BLACKROCK INVESTMENT QUALITY MUNICIPAL TRUST 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: 811-07354

Name of Fund: BlackRock Investment Quality Municipal Trust, Inc. (BKN)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Investment Quality

            Municipal Trust, 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: 04/30/2017

Date of reporting period: 10/31/2016


Item 1 – Report to Stockholders


OCTOBER 31, 2016

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

BlackRock Long-Term Municipal Advantage Trust (BTA)

BlackRock Municipal 2020 Term Trust (BKK)

BlackRock Municipal Income Trust (BFK)

BlackRock Strategic Municipal Trust (BSD)

 

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

    16   

Statements of Assets and Liabilities

    51   

Statements of Operations

    52   

Statements of Changes in Net Assets

    53   

Statements of Cash Flows

    56   

Financial Highlights

    57   

Notes to Financial Statements

    62   

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

    74   

Officers and Trustees

    78   

Additional Information

    79   

 

                
2    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


The Markets in Review

 

Dear Shareholder,

Central bank policy decisions have continued to provide support to financial markets, while changing economic outlooks and geopolitical risks have been major drivers of investor sentiment. After ending its near-zero interest rate policy at the end of 2015, the Federal Reserve (the “Fed”) remained in focus as investors considered the anticipated pace of future rate hikes. With the European Central Bank and the Bank of Japan having moved into stimulus mode, the divergence in global monetary policies drove heightened market volatility at the beginning of 2016 and caused the U.S. dollar to strengthen considerably.

Financial markets had a rough start to the year as the strong dollar challenged U.S. companies that generate revenues overseas and pressured emerging market currencies and commodities prices. Low and volatile oil prices and signs of slowing growth in China were also meaningful factors behind the decline in risk assets early in the year. However, as the first quarter wore on, these pressures abated and a more tempered outlook for U.S. rate hikes helped the markets rebound.

Volatility spiked in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape drove investors to high-quality assets, pushing already low global yields to even lower levels. However, risk assets recovered swiftly in July as economic data suggested that the consequences had thus far been contained to the United Kingdom.

In a second episode of surprise vote results, equities fell sharply after the news of Donald Trump’s victory in the U.S. presidential election, but quickly recovered, and the yield curve steepened due to expectations for rising inflation. Broadly, a reflation theme has been building amid signs of rising price pressures, central banks signaling a greater tolerance to let inflation run hotter, and policy emphasis shifting from monetary to fiscal stimulus.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to adjust accordingly 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 October 31, 2016  
    6-month     12-month  

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

    4.06     4.51

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

    6.13        4.11   

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

    (0.16     (3.23

Emerging market equities
(MSCI Emerging Markets Index)

    9.41        9.27   

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

    0.17        0.31   

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

    0.46        4.24   

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

    1.51        4.37   

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

    0.98        4.53   

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

    7.59        10.16   
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 October 31, 2016

Municipal Market Conditions

Municipal bonds generated positive performance for the period, due to falling interest rates and a favorable supply-and-demand environment. Interest rates were volatile late 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. Investors favored the relative yield and stability of municipal bonds amid bouts of volatility resulting from uneven U.S. economic data, volatile oil prices, global growth concerns, geopolitical risks (particularly the United Kingdom’s decision to leave the European Union and the contentious U.S. election), 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 October 31, 2016, municipal bond funds garnered net inflows of approximately $61 billion (based on data from the Investment Company Institute).

 

For the same 12-month period, total new issuance remained robust from a historical perspective at $439 billion (significantly above the $420 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 continued to take advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

 

S&P Municipal Bond Index

Total Returns as of October 31, 2016

  6 months: 0.98%

12 months: 4.53%

 

A Closer Look at Yields

 

LOGO

 

From October 31, 2015 to October 31, 2016, yields on AAA-rated 30-year municipal bonds decreased by 51 basis points (“bps”) from 3.07% to 2.56%, while 10-year rates fell by 31 bps from 2.04% to 1.73% and 5-year rates decreased 4 bps from 1.17% to 1.13% (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 81 bps and the spread between 2- and 10-year maturities flattening by 61 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 muni bonds was driven largely by falling interest rates as well as a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly 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 October 31, 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 US municipal bond market. All bonds in the index are exempt from US 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    OCTOBER 31, 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.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price 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 Trust were not leveraged. In addition, each Trust 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. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. 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 adviser 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”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) or Auction Market Preferred Shares (“AMPS”) (collectively, “Preferred 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. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets 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 and 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 instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these 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, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    5


Trust Summary as of October 31, 2016    BlackRock Investment Quality Municipal Trust, Inc.

 

Trust Overview

BlackRock Investment Quality Municipal Trust, Inc.’s (BKN) (the “Trust”) investment objective is to provide high current income exempt from regular federal income tax consistent with the preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in securities rated investment grade at the time of investment. The Trust may invest up to 20% of its assets in securities that are deemed by the investment adviser to be of comparable quality. 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”)

   BKN

Initial Offering Date

   February 19, 1993

Yield on Closing Market Price as of October 31, 2016 ($15.68)1

   5.51%

Tax Equivalent Yield2

   9.73%

Current Monthly Distribution per Common Share3

   $0.072

Current Annualized Distribution per Common Share3

   $0.864

Economic Leverage as of October 31, 20164

   36%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP 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 October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BKN1,2

    (5.04 )%      1.31

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (3.09 )%      1.30

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

 

 

The U.S. municipal bond market delivered modest gains in the period, with the bulk of the positive return occurring in May and June. During these two months, bond yields fell sharply (as prices rose) in reaction to the highly accommodative policies of the world’s central banks and the prospect of the Fed maintaining a gradual, data-dependent approach to raising rates. In the latter part of the period, however, the market gave back some ground as accelerating growth indicated an increased likelihood that the Fed would in fact start to raise rates before year end. Despite this headwind, the tax-exempt market closed in positive territory due to the combination of its attractive yields, a favorable supply-and-demand picture, and the continued health of state and local finances.

 

 

The tax-exempt yield curve flattened, with short-term yields rising and longer-term yields moving lower. In this environment, the Trust’s longer-dated and longer-duration bonds provided the largest positive returns. (Duration is a measure of interest-rate sensitivity.)

 

 

At a time in which investors continued to search for yield, many of the largest contributors to Fund performance were its investments in lower-rated, higher-yielding sectors and securities. At the sector level, positions in tax-backed (school districts), housing, and education issues were the most significant contributors. The health care sector detracted from returns, as the purchases the Trust made during the course of the period underperformed once rates began to rise.

 

 

The Trust’s exposure to lower-coupon issues and bonds with longer call dates also benefited returns, as both segments outpaced the broader market.

 

 

During the period, the use of leverage helped augment the Fund’s returns. However, its use of U.S. Treasury futures contracts to manage exposure to a potential rise in interest rates had a slightly positive impact on performance given that Treasury yields fell during the period.

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

 

                
6    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Investment Quality Municipal Trust, Inc.

 

Market Price and Net Asset Value Per Share Summary                         

 

      10/31/16      4/30/16      Change      High      Low  

Market Price

   $ 15.68       $ 16.94         (7.44 )%     $ 18.30       $ 15.53   

Net Asset Value

   $ 16.62       $ 16.83         (1.25 )%     $ 17.52       $ 16.55   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   10/31/16     4/30/16  

Health

    28     23

Education

    15        15   

County/City/Special District/School District

    14        16   

Transportation

    14        14   

Utilities

    11        12   

State

    10        10   

Corporate

    5        7   

Tobacco

    3        3   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    2

2017

    2   

2018

    5   

2019

    7   

2020

    8   

 

  3   

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

 

  *   Excludes short-term securities.
Credit Quality Allocation1   10/31/16     4/30/16  

AAA/Aaa

    6     6

AA/Aa

    45        46   

A

    31        28   

BBB/Baa

    11        11   

BB/Ba

    2        2   

B

    1        1   

N/R2

    4        6   

 

  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 adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of October 31, 2016 and April 30, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% and less than 1%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    7


Trust Summary as of October 31, 2016    BlackRock Long-Term Municipal Advantage Trust

 

Trust Overview

BlackRock Long-Term Municipal Advantage Trust’s (BTA) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in municipal obligations and derivative instruments with exposure to such municipal obligations, in each case that are exempt from federal income tax (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, primarily in long-term municipal bonds with a maturity of more than ten years at the time of investment and, under normal market conditions, the Trust’s municipal bond portfolio will have a dollar-weighted average maturity of greater than 10 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

   BTA

Initial Offering Date

   February 28, 2006

Yield on Closing Market Price as of October 31, 2016 ($11.89)1

   5.50%

Tax Equivalent Yield2

   9.72%

Current Monthly Distribution per Common Share3

   $0.0545

Current Annualized Distribution per Common Share3

   $0.6540

Economic Leverage as of October 31, 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 tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Represents VRDP Shares and 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 October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BTA1,2

    (0.61 )%      2.01

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (3.09 )%      1.30

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

 

 

The U.S. municipal bond market delivered modest gains in the period, with the bulk of the positive return occurring in May and June. During these two months, bond yields fell sharply (as prices rose) in reaction to the highly accommodative policies of the world’s central banks and the prospect of the Fed maintaining a gradual, data-dependent approach to raising rates. In the latter part of the period, however, the market gave back some ground as accelerating growth indicated an increased likelihood that the Fed would in fact start to raise rates before year end. Despite this headwind, the tax-exempt market closed in positive territory due to the combination of its attractive yields, a favorable supply-and-demand picture, and the continued health of state and local finances.

 

 

The Trust’s position in longer-dated securities, particularly those with maturities of 25 years and above, was a positive for performance given the relative strength in longer-term issues. The Trust was also aided by its positions in bonds rated BBB and below investment grade (BB and below), as higher-yielding, lower-quality markets segments generally outperformed higher-quality credits.

 

 

At the sector level, exposure to utilities, project-financing, and health care issues were the largest contributors to performance.

 

 

During the period, the use of leverage helped augment the Fund’s returns. The Trust utilized U.S. Treasury futures contracts to manage exposure to a potential rise in interest rates, and the Trust’s tactical shifts in this area contributed to its six-month results.

 

 

Holdings in short and intermediate maturities detracted from performance, as yields rose on that part of the curve. Pre-refunded securities, which fall into this range, detracted relative to longer-dated bonds.

 

 

The Trust’s more-seasoned holdings, while producing generous yields compared to current market rates, also detracted. The prices of many of these investments declined due to the premium amortization that occurred as the bonds approached their first call dates. (A call is when an issuer redeems a bond prior to its maturity date; premium is amount by which a bond trades above its $100 par value.)

 

 

The Trust’s yield declined during the period, as the proceeds of called bonds were reinvested at much lower prevailing rates.

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

 

                
8    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Long-Term Municipal Advantage Trust

 

Market Price and Net Asset Value Per Share Summary

 

     

10/31/16

     4/30/16      Change      High      Low  

Market Price

   $ 11.89       $ 12.28         (3.18 )%     $ 13.44       $ 11.60   

Net Asset Value

   $ 12.81       $ 12.89         (0.62 )%     $ 13.37       $ 12.79   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   10/31/16     4/30/16  

Health

    20     19

Utilities

    15        16   

Transportation

    15        15   

County/City/Special District/School District

    13        12   

Education

    12        11   

Tobacco

    10        10   

State

    8        8   

Corporate

    6        8   

Housing

    1        1   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    4

2017

    4   

2018

    3   

2019

    16   

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.
Credit Quality Allocation1  

10/31/16

    4/30/16  

AAA/Aaa

    5     5

AA/Aa

    41        42   

A

    15        16   

BBB/Baa

    16        16   

BB/Ba

    7        7   

B

    6        4   

N/R2

    10        10   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s 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 adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of October 31, 2016 and April 30, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    9


Trust Summary as of October 31, 2016    BlackRock Municipal 2020 Term Trust

 

Trust Overview

BlackRock Municipal 2020 Term Trust’s (BKK) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax and to return $15 per Common Share (the initial offering price per Common Share) to holders of Common Shares on or about December 31, 2020. The Trust seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its managed assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade, or deemed to be of comparable quality by the investment adviser, at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. There is no assurance that the Trust will achieve its investment objective of returning $15.00 per Common Share.

