municipal
Bond Trust
(BZM)
    BlackRock
Massachusetts
Tax-Exempt
Trust
(MHE)
    BlackRock
MuniHoldings
New York Quality
Fund, Inc.
(MHN)
    BlackRock
New Jersey
Municipal
Bond Trust
(BLJ)
 
       
Assets                                

Investments at value — unaffiliated1

  $ 50,092,669      $ 51,783,530      $ 772,416,508      $ 59,825,580   

Investments at value — affiliated2

    288,348        389,673        468,659        293,689   

Cash pledged for financial futures contracts

    34,350        34,050        605,850        42,900   
Receivables:        

Interest

    494,084        601,574        8,331,002        727,234   

Investments sold

                  1,077,402          

TOB Trust

                  3,000,000          

Deferred offering costs

    70,240        87,723        391,382        77,955   

Prepaid expenses

    13,013        3,540        25,480        3,670   
 

 

 

 

Total assets

    50,992,704        52,900,090        786,316,283        60,971,028   
 

 

 

 
       
Accrued Liabilities                                
Payables:        

Investments purchased

    1,531,130        580,895        1,216,752        63,182   

Income dividends — Common Shares

    113,179        137,217        2,085,672        161,590   

Investment advisory fees

    23,529        20,700        318,492        31,434   

Officer’s and Trustees’ fees

    9,607        831        182,143        9,038   

Variation margin on financial futures contracts

    2,930        2,930        51,415        3,703   

Interest expense and fees

    535               8,264        895   

Other accrued expenses

    8,129        38,642        156,351        45,094   
 

 

 

 

Total accrued liabilities

    1,689,039        781,215        4,019,089        314,936   
 

 

 

 
       
Other Liabilities                                

TOB Trust Certificates

    1,500,000               66,564,243        4,519,518   

VRDP Shares, at liquidation value of $100,000 per share3,4

    16,000,000        18,500,000        243,600,000        18,700,000   
 

 

 

 

Total other liabilities

    17,500,000        18,500,000        310,164,243        23,219,518   
 

 

 

 

Total liabilities

    19,189,039        19,281,215        314,183,332        23,534,454   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 31,803,665      $ 33,618,875      $ 472,132,951      $ 37,436,574   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of                                

Paid-in capital5,6,7

  $ 29,429,221      $ 29,931,752      $ 441,969,360      $ 32,962,634   

Undistributed net investment income

    166,200        269,981        2,886,180        515,368   

Accumulated net realized loss

    (371,081     (1,291,712     (31,242,783     (1,016,277

Net unrealized appreciation (depreciation)

    2,579,325        4,708,854        58,520,194        4,974,849   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 31,803,665      $ 33,618,875      $ 472,132,951      $ 37,436,574   
 

 

 

 

Net asset value per Common Share

  $ 15.31      $ 14.21      $ 15.17      $ 16.10   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 47,518,379      $ 47,079,336      $ 713,960,940      $ 54,856,663   

2    Investments at cost — affiliated

  $ 288,348      $ 389,673      $ 468,659      $ 293,689   

3    Preferred Shares outstanding:

       

Par value $0.001 per share

    160                      187   

Par value $ 0.10 per share

           185        2,436          

4    Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        unlimited        14,956        unlimited   

5    Par value per Common Shares

  $ 0.001      $ 0.010      $ 0.100      $ 0.001   

6    Common Shares outstanding

    2,076,674        2,365,804        31,129,432        2,325,038   

7    Common Shares authorized

    unlimited        unlimited        199,985,044        unlimited   

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Assets and Liabilities     

 

February 29, 2016 (Unaudited)   BlackRock
New York
Municipal
Bond Trust
(BQH)
    BlackRock
New York
Municipal Income
Quality Trust
(BSE)
   

BlackRock

New York
Municipal Income
Trust II
(BFY)

    BlackRock
Virginia
Municipal
Bond Trust
(BHV)
 
       
Assets                                

Investments at value — unaffiliated1

  $ 72,309,374      $ 156,884,239      $ 129,374,129      $ 41,520,752   

Investments at value — affiliated2

    163,223        528,955        40,425        422,216   

Cash pledged for financial futures contracts

    67,350        139,300        115,400        19,950   
Receivables:        

Interest

    745,277        1,691,839        1,367,535        541,420   

Investments sold

    93,237        385,051        479,896          

TOB Trust

           550,000        175,000          

Deferred offering costs

    116,209        125,512        120,114        67,950   

Prepaid expenses

    44,313        47,363        89,454        10,601   
 

 

 

 

Total assets

    73,538,983        160,352,259        131,761,953        42,582,889   
 

 

 

 
       
Accrued Liabilities                                
Payables:        

Investments purchased

                         1,175,150   

Income dividends — Common Shares

    173,607        374,880        349,924        110,902   

Investment advisory fees

    37,904        69,621        57,366        17,050   

Officer’s and Trustees’ fees

    9,742        9,862        11,469        7,157   

Variation margin on financial futures contracts

    5,742        11,821        9,821        1,711   

Interest expense and fees

    1,139        2,481        655        426   

Other accrued expenses

    16,552        4,526        35,831        2,782   
 

 

 

 

Total accrued liabilities

    244,686        473,191        465,066        1,315,178   
 

 

 

 
       
Other Liabilities                                

TOB Trust Certificates

    5,560,191        19,830,899        6,810,251        3,859,659   

VRDP Shares, at liquidation value of $100,000 per share3,4

    22,100,000        40,500,000        44,400,000        11,600,000   
 

 

 

 

Total other liabilities

    27,660,191        60,330,899        51,210,251        15,459,659   
 

 

 

 

Total liabilities

    27,904,877        60,804,090        51,675,317        16,774,837   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 45,634,106      $ 99,548,169      $ 80,086,636      $ 25,808,052   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of                                

Paid-in capital5,6,7

  $ 39,710,976      $ 92,401,548      $ 70,800,445      $ 22,763,552   

Undistributed net investment income

    564,068        248,423        1,110,141        171,117   

Accumulated net realized loss

    (1,672,884     (6,291,953     (3,905,098     (970,506

Net unrealized appreciation (depreciation)

    7,031,946        13,190,151        12,081,148        3,843,889   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 45,634,106      $ 99,548,169      $ 80,086,636      $ 25,808,052   
 

 

 

 

Net asset value per Common Share

  $ 16.30      $ 15.27      $ 16.02      $ 16.17   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 65,284,799      $ 143,708,617      $ 117,305,004      $ 37,679,927   

2    Investments at cost — affiliated

  $ 163,223      $ 528,955      $ 40,425      $ 422,216   

3    Preferred Shares outstanding:

       

Par value $ 0.001 per share

    221        405        444        116   

4    Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    unlimited        unlimited        unlimited        unlimited   

5    Par value per Common Shares

  $ 0.001      $ 0.001      $ 0.001      $ 0.001   

6    Common Shares outstanding

    2,800,105        6,519,660        4,998,911        1,595,709   

7    Common Shares authorized

    unlimited        unlimited        unlimited        unlimited   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    61


Statements of Operations     

 

Six Months Ended February 29, 2016 (Unaudited)   BlackRock
Maryland
Municipal
Bond Trust
(BZM)
    BlackRock
Massachusetts
Tax-Exempt
Trust
(MHE)
    BlackRock
MuniHoldings
New York Quality
Fund, Inc.
(MHN)
    BlackRock
New Jersey
Municipal
Bond Trust
(BLJ)
 
       
Investment Income                                

Interest — unaffiliated

  $ 945,588      $ 1,054,080      $ 15,553,524      $ 1,325,235   

Dividend — affiliated

    26                        
 

 

 

 

Total income

    945,614        1,054,080        15,553,524        1,325,235   
 

 

 

 
       
