UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-21053
Name of Fund: BlackRock Virginia Municipal Bond Trust (BHV)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Virginia Municipal Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2016
Date of reporting period: 05/31/2016
Item 1 – Schedule of Investments
| Schedule of Investments May 31, 2016 (Unaudited) |
BlackRock Virginia Municipal Bond Trust (BHV) (Percentages shown are based on Net Assets) |
| BLACKROCK VIRGINIA MUNICIPAL BOND TRUST | MAY 31, 2016 | 1 |
| Schedule of Investments (continued) |
BlackRock Virginia Municipal Bond Trust (BHV) |
| 2 | BLACKROCK VIRGINIA MUNICIPAL BOND TRUST | MAY 31, 2016 |
| Schedule of Investments (continued) |
BlackRock Virginia Municipal Bond Trust (BHV) |
| 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) | 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. |
| (e) | During the period ended May 31, 2016, investments in issuers considered to be affiliates 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 May 31, 2016 |
Value at May 31, 2016 |
Income | |||||||||||||||
| BlackRock Liquidity Funds, MuniCash |
— | 723,868 | $ | 723,868 | $723,868 | $ | 225 | |||||||||||||
| FFI Institutional Tax-Exempt Fund |
40,525 | (40,525 | ) | — | — | 32 | ||||||||||||||
| Total |
$723,868 | $ | 257 | |||||||||||||||||
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|
|
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| (f) | 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.
| BLACKROCK VIRGINIA MUNICIPAL BOND TRUST | MAY 31, 2016 | 3 |
| Schedule of Investments (continued) |
BlackRock Virginia Municipal Bond Trust (BHV) |
| Derivative Financial Instruments Outstanding as of Period End | ||||||||
Futures Contracts
| Contracts Short |
Issue | Expiration | Notional Value |
Unrealized (Depreciation) |
||||||||
| (3 | ) | 5-Year U.S. Treasury Note | September 2016 | $360,352 | $ | (305 | ) | |||||
| (3 | ) | 10-Year U.S. Treasury Note | September 2016 | $389,063 | 89 | |||||||
| (1 | ) | Long U.S. Treasury Bond | September 2016 | $163,312 | (158 | ) | ||||||
|
|
Total |
$ | (374 | ) | ||||||||
|
|
|
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| Portfolio Abbreviations |
| AGM | Assured Guaranty Municipal Corp. | |||||||||
| AMBAC | American Municipal Bond Assurance Corp. | |||||||||
| AMT | Alternative Minimum Tax (subject to) | |||||||||
| EDA | Economic Development Authority | |||||||||
| GO | General Obligation Bonds | |||||||||
| HDA | Housing Development Authority | |||||||||
| IDA | Industrial Development Authority | |||||||||
| M/F | Multi-Family | |||||||||
| NPFGC | National Public Finance Guarantee Corp. | |||||||||
| RB | Revenue Bonds |
| Fair Value Hierarchy as of Period End |
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 reporting purposes as follows:
| • | Level 1 – unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access |
| • | Level 2 – other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
| • | Level 3 – unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.
| 4 | BLACKROCK VIRGINIA MUNICIPAL BOND TRUST | MAY 31, 2016 |
| Schedule of Investments (concluded) |
BlackRock Virginia Municipal Bond Trust (BHV) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the 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. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.
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 |
— | $ | 40,466,602 | — | $ | 40,466,602 | ||||||||
| Short-Term Securities |
$ | 723,868 | — | — | 723,868 | |||||||||
|
|
|
|||||||||||||
| Total |
$ | 723,868 | $ | 40,466,602 | — | $ | 41,190,470 | |||||||
|
|
|
|||||||||||||
| Derivative Financial Instruments2 | ||||||||||||||
| Assets: |
| |||||||||||||
| Interest rate contracts |
$ | 89 | — | — | $ | 89 | ||||||||
| Liabilities: |
| |||||||||||||
| Interest rate contracts |
(463 | ) | — | — | (463 | ) | ||||||||
|
|
|
|||||||||||||
| Total |
$ | (374 | ) | — | — | $ | (374 | ) | ||||||
|
|
|
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|
1 See above Schedule of Investments for values in each sector. 2 Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of 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 |
$ | 9,950 | — | — | $ | 9,950 | ||||||||
| Liabilities: |
| |||||||||||||
| Bank overdraft |
— | $ | (1 | ) | — | (1 | ) | |||||||
| TOB Trust Certificates |
— | (3,859,659 | ) | — | (3,859,659 | ) | ||||||||
| VRDP Shares |
— | (11,600,000 | ) | — | (11,600,000 | ) | ||||||||
|
|
|
|||||||||||||
| Total |
$ | 9,950 | $ | (15,459,660 | ) | — | $ | (15,449,710 | ) | |||||
|
|
|
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| During the period ended May 31, 2016, there were no transfers between levels. | ||||||||||||||
| BLACKROCK VIRGINIA MUNICIPAL BOND TRUST | MAY 31, 2016 | 5 |
Item 2 – Controls and Procedures
| 2(a) – | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
| 2(b) – | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3 – Exhibits
Certifications – Attached hereto
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Virginia Municipal Bond Trust
| By: |
/s/ John M. Perlowski |
|||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of | ||||
| BlackRock Virginia Municipal Bond Trust | ||||
Date: July 22, 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 Virginia Municipal Bond Trust | ||||
| Date: July 22, 2016 | ||||
| By: |
/s/ Neal J. Andrews |
|||
| Neal J. Andrews | ||||
| Chief Financial Officer (principal financial officer) of | ||||
| BlackRock Virginia Municipal Bond Trust | ||||
Date: July 22, 2016