 

Trust Information      

Symbol on NYSE

   BKK

Initial Offering Date

   September 30, 2003

Termination Date (on or about)

   December 31, 2020

Yield on Closing Market Price as of October 31, 2016 ($16.27)1

   3.30%

Tax Equivalent Yield2

   5.83%

Current Monthly Distribution per Common Share3

   $0.0448

Current Annualized Distribution per Common Share3

   $0.5376

Economic Leverage as of October 31, 20164

   9%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents AMPS and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS 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 October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BKK1,2

    2.47     0.34

Lipper Intermediate Municipal Debt Funds3

    (1.81 )%      0.78

 

  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.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

 

 

The U.S. municipal bond market delivered modest gains in the period, with the bulk of the positive return occurring in May and June. During these two months, bond yields fell sharply (as prices rose) in reaction to the highly accommodative policies of the world’s central banks and the prospect of the Fed maintaining a gradual, data-dependent approach to raising rates. In the latter part of the period, however, the market gave back some ground as accelerating growth indicated an increased likelihood that the Fed would in fact start to raise rates before year end. Despite this headwind, the tax-exempt market closed in positive territory due to the combination of its attractive yields, a favorable supply-and-demand picture, and the continued health of state and local finances.

 

 

The Trust’s exposure to lower-rated credits aided performance as yield spreads for higher-yielding issues generally tightened over the period. At the sector level, exposure to health care, development districts and tax-backed issues were the largest contributors. Additionally, the use of leverage helped augment returns at time of positive market performance.

 

 

Select holdings in the corporate municipal bond sector detracted from results, as deteriorating credit fundamentals resulted in multiple-notch ratings downgrades for certain issuers.

 

 

The Trust’s shorter duration profile and exposure to bonds maturing inside of five years was a drag on performance at a time in which longer-term bonds outpaced shorter-term issues. (Duration is a measure of interest-rate sensitivity.) The Trust’s more-seasoned holdings, while producing generous yields compared to current market rates, also detracted. The prices of many of these investments declined due to the premium amortization that occurred as the bonds approached their first call dates. (A call is when an issuer redeems a bond prior to its maturity date; premium is amount by which a bond trades above its $100 par value.)

 

 

Reinvestment was a drag on performance, as the proceeds of mature or called bonds were reinvested at much lower prevailing rates.

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

 

                
10    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Municipal 2020 Term Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      10/31/16      4/30/16      Change      High      Low  

Market Price

   $ 16.27       $ 16.14         0.81    $ 17.01       $ 15.90   

Net Asset Value

   $ 16.06       $ 16.27         (1.29 )%     $ 16.35       $ 16.06   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   10/31/16     4/30/16  

Utilities

    17     17

Transportation

    16        15   

County/City/Special District/School District

    15        14   

State

    13        13   

Health

    13        12   

Education

    11        10   

Corporate

    9        12   

Tobacco

    4        4   

Housing

    2        3   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    1

2017

    5   

2018

    5   

2019

    19   

2020

    50   

 

  3   

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

 

  *   Excludes short-term securities.
Credit Quality Allocation1   10/31/16     4/30/16  

AAA/Aaa

    4     6

AA/Aa

    30        25   

A

    33        37   

BBB/Baa

    17        19   

BB/Ba

    3        4   

B

    4          

N/R2

    9        9   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s 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 adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of October 31, 2016 and April 30, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents 6% and 4%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    11


Trust Summary as of October 31, 2016    BlackRock Municipal Income Trust

 

Trust Overview      

BlackRock Municipal Income Trust’s (BFK) (the “Trust”) investment objective is to provide current income exempt from regular federal 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 be subject to the federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade, or deemed to be of comparable quality by the investment adviser, 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

   BFK

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of October 31, 2016 ($14.68)1

   5.81%

Tax Equivalent Yield2

   10.27%

Current Monthly Distribution per Common Share3

   $0.0711

Current Annualized Distribution per Common Share3

   $0.8532

Economic Leverage as of October 31, 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 tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP 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 October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFK1,2

    (2.22 )%      1.49

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (3.09 )%      1.30

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

 

 

The U.S. municipal bond market delivered modest gains in the period, with the bulk of the positive return occurring in May and June. During these two months, bond yields fell sharply (as prices rose) in reaction to the highly accommodative policies of the world’s central banks and the prospect of the Fed maintaining a gradual, data-dependent approach to raising rates. In the latter part of the period, however, the market gave back some ground as accelerating growth indicated an increased likelihood that the Fed would in fact start to raise rates before year end. Despite this headwind, the tax-exempt market closed in positive territory due to the combination of its attractive yields, a favorable supply-and-demand picture, and the continued health of state and local finances.

 

 

The Trust’s positions in lower-rated investment-grade securities generally made the largest contributions to performance, as elevated investor risk appetites led to robust demand for higher-yielding issues. Holdings in bonds with maturities of 20 years in longer also aided performance given that longer-term debt benefited from both stronger price performance and higher income relative to shorter-dated securities. At the sector level, the Trust was helped by its positions in transportation, utilities and local tax-backed issues.

 

 

The Trust’s more-seasoned holdings, while producing generous yields compared to current market rates, detracted from performance. The prices of many of these investments declined due to the premium amortization that occurred as the bonds approached their first call dates. (A call is when an issuer redeems a bond prior to its maturity date; premium is amount by which a bond trades above its $100 par value.)

 

 

The Trust utilized U.S. Treasury futures contracts to manage exposure to a potential rise in interest rates, and its tactical shifts in this area contributed to the Trust’s six-month results.

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

 

                
12    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

     

10/31/16

     4/30/16      Change      High      Low  

Market Price

   $ 14.68       $ 15.44         (4.92 )%     $ 16.02       $ 14.34   

Net Asset Value

   $ 15.00       $ 15.21 1        (1.38 )%     $ 15.64       $ 14.97   

 

  1   

The net asset value does not reflect adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and therefore differs from amount reported in the Financial Highlights.

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   10/31/16     4/30/16  

Transportation

    21     21

Utilities

    15        15   

Health

    14        14   

County/City/Special District/School District

    14        12   

State

    11        11   

Education

    11        10   

Corporate

    7        11   

Tobacco

    7        6   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    4

2017

    4   

2018

    3   

2019

    17   

2020

    13   

 

  3   

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

 

  *   Excludes short-term securities.
Credit Quality Allocation1  

10/31/16

    4/30/16  

AAA/Aaa

    7     8

AA/Aa

    44        41   

A

    20        21   

BBB/Baa

    17        16   

BB/Ba

    4        4   

B

    2        1   

N/R2

    6        9   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s 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 adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of October 31, 2016 and April 30, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 2% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    13


Trust Summary as of October 31, 2016    BlackRock Strategic Municipal Trust

 

Trust Overview      

BlackRock Strategic Municipal Trust’s (BSD) (the “Trust”) investment objectives are to provide current income that is exempt from regular federal income tax and to invest in municipal bonds that over time will perform better than the broader municipal bond market. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in investments exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in securities that are investment grade, or deemed to be of comparable quality by the investment adviser, at the time of investment and, under normal market conditions, primarily invests in municipal bonds with long-term maturities in order to maintain a weighted average maturity of 15 years 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 objectives will be achieved.

 

Trust Information      

Symbol on NYSE

   BSD

Initial Offering Date

   August 25, 1999

Yield on Closing Market Price as of October 31, 2016 ($14.25)1

   5.47%

Tax Equivalent Yield2

   9.66%

Current Monthly Distribution per Common Share3

   $0.065

Current Annualized Distribution per Common Share3

   $0.780

Economic Leverage as of October 31, 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 tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP 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 October 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BSD1,2

    (2.59 )%      1.58

Lipper General & Insured Municipal Debt Trusts (Leveraged)3

    (3.09 )%      1.30

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

 

 

The U.S. municipal bond market delivered modest gains in the period, with the bulk of the positive return occurring in May and June. During these two months, bond yields fell sharply (as prices rose) in reaction to the highly accommodative policies of the world’s central banks and the prospect of the Fed maintaining a gradual, data-dependent approach to raising rates. In the latter part of the period, however, the market gave back some ground as accelerating growth indicated an increased likelihood that the Fed would in fact start to raise rates before year end. Despite this headwind, the tax-exempt market closed in positive territory due to the combination of its attractive yields, a favorable supply-and-demand picture, and the continued health of state and local finances.

 

 

The Trust’s position in longer-dated securities, particularly those with maturities of 25 years and above, was a positive for performance given the relative strength in longer-term issues. The Trust was also aided by its positions in bonds rated A and BBB, as higher-yielding, lower-quality markets segments generally outperformed higher-quality credits.

 

 

At the sector level, exposure to transportation, corporate-backed, and utilities issues were the largest contributors to performance.

 

 

During the period, the use of leverage helped augment the Fund’s returns. The Trust utilized U.S. Treasury futures contracts to manage exposure to a potential rise in interest rates, and its tactical shifts in this area contributed to the Trust’s six-month results.

 

 

Holdings in short and intermediate maturities detracted from performance, as yields rose on that part of the curve. Pre-refunded securities, which fall into this range, detracted relative to longer-dated bonds.

 

 

The Trust’s more-seasoned holdings, while producing generous yields compared to current market rates, also detracted. The prices of many of these investments declined due to the premium amortization that occurred as the bonds approached their first call dates. (A call is when an issuer redeems a bond prior to its maturity date; premium is amount by which a bond trades above its $100 par value.)

 

 

The Trust’s yield declined during the period, as the proceeds of called bonds were reinvested at much lower prevailing rates.

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

 

                
14    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


     BlackRock Strategic Municipal Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

     

10/31/16

     4/30/16      Change      High      Low  

Market Price

   $ 14.25       $ 15.02         (5.13 )%     $ 15.98       $ 13.66   

Net Asset Value

   $ 14.88       $ 15.04         (1.06 )%     $ 15.50       $ 14.86   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation  

10/31/16

    4/30/16  

Transportation

    23     24

Health

    20        18   

Utilities

    12        14   

Education

    11        11   

County/City/Special District/School District

    11        10   

State

    10        9   

Corporate

    7        9   

Tobacco

    6        5   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    5

2017

    4   

2018

    6   

2019

    17   

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.
Credit Quality Allocation1  

10/31/16

    4/30/16  

AAA/Aaa

    8     9

AA/Aa

    42        41   

A

    23        25   

BBB/Baa

    13        11   

BB/Ba

    4        4   

B

    2        1   

N/R2

    8        9   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P’s 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 adviser 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 adviser has deemed certain of these unrated securities as investment grade quality. As of October 31, 2016 and April 30, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 2% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    15


Schedule of Investments October 31, 2016 (Unaudited)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 1.9%

    

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC),
6.00%, 6/01/19 (a)

   $ 1,745      $ 1,966,231   

UAB Medicine Finance Authority, Refunding RB,
Series B, 3.50%, 9/01/39 (b)

     3,560        3,488,444   
    

 

 

 
               5,454,675   

Arizona — 8.0%

    

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A,
5.00%, 2/01/42

     3,300        3,603,138   

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, 5.00%, 7/01/45 (c)

     455        481,190   

County of Maricopa Industrial Development Authority, Refunding RB, Banner Health Obligation
Group (b):

    

3.25%, 1/01/37

     2,895        2,762,756   

4.00%, 1/01/38

     2,000        2,100,240   

County of Pinal Arizona Electric District No. 3, Refunding RB, Electric System, 4.75%, 7/01/31

     3,750        4,216,125   

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     1,035        1,247,423   

5.00%, 12/01/37

     4,585        5,497,232   

University Medical Center Corp., RB,
6.50%, 7/01/19 (a)