Expenses                                

Investment advisory

    158,247        128,579        2,097,376        194,651   

Liquidity fees

    61,789               12,371          

Professional

    44,301        19,311        47,816        21,687   

Rating agency

    12,900        12,903        18,146        12,903   

Remarketing fees on Preferred Shares

    8,088               12,147          

Transfer agent

    7,990        8,396        16,376        8,038   

Accounting services

    5,106        5,303        50,753        5,981   

Custodian

    2,893        2,723        17,502        3,093   

Printing

    2,511        2,512        6,947        2,547   

Officer and Trustees

    1,530        1,852        19,949        1,793   

Registration

    348        398        3,945        390   

Miscellaneous

    17,584        8,310        28,669        9,506   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    323,287        190,287        2,331,997        260,589   

Interest expense, fees and amortization of offering costs1

    14,093        85,865        1,291,821        103,053   
 

 

 

 

Total expenses

    337,380        276,152        3,623,818        363,642   

Less fees waived by the Manager

    (12,175     (5     (133,593     (36
 

 

 

 

Total expenses after fees waived

    325,205        276,147        3,490,225        363,606   
 

 

 

 

Net investment income

    620,409        777,933        12,063,299        961,629   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                

Net realized gain (loss) from:

       

Investments

    28,839        22,933        1,193,009        (1,631

Financial futures contracts

    (86,888     (92,597     (1,391,945     (118,244

Capital gain distributions received from affiliated investment companies

                  1,504        48   
 

 

 

 
    (58,049     (69,664     (197,432     (119,827
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments

    846,022        880,343        11,638,796        1,198,947   

Financial futures contracts

    1,219        (6,807     4,480        (11,019
 

 

 

 
    847,241        873,536        11,643,276        1,187,928   
 

 

 

 

Net realized and unrealized gain

    789,192        803,872        11,445,844        1,068,101   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 1,409,601      $ 1,581,805      $ 23,509,143      $ 2,029,730   
 

 

 

 

1    Related to TOBs and/or VRDP Shares.

       

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Operations     

 

Six Months Ended February 29, 2016 (Unaudited)   BlackRock
New York
Municipal
Bond Trust
(BQH)
    BlackRock
New York
Municipal Income
Quality Trust
(BSE)
    BlackRock
New York
Municipal Income
Trust II
(BFY)
    BlackRock
Virginia
Municipal
Bond Trust
(BHV)
 
       
Investment Income                                

Interest — unaffiliated

  $ 1,457,408      $ 3,063,190      $ 2,698,837      $ 883,107   

Dividend — affiliated

                         38   
 

 

 

 

Total income

    1,457,408        3,063,190        2,698,837        883,145   
 

 

 

 
       
Expenses                                

Investment advisory

    233,678        429,832        354,777        131,655   

Liquidity fees

    27,104        49,671        54,454        44,797   

Professional

    26,735        35,815        32,539        35,801   

Rating agency

    20,430        20,448        20,451        12,896   

Remarketing fees on Preferred Shares

    3,131        5,738        6,290        5,864   

Transfer agent

    8,166        10,007        8,762        7,793   

Accounting services

    6,774        14,372        8,708        1,849   

Custodian

    3,482        5,279        5,079        2,588   

Printing

    2,720        3,244        3,109        2,384   

Officer and Trustees

    2,275        5,361        4,231        1,237   

Registration

    3,040        3,036        839        268   

Miscellaneous

    13,159        14,754        14,662        17,301   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    350,694        597,557        513,901        264,433   

Interest expense, fees and amortization of offering costs1

    96,746        206,447        175,502        18,491   
 

 

 

 

Total expenses

    447,440        804,004        689,403        282,924   

Less fees waived by the Manager

    (98     (129     (137     (26,336
 

 

 

 

Total expenses after fees waived

    447,342        803,875        689,266        256,588   
 

 

 

 

Net investment income

    1,010,066        2,259,315        2,009,571        626,557   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                

Net realized gain (loss) from:

       

Investments

    115,227        266,483        218,017        45,330   

Financial futures contracts

    (156,797     (325,004     (260,644     (60,336

Capital gain distributions received from affiliated investment companies

    139        144        337          
 

 

 

 
    (41,431     (58,377     (42,290     (15,006
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments

    1,596,149        3,058,374        2,364,519        490,653   

Financial futures contracts

    (79     356        394        (25
 

 

 

 
    1,596,070        3,058,730        2,364,913        490,628   
 

 

 

 

Net realized and unrealized gain

    1,554,639        3,000,353        2,322,623        475,622   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 2,564,705      $ 5,259,668      $ 4,332,194      $ 1,102,179   
 

 

 

 

1    Related to TOBs and/or VRDP Shares.

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    63


Statements of Changes in Net Assets     

 

    BlackRock Maryland Municipal
Bond Trust (BZM)
        BlackRock Massachusetts
Tax-Exempt Trust (MHE)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

        Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

 
         
Operations                                    

Net investment income

  $ 620,409      $ 1,312,918        $ 777,933      $ 1,599,347   

Net realized gain (loss)

    (58,049     33,531          (69,664     (95,677

Net change in unrealized appreciation (depreciation)

    847,241        (423,515       873,536        (130,952
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    1,409,601        922,934          1,581,805        1,372,718   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (679,072     (1,419,360       (827,357     (1,688,441
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common distributions

           34,986                 41,086   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    730,529        (461,440       754,448        (274,637

Beginning of period

    31,073,136        31,534,576          32,864,427        33,139,064   
 

 

 

     

 

 

 

End of period

  $ 31,803,665      $ 31,073,136        $ 33,618,875      $ 32,864,427   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 166,200      $ 224,863        $ 269,981      $ 319,405   
 

 

 

     

 

 

 
    BlackRock MuniHoldings New York
Quality Fund, Inc. (MHN)
        BlackRock New Jersey Municipal
Bond Trust (BLJ)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

        Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

 
         
Operations                                    

Net investment income

  $ 12,063,299      $ 24,887,548        $ 961,629      $ 1,904,594   

Net realized loss

    (197,432     (284,866       (119,827     (236,837

Net change in unrealized appreciation (depreciation)

    11,643,276        (4,204,134       1,187,928        (1,143,295
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    23,509,143        20,398,548          2,029,730        524,462   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (12,535,604     (25,650,652       (969,541     (2,018,544
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common distributions

                           1,970   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    10,973,539        (5,252,104       1,060,189        (1,492,112

Beginning of period

    461,159,412        466,411,516          36,376,385        37,868,497   
 

 

 

     

 

 

 

End of period

  $ 472,132,951      $ 461,159,412        $ 37,436,574      $ 36,376,385   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 2,886,180      $ 3,358,485        $ 515,368      $ 523,280   
 

 

 

     

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

       

     

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Changes in Net Assets     

 

    BlackRock New York Municipal
Bond Trust (BQH)
        BlackRock New York Municipal
Income Quality Trust (BSE)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

        Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

 
         
Operations                                    

Net investment income

  $ 1,010,066      $ 2,079,871        $ 2,259,315      $ 4,591,610   

Net realized gain (loss)

    (41,431     240,745          (58,377     477,734   

Net change in unrealized appreciation (depreciation)

    1,596,070        (158,778       3,058,730        (999,579
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    2,564,705        2,161,838          5,259,668        4,069,765   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (1,041,639     (2,209,283       (2,298,180     (4,759,352
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    1,523,066        (47,445       2,961,488        (689,587

Beginning of period

    44,111,040        44,158,485          96,586,681        97,276,268   
 

 

 

     

 

 

 

End of period

  $ 45,634,106      $ 44,111,040        $ 99,548,169      $ 96,586,681   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 564,068      $ 595,641        $ 248,423      $ 287,288   
 

 

 

     

 

 

 
    BlackRock New York  Municipal
Income Trust II (BFY)
        BlackRock Virginia Municipal
Bond Trust (BHV)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