     750        856,343   

University Medical Center Corp., Refunding RB,
6.00%, 7/01/21 (a)

     1,600        1,945,072   
    

 

 

 
               22,709,519   

Arkansas — 3.2%

    

City of Benton Arkansas, RB, 4.00%, 6/01/39

     1,355        1,458,658   

City of Fort Smith Arkansas Water & Sewer Revenue, Refunding RB, 4.00%, 10/01/40

     1,850        1,968,418   

City of Hot Springs Arkansas, RB, Wastewater,
5.00%, 12/01/38

     1,800        2,056,518   

City of Little Rock Arkansas, RB, 4.00%, 7/01/41

     2,955        3,147,607   

County of Pulaski Arkansas Public Facilities Board, RB, 5.00%, 12/01/42

     465        530,230   
    

 

 

 
               9,161,431   

California — 18.1%

    

California Health Facilities Financing Authority, RB, Sutter Health:

    

Series A, 3.25%, 11/15/36

     1,230        1,224,600   

Series B, 5.88%, 8/15/31

     2,300        2,684,031   

California Health Facilities Financing Authority, Refunding RB, Adventist Health System West, Series A, 3.00%, 3/01/39

     1,130        1,028,153   

California Infrastructure & Economic Development Bank, Refunding RB, 4.00%, 11/01/45

     3,330        3,536,693   

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (c)

     705        786,505   

Carlsbad California Unified School District, GO, Election of 2006, Series B, 0.00%, 5/01/34 (d)

     1,500        1,598,070   

City of San Jose California, Refunding ARB, Series A-1, AMT, 5.75%, 3/01/34

     3,000        3,496,350   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

Dinuba California Unified School District, GO, Election of 2006 (AGM), 5.75%, 8/01/19 (a)

   $ 535      $ 604,871   

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 0.00%, 8/01/34 (d)

     2,475        2,497,448   

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 8/01/38 (e)

     12,000        5,235,600   

Palomar Community College District, GO, CAB,
Election of 2006, Series B:

    

0.00%, 8/01/30 (e)

     2,270        1,495,136   

0.00%, 8/01/33 (e)

     4,250        1,704,250   

0.00%, 8/01/39 (d)

     3,000        2,778,150   

San Diego Community College District, GO, CAB, Election of 2002, 0.00%, 8/01/33 (d)

     4,200        4,773,258   

State of California, GO, Refunding, Various Purposes:

    

5.00%, 2/01/38

     2,000        2,321,460   

4.00%, 10/01/44

     2,520        2,690,856   

State of California, GO, Various Purposes:

    

5.75%, 4/01/31

     3,000        3,331,200   

6.00%, 3/01/33

     2,270        2,634,812   

6.50%, 4/01/33

     2,900        3,275,405   

5.50%, 3/01/40

     3,650        4,144,830   
    

 

 

 
               51,841,678   

Colorado — 0.3%

    

Park Creek Metropolitan District, Refunding RB, Senior Limited Property Tax (AGM),
6.00%, 12/01/20 (a)

     750        892,860   

Connecticut — 1.2%

    

Connecticut State Health & Educational Facility Authority, Refunding RB:

    

Lawrence & Memorial Hospital, Series F,
5.00%, 7/01/36

     950        1,042,540   

Trinity Health Corp., 3.25%, 12/01/36

     150        150,120   

South Central Connecticut Regional Water Authority, Refunding RB, Thirty Second,
Series B,
4.00%, 8/01/36

     1,980        2,160,239   
    

 

 

 
               3,352,899   

Delaware — 2.5%

    

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

     1,800        1,986,894   

Delaware Transportation Authority, RB:

    

5.00%, 6/01/45

     3,000        3,478,080   

5.00%, 6/01/55

     1,430        1,621,820   
    

 

 

 
               7,086,794   

Florida — 6.1%

    

Capital Trust Agency Inc., RB, M/F Housing, The Gardens Apartment Project, Series A,
4.75%, 7/01/40

     900        916,596   

County of Miami-Dade Florida, RB:

    

CAB, Subordinate Special Obligation,
0.00%, 10/01/32 (e)

     5,000        2,793,550   
 

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.      COP    Certificates of Participation    LRB    Lease Revenue Bonds
AGM    Assured Guaranty Municipal Corp.      EDA    Economic Development Authority    M/F    Multi-Family
AMBAC    American Municipal Bond Assurance Corp.      EDC    Economic Development Corp.    NPFGC    National Public Finance Guarantee Corp.
AMT    Alternative Minimum Tax (subject to)      GARB    General Airport Revenue Bonds    PILOT    Payment in Lieu of Taxes
ARB    Airport Revenue Bonds      GO    General Obligation Bonds    RB    Revenue Bonds
BAM    Build America Mutual Assurance Co.      HDA    Housing Development Authority    SAN    State Aid Notes
CAB    Capital Appreciation Bonds      IDA    Industrial Development Authority    S/F    Single-Family
CHF    Swiss Franc      ISD    Independent School District      

 

See Notes to Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

    

County of Miami-Dade Florida, RB (continued):

    

CAB, Subordinate Special Obligation,
0.00%, 10/01/33 (e)

   $ 15,375      $ 8,228,239   

Series B, AMT, 6.00%, 10/01/32

     3,000        3,656,670   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, University of Miami,
Series A, 5.00%, 4/01/45

     1,390        1,602,100   

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center,
5.00%, 6/01/32

     200        215,760   
    

 

 

 
               17,412,915   

Hawaii — 0.2%

    

Hawaii State Department of Budget & Finance, Refunding RB, Special Purpose, Senior Living, Kahala Nui, 5.25%, 11/15/37

     600        660,816   

Idaho — 1.2%

    

Idaho Health Facilities Authority, RB, St. Lukes Health System Project, Series A, 5.00%, 3/01/39

     3,000        3,402,780   

Illinois — 8.4%

    

Chicago Public Building Commission, RB, Series A (NPFGC), 7.00%, 1/01/20 (f)

     5,000        5,728,950   

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT, 4.00%, 1/01/29

     2,400        2,510,496   

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A,
5.00%, 1/01/41

     1,735        1,926,475   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

     1,000        1,103,840   

Illinois Finance Authority, RB, Rush University Medical Center, Series C, 6.63%, 5/01/19 (a)

     1,200        1,366,572   

Illinois Finance Authority, Refunding RB:

    

OSF Heallthcare System, 6.00%, 5/15/20 (a)

     955        1,115,717   

OSF Heallthcare System, 6.00%, 5/15/39

     535        608,150   

Roosevelt University Project, 6.50%, 4/01/44

     1,500        1,625,850   

Railsplitter Tobacco Settlement Authority, RB:

    

6.25%, 6/01/24

     5,000        5,057,050   

6.00%, 6/01/28

     1,700        1,996,225   

State of Illinois, GO, 5.00%, 2/01/39

     1,000        1,034,950   
    

 

 

 
               24,074,275   

Iowa — 1.4%

    

Iowa Higher Education Loan Authority, Refunding RB, Private College Facility:

    

Drake University Project, 3.00%, 4/01/34

     1,000        1,003,220   

Upper Iowa University Project,
5.75%, 9/01/20 (a)

     965        1,129,648   

Upper Iowa University Project,
6.00%, 9/01/20 (a)

     1,500        1,769,955   
    

 

 

 
               3,902,823   

Kansas — 3.5%

    

County of Johnson Unified School District No. 512 Shawnee Mission, GO, Refunding Series B,
3.00%, 10/01/37

     1,940        1,859,315   

County of Seward Kansas Unified School District No. 480, GO, Refunding,
5.00%, 9/01/22 (a)

     6,000        6,812,760   

Kansas Development Finance Authority, Refunding RB, Sisters Leavenworth:

    

5.00%, 1/01/20 (a)

     1,005        1,126,303   

5.00%, 1/01/28

     150        165,146   
    

 

 

 
               9,963,524   
Municipal Bonds   

Par  

(000)

    Value  

Kentucky — 5.7%

    

County of Louisville & Jefferson Kentucky Metropolitan Government, Refunding RB, Norton Healthcare, Inc.,
4.00%, 10/01/35

   $ 2,100      $ 2,239,902   

Kentucky Bond Development Corp., Refunding RB, Saint Elizabeth Medical Center, Inc.,
4.00%, 5/01/35

     875        931,954   

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A,
5.38%, 1/01/40

     3,400        3,841,184   

Kentucky Economic Development Finance Authority, Refunding RB, Norton Healthcare, Inc., Series B (NPFGC), 0.00%, 10/01/23 (e)

     8,500        7,129,885   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C (d):

    

0.00%, 7/01/34

     1,000        868,360   

0.00%, 7/01/39

     1,395        1,183,336   
    

 

 

 
               16,194,621   

Louisiana — 2.0%

    

City of Alexandria Louisiana Utilities, RB,
5.00%, 5/01/39

     1,790        2,028,840   

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

     1,565        1,810,924   

Louisiana Public Facilities Authority, RB, Belle Chasse Educational Foundation Project, 6.50%, 5/01/31

     600        687,240   

Louisiana Public Facilities Authority, Refunding RB,
4.00%, 11/01/45

     1,040        1,059,708   
    

 

 

 
               5,586,712   

Maryland — 0.8%

    

County of Anne Arundel Maryland Consolidated, Special Taxing District, Villages at Two Rivers Project:

    

5.13%, 7/01/36

     260        269,280   

5.25%, 7/01/44

     260        268,811   

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

     1,500        1,771,515   
    

 

 

 
               2,309,606   

Massachusetts — 1.7%

    

Massachusetts Development Finance Agency, RB, Dana-Farber Cancer Institute Issue, Series N,
5.00%, 12/01/46

     625        728,912   

Massachusetts Development Finance Agency, Refunding RB:

    

Emmanuel College Issue, Series A,
4.00%, 10/01/46

     1,380        1,395,760   

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

     600        669,558   

WGBH Educational Foundation Issue,
3.00%, 1/01/42

     2,280        2,132,393   
    

 

 

 
               4,926,623   

Michigan — 3.6%

    

Michigan Finance Authority, RB, Detroit Water & Sewage Disposal System, Senior Lien, Series 2014 C-2, AMT, 5.00%, 7/01/44

     360        387,141   

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 4.00%, 11/15/46

     2,305        2,322,057   

Michigan State Building Authority, Refunding RB, Facilities Program Series, 6.25%, 10/15/38

     60        65,803   

Michigan State Hospital Finance Authority, Refunding RB, Trinity Health Credit Group, Series C,
4.00%, 12/01/32

     4,150        4,370,531   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    17


Schedule of Investments (continued)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

Municipal Bonds   

Par  

(000)

    Value  

Michigan (continued)

    

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

   $ 2,750      $ 3,118,445   
    

 

 

 
               10,263,977   

Minnesota — 2.1%

    

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

     1,905        2,094,033   

City of St. Cloud Minnesota, Refunding RB, CentraCare Health System, Series A, 3.25%, 5/01/39

     695        684,075   

Minnesota Higher Education Facilities Authority, RB, College of St. Benedict, Series 8-K:

    

5.00%, 3/01/37

     1,055        1,218,187   

4.00%, 3/01/43

     615        646,789   

Minnesota Higher Education Facilities Authority, Refunding RB, University of St. Thomas,
Series 8-L, 4.00%, 4/01/39

     620        669,464   

Minnesota Municipal Power Agency, RB,
4.00%, 10/01/41

     710        764,180   
    

 

 

 
               6,076,728   

Mississippi — 2.0%

    

County of Warren Mississippi, RB, Gulf Opportunity Zone Bonds, International Paper Co. Project,
Series A, 5.38%, 12/01/35

     600        680,562   

Mississippi Development Bank, RB, Special Obligation:

    

CAB, Hinds Community College District (AGM),
5.00%, 4/01/36

     1,910        2,107,608   

County of Jackson Limited Tax Note (AGC),
5.50%, 7/01/32

     2,655        2,921,270   
    

 