        Six Months Ended
February 29,
2016
(Unaudited)
   

Year Ended

August 31,
2015

 
         
Operations                                    

Net investment income

  $ 2,009,571      $ 4,120,684        $ 626,557      $ 1,295,945   

Net realized gain (loss)

    (42,290     (39,557       (15,006     17,281   

Net change in unrealized appreciation (depreciation)

    2,364,913        (324,790       490,628        (49,581
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    4,332,194        3,756,337          1,102,179        1,263,645   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (2,099,543     (4,206,084       (665,129     (1,346,946
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common distributions

                    34,996        46,267   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    2,232,651        (449,747       472,046        (37,034

Beginning of period

    77,853,985        78,303,732          25,336,006        25,373,040   
 

 

 

     

 

 

 

End of period

  $ 80,086,636      $ 77,853,985        $ 25,808,052      $ 25,336,006   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,110,141      $ 1,200,113        $ 171,117      $ 209,689   
 

 

 

     

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

       

     

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    65


Statements of Cash Flows     

 

Six Months Ended February 29, 2016 (Unaudited)  

BlackRock
Maryland
Municipal

Bond Trust
(BZM)

    BlackRock
Massachusetts
Tax-Exempt
Trust
(MHE)
    BlackRock
MuniHoldings
New York
Quality
Fund, Inc.
(MHN)
    BlackRock
New Jersey
Municipal
Bond Trust
(BLJ)
 
       
Cash Provided by (Used for) Operating Activities                                

Net increase in net assets resulting from operations

  $ 1,409,601      $ 1,581,805      $ 23,509,143      $ 2,029,730   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    2,801,491        3,579,405        53,502,533        1,972,820   

Purchases of long-term investments

    (2,792,161     (3,402,230     (65,072,055     (2,472,791

Net proceeds from sales (net purchases) of short-term securities

    45,784        (135,555     2,566,008        660,681   

Amortization of premium and accretion of discount on investments

    115,407        111,626        1,472,877        9,807   

Net realized gain (loss) on investments

    (28,839     (22,933     (1,193,009     1,631   

Net unrealized gain on investments

    (846,022     (880,343     (11,638,796     (1,198,947

(Increase) decrease in assets:

       

Receivables:

       

Interest

    (4,789     9,469        (455,269     (11,117

Variation margin on financial futures contracts

    2,953        3,234        46,549        4,781   

Prepaid expenses

    11,613        18,638        424        11,400   

Cash pledged for financial futures contracts

    (6,000     (3,000     (159,000     3,000   

Increase (decrease) in liabilities:

       

Payables:

       

Investment advisory

    (25,831     (22,805     (339,895     (34,531

Interest expense and fees

    (44     (25     (8,095     (543

Other accrued expenses

    (7,286     (7,699     (10,970     (10,359

Variation margin on financial futures contracts

    2,930        2,930        51,415        3,703   

Officer’s and Trustees’ fees

    (1,248     323        236        (1,202
 

 

 

 

Net cash provided by (used for) operating activities

    677,559        832,840        2,272,096        968,063   
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Proceeds from TOB Trust Certificates

                  10,255,807          

Cash distributions paid to Common Shareholders

    (679,072     (827,357     (12,535,604     (969,541

Amortization of deferred offering costs

    1,513        (5,483     7,701        1,478   
 

 

 

 

Net cash provided by (Used for) for financing activities

    (677,559     (832,840     (2,272,096     (968,063
 

 

 

 
       
Cash                                

Net increase (decrease) in cash

                           

Cash at beginning of period

                           
 

 

 

 

Cash at end of period

                           
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the period for interest expense

  $ 12,624      $ 91,373      $ 1,292,215      $ 102,118   
 

 

 

 
       
Non-Cash Financing Activities                                

Capital shares issued in reinvestment of distributions paid to Common Shareholders

                           
 

 

 

 

 

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Cash Flows     

 

Six Months Ended February 29, 2016 (Unaudited)  

BlackRock

New York
Municipal

Bond Trust
(BQH)

   

BlackRock

New York
Municipal
Income

Quality Trust
(BSE)

   

BlackRock

New York
Municipal
Income

Trust II
(BFY)

   

BlackRock
Virginia
Municipal

Bond Trust
(BHV)

 
       
Cash Provided by (Used for) Operating Activities                                

Net increase in net assets resulting from operations

  $ 2,564,705      $ 5,259,668      $ 4,332,194      $ 1,102,179   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    4,732,150        6,655,166        10,098,009        1,148,720   

Purchases of long-term investments

    (6,271,477     (7,842,057     (11,902,464     (1,554,494

Net proceeds from sales (net purchases) of short-term securities

    1,220,709        238,929        1,445,120        (381,691

Amortization of premium and accretion of discount on investments

    119,794        347,716        153,690        36,770   

Net realized gain (loss) on investments

    (115,227     (266,483     (218,017     (45,330

Net unrealized gain on investments

    (1,596,149     (3,058,374     (2,364,519     (490,653

(Increase) decrease in assets:

       

Receivables:

       

Interest

    (48,832     (94,565     (89,622     (19,479

Variation margin on financial futures contracts

    5,766        10,969        9,000        2,391   

Prepaid expenses

    13,048        11,722        (25,097     4,242   

Cash pledged for financial futures contracts

    (12,000     (34,000     (29,000     3,000   

Increase (decrease) in liabilities:

       

Payables:

       

Investment advisory fees

    (40,535     (74,721     (61,926     (18,153

Interest expense and fees

    (769     (2,975     (493     76   

Other accrued expense

    (27,241     (42,182     360        (1,329

Variation margin on financial futures contracts

    5,742        11,821        9,821        1,711   

Officer’s and Trustees’ fees

    (930     844        (614     59   
 

 

 

 

Net cash provided by (used for) operating activities

    548,754        1,121,478        1,356,442        (211,981
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Proceeds from TOB Trust Certificates

    489,976        1,189,884        739,944        840,681   

Cash distributions paid to Common Shareholders

    (1,041,639     (2,314,480     (2,099,543     (629,990

Amortization of deferred offering costs

    2,909        3,118        3,157        1,290   
 

 

 

 

Net cash provided by (Used for) financing activities

    (548,754     (1,121,478     (1,356,442     211,981   
 

 

 

 
       
Cash                                

Net increase (decrease) in cash

                           

Cash at beginning of period

                           
 

 

 

 

Cash at end of period

                           
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the period for interest expense

  $ 94,606      $ 206,304      $ 172,838      $ 17,125   
 

 

 

 
       
Non-Cash Financing Activities                                

Capital shares issued in reinvestment of distributions paid to Common Shareholders

                       $ 34,996   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    67


Financial Highlights    BlackRock Maryland Municipal Bond Trust (BZM)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.96      $ 15.20      $ 13.33      $ 15.60      $ 14.61      $ 15.23   
 

 

 

 

Net investment income1

    0.30        0.63        0.70        0.72        0.90        0.97   

Net realized and unrealized gain (loss)

    0.38        (0.19     1.90        (2.23     1.05        (0.59
Distributions to AMPS Shareholders:            

From net investment income

                                (0.02     (0.03

From net realized gain

                                       (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    0.68        0.44        2.60        (1.51     1.93        0.35   
 

 

 

 
Distributions to Common Shareholders:3            

From net investment income

    (0.33     (0.68     (0.73     (0.76     (0.94     (0.95

From net realized gain

                                       (0.02
 

 

 

 

Total distributions to Common Shareholders

    (0.33     (0.68     (0.73     (0.76     (0.94     (0.97
 

 

 

 

Net asset value, end of period

  $ 15.31      $ 14.96      $ 15.20      $ 13.33      $ 15.60      $ 14.61   
 

 

 

 

Market price, end of period

  $ 15.67      $ 14.44      $ 14.59      $ 12.66      $ 18.43      $ 15.02   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    4.60% 5      3.07%        20.39%        (10.24)%        13.08%        2.45%   
 

 

 

 

Based on market price

    10.92% 5      3.64%        21.68%        (27.84)%        29.95%        0.83%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    2.16% 6      1.96%        2.00%        2.04%        1.66% 7      1.58% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.08% 6      1.88%        1.92%        2.02%        1.60% 7      1.45% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.99% 6,9      1.41% 9      1.34%        1.41%        1.44% 7,9      1.41% 7 
 

 

 

 

Net investment income

    3.97% 6      4.19%        4.88%        4.73%        5.94% 7      6.73% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.10%        0.19%   
 

 

 

 

Net investment income to Common Shareholders

    3.97% 6      4.19%        4.88%        4.73%        5.84%        6.54%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 31,804      $ 31,073      $ 31,535      $ 27,642      $ 32,320      $ 30,203   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 16,000   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $    72,192   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 16,000      $ 16,000      $ 16,000      $ 16,000      $ 16,000          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  298,773      $  294,207      $  297,091      $  272,765      $  302,003          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 1,500      $ 1,500      $ 1,500      $ 1,500      $ 2,400      $ 1,500   
 

 

 

 

Portfolio turnover rate

    6%        18%        15%        11%        30%        11%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the six months ended February 29, 2016, and the years ended August 31, 2015 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were 1.63%, 1.33% and 1.40%, respectively.

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock Massachusetts Tax-Exempt Trust  (MHE)

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 13.89      $ 14.02      $ 12.34      $ 14.35      $ 13.01      $ 13.52   
 

 

 

 

Net investment income1

    0.33        0.68        0.69        0.71        0.84        0.90   

Net realized and unrealized gain (loss)

    0.34        (0.10     1.74        (1.97     1.34        (0.54

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.67        0.58        2.43        (1.26     2.17        0.33   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.35     (0.71     (0.75     (0.75     (0.83     (0.84
 

 

 

 

Net asset value, end of period

  $ 14.21      $ 13.89      $ 14.02      $ 12.34      $ 14.35      $ 13.01   
 

 

 

 

Market price, end of period

  $ 14.45      $ 13.26      $ 13.75      $ 11.91      $ 14.91      $ 13.11   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    4.96% 4      4.25%        20.47%        (9.27)%        17.02%        2.78%   
 

 

 

 

Based on market price

    11.81% 4      1.47%        22.42%        (15.72)%        20.66%        0.16%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.67% 5      1.71%        1.78%        1.77%        1.50% 6      1.39% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.67% 5      1.71%        1.78%        1.77%        1.50% 6      1.39% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.15% 5      1.15%        1.16%        1.12%        1.33% 6,8      1.36% 6 
 

 

 

 

Net investment income

    4.71% 5      4.82%        5.22%        5.06%        6.07% 6      7.15% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.11%        0.22%   
 

 

 

 

Net investment income to Common Shareholders

    4.71% 5      4.82%        5.22%        5.06%        5.96%        6.93%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable Common Shareholders, end of period (000)

  $ 33,619      $ 32,864      $ 33,139      $ 29,163      $ 33,852      $ 30,611   
 

 

 

 

AMPS outstanding at $50,000 liquidation preference, end of period (000)

                                     $ 18,500   
 

 

 

 

Asset coverage per AMPS at $50,000 liquidation preference, end of period

                                     $  132,732   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,500      $ 18,500      $ 18,500      $ 18,500      $ 18,500          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  281,724      $  277,646      $  279,130      $  257,637      $  282,983          
 

 

 

 

Borrowings outstanding, end of period (000)

                       $ 1,840      $ 2,010      $ 1,340   
 

 

 

 

Portfolio turnover rate

    7%        8%        14%        11%        17%        10%   
 

 

 

 

 

  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 distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.24%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    69


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

 

   

Six Months Ended
February 29,
2016

(Unaudited)

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.81      $ 14.98      $ 13.14      $ 15.64      $ 14.34      $ 15.09   
 

 

 

 

Net investment income1

    0.39        0.80        0.83        0.87        0.89        0.97   

Net realized and unrealized gain (loss)

    0.37        (0.15     1.88        (2.45     1.36        (0.73

Distributions to AMPS Shareholders from net investment income

                                       (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.76        0.65        2.71        (1.58     2.25        0.21   
 

 

 

 
Distributions to Common Shareholders from net investment income2     (0.40     (0.82     (0.87     (0.92     (0.95     (0.96
 

 

 

 

Net asset value, end of period

  $ 15.17      $ 14.81      $ 14.98      $ 13.14      $ 15.64      $ 14.34   
 

 

 

 

Market price, end of period

  $ 15.08      $ 13.65      $ 13.64      $ 12.65      $ 15.86      $ 13.90   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    5.32% 4      4.88%        21.74%        (10.59)%        16.15%        1.85%   
 

 

 

 

Based on market price

    13.59% 4      6.16%        15.15%        (15.12)%        21.52%        (1.80)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.56% 5      1.58%        1.66%        1.75%        1.95%        1.47% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.50% 5      1.52%        1.59%        1.67%        1.87%        1.36% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.95% 5,8      0.95% 8      1.22% 8      1.36% 8      1.45% 8      1.18% 6 
 

 

 

 

Net investment income

    5.20% 5      5.35%        5.86%        5.73%        5.89%        6.98% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                       0.19%   
 

 

 

 

Net investment income to Common Shareholders

    5.20% 5      5.35%        5.86%        5.73%        5.89%        6.79%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 472,133      $ 461,159      $ 466,412      $ 408,935      $ 485,454      $ 443,325   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,600      $ 243,600      $ 243,600      $ 243,600      $ 243,600      $ 243,600   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  293,815      $  289,310      $  291,466      $  267,871      $  299,283      $  281,989   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 66,564      $ 53,308      $ 51,890      $ 64,658      $ 77,477      $ 71,713   
 

 

 

 

Portfolio turnover rate

    7%        19%        16%        18%        14%        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 distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the six months ended February 29, 2016 and the years ended August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.94%, 0.94%, 0.95%, 0.95% and 1.02%, respectively.

 

 

See Notes to Financial Statements.      
                
70    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock New Jersey Municipal Bond Trust (BLJ)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.65      $ 16.29      $ 14.13      $ 16.67      $ 14.55      $ 15.23   
 

 

 

 

Net investment income1

    0.41        0.82        0.87        0.88        0.95        1.00   

Net realized and unrealized gain (loss)

    0.46        (0.59     2.18        (2.54     2.12        (0.68
Distributions to AMPS Shareholders:            

From net investment income

                                (0.02     (0.03

From net realized gain

                                       (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    0.87        0.23        3.05        (1.66     3.05        0.29   
 

 

 

 
Distributions to Common Shareholders:3            

From net investment income

    (0.42     (0.87     (0.89     (0.88     (0.93     (0.94

From net realized gain

                                       (0.03
 

 

 

 

Total distributions to Common Shareholders

    (0.42     (0.87     (0.89     (0.88     (0.93     (0.97
 

 

 

 

Net asset value, end of period

  $ 16.10      $ 15.65      $ 16.29      $ 14.13      $ 16.67      $ 14.55   
 

 

 

 

Market price, end of period

  $ 15.81      $ 13.99      $ 14.68      $ 13.54      $ 16.66      $ 13.60   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    5.80% 5      1.74%        22.83%        (10.43)%        21.52%        2.46%   
 

 

 

 

Based on market price

    16.22% 5      0.93%        15.51%        (14.12)%        29.94%        (6.68)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.98% 6      1.98%        2.05%        2.10%        1.65% 7      1.57% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.98% 6      1.98%        2.05%        2.10%        1.59% 7      1.43% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.42% 6      1.39%        1.42%        1.45%        1.41% 7,9      1.41% 7 
 