 

 
               5,709,440   

Missouri — 2.1%

    

Missouri Development Finance Board, RB, Annual Appropriation Sewer System,
Series B, 5.00%, 11/01/41

     1,350        1,471,230   

Missouri State Health & Educational Facilities Authority, RB:

    

A.T. Still University of Health Sciences,
5.25%, 10/01/31

     500        572,950   

A.T. Still University of Health Sciences,
4.25%, 10/01/32

     480        517,838   

A.T. Still University of Health Sciences,
5.00%, 10/01/39

     750        851,573   

Heartland Regional Medical Center,
4.13%, 2/15/43

     700        731,941   

University of Central Missouri,
Series C-2, 5.00%, 10/01/34

     1,500        1,718,340   
    

 

 

 
               5,863,872   

Montana — 0.1%

    

County of Gallatin School District No 7 Bozeman, GO, 3.00%, 6/01/36

     265        264,918   

Nebraska — 4.9%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.00%, 9/01/42

     900        1,006,875   

County of Douglas Nebraska Hospital Authority No. 3, Refunding RB, Health Facilities Nebraska Methodist Health System, 5.00%, 11/01/45

     600        677,868   

County of Sarpy Hospital Authority No. 1, Refunding RB, Nebraska Medicine, 3.00%, 5/15/46

     3,075        2,741,116   

Gretna Public Schools, GO, Refunding School Building,
3.00%, 12/15/39

     1,480        1,393,864   

Lincoln Airport Authority, Refunding RB,
Series A, 4.00%, 7/01/40

     780        840,349   
Municipal Bonds   

Par  

(000)

    Value  

Nebraska (continued)

    

Nebraska Public Power District, Refunding RB, Series A:

    

5.00%, 1/01/32

   $ 2,535      $ 2,940,245   

4.00%, 1/01/44

     600        631,146   

Public Power Generation Agency, Refunding RB:

    

3.13%, 1/01/35

     1,845        1,766,680   

3.25%, 1/01/36

     2,075        2,005,882   
    

 

 

 
               14,004,025   

Nevada — 0.9%

    

County of Clark Nevada, Refunding ARB, Department of Aviation, Subordinate Lien, Series A-2,
4.25%, 7/01/36

     1,500        1,621,110   

County of Clark Nevada, Refunding RB, Alexander Dawson School Nevada Project, 5.00%, 5/15/29

     1,065        1,066,778   
    

 

 

 
               2,687,888   

New Hampshire — 0.8%

    

New Hampshire Health and Education Facilities Authority Act, Refunding RB, Southern New Hampshire Medical Center, 3.50%, 10/01/34 (b)

     2,315        2,269,603   

New Jersey — 9.5%

    

Atlantic County Improvement Authority, RB, Stockton University Atlantic City, Series A, 4.00%, 7/01/46

     3,000        3,112,020   

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

     1,510        59,419   

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project,
5.25%, 9/15/29

     1,335        1,484,306   

Continental Airlines, Inc. Project, Series B,
5.63%, 11/15/30

     990        1,133,946   

Goethals Bridge Replacement Project (AGM),
5.13%, 7/01/42

     300        338,760   

New Jersey Educational Facilities Authority, Refunding RB:

    

College of New Jersey, 3.50%, 7/01/31

     1,150        1,196,770   

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

     1,225        1,424,638   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

RWJ Barnabas Health Obligated Group,
4.00%, 7/01/43 (b)

     3,735        3,846,639   

St. Barnabas Health Care System, Series A,
4.63%, 7/01/21 (a)

     770        890,467   

St. Barnabas Health Care System, Series A,
5.63%, 7/01/21 (a)

     2,560        3,076,429   

St. Barnabas Health Care, Series A,
5.00%, 7/01/25

     500        581,290   

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series AA, 6.50%, 10/01/38

     50        51,560   

New Jersey State Turnpike Authority, RB, Series E,
5.00%, 1/01/45

     2,780        3,208,259   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series A,
0.00%, 12/15/35 (e)

     1,600        665,552   

Federal Highway Reimbursement Revenue Notes,
Series A, 5.00%, 6/15/30 (b)

     1,915        1,992,634   

Transportation Program, Series AA,
5.00%, 6/15/44

     1,850        1,994,374   

Transportation Program, Series AA,
5.00%, 6/15/45

     1,350        1,462,941   

Transportation Program, Series AA,
5.00%, 6/15/46

     600        649,734   
    

 

 

 
               27,169,738   
 

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

Municipal Bonds   

Par  

(000)

    Value  

New Mexico — 0.3%

    

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services,
5.00%, 8/01/44

   $ 680      $ 787,923   

New York — 7.8%

    

City of New York New York, GO, Fiscal 2014, Sub-Series A-1, 5.00%, 8/01/35

     2,380        2,784,433   

City of New York New York Industrial Development Agency, RB, PILOT, Queens Baseball Stadium:

    

(AMBAC), 5.00%, 1/01/39

     1,100        1,107,524   

(AGC), 6.50%, 1/01/46

     300        332,670   

Counties of New York Tobacco Trust IV, Refunding RB:

    

Settlement Pass-Through Turbo, Series A,
6.25%, 6/01/41 (c)

     1,400        1,469,230   

Tobacco Settlement Pass-Through,
4.00%, 6/01/51

     1,000        956,280   

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 6/01/45

     1,825        1,823,540   

Hudson Yards Infrastructure Corp., RB, Series A (AGM),
5.00%, 2/15/47

     500        506,255   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.75%, 4/01/39

     2,475        2,712,402   

Metropolitan Transportation Authority, RB, Series B,
5.25%, 11/15/39

     3,495        4,178,133   

MTA Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

     1,365        1,542,354   

New York Liberty Development Corp., Refunding RB:

    

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

     1,250        1,396,213   

3 World Trade Center Project, Class 2,
5.15%, 11/15/34 (c)

     640        727,590   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     525        573,668   

5.00%, 8/01/31

     1,380        1,473,095   

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

     600        609,252   
    

 

 

 
               22,192,639   

North Carolina — 1.3%

    

City of Durham North Carolina Water & Sewer Utility System Revenue, Refunding RB, 3.00%, 8/01/40

     1,230        1,175,412   

City of Raleigh North Carolina Combined Enterprise System Revenue, Refunding RB, Series B,
3.00%, 3/01/37 (b)

     2,110        2,071,957   

County of Pitt North Carolina, Refunding RB, Series B,
3.00%, 4/01/33 (b)

     615        601,550   
    

 

 

 
               3,848,919   

North Dakota — 0.6%

    

City of Fargo North Dakota, GO, Series D,
4.00%, 5/01/37

     795        851,787   

County of Burleigh North Dakota, Refunding RB, St. Alexius Medical Center Project, Series A,
5.00%, 7/01/21 (a)

     720        842,724   
    

 

 

 
               1,694,511   

Ohio — 1.1%

    

City of Dayton Ohio Airport Revenue, Refunding ARB, James M Cox Dayton International Airport, AMT,
4.00%, 12/01/32

     3,000        3,138,960   

Oklahoma — 4.3%

    

Edmond Public Works Authority, RB, 4.00%, 7/01/41

     1,540        1,648,308   

Norman Regional Hospital Authority, Refunding RB, 4.00%, 9/01/37 (b)

     6,000        6,077,580   
Municipal Bonds   

Par  

(000)

    Value  

Oklahoma (continued)

    

Oklahoma City Public Property Authority, Refunding RB:

    

5.00%, 10/01/36

   $ 800      $ 919,624   

5.00%, 10/01/39

     280        319,990   

Oklahoma Development Finance Authority, RB, State System of Higher Education Master Real Property, Series F, 4.00%, 6/01/36

     1,080        1,164,683   

Oklahoma Municipal Power Authority, RB, Power Supply System, Series A, 4.00%, 1/01/38

     570        606,149   

Oklahoma Water Resources Board, RB, Clean Water Program, 4.00%, 4/01/40

     1,475        1,601,112   
    

 

 

 
               12,337,446   

Oregon — 4.0%

    

County of Deschutes Hospital Facilities Authority, Refunding RB, St.Charles Health System, Inc.,
Series A, 4.00%, 1/01/46

     965        1,007,141   

County of Lane Oregon School District No. 19 Springfield, GO, CAB, Series B, 0.00%, 6/15/40 (e)

     1,500        671,100   

Klamath Falls Intercommunity Hospital Authority, Refunding RB, Sky Lakes Medical Center Project:

    

3.00%, 9/01/35

     1,130        1,052,516   

3.00%, 9/01/41

     950        856,919   

Oregon Health & Science University, RB, Series A,
5.75%, 7/01/19 (a)

     1,250        1,404,425   

Oregon Health & Science University, Refunding RB, Series B, 4.00%, 7/01/46

     925        1,001,285   

State of Oregon Facilities Authority, Refunding RB, Legacy Health Project, Series A,
4.00%, 6/01/41 (b)

     2,610        2,691,615   

State of Oregon State Facilities Authority, Refunding RB, Series A, 5.00%, 4/01/45

     2,485        2,858,172   
    

 

 

 
               11,543,173   

Pennsylvania — 3.9%

    

County of Allegheny Pennsylvania IDA, Refunding RB, U.S. Steel Corp. Project, 6.55%, 12/01/27

     2,535        2,457,125   

Delaware River Port Authority, RB:

    

4.50%, 1/01/32

     3,000        3,360,000   

Series D (AGM), 5.00%, 1/01/40

     3,640        4,036,068   

Mckeesport Area School District, GO, CAB, Refunding (NPFGC), 0.00%, 10/01/31 (e)(f)

     500        349,765   

Pennsylvania Economic Development Financing Authority, Refunding RB, National Gypsum Co., AMT,
5.50%, 11/01/44

     810        890,158   
    

 

 

 
               11,093,116   

Rhode Island — 5.2%

    

Rhode Island Commerce Corp., RB, Airport Corporation:

    

5.00%, 7/01/41

     430        492,746   

5.00%, 7/01/46

     540        615,908   

Rhode Island Health & Educational Building Corp., RB:

    

Higher Educational Facility, Series B,
4.00%, 9/15/33 (b)

     675        733,489   

Higher Educational Facility, Series B,
4.00%, 9/15/35 (b)

     350        376,911   

Hospital Financing, LifeSpan Obligation, Series A (AGC), 7.00%, 5/15/19 (a)

     3,000        3,449,130   

Rhode Island Turnpike & Bridge Authority, Refunding RB, Series A, 5.00%, 10/01/40

     3,345        3,884,247   

State of Rhode Island, COP, School for the Deaf Project, Series C (AGC), 5.38%, 4/01/28

     1,330        1,442,997   

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/40

     1,000        1,077,290   

Series B, 4.50%, 6/01/45

     2,725        2,823,073   
    

 

 

 
               14,895,791   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    19


Schedule of Investments (continued)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

Municipal Bonds   

Par  

(000)

    Value  

South Dakota — 1.0%

    

Dakota Valley School District No. 61-8, GO, Refunding, 3.00%, 7/15/39

   $ 3,080      $ 2,955,014   

Tennessee — 4.6%

    

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/40

     2,945        3,304,820   

County of Chattanooga-Hamilton Tennessee Hospital Authority, Refunding RB, 5.00%, 10/01/44

     875        977,226   

County of Knox Health Educational & Housing Facility Board, RB, University Health System, Inc.,
4.00%, 9/01/40 (b)

     3,385        3,409,406   

County of Memphis-Shelby Tennessee Sports Authority, Inc., Refunding RB, Memphis Arena Project, Series A:

    

5.25%, 11/01/27

     1,135        1,261,700   

5.38%, 11/01/28

     1,000        1,117,790   

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, Series A, 5.00%, 8/15/42

     1,200        1,313,256   

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A,
5.00%, 7/01/40

     1,075        1,249,311   

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, Lipscomb University Project, Series A,
5.00%, 10/01/45