 

 

 

Net investment income

    5.23% 6      5.07%        5.74%        5.39%        6.01% 7      7.08% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.11%        0.20%   
 

 

 

 

Net investment income to Common Shareholders

    5.23% 6      5.07%        5.74%        5.39%        5.90%        6.88%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 37,437      $ 36,376      $ 37,868      $ 32,841      $ 38,728      $ 33,753   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 18,775   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $    69,944   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,700      $ 18,700      $ 18,700      $ 18,700      $ 18,700          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  300,196      $  294,526      $  302,505      $  275,620      $  307,099          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 4,520      $ 4,520      $ 4,520      $ 4,520      $ 3,954      $ 1,220   
 

 

 

 

Portfolio turnover rate

    3%        13%        16%        8%        25%        19%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.34%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    71


Financial Highlights    BlackRock New York Municipal Bond Trust (BQH)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.75      $ 15.77      $ 13.32      $ 16.53      $ 14.89      $ 15.65   
 

 

 

 

Net investment income1

    0.36        0.74        0.79        0.84        0.87        1.04   

Net realized and unrealized gain (loss)

    0.56        0.03        2.46        (3.00     1.73        (0.78
Distributions to AMPS Shareholders:            

From net investment income

                                (0.00 )2      (0.03

From net realized gain

                                       (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    0.92        0.77        3.25        (2.16     2.60        0.23   
 

 

 

 
Distributions to Common Shareholders:3            

From net investment income

    (0.37     (0.79     (0.80     (0.83     (0.96     (0.99

From net realized gain

                         (0.22            (0.00 )2 
 

 

 

 

Total distributions to Common Shareholders

    (0.37     (0.79     (0.80     (1.05     (0.96     (0.99
 

 

 

 

Net asset value, end of period

  $ 16.30      $ 15.75      $ 15.77      $ 13.32      $ 16.53      $ 14.89   
 

 

 

 

Market price, end of period

  $ 14.78      $ 13.66      $ 13.86      $ 12.45      $ 16.56      $ 14.83   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    6.16% 5      5.57%        25.66%        (13.83)%        17.99%        1.81%   
 

 

 

 

Based on market price

    10.99% 5      4.18%        18.16%        (19.61)%        18.68%        0.50%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    2.00% 6      2.08%        2.23%        2.26%        2.26% 7      1.50% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.00% 6      2.07%        2.23%        2.26%        2.20% 7      1.37% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.57% 6,9      1.91% 9      2.02% 9      1.96% 9      1.90% 7,9      1.36% 7 
 

 

 

 

Net investment income

    4.52% 6      4.68%        5.45%        5.26%        5.52% 7      7.12% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.02%        0.19%   
 

 

 

 

Net investment income to Common Shareholders

    4.52% 6      4.68%        5.45%        5.26%        5.50%        6.93%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 45,634      $ 44,111      $ 44,158      $ 37,302      $ 46,158      $ 41,399   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 22,125   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $    71,778   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 22,100      $ 22,100      $ 22,100      $ 22,100      $ 22,100          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  306,489      $  299,597      $  299,812      $  268,789      $  308,858          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 5,560      $ 5,070      $ 4,900      $ 4,775      $ 7,366      $ 270   
 

 

 

 

Portfolio turnover rate

    7%        22%        18%        18%        45%        14%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the six months ended February 29, 2016, and the years ended August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012 the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.43%, 1.41%, 1.46%, 1.47% and 1.45%, respectively.

 

 

See Notes to Financial Statements.      
                
72    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock New York Municipal Income Quality Trust  (BSE)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.81      $ 14.92      $ 12.92      $ 15.51      $ 14.25      $ 14.90   
 

 

 

 

Net investment income1

    0.35        0.70        0.72        0.78        0.81        0.90   

Net realized and unrealized gain (loss)

    0.46        (0.08     2.05        (2.54     1.31        (0.67

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2      (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.81        0.62        2.77        (1.76     2.12        0.21   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.35     (0.73     (0.77     (0.83     (0.86     (0.86
 

 

 

 

Net asset value, end of period

  $ 15.27      $ 14.81      $ 14.92      $ 12.92      $ 15.51      $ 14.25   
 

 

 

 

Market price, end of period

  $ 14.01      $ 12.99      $ 13.16      $ 12.05      $ 15.74      $ 13.54   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    5.82% 5      4.88%        22.65%        (11.80)%        15.23%        1.94%   
 

 

 

 

Based on market price

    10.69% 5      4.29%        15.99%        (18.94)%        23.07%        (3.20)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.65% 6      1.70%        1.75%        1.79%        1.82% 7      1.28% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.65% 6      1.70%        1.75%        1.78%        1.82% 7      1.26% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.22% 6,9      1.51% 9      1.55% 9      1.51% 9      1.50% 7,9      1.17% 7 
 

 

 

 

Net investment income

    4.63% 6      4.72%        5.18%        5.20%        5.38% 7      6.50% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.01%        0.16%   
 

 

 

 

Net investment income to Common Shareholders

    4.63% 6      4.72%        5.18%        5.20%        5.37%        6.34%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 99,548      $ 96,587      $ 97,276      $ 84,262      $ 100,865      $ 92,411   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 40,575   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $    81,938   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 40,500      $ 40,500      $ 40,500      $ 40,500      $ 40,500          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  345,798      $  338,486      $  340,188      $  308,055      $  349,050          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 19,831      $ 18,091      $ 17,431      $ 17,054      $ 20,920      $ 10,409   
 

 

 

 

Portfolio turnover rate

    5%        20%        24%        25%        24%        24%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the six months ended February 29, 2016 and the years ended August 31, 2015, August 31, 2014, August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.11%, 1.09%, 1.09%, 1.09% and 1.13%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    73


Financial Highlights    BlackRock New York Municipal Income Trust II  (BFY)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.57      $ 15.66      $ 13.36      $ 16.09      $ 14.66      $ 15.33   
 

 

 

 

Net investment income1

    0.40        0.82        0.84        0.89        0.92        1.05   

Net realized and unrealized gain (loss)

    0.47        (0.07     2.30        (2.73     1.50        (0.69

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2      (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.87        0.75        3.14        (1.84     2.42        0.33   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.42     (0.84     (0.84     (0.89     (0.99     (1.00
 

 

 

 

Net asset value, end of period

  $ 16.02      $ 15.57      $ 15.66      $ 13.36      $ 16.09      $ 14.66   
 

 

 

 

Market price, end of period

  $ 15.70      $ 14.16      $ 14.02      $ 12.56      $ 16.81      $ 14.38   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    5.80% 5      5.33%        24.75%        (12.01)%        17.00%        2.56%   
 

 

 

 

Based on market price

    14.01% 5      7.00%        18.80%        (20.82)%        24.61%        (0.37)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.75% 6      1.83%        1.96%        1.97%        2.03% 7      1.27% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.75% 6      1.83%        1.95%        1.97%        1.95% 7      1.18% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.31% 6,9      1.69% 9      1.78% 9      1.71% 9      1.62% 7,9      1.18% 7 
 

 

 

 

Net investment income

    5.11% 6      5.25%        5.76%        5.68%        5.96% 7      7.34% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.01%        0.22%   
 

 

 

 

Net investment income to Common Shareholders

    5.11% 6      5.25%        5.76%        5.68%        5.95%        7.12%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 80,087      $ 77,854      $ 78,304      $ 66,772      $ 80,228      $ 72,817   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 44,475   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $    65,931   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 44,400      $ 44,400      $ 44,400      $ 44,400      $ 44,400          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  280,375      $  275,347      $  276,360      $  250,387      $  280,693          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 6,810      $ 5,895      $ 5,725      $ 5,198      $ 7,591      $ 160   
 

 

 

 

Portfolio turnover rate

    8%        20%        21%        30%        25%        20%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the six months ended February 29, 2015 and years ended August 31, 2015, August 31, 2014, August 31, 2013, and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were 1.15%, 1.13%, 1.15%, 1.14%, and 1.11%, respectively.