     360        410,739   
    

 

 

 
               13,044,248   

Texas — 6.7%

    

County of Harris Texas-Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series A (NPFGC),
0.00%, 11/15/38 (e)

     5,000        1,926,300   

County of Matagorda Texas Navigation District No. 1, Refunding RB, Central Power & Light Co., Project, Series A, 6.30%, 11/01/29

     2,200        2,459,622   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A,
0.00%, 9/15/38 (e)

     16,780        6,953,632   

Leander ISD, GO, Refunding, Go, Refunding, CAB, Series D, 0.00%, 8/15/35 (e)

     6,000        2,953,260   

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

     1,140        1,341,199   

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, LBJ Infrastructure Group LLC,
7.00%, 6/30/40

     3,000        3,539,310   
    

 

 

 
               19,173,323   

Utah — 0.2%

    

Utah State Charter School Finance Authority, Refunding RB, Mountainville Academy, 4.00%, 4/15/42

     600        623,928   

Vermont — 1.6%

    

University of Vermont & State Agricultural College, Refunding RB:

    

4.00%, 10/01/37

     1,860        2,014,715   

4.00%, 10/01/43

     1,385        1,476,064   

Vermont Student Assistance Corp., RB, AMT, Series A, 4.25%, 6/15/32

     950        998,573   
    

 

 

 
               4,489,352   

Virginia — 0.7%

    

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

     1,755        2,043,118   
Municipal Bonds   

Par  

(000)

    Value  

Washington — 0.8%

    

Washington Health Care Facilities Authority, RB, MultiCare Health System, Series B (AGC),
6.00%, 8/15/19 (a)

   $ 2,100      $ 2,389,149   

West Virginia — 1.0%

    

County of Berkeley Public Service Sewer District, Refunding RB, (BAM):

    

5.00%, 6/01/36

     615        707,373   

3.25%, 6/01/41

     615        602,356   

3.38%, 6/01/46

     920        919,945   

West Virginia Hospital Finance Authority, Refunding RB, West Virginia United Health System Obligated Group, 3.00%, 6/01/36

     615        579,182   
    

 

 

 
               2,808,856   

Wisconsin — 2.1%

    

Public Finance Authority, Refunding RB, National Gypsum Co., AMT, 4.00%, 8/01/35

     435        436,375   

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

Medical College of Wisconsin, Inc.,
4.00%, 12/01/46

     955        1,004,889   

The Monroe Clinic, Inc., 3.00%, 2/15/35

     1,690        1,605,094   

The Monroe Clinic, Inc., 4.00%, 2/15/38

     1,230        1,286,568   

WPPI Energy Power Supply Systems, Refunding RB, Series A, 5.00%, 7/01/37

     1,330        1,532,559   
    

 

 

 
               5,865,485   
Total Municipal Bonds — 139.4%              398,169,691   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (i)

 

California — 1.8%

    

State of California, GO, Refunding, Various Purposes, (NPFGC) (a):

    

5.00%, 6/01/17

     3,070        3,147,610   

5.00%, 6/01/17

     1,930        1,978,790   
    

 

 

 
               5,126,400   

Colorado — 2.0%

    

Colorado Health Facilities Authority, RB, Catholic Health, Series C-7 (AGM), 5.00%, 5/01/18 (a)

     5,250        5,575,710   

Connecticut — 1.6%

    

Connecticut State Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group,
5.00%, 12/01/45

     3,902        4,515,585   

Georgia — 2.4%

    

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/43

     5,997        6,988,840   

Minnesota — 2.0%

    

State of Minnesota, RB, Series A, 5.00%, 6/01/38

     5,000        5,810,339   

Nebraska — 1.0%

    

County of Sarpy Hospital Authority No. 1, Refunding RB, Nebraska Medicine, 4.00%, 5/15/51

     2,761        2,860,322   

New Jersey — 1.1%

    

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

     2,861        3,135,134   

New York — 9.0%

    

City of New York New York, GO, Fiscal 2015, Series B, 4.00%, 8/01/32

     1,600        1,759,808   
 

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (i)

  

Par  

(000)

    Value  

New York (continued)

    

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (a)

   $      159      $ 170,675   

5.75%, 6/15/40

     531        570,812   

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

    

2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 6/15/47

     4,000        4,633,511   

2nd General Resolution, Series FF-2,
5.50%, 6/15/40

     810        900,607   

Series A, 4.75%, 6/15/17 (a)

     754        772,248   

Series A, 4.75%, 6/15/30

     3,246        3,325,032   

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

     1,750        2,044,502   

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

     4,500        5,251,389   

State of New York Dormitory Authority, RB, New York University, Series A, 5.00%, 7/01/18 (a)

     3,359        3,588,631   

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A,
5.00%, 3/15/31

     2,360        2,758,958   
    

 

 

 
               25,776,173   

Ohio — 1.6%

    

County of Montgomery Ohio, RB, Catholic Health,
Series C-1 (AGM), 5.00%, 4/28/18 (a)

     1,740        1,846,575   

Ohio Higher Educational Facility Commission, RB, Cleveland Clinic Health, Series A,
5.25%, 1/01/33

     2,600        2,725,320   
    

 

 

 
               4,571,895   

Municipal Bonds Transferred to

Tender Option Bond Trusts (i)

  

Par  

(000)

    Value  

Texas — 1.0%

    

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien,
5.00%, 2/01/43

   $ 2,380      $ 2,750,519   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 23.5%

             67,110,917   
Total Long-Term Investments
(Cost — $423,809,108) — 162.9%
             465,280,608   
    
                  
Short-Term Securities — 2.5%        
Shares
        

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.44% (k)(l)

     7,277,153        7,277,881   
Total Short-Term Securities
(Cost — $7,277,447) — 2.5%
             7,277,881   
Total Investments (Cost — $431,086,555) — 165.4%        472,558,489   
Liabilities in Excess of Other Assets — (8.3)%        (23,825,484

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (13.0)%

   

    (37,194,475

VMTP Shares, at Liquidation Value — (44.1)%

  

    (125,900,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

  

  $ 285,638,530   
    

 

 

 
 
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)   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)   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.

 

(e)   Zero-coupon bond.

 

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

 

(g)   Non-income producing security.

 

(h)   Issuer filed for bankruptcy and/or is in default.

 

(i)   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 of municipal bonds transferred to TOB Trusts.

 

(j)   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, 2019 to June 15, 2019, is $3,148,884. See Note 4 of the Notes to Financial Statements for details.

 

(k)   During the period ended October 31, 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 April 30,
2016
       Net
Activity
       Shares Held
at October 31,
2016
       Value at
October 31,
2016
       Income        Capital
Gain
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

       1,080,099           6,197,054           7,277,153         $ 7,277,881         $ 9,040         $ 3,766   

 

(l)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    21


Schedule of Investments (continued)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue    Expiration    Notional
Value
    Unrealized
Appreciation
        
  (40   10-Year U.S. Treasury Note    December 2016      $5,185,000      $ 73,185     
  (60   Long U.S. Treasury Bond    December 2016      $9,763,125        369,288     
  (11   Ultra U.S. Treasury Bond    December 2016      $1,935,313        101,064           
  Total              $ 543,537     
         

 

 

 

 

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  

Futures contracts

 

Net Unrealized Appreciation1

                                  $ 543,537               $ 543,537   

1   Includes cumulative appreciation (depreciation) on 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 October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                   $ 350,564               $ 350,564   
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Futures contracts

                     —–               $ 392,311               $ 392,311   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts:     

Average notional value of contracts — long

     $ 241,880 1 

Average notional value of contracts — short

     $ 18,978,531   

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

      

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

            $ 465,280,608                   $ 465,280,608   

Short-Term Securities

  $ 7,277,881                               7,277,881   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 7,277,881         $ 465,280,608                   $ 472,558,489   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
Derivative Financial Instruments2                                         

Assets:

                

Interest rate contracts

  $ 543,537                             $ 543,537   

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

       

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

       

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Investment Quality Municipal Trust, Inc. (BKN)

 

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

  $ 330,050                             $ 330,050   

Liabilities:

                

TOB Trust Certificates

            $ (37,123,627                  (37,123,627

VMTP Shares at Liquidation Value

              (125,900,000                  (125,900,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 330,050         $ (163,023,627                $ (162,693,577
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended October 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    23


Schedule of Investments October 31, 2016 (Unaudited)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 2.0%

    

County of Jefferson Alabama, RB, Limited Obligation School, Series A, 5.25%, 1/01/19

   $ 515      $ 517,837   

County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Series D, 6.00%, 10/01/42

     1,655        1,967,133   

Lower Alabama Gas District, RB, Series A, 5.00%, 9/01/46

     720        904,925   
    

 

 

 
        3,389,895   

Arizona — 3.0%

    

City of Phoenix Arizona IDA, RB, Series A:

    

Facility, Eagle College Preparatory Project, 5.00%, 7/01/33

     870        907,845   

Great Hearts Academies Project, 5.00%, 7/01/44

     1,000        1,099,350   

Legacy Traditional Schools Projects, 5.00%, 7/01/46 (a)

     1,255        1,284,053   

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, Series A (b):

    

5.00%, 7/01/35

     125        133,600   

5.00%, 7/01/46

     135        142,771   

County of Maricopa Arizona IDA, Refunding RB, Banner Health, Series A, 4.00%, 1/01/36 (a)

     605        638,505   

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

     725        869,246   
    

 

 

 
        5,075,370   

California — 13.4%

    

California Health Facilities Financing Authority, RB:

    

St. Joseph Health System, Series A, 5.75%, 7/01/39

     385        428,035   

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

     1,040        1,213,399   

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

     680        760,056   

California Municipal Finance Authority, RB, Senior, Caritas Affordable Housing, Inc. Projects, S/F Housing, Series A:

    

5.25%, 8/15/39

     70        81,022   

5.25%, 8/15/49

     175        201,243   

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (b)

     2,060        2,298,157   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A:

    

Senior, 5.00%, 5/15/40

     2,045        2,300,523   

5.25%, 5/15/39

     270        297,051   

City of San Francisco California Public Utilities Commission Water Revenue, RB, Series B, 5.00%, 11/01/19 (c)

     3,225        3,606,969   

City of Stockton California Public Financing Authority, RB, Delta Water Supply Project, Series A, 6.25%, 10/01/38

     165        205,051   

County of California Tobacco Securitization Agency, RB, Asset-Backed, Los Angeles County Securitization Corp.:

    

5.70%, 6/01/46

     1,000        1,025,890   

5.60%, 6/01/36

     2,000        2,051,760   

San Francisco City & County Redevelopment Agency, Tax Allocation Bonds, Mission Bay South Redevelopment Project,
0.00%, 8/01/31 (b)(d)

     1,265        587,529   

San Marcos Unified School District, GO, CAB, SAN, Election of 2010, Series B, 0.00%, 8/01/38 (d)

     3,725        1,670,961   

State of California, GO, Various Purposes, 6.50%, 4/01/33

     2,000        2,258,900   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

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

    

Series I, 5.00%, 11/01/38

   $ 355      $ 418,407   

Sub-Series I-1, 6.38%, 11/01/19 (c)

     400        463,728   

Tobacco Securitization Authority of Southern California, Refunding RB, Tobacco Settlement, Asset-Backed, Senior Series A-1:

    

5.00%, 6/01/37

     2,140        2,114,705   

5.13%, 6/01/46

     1,005        979,121   
    

 

 

 
        22,962,507   

Colorado — 4.2%

    

Colorado Health Facilities Authority, Refunding RB, Series A:

    

6.13%, 12/01/45 (b)

     160        174,223   

6.25%, 12/01/50 (b)

     520        566,805   

Sisters of Charity of Leavenworth Health System, 5.00%, 1/01/40

     3,940        4,304,647   

North Range Metropolitan District No. 2, GO, Limited Tax, 5.50%, 12/15/37

     1,200        1,206,708   

Table Mountain Metropolitan District, GO, Series A, 5.25%, 12/01/45

     1,000        1,012,040   
    

 

 

 
        7,264,423   

Connecticut — 0.5%

    

Mohegan Tribe of Indians of Connecticut, Refunding RB, Public Improvement, Priority Distribution, Series C, 6.25%, 2/01/30 (b)

     860        888,681   

Delaware — 2.3%

    

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

     750        827,873   

Delaware Transportation Authority, RB, 5.00%, 6/01/55

     580        657,801   

State of Delaware EDA, RB, Exempt Facilities, Indian River Power LLC Project, 5.38%, 10/01/45

     2,240        2,415,459   
    

 

 

 
        3,901,133   

District of Columbia — 1.4%

    

District of Columbia, Refunding RB, Kipp Charter School, Series A, 6.00%, 7/01/43

     260        309,569   

District of Columbia, Tax Allocation Bonds, City Market at O Street Project, 5.13%, 6/01/41

     750        848,752   

Metropolitan Washington Airports Authority, Refunding RB, Dulles Toll Road, 1st Senior Lien, Series A:

    

5.00%, 10/01/39

     170        186,048   

5.25%, 10/01/44

     1,000        1,098,110   
    

 

 

 
        2,442,479   

Florida — 4.1%

    

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 5/01/45

     545        617,937   

County of Miami-Dade Florida Water & Sewer System Revenue, RB, Water & Sewer System, 5.00%, 10/01/34

     1,950        2,200,497   

Lakewood Ranch Stewardship District, Special Assessment Bonds, Village of Lakewood Ranch Sector Projects:

    

4.00%, 5/01/21

     100        101,986   

4.25%, 5/01/26

     100        102,031   

5.00%, 5/01/36

     215        221,693   

5.13%, 5/01/46

     430        445,510   

Mid-Bay Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21 (c)

     1,080        1,385,370   

Tolomato Community Development District, Refunding, Special Assessment Bonds:

    

Convertible CAB, Series A2, 0.00%, 5/01/39 (e)

     95        76,777   

Convertible CAB, Series A3, 0.00%, 5/01/40 (e)

     225        136,024   
 

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

    

Tolomato Community Development District, Refunding, Special Assessment Bonds (continued):

    

Convertible CAB, Series A4, 0.00%, 5/01/40 (e)

   $ 120      $ 53,807   

Series 2, 0.00%, 5/01/40 (e)

     310        164,201   

Series A1, 6.65%, 5/01/40

     340        341,278   

Tolomato Community Development District:

    

Series 1, 0.00%, 5/01/40 (e)

     505        315,711   

Series 1, 6.65%, 5/01/40 (f)(g)

     15        15,222   

Series 3, 6.61%, 5/01/40 (f)(g)

     340        3   

Series 3, 6.65%, 5/01/40 (f)(g)

     275        3   

Village Community Development District No.10, Special Assessment Bonds, 5.13%, 5/01/43

     815        902,816   
    

 

 

 
        7,080,866   

Georgia — 0.5%

    

County of Clarke Hospital Authority, Refunding RB, Piedmont Healthcare, Inc. Project, Series A, 3.50%, 7/01/36 (a)

     550        537,741   

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     240        288,595   
    

 

 

 
        826,336   

Guam — 0.8%

    

Guam Government Waterworks Authority, RB, Water & Wastewater System, 5.50%, 7/01/43

     1,065        1,209,595   

Territory of Guam, GO, Series A, 6.00%, 11/15/19

     165        179,900   
    

 

 

 
        1,389,495   

Illinois — 10.1%

    

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien, Series A, 5.75%, 1/01/39

     2,500        2,883,750   

City of Chicago Illinois, GO, Refunding, Project, Series A, 5.25%, 1/01/32

     1,090        1,134,799   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

     360        397,382   

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien Project, 5.00%, 11/01/42

     1,000        1,094,130   

City of Springfield Illinois Electric Revenue, Refunding RB, 5.00%, 3/01/40

     2,000        2,281,840   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.50%, 12/01/38

     350        396,382   

Illinois Finance Authority, RB, Advocate Health Care Network:

    

5.38%, 4/01/19 (c)

     870        960,758   

5.38%, 4/01/44

     975        1,051,996   

Illinois Finance Authority, Refunding RB, Central Dupage Health, Series B, 5.50%, 11/01/39

     550        620,526   

Illinois State Toll Highway Authority, RB, Series A, 5.00%, 1/01/38

     815        930,241   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project:

    

Refunding Bonds, Series B-2, 5.25%, 6/15/50

     1,000        1,055,520   

Series B (AGM), 5.00%, 6/15/50

     1,790        1,906,243   

Series B-2, 5.00%, 6/15/50

     625        653,144   

State of Illinois, GO, 5.00%, 2/01/39

     745        771,038   

State of Illinois, RB, Build Illinois, Series B, 5.25%, 6/15/19 (c)

     215        238,545   

University of Illinois, RB, Auxiliary Facilities System, Series A:

    

5.00%, 4/01/39

     390        435,193   

5.00%, 4/01/44

     475        528,057   
    

 

 

 
        17,339,544   
Municipal Bonds   

Par  

(000)

    Value  

Indiana — 5.4%

    

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT:

    

6.75%, 1/01/34

   $ 365      $ 448,165   

7.00%, 1/01/44

     885        1,097,524   

City of Vincennes Indiana, Refunding RB, Southwest Indiana Regional Youth Village Project, 6.25%, 1/01/29 (b)

     1,185        1,178,494   

Indiana Finance Authority, RB, Series A:

    

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

     1,285        1,496,640   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

     160        175,950   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/48

     520        568,584   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 1/01/51

     2,190        2,424,243   

Sisters of St. Francis Health Services, 5.25%, 11/01/39

     290        319,539   

Indiana Finance Authority, Refunding RB, Parkview Health System, Series A, 5.75%, 5/01/31

     600        665,622   

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (c)

     350        387,492   

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

     445        512,431   
    

 

 

 
        9,274,684   

Iowa — 2.3%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.50%, 12/01/22

     830        841,421   

5.25%, 12/01/25

     660        688,373   

Iowa Student Loan Liquidity Corp., Refunding RB, Student Loan, Senior Series A-1, AMT, 5.15%, 12/01/22

     610        647,692   

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.63%, 6/01/46

     1,765        1,733,707   
    

 

 

 
        3,911,193   

Kentucky — 0.9%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     440        490,358   

Kentucky Economic Development Finance Authority, Refunding RB, Baptist Life Communities Project, Series S:

    

6.25%, 11/15/46

     300        304,410   

6.38%, 11/15/51

     295        299,643   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (e)

     565        481,002   
    

 

 

 
        1,575,413   

Louisiana — 3.6%

    

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, Westlake Chemical Corp. Project:

    

6.75%, 11/01/32

     2,000        2,101,060   

Series A-1, 6.50%, 11/01/35

     1,135        1,313,354   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.50%, 5/15/30

     350        394,936   

5.25%, 5/15/31

     300        335,817   

5.25%, 5/15/32

     380        431,840   

5.25%, 5/15/33

     415        468,415   

5.25%, 5/15/35

     945        1,065,005   
    

 

 

 
        6,110,427   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    25


Schedule of Investments (continued)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

Municipal Bonds   

Par  

(000)

    Value  

Maine — 0.6%

    

Maine Health & Higher Educational Facilities Authority, RB, Maine General Medical Center, 6.75%, 7/01/41

   $ 970      $ 1,083,820   

Maryland — 1.0%

    

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

     970        1,068,280   

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc., 5.75%, 9/01/25

     645        654,475   
    

 

 

 
        1,722,755   

Massachusetts — 5.1%

    

Commonwealth of Massachusetts, GO, Series E, 4.00%, 4/01/42

     2,070        2,210,201   

Massachusetts Development Finance Agency, RB:

    

Boston Medical Center, Series D, 5.00%, 7/01/44

     3,000        3,312,510   

North Hill Communities Issue, Series A, 6.50%, 11/15/43 (b)

     1,000        1,087,570   

Seven Hills Foundation and Affiliates, 5.00%, 9/01/45

     2,000        2,144,560   
    

 

 

 
        8,754,841   

Michigan — 1.5%

    

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

     1,970        2,200,411   

Michigan Finance Authority, Refunding RB, Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 7/01/44

     410        450,406   
    

 

 

 
        2,650,817   

Minnesota — 0.6%

    

City of Brooklyn Park Minnesota, RB, Athlos Leadership Academy Project, 5.75%, 7/01/46

     180        185,065   

City of Ham Lake Minnesota, RB, Series A:

    

5.00%, 7/01/36

     220        228,881   

5.00%, 7/01/47

     680        699,333   
    

 

 

 
        1,113,279   

Missouri — 0.1%

    

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

     85        97,221   

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

     115        127,986   
    

 

 

 
        225,207   

Nebraska — 0.2%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.25%, 9/01/37

     285        324,464   

New Jersey — 7.8%

    

Casino Reinvestment Development Authority, Refunding RB:

    

5.00%, 11/01/22

     2,035        2,184,471   

5.25%, 11/01/39

     475        489,378   

5.25%, 11/01/44

     1,160        1,190,462   

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

     505        521,690   

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT, 5.13%, 9/15/23

     1,410        1,568,724   

New Jersey EDA, Refunding RB:

    

Bancroft Neurohealth Project, Series A, 5.00%, 6/01/36

     665        680,740   

Cigarette Tax, 5.00%, 6/15/23

     1,250        1,401,337   
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

New Jersey EDA, Refunding, Special Assessment Bonds, Kapkowski Road Landfill Project, 5.75%, 4/01/31

   $ 785      $ 911,299   

New Jersey State Turnpike Authority, RB, Series E, 5.00%, 1/01/45

     1,215        1,402,171   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA,
5.00%, 6/15/44

     830        894,773   

Transportation System, Series B,
5.25%, 6/15/36

     845        926,078   

Tobacco Settlement Financing Corp. New Jersey, Refunding RB, Series 1A, 5.00%, 6/01/41

     1,295        1,211,537   
    

 

 

 
        13,382,660   

New York — 30.5%

    

City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Series HH, 5.00%, 6/15/31

     2,830        3,301,252   

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A:

    

6.25%, 6/01/41 (b)

     900        944,505   

5.00%, 6/01/42

     1,505        1,460,136   

5.00%, 6/01/45

     555        539,837   

County of Dutchess New York IDA, Refunding RB, Bard College Civic Facility, Series A-1, 5.00%, 8/01/46

     1,500        1,384,485   

County of Nassau New York Tobacco Settlement Corp., Refunding RB, Asset-Backed, Series A-3, 5.13%, 6/01/46

     550        527,522   

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 6/01/45

     910        909,272   

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

     6,510        7,606,219   

Metropolitan Transportation Authority, RB, Series B:

    

5.25%, 11/15/38

     1,125        1,343,183   

5.25%, 11/15/39

     400        478,184   

Metropolitan Transportation Authority, Refunding RB, Green Bonds, Series A-1, 5.25%, 11/15/56

     1,325        1,581,454   

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

     6,140        7,165,441   

New York Liberty Development Corp., Refunding RB:

    

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

     420        469,127   

3 World Trade Center Project, Class 1, 5.00%, 11/15/44 (b)

     2,355        2,649,092   

3 World Trade Center Project, Class 2, 5.15%, 11/15/34 (b)

     160        181,898   

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

     395        456,284   

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

     2,220        2,604,349   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     780        852,306   

5.00%, 8/01/31

     1,275        1,361,011   

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

     730        845,647   

State of New York Dormitory Authority, RB:

    

Series A, 5.25%, 7/01/18 (c)

     1,000        1,072,480   

Series B, 5.75%, 3/15/36

     11,250        12,489,412   

Syracuse Industrial Development Agency, Refunding RB, Carousel Centre Project, Series A, AMT, 5.00%, 1/01/36