 

 

See Notes to Financial Statements.      
                
74    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock Virginia Municipal Bond Trust (BHV)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.90      $ 15.95      $ 14.03      $ 16.74      $ 15.33      $ 16.02   
 

 

 

 

Net investment income1

    0.39        0.81        0.83        0.84        0.97        1.02   

Net realized and unrealized gain (loss)

    0.30        (0.01     1.95        (2.64     1.45        (0.60
Distributions to AMPS Shareholders:            

From net investment income

                                (0.02     (0.03

From net realized gain

                                       (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    0.69        0.80        2.78        (1.80     2.40        0.39   
 

 

 

 
Distributions to Common Shareholders:3            

From net investment income

    (0.42     (0.85     (0.86     (0.91     (0.99     (1.00

From net realized gain

                                       (0.08
 

 

 

 

Total distributions to Common Shareholders

    (0.42     (0.85     (0.86     (0.91     (0.99     (1.08
 

 

 

 

Net asset value, end of period

  $ 16.17      $ 15.90      $ 15.95      $ 14.03      $ 16.74      $ 15.33   
 

 

 

 

Market price, end of period

  $ 19.31      $ 16.70      $ 16.35      $ 14.91      $ 19.58      $ 17.77   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    4.16% 5      5.02%        20.31%        (11.96)%        15.19%        1.98%   
 

 

 

 

Based on market price

    18.43% 5      7.61%        16.06%        (20.01)%        16.23%        0.89%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    2.23% 6      1.98%        2.01%        2.18%        1.69% 7      1.66% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.02% 6      1.77%        1.96%        2.18%        1.64% 7      1.52% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    1.87% 6,9      1.30% 9      1.38%        1.58%        1.43% 7,9      1.44% 7 
 

 

 

 

Net investment income

    4.93% 6      5.08%        5.52%        5.18%        6.03% 7      6.81% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.09%        0.17%   
 

 

 

 

Net investment income to Common Shareholders

    4.93% 7      5.08%        5.52%        5.18%        5.94%        6.64%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 25,808      $ 25,336      $ 25,373      $ 22,256      $ 26,466      $ 24,155   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 11,675   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $    76,725   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 11,600      $ 11,600      $ 11,600      $ 11,600      $ 11,600          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  322,483      $  318,414      $  318,733      $  291,862      $  328,157          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 3,860      $ 3,019      $ 3,019      $ 3,019      $ 4,108      $ 2,020   
 

 

 

 

Portfolio turnover rate

    3%        9%        11%        8%        23%        12%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  9   

For the six months ended February 29, 2016, and the years ended August 31, 2015 and August 31, 2012 the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.47%, 1.23% and 1.38%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    75


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Trust Name   Herein Referred To As      Organized    Diversification Classification

BlackRock Maryland Municipal Bond Trust

    BZM       Delaware    Non-diversified

Blackrock Massachusetts Tax-Exempt Trust

    MHE       Massachusetts    Non-diversified

BlackRock MuniHoldings New York Quality Fund, Inc

    MHN       Maryland    Non-diversified

BlackRock New Jersey Municipal Bond Trust

    BLJ       Delaware    Non-diversified

BlackRock New York Municipal Bond Trust

    BQH       Delaware    Non-diversified

BlackRock New York Municipal Quality Trust

    BSE       Delaware    Non-diversified

BlackRock New York Municipal Income Trust II

    BFY       Delaware    Non-diversified

BlackRock Virginia Municipal Bond Trust

    BHV       Delaware    Non-diversified

The Boards of Trustees/Directors of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees/directors thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

2. Significant Accounting Policies:

The 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, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., financial futures contracts), or certain borrowings (e.g., TOB transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its 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 Trusts 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 10.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued guidance to simplify the presentation of debt issuance costs in financial statements. Under the new guidance, a Trust is required to present such costs in the Statements of Assets and Liabilities as a direct deduction from the carrying value of the related debt liability rather than as an asset.

 

                
76    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

The standard is effective for financial statements with fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. Although the Manager is still evaluating the potential impacts of this new guidance, the Trusts’ adoption will be limited to the reclassification of any unamortized debt issuance costs on the Statements of Assets and Liabilities and modification to disclosures in the Notes to Financial Statements.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with their custodian 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 custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

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.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Financial futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or 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 Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust 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 Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

 

 

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

 

 

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

 

 

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

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

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    77


Notes to Financial Statements (continued)     

 

its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Trust’s investments and derivative financial instruments have been included in the Schedules of Investments.

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

4. Securities and Other Investments:

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust 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, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes 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, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain Trusts leverage their assets through the use of TOB transactions. The Trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust generally issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a Trust generally provide the Trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The Trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB Trust into which each Trust has contributed bonds. If multiple BlackRock advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are generally supported by a liquidity facility provided by a third party 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 of par plus accrued interest on any business day. The tendered TOB Trust Certificates may be purchased by the Liquidity Provider and are usually remarketed by a Remarketing Agent, which is typically an affiliated entity of the Liquidity Provider. The Remarketing Agent may also purchase the tendered TOB Trust Certificates for its own account in the event of a failed remarketing.

The TOB Trust may be collapsed without the consent of a Trust, upon the occurrence of tender option termination events (“TOTEs”) or mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs include the bankruptcy or default of the issuer of the municipal bonds held in the TOB Trust, a substantial downgrade in the credit quality of the issuer of the municipal bonds held in the TOB Trust, failure of any scheduled payment of principal or interest on the municipal bonds, and/or 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 bonds held in the TOB Trust. 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 (defined below). In the case of an MTE, after the payment of fees, the TOB Trust Certificate holders would be paid before the TOB Residual holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificate holders and the TOB Residual holders would be paid pro rata in proportion to the respective face values of their certificates. During the six months ended February 29, 2016, no TOB Trusts in which a Trust participated were terminated without the consent of a Trust.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they generally do not allow a Trust to borrow money for purposes of making investments. The Trusts’ management believes that a Trust’s restrictions on borrowings do not apply to the secured borrowings. Each Trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a Trust. A Trust typically invests the cash received in additional municipal bonds. The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates would be shown as Loan for TOB Trust Certificates.

Volcker Rule Impact: 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 precludes banking entities and their affiliates from sponsoring and investing in TOB Trusts. Banking entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and relationships with TOB Trusts established after December 31, 2013 (“Non-Legacy TOB Trusts”), and by July 21, 2016, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

As a result, a new structure for TOB Trusts has been designed to ensure that no banking entity is sponsoring the TOB Trust. Specifically, a Trust will establish structure and “sponsor” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank will be performed by, or on behalf of, the Trusts. The Trusts have restructured any Non-Legacy TOB Trusts and are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. Until all restructurings are completed, a Trust may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and non-bank sponsored restructured TOB Trusts.