     1,000        1,125,060   

Westchester Tobacco Asset Securitization, Refunding RB, 5.13%, 6/01/45

     1,100        1,100,000   
    

 

 

 
        52,448,156   
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

Municipal Bonds   

Par  

(000)

    Value  

North Carolina — 0.5%

    

North Carolina Medical Care Commission, RB, Health Care Facilities, Duke University Health System, Series A, 5.00%, 6/01/19 (c)

   $ 480      $ 528,495   

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/41

     260        296,145   
    

 

 

 
        824,640   

Ohio — 5.2%

    

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Series A-2:

    

Senior Turbo Term, 5.88%, 6/01/47

     1,500        1,410,045   

5.75%, 6/01/34

     2,295        2,139,674   

County of Allen Ohio Hospital Facilities, Refunding RB, Series A:

    

Catholic Healthcare Partners, 5.25%, 6/01/38

     2,650        2,932,782   

Mercy Health, 4.00%, 11/01/44

     1,170        1,211,336   

State of Ohio, RB, Portsmouth Bypass Project, AMT, 5.00%, 6/30/53

     1,220        1,336,620   
    

 

 

 
        9,030,457   

Oklahoma — 0.5%

    

Norman Regional Hospital Authority, Refunding RB, 4.00%, 9/01/37 (a)

     880        891,378   

Oregon — 0.1%

    

State of Oregon Facilities Authority, Refunding RB, Legacy Health Project, Series A, 4.00%, 6/01/41 (a)

     225        232,036   

Pennsylvania — 1.5%

    

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 7/01/42

     300        331,377   

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Rapid Bridge Finco LP, AMT, 5.00%, 12/31/38

     465        518,935   

Pennsylvania Economic Development Financing Authority, Refunding RB, National Gypsum Co., AMT, 5.50%, 11/01/44

     720        791,251   

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

     520        597,366   

Scranton-Lackawanna Health & Welfare Authority, Refunding RB, Marywood University Project, 5.00%, 6/01/46

     290        305,846   
    

 

 

 
        2,544,775   

Puerto Rico — 0.9%

    

Children’s Trust Fund, Refunding RB, Tobacco Settlement, Asset-Backed Bonds, 5.50%, 5/15/39

     40        40,192   

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

     1,475        1,467,713   
    

 

 

 
        1,507,905   

Rhode Island — 2.2%

    

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/40

     420        452,462   

Series B, 4.50%, 6/01/45

     1,875        1,942,481   

Series B, 5.00%, 6/01/50

     1,360        1,411,843   
    

 

 

 
        3,806,786   

South Carolina — 3.1%

    

State of South Carolina Ports Authority, RB, AMT:

    

5.00%, 7/01/45

     750        843,585   

5.25%, 7/01/55

     940        1,061,786   

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

     1,830        2,155,850   
Municipal Bonds   

Par  

(000)

    Value  

South Carolina (continued)

    

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

   $ 1,060      $ 1,249,295   
    

 

 

 
        5,310,516   

Texas — 7.5%

    

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien, 6.25%, 1/01/21 (c)

     730        877,723   

City of Dallas Texas Waterworks & Sewer System Revenue, Refunding RB:

    

5.00%, 10/01/20 (c)

     240        275,731   

5.00%, 10/01/35

     285        324,287   

City of Houston Texas Airport System, Refunding ARB, Senior Lien, Series A, 5.50%, 7/01/39

     250        267,898   

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/43

     210        275,640   

County of Matagorda Texas Navigation District No. 1, Refunding RB, Central Power & Light Co., Project, Series A, 6.30%, 11/01/29

     700        782,607   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A, 0.00%, 9/15/37 (d)

     5,200        2,271,308   

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB:

    

Buckingham Senior Living Community, Inc. Project, 5.50%, 11/15/45

     180        198,014   

Scott & White Healthcare, 6.00%, 8/15/20 (c)

     105        123,965   

Scott & White Healthcare, 6.00%, 8/15/20 (c)

     1,285        1,517,097   

Harris County-Houston Sports Authority, Refunding RB, CAB, Series A (AGM) (NPFGC), 0.00%, 11/15/34 (d)

     3,000        1,466,730   

Mission Economic Development Corp., RB, Senior Lien, Natgasoline Project, Series B, AMT, 5.75%, 10/01/31 (b)

     875        924,333   

New Hope Cultural Education Facilities Finance Corp., Refunding RB, Jubillee Academic Centre, Series A, 4.00%, 8/15/26 (b)

     1,375        1,370,517   

Newark Higher Education Finance Corp., RB, Series A (b):

    

5.50%, 8/15/35

     135        141,110   

5.75%, 8/15/45

     275        290,301   

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien:

    

AMT, Blueridge Transportation Group, 5.00%, 12/31/50

     1,055        1,162,905   

LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     500        589,885   
    

 

 

 
        12,860,051   

Utah — 1.1%

    

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

     1,815        1,961,416   

Virginia — 2.6%

    

Tobacco Settlement Financing Corp., Refunding RB, Senior Series B-1, 5.00%, 6/01/47

     1,025        956,233   

Virginia College Building Authority, RB, Marymount University Project, Series B, 5.00%, 7/01/45 (b)

     240        259,795   

Virginia HDA, RB, Rental Housing, Series F, 5.00%, 4/01/45

     1,000        1,042,350   

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

     1,875        2,182,819   
    

 

 

 
        4,441,197   

Washington — 1.6%

    

Port of Seattle Washington, RB, Series C, AMT, 5.00%, 4/01/40

     350        397,145   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    27


Schedule of Investments (continued)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

Municipal Bonds   

Par  

(000)

    Value  

Washington (continued)

    

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

   $ 1,020      $ 1,196,858   

Washington State Housing Finance Commission, RB, Series A:

    

Heron’s Key, 7.00%, 7/01/45 (b)

     100        106,775   

5.63%, 1/01/38

     1,000        1,008,060   
    

 

 

 
        2,708,838   

Wisconsin — 2.2%

    

Public Finance Authority, RB, Series A:

    

4.75%, 12/01/35

     365        380,578   

5.00%, 12/01/45

     885        931,825   

5.15%, 12/01/50

     555        584,848   

Public Finance Authority, Refunding RB, Celanese Project:

    

Series C, AMT, 4.30%, 11/01/30

     200        205,900   

Series D, 4.05%, 11/01/30

     200        205,160   

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     1,440        1,515,226   
    

 

 

 
        3,823,537   

Wyoming — 0.1%

    

Wyoming Municipal Power Agency, Inc., RB, Series A, 5.00%, 1/01/42

     100        106,745   
Total Municipal Bonds — 131.0%        225,188,722   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
        

Alabama — 0.8%

    

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     1,240        1,336,162   

California — 1.6%

    

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area, Series F-1, 5.63%, 4/01/19 (c)

     1,090        1,212,655   

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%, 10/01/18 (c)(i)

     840        910,451   

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (c)

     553        617,836   
    

 

 

 
        2,740,942   

Colorado — 0.5%

    

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiatives, Series A, 5.50%, 7/01/34 (i)

     740        815,206   

Illinois — 1.6%

    

Illinois Finance Authority, RB, The Carle Foundation, Series A (AGM), 6.00%, 8/15/41

     2,340        2,743,135   

Massachusetts — 4.8%

    

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

     7,112        8,270,528   

Nebraska — 1.4%

    

County of Sarpy Hospital Authority No. 1, Refunding RB, Nebraska Medicine, 4.00%, 5/15/51

     2,296        2,378,420   

New Hampshire — 0.4%

    

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (c)(i)

     660        731,252   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

New York — 2.5%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

   $ 495      $ 550,371   

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

     1,860        2,236,120   

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

     1,215        1,454,537   
    

 

 

 
        4,241,028   

North Carolina — 0.8%

    

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55

     1,180        1,383,562   

Ohio — 2.9%

    

State of Ohio, Refunding RB, Cleveland Clinic Health System Obligated Group, Series A, 5.50%, 1/01/39

     4,634        5,047,651   

Pennsylvania — 0.5%

    

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, 5.00%, 8/15/38

     720        826,301   

Texas — 9.5%

    

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

     11,000        12,712,480   

County of Harris Texas, Refunding RB, Toll Road, Senior Lien, Series A (i):

    

5.00%, 8/15/19(c)

     1,202        1,315,968   

5.00%, 8/15/38

     920        1,006,602   

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

     1,170        1,348,050   
    

 

 

 
        16,383,100   

Virginia — 1.9%

    

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

     2,949        3,264,622   

Wisconsin — 1.2%

    

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group, Series C, 5.25%, 4/01/39 (i)

     1,989        2,130,888   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 30.4%
        52,292,797   
Total Long-Term Investments
(Cost — $256,181,030) — 161.4%
        277,481,519   
    
                  
Short-Term Securities Shares    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.44% (j)(k)

     886,917        887,005   
Total Short-Term Securities
(Cost — $886,991) — 0.5%
        887,005   
Total Investments (Cost — $257,068,021) — 161.9%        278,368,524   
Other Assets Less Liabilities — (0.3)%        (422,387

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (17.7)%

   

    (30,411,388

VRDP Shares, at Liquidation Value Net of Deferred Offering Costs — (43.9)%

   

    (75,558,820
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

  

  $ 171,975,929   
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

 

Notes to Schedule of Investments

 

(a)   When-issued security.

 

(b)   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.

 

(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)   Non-income producing security.

 

(g)   Issuer filed for bankruptcy and/or is in default.

 

(h)   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 of municipal bonds transferred to TOB Trusts.

 

(i)   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 April 1, 2017 to February 15, 2031, is $4,124,562. See Note 4 of the Notes to Financial Statements for details.

 

(j)   During the period ended October 31, 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 April 30,
2016
       Net
Activity
       Shares Held
at October 31,
2016
       Value at
October 31,
2016
       Income        Realized
Gain/Capital
Gain
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

       3,382,067           (2,495,150        886,917         $ 887,005         $ 1,850         $ 1,449   

 

(k)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue    Expiration    Notional
Value
    Unrealized
Appreciation
        
  (5   5-Year U.S. Treasury Note    December 2016    $ 603,984      $ 4,336     
  (27   10-Year U.S. Treasury Note    December 2016    $ 3,499,875        47,551     
  (22   Long U.S. Treasury Bond    December 2016    $ 3,579,813        123,978     
  (8   Ultra U.S. Treasury Bond    December 2016    $ 1,407,500        68,420           
  Total              $ 244,285     
         

 

 

 

 

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  

Futures contracts

    Net Unrealized Appreciation 1                                     $ 244,285               $ 244,285   

1   Includes cumulative appreciation (depreciation) on 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 October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                  $ 145,679               $ 145,679   
Net Change in Unrealized Appreciation (Depreciation) on:                                                       

Futures contracts

                                  $ 150,251               $ 150,251   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    29


Schedule of Investments (concluded)

  

BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments            
Futures contracts:     

Average notional value of contracts — short

     $ 8,720,398   

For more information about 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

            $ 277,481,519                   $ 277,481,519   

Short-Term Securities

  $ 887,005                               887,005   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 887,005         $ 277,481,519                   $ 278,368,524   
 

 

 

      

 

 

      

 

 

      

 

 

 
                                          
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 244,285                             $ 244,285   

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

       

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 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 futures contracts

  $ 160,600                             $ 160,600   

Liabilities:

                

TOB Trust Certificates

            $ (30,365,452                  (30,365,452

VRDP Shares at Liquidation Value

              (76,000,000                  (76,000,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 160,600         $ (106,365,452                $ (106,204,852
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended October 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments October 31, 2016 (Unaudited)

  

BlackRock Municipal 2020 Term Trust (BKK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 0.3%

    

Alabama 21st Century Authority Tobacco Settlement, Refunding RB, Series A, 5.00%, 6/01/20

   $ 1,000      $ 1,123,010   

Alaska — 2.0%

  

City of Valdez Alaska, Refunding RB, BP Pipelines Project:

    