Under the new TOB Trust structure, the Liquidity Provider or Remarketing Agent will no longer purchase the tendered TOB Trust Certificates even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Trust Certificates. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Trust on an accrual basis. Interest expense incurred on the TOB transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to comply with the Volcker Rule, a Trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

For the six months ended February 29, 2016, the following table is a summary of the Trusts’ TOB Trusts:

 

     Underlying
Municipal
Bonds
Transferred to
TOB Trusts1
     Liability for
TOB Trust
Certificates2
     Range of
Interest Rates
     Average TOB
Trust
Certificates
Outstanding
     Daily
Weighted
Average
Interest Rate
 

BZM

  $ 3,251,610       $ 1,500,000         0.06%       $ 1,500,000         0.53%   

MHN

  $ 135,840,883       $ 66,564,243         0.01% - 0.16%       $ 56,673,865         0.65%   

BLJ

  $ 8,235,385       $ 4,519,518         0.02% - 0.26%       $ 4,519,518         0.68%   

BQH

  $ 9,892,703       $ 5,560,191         0.02% - 0.16%       $ 5,292,231         0.64%   

BSE

  $ 37,879,464       $ 19,830,899         0.01% - 0.16%       $ 18,546,484         0.65%   

BFY

  $ 12,570,492       $ 6,810,251         0.02% - 0.10%       $ 6,302,329         0.61%   

BHV

  $ 6,967,061       $ 3,859,659         0.01% - 0.02%       $ 3,605,607         0.59%   

 

  1   

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB transaction may include 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 in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Trusts, as TOB Residual holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The municipal bonds transferred to TOB Trusts with a credit enhancement are identified in the Schedules of Investments including the maximum potential amounts owed by the Trusts.

 

  2   

The Trusts may invest in TOB Trusts on either a non-recourse or recourse basis. When a Trust 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 bonds held in the TOB Trust and then fund the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB Trust on a recourse basis, a Trust will usually enter into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider the amount of any Liquidation Shortfall. As a result, if a Trust invests in a recourse TOB Trust, a 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 a Trust at February 29, 2016, in proportion to its participation in the TOB Trust. The recourse TOB Trusts are identified in the schedules of Investments including the maximum potential amounts owed by a Trust at February 29, 2016.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    79


Notes to Financial Statements (continued)     

 

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage economically their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Financial Futures Contracts: Certain Trusts 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 Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory Fees

Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust except for MHE and MHN, pays the Manager a monthly fee based on a percentage of each Trust’s average weekly managed assets. MHE and MHN each pay the Manager a monthly fee based on a percentage of their respective average daily net assets. The Trusts pay their respective fees at the following annual rates:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Investment advisory fee

    0.65%         0.50%         0.55%         0.65%         0.65%         0.55%         0.55%         0.65%   

“Managed assets” and “net assets” each mean the total assets of the Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred stock).

Waivers

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. For the six months ended February 29, 2016, the amounts waived were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Amount waived

  $ 2       $ 5       $ 865       $ 36       $ 98       $ 129       $ 137       $ 5   

The Manager voluntarily agreed to waive a portion of the investment advisory fees with respect to BZM, at the annual rate as a percentage of the average weekly managed assets of 0.05%. The Manager voluntarily agreed to waive its investment advisory fees with respect to MHN on the proceeds of Preferred Shares and TOB Trusts that exceed 35% of its total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of preferred shares.) The Manager voluntarily agreed to waive a portion of the investment advisory fees with respect to BHV, at the annual rate as a percentage of the average weekly managed assets of 0.13%. The amounts waived are included in fees waived by the Manager in the Statements of Operations. For the six months ended February 29, 2016, the amounts included in fees waived by the Manager were as follows:

 

     Amounts Waived  

BZM

  $ 12,173   

MHN

  $ 132,728   

BHV

  $ 26,331   

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Officers and Trustees Fees

Certain officers and/or trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

7. Purchases and Sales:

For the six months ended February 29, 2016, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Purchases

  $ 4,323,291       $ 3,983,125       $ 65,176,851       $ 2,535,973       $ 5,715,499       $ 7,842,057       $ 11,346,486       $ 2,729,644   

Sales

  $ 2,801,491       $ 3,579,405       $ 54,294,935       $ 1,972,820       $ 4,825,387       $ 7,040,217       $ 10,577,905       $ 1,148,720   

8. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns remains open for each of the four years ended August 31, 2015. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of February 29, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of August 31, 2015, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

No expiration date1

  $ 243,479       $ 516,931       $ 20,071,250       $ 646,565       $ 1,468,129       $ 2,646,072       $ 2,327,422       $ 923,265   

2016

            285,683         710,089                                 383,137           

2017

            375,230         4,069,997                         1,583,452         254,346           

2018

            32,672         3,861,956                         1,544,362         357,549           

2019

    40,297         74         673,531                                 255,001         51,866   
 

 

 

 

Total

  $ 283,776       $ 1,210,590       $ 29,386,823       $ 646,565       $ 1,468,129       $ 5,773,886       $ 3,577,455       $ 975,131   
 

 

 

 

 

  1  

Must be utilized prior to losses subject to expiration.

As of February 29, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY     BHV  

Tax cost

  $ 46,315,568       $ 47,459,441       $ 648,220,115       $ 50,742,264       $ 59,978,557       $ 124,684,092       $ 110,588,869      $ 34,213,284   
 

 

 

 

Gross unrealized appreciation

  $ 2,602,013       $ 4,713,762       $ 58,752,655       $ 5,511,796       $ 7,047,131       $ 13,195,929       $ 12,085,328      $ 3,870,025   

Gross unrealized depreciation

    (36,564              (651,846      (654,309      (113,282      (297,726      (69,894       
 

 

 

 

Net unrealized appreciation

  $ 2,565,449       $ 4,713,762      $ 58,100,809       $ 4,857,487       $ 6,933,849       $ 12,898,203       $ 12,015,434      $ 3,870,025   
 

 

 

 

9. Principal Risks:

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.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    81


Notes to Financial Statements (continued)     

 

risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

The new TOB Trust structure resulting from the compliance with Volcker Rule remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Trusts’ ability to hold TOB Residuals. Under the new TOB Trust structure, the Trusts will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

There can be no assurance that the Trusts can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Trusts unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Trusts and any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

Should short-term interest rates rise, the Trusts’ investments in TOB transactions may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

The SEC and various federal banking and housing agencies recently adopted credit risk retention rules for securitizations (the “Risk Retention Rules”), which take effect in December 2016. The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s Municipal Bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trust 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 Trusts. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

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 options futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: Each Trust invests a substantial amount of its assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, BZM and BHV invested a significant portion of their assets in securities in the health sector. MHE and BSE invested a significant portion of their assets in securities in the education sector. BLJ invested a significant portion of its assets in securities in the transportation sector. BQH and BFY invested a significant portion of their assets in securities in the county, city, special district and school district sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

 

                
82    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. 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 Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

10. Capital Share Transactions:

Each Trust, except for MHN, is authorized to issue an unlimited number of shares (200 million shares for MHN), all of which were initially classified as Common Shares. The par value for each Trust’s Common Shares and Preferred Shares, except for MHE and MHN, is $0.001 per share ($0.01 for MHE and $0.10 for MHN). The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares, including AMPS, without approval of Common Shareholders.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     BZM      MHE      BLJ      BHV  

Six months ended February 29, 2016

                            2,061   

Year ended August 31, 2015

    2,336        2,904         121         2,852   

For the six months ended February 29, 2016 and the year ended August 31, 2015 for MHN, BQH, BSE and BFY, shares issued and outstanding remained constant.

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a Trust 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, a Trust 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 a Trust 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 Trustees for each Trust. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

The Trusts have issued Series W-7 VRDP Shares, $100,000 liquidation value per share, in privately negotiated offerings. 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”). The VRDP Shares include a liquidity feature and, except for the VRDP Shares of BZM and BHV, are currently in a special rate period, as described below.

As of the period end, the VRDP Shares outstanding of each Fund were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BZM

    6/14/12         160       $ 16,000,000         7/01/42   

MHE

    6/14/12         185       $ 18,500,000         7/01/42   

MHN

    6/30/11         2,436       $ 243,600,000         7/01/41   

BLJ

    6/14/12         187       $ 18,700,000         7/01/42   

BQH

    9/15/11         221       $ 22,100,000         10/01/41   

BSE

    9/15/11         405       $ 40,500,000         10/01/41   

BFY

    9/15/11         444       $ 44,400,000         10/01/41   

BHV

    6/14/12         116       $ 11,600,000         7/01/42   

Redemption Terms: Each Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, the Trusts are required to redeem certain of their outstanding VRDP Shares if they fail to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of the Trusts. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. In the event of an optional redemption of the VRDP Shares prior to the initial termination date of the fee agreement, the Trusts must pay the respective liquidity provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to the initial termination date.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    83


Notes to Financial Statements (continued)     

 

Liquidity Feature: Each Trust entered into a fee agreement with the liquidity provider that requires an initial commitment and 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 MHN and the liquidity provider is for a three year term and is scheduled to expire on April 19, 2017 unless renewed or terminated in advance. The fee agreement between BZM, MHE, BLJ and BHV and their liquidity provider is for a 364 day term and is scheduled to expire on July 7, 2016 unless renewed or terminated in advance. The fee agreement between BQH, BSE and BFY and their liquidity provider was scheduled to expire on December 4, 2015. In October 2015, in connection with the commencement of a special rate period (as described below), BQH, BSE and BFY extended their fee agreements to October 22, 2018.

In the event the fee agreement is not renewed or is terminated in advance, and the Trusts do not enter into a fee agreement with an alternative liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, the Trusts are required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the Trusts are required to begin to segregate liquid assets with their custodian to fund the redemption. There is no assurance the Trusts will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: The Trusts may incur remarketing fees of 0.10% on the aggregate principal amount of all the VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. No remarketing fees are incurred during any special rate period (as described below).

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 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. As of period end, the VRDP Shares were assigned a long-term rating of Aa2 for BZM, MHN, BLJ, BQH, BSE, BFY and BHV and Aa3 for MHE from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

For the six months ended February 29, 2016, the annualized dividend rates for the VRDP Shares were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Rate

    0.10%         0.91%         0.89%         0.91%         0.68%         0.68%         0.68%         0.10%   

Financial Reporting: 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.

Ratings: The short-term ratings, if any, on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly related based upon either short-term rating. As of period end, the short-term ratings of the liquidity provider and the VRDP Shares for BZM and BHV were A1/P1 as rated by Moody’s and Fitch, respectively, which is within the two highest rating categories.

Special Rate Period: Upon issuance of the VRDP Shares on June 14, 2012, BZM, MHE, BLJ and BHV commenced a three-year term ending June 24, 2015 (“special rate period”) with respect to their VRDP Shares. On June 16, 2015, the special rate period for MHE and BLJ was extended to June 22, 2016. On June 24, 2015, the special rate period for the VRDP Shares for BZM and BHV terminated. Prior to June 22, 2016, the holder of the VRDP Shares and MHE and BLJ may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will become remarketable securities and will be remarketed and available for purchase by qualified institutional investors. No short-term ratings were assigned to the VRDP Shares at issuance but such ratings may be assigned upon termination of the special rate period when the VRDP Shares revert to remarketable securities.

On April 17, 2014, MHN commenced a three-year special rate period ending April 19, 2017 with respect to its 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 short-term ratings on the VRDP Shares for MHN were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to April 19, 2017, the holder of the VRDP Shares and MHN may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert back to remarketable securities and will be remarketed and available for purchase by qualified institutional investors. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

 

                
84    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (concluded)     

 

On October 22, 2015, BQH, BSE and BFY commenced a three-year special rate period ending April 18, 2018 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 short-term ratings on the VRDP Shares for BQH, BSE and BFY were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to April 18, 2018, the holder of the VRDP Shares and BQH, BSE and/or BFY 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. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

MHE, BLJ, MHN, BQH, BSE and BFY are referred to below as the “special rate period funds.”

During the special rate periods described above, 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 applicable special rate period fund on the maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during such time. The special rate period funds are required to maintain the same asset coverage, basic maintenance amount and leverage requirements for their VRDP Shares. The special rate period 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 Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

If VRDP Shares are redeemed 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.

For the six months ended February 29, 2016, VRDP Shares issued and outstanding of each Trust remained constant.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP Shares, which were recorded as a deferred charge and will be amortized over the 30-year life of the VRDP Shares with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend in the following amounts per share on April 1, 2016 to shareholders of record on March 15, 2016:

 

    

Common

Dividend

Per Share

 

BZM

  $ 0.0499   

MHE

  $ 0.0580   

MHN

  $ 0.0670   

BLJ

  $ 0.0695   

BQH

  $ 0.0620   

BSE

  $ 0.0575   

BFY

  $ 0.0700   

BHV

  $ 0.0695   

Additionally, the Trusts declared a net investment income dividend on April 1, 2016 payable to Common Shareholders of record on April 15, 2016 for the same amounts noted above.

The dividends declared on Preferred Shares for the period March 1, 2016 to March 31, 2016 for the Trusts were as follows:

 

     Series     

Dividends

Declared

 

BZM

    W-7       $ 2,933   

MHE

    W-7       $ 16,084   

MHN

    W-7       $ 207,659   

BLJ

    W-7       $ 16,258   

BQH

    W-7       $ 19,214   

BSE

    W-7       $ 32,211   

BFY

    W-7       $ 38,601   

BHV

    W-7       $ 2,127   

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    85


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Barbara G. Novick, Interested Trustee

John M. Perlowski, Interested Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective December 31, 2015, Kathleen F. Feldstein and James. T. Flynn retired as Trustees of the Trusts.

Effective March 1, 2016, Catherine A. Lynch was appointed to serve as a Trustee and a Member of the Audit Committee of the Trusts.

Effective April 1, 2016, Cynthia L. Egan was appointed to serve as a Trustee of the Trusts.

Effective April 6, 2016, Michael Perilli became co-portfolio manager of MHE and Timothy Browse became co-portfolio manager of BLJ. The other portfolio managers for each MHE and BLJ are Ted Jaeckel and Walter O’Connor.

 

         

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Transfer Agent

Computershare Trust
Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Providers

Bank of America, N.A.1

New York, NY 10036

 

Citibank, N.A.2

New York, NY 10179

 

Barclays Bank PLC.3

New York, NY 10019

 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

Boston, MA 02116

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

VRDP Tender and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Remarketing Agents

Merrill Lynch, Pierce, Fenner &
Smith Incorporated
1

New York, NY 10036

 

Citigroup Global Markets, Inc.2

New York, NY 10179

 

Barclays Capital, Inc.3

New York, NY 10019

 

Independent Registered
Public
Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Accounting Agent and
Custodian

State Street Bank and
Trust Company

Boston, MA 02110

 

 

  1   

For MHN.

 

  2   

For BZM, MHE, BLJ and BHV.

 

  3   

For BQH, BSE and BFY.

 

                
86    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Additional Information     

 

 

Trust Certification

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website into this report.

Electronic Delivery

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.

To enroll in electronic delivery:

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 Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available 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 Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    87


Additional Information (concluded)     

 

 

General Information (concluded)

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

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.

 

                
88    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


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 Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEF-STMUNI-8-2/16-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 MuniHoldings New York Quality Fund, Inc.

 

By:       

/s/ John M. Perlowski

 
   John M. Perlowski
   Chief Executive Officer (principal executive officer) of 
   BlackRock MuniHoldings New York Quality Fund, Inc.

Date: May 2, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:       

/s/ John M. Perlowski

 
   John M. Perlowski
   Chief Executive Officer (principal executive officer) of 
   BlackRock MuniHoldings New York Quality Fund, Inc.

Date: May 2, 2016

 

By:       

/s/ Neal J. Andrews

 
   Neal J. Andrews
   Chief Financial Officer (principal financial officer) of
   BlackRock MuniHoldings New York Quality Fund, Inc.

Date: May 2, 2016

 

3