Series B, 5.00%, 1/01/21

     3,200        3,622,976   

Series C, 5.00%, 1/01/21

     2,500        2,830,450   
    

 

 

 
               6,453,426   

Arizona — 3.3%

  

 

City of Phoenix Arizona IDA, RB, Series A,
4.75%, 7/01/19 (a)

     470        488,461   

Phoenix Civic Improvement Corp., Refunding RB, Junior Lien, Series A:

    

5.00%, 7/01/20

     1,300        1,474,161   

5.00%, 7/01/21

     5,585        6,175,223   

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/18

     1,500        1,601,835   

5.25%, 12/01/20

     1,000        1,131,010   
    

 

 

 
               10,870,690   

California — 8.8%

    

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 5.00%, 8/15/22

     815        944,764   

County of Riverside California Asset Leasing Corp., RB, Riverside County Hospital Project (NPFGC),
0.00%, 6/01/25 (b)

     6,865        5,643,923   

Golden Empire Schools Financing Authority, Refunding RB, Kern High School District Projects,
1.13%, 5/01/17 (c)

     4,000        3,999,280   

Los Angeles Regional Airports Improvement Corp. Facilities Lease, Refunding RB, LAXFuel Corp., Los Angeles International Airport, AMT:

    

5.00%, 1/01/19

     540        585,203   

5.00%, 1/01/20

     550        614,741   

Los Angeles Unified School District California, GO, Series I, 5.00%, 7/01/20

     3,750        4,153,650   

State of California, GO, Refunding, Various Purpose, 5.25%, 10/01/22

     1,000        1,220,410   

State of California Department of Water Resources, Refunding RB, Series L, 5.00%, 5/01/20

     10,000        11,365,000   
    

 

 

 
               28,526,971   

Colorado — 1.7%

  

Colorado Educational & Cultural Facilities Authority, Refunding RB, Peak to Peak Charter School Project:

    

4.00%, 8/15/19

     125        133,176   

4.00%, 8/15/20

     150        162,447   

Colorado Health Facilities Authority, Refunding RB, Evangelical Lutheran Good Samaritan Society Project:

    

4.00%, 12/01/19

     555        590,881   

4.00%, 12/01/20

     580        626,562   

E-470 Public Highway Authority Colorado, RB, CAB, Senior Series B (NPFGC), 0.00%, 9/01/22 (b)

     4,500        4,007,565   
    

 

 

 
               5,520,631   

Florida — 3.4%

    

City of Jacksonville Florida, RB, Better Jacksonville, 5.00%, 10/01/18 (d)

     5,160        5,562,119   

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 7/01/18 (d)

     1,250        1,340,162   

County of Miami-Dade Florida, Refunding RB, Series A, AMT, 5.00%, 10/01/20

     1,375        1,563,279   

County of Miami-Dade Florida Expressway Authority, Refunding RB, Toll System, Series A, 5.00%, 7/01/20

     500        566,985   

Stevens Plantation Community Development District, Special Assessment Bonds, Series B,
6.38%, 5/01/13 (e)(f)

     2,980        2,084,659   
    

 

 

 
               11,117,204   
Municipal Bonds   

Par  

(000)

    Value  

Georgia — 2.4%

    

Gainesville & Hall County Development Authority, Refunding RB, ACTS Retirement — Life Communities, Inc. Obligated Group, 5.00%, 11/15/22

   $ 6,915      $ 7,882,547   

Guam — 0.5%

    

Guam Government Waterworks Authority, RB,
5.25%, 7/01/20

     250        280,465   

Guam Power Authority, Refunding RB, Series A (AGM), 5.00%, 10/01/20

     1,190        1,333,371   
    

 

 

 
               1,613,836   

Hawaii — 0.9%

    

State of Hawaii Department of Budget & Finance, Refunding RB, Special Purpose Senior Living, Kahala Nui:

    

5.00%, 11/15/19

     1,275        1,383,681   

5.00%, 11/15/20

     1,440        1,596,024   
    

 

 

 
               2,979,705   

Illinois — 11.3%

    

Chicago Transit Authority, Refunding RB,
5.00%, 6/01/20

     1,000        1,105,900   

City of Chicago Illinois Motor Fuel Tax, Refunding RB, 5.00%, 1/01/20

     1,000        1,054,370   

Lake Cook-Dane & McHenry Counties Community Unit School District 220 Illinois, GO, Refunding, (AGM), 5.25%, 12/01/20

     1,000        1,152,830   

Metropolitan Pier & Exposition Authority Illinois, Refunding RB, CAB, McCormick, Series A (NPFGC), 0.00%, 6/15/22 (b)

     13,455        11,169,264   

Railsplitter Tobacco Settlement Authority, RB,
5.25%, 6/01/20

     10,000        11,302,100   

State of Illinois, GO, 5.00%, 7/01/20

     4,055        4,362,207   

State of Illinois, RB, Series B:

    

5.00%, 6/15/19 (d)

     515        568,076   

5.00%, 6/15/20

     1,485        1,632,535   

State of Illinois Finance Authority, Refunding RB, Presence Health Network, Series C, 5.00%, 2/15/20

     4,145        4,520,827   
    

 

 

 
               36,868,109   

Indiana — 3.5%

    

Indiana Finance Authority, RB, Ohio River Bridges East End Crossing Project, Series B, AMT, 5.00%, 1/01/19

     2,465        2,481,614   

Indiana Municipal Power Agency, Refunding RB, Series A, 5.00%, 1/01/21

     600        690,006   

Indianapolis Airport Authority, Refunding RB, Special Facilities, FedEx Corp. Project, AMT,
5.10%, 1/15/17 (g)

     7,000        7,061,600   

Northern Indiana Commuter Transportation District, RB:

    

5.00%, 1/01/20

     370        411,965   

5.00%, 7/01/20

     620        699,968   
    

 

 

 
               11,345,153   

Iowa — 1.6%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project,
5.00%, 12/01/19

     4,925        5,059,748   

Kansas — 2.0%

    

County of Wyandotte Kansas, Kansas City Unified Government, RB, Kansas International Speedway (NPFGC), 0.00%, 12/01/20 (b)

     4,240        3,608,791   

Kansas Development Finance Authority, Refunding RB, Adventist Health, 5.25%, 11/15/20

     2,500        2,817,625   
    

 

 

 
               6,426,416   

Kentucky — 1.5%

    

County of Louisville & Jefferson Kentucky, Refunding RB, Catholic Health Initiatives, Series A:

    

3.50%, 12/01/20

     2,115        2,259,645   

5.00%, 12/01/20

     1,430        1,611,953   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    31


Schedule of Investments (continued)

  

BlackRock Municipal 2020 Term Trust (BKK)

 

Municipal Bonds   

Par  

(000)

    Value  

Kentucky (continued)

    

Kentucky Public Transportation Infrastructure Authority, RB, CAB, 1st Tier Downtown Crossing Project (b):

    

0.00%, 7/01/19

   $ 255      $ 236,589   

0.00%, 7/01/20

     1,000        899,970   
    

 

 

 
               5,008,157   

Louisiana — 0.1%

    

City of New Orleans Louisiana, Refunding RB,
5.00%, 12/01/20

     400        453,628   

Maryland — 1.8%

    

City of Baltimore Maryland, Refunding, Tax Allocation Bonds:

    

5.00%, 6/15/19

     250        271,365   

5.00%, 6/15/20

     275        305,085   

County of Anne Arundel Maryland Consolidated, Special Taxing District, Refunding, Special Tax Bonds, The Villages of Dorchester and Farmington Village Project:

    

4.00%, 7/01/19

     285        304,092   

5.00%, 7/01/20

     500        560,485   

Maryland EDC, RB, Transportation Facilities Project, Series A, 5.13%, 6/01/20

     1,155        1,249,202   

Maryland EDC, Refunding RB, University of Maryland, College Park Projects (AGM), 4.00%, 6/01/20

     640        703,053   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Charlestown Community, 5.50%, 1/01/21 (g)

     1,335        1,552,231   

University of Maryland, Medical System,
5.00%, 7/01/19

     670        736,424   
    

 

 

 
               5,681,937   

Massachusetts — 0.3%

  

 

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/20

     1,000        1,091,910   

Michigan — 4.4%

  

 

City of Royal Oak Michigan Hospital Finance Authority, Refunding RB, Series D, 2.25%, 9/01/20

     1,500        1,547,025   

Kalamazoo Hospital Finance Authority, Refunding RB, Bronson Methodist Hospital, 5.00%, 5/15/20

     1,335        1,420,934   

Lansing Board of Water & Light Utilities, RB, Series A, 3.50%, 7/01/20

     1,000        1,079,630   

Michigan Finance Authority, Refunding RB, AMT:

    

5.00%, 11/01/19

     1,940        2,104,687   

5.00%, 11/01/20

     1,800        1,987,596   

Saginaw Valley State University, Refunding RB, Series A, 5.00%, 7/01/20

     1,000        1,127,070   

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

    

Series 1-A, 5.00%, 10/15/20

     325        371,598   

Series 2-A, 4.00%, 10/15/20

     1,205        1,326,741   

State of Michigan Trunk Line, Refunding RB:

    

5.00%, 11/01/20

     1,000        1,115,980   

5.00%, 11/01/21

     2,000        2,224,320   
    

 

 

 
               14,305,581   

Mississippi — 0.4%

    

Mississippi Development Bank, Refunding RB, (AGM), 5.00%, 3/01/20

     1,035        1,147,225   

Missouri — 1.3%

    

City of Kansas City Missouri Airport, Refunding RB, Series A, AMT, 5.00%, 9/01/20

     3,000        3,399,240   

County of Saint Louis Missouri IDA, Refunding RB, Nazareth Living Centre, Series B, 3.85%, 8/15/20

     400        400,024   

State of Missouri Health & Educational Facilities Authority, Refunding RB, CoxHealth, Series A, 5.00%, 11/15/20

     500        569,700   
    

 

 

 
               4,368,964   
Municipal Bonds   

Par  

(000)

    Value  

Multi-State — 1.7%

    

Centerline Equity Issuer Trust (a)(h):

    

Series A-4-2, 6.00%, 10/31/52

   $ 2,500      $ 2,743,275   

Series B-3-2, 6.30%, 10/31/52

     2,500        2,761,525   
    

 

 

 
               5,504,800   

Nebraska — 1.2%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.00%, 9/01/20

     3,500        3,877,300   

Nevada — 2.5%

    

County of Clark Nevada, Refunding ARB, Las Vegas McCarran International Airport, Series B:

    

5.00%, 7/01/19

     500        550,405   

5.00%, 7/01/20

     1,000        1,131,660   

County of Clark Nevada, Refunding RB, Alexander Dawson School Nevada Project, 5.00%, 5/15/20

     5,000        5,008,350   

County of Clark Nevada, Refunding, Special Assessment Bonds, Special Improvement District No. 142, 5.00%, 8/01/20

     1,280        1,367,245   
    

 

 

 
               8,057,660   

New Jersey — 9.1%

    

County of Atlantic New Jersey, GO, Refunding, 3.00%, 10/01/20

     2,740        2,888,261   

Garden State Preservation Trust, Refunding RB, Series C (AGM), 5.25%, 11/01/20

     1,500        1,718,835   

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project, 4.88%, 9/15/19

     1,005        1,059,149   

Private Activity Bond, The Goethals Bridge Replacement Project, 5.00%, 7/01/20

     250        278,635   

New Jersey EDA, Refunding RB:

    

(AGC), 5.25%, 12/15/20

     3,150        3,565,453   

Cigarette Tax, 5.00%, 6/15/20

     2,500        2,727,500   

School Facilities, Series GG, 5.00%, 9/01/22

     2,000        2,175,180   

New Jersey Educational Facilities Authority, Refunding RB:

    

Seton Hall University, Series D, 5.00%, 7/01/19

     1,060        1,166,562   

Seton Hall University, Series D, 5.00%, 7/01/20

     650        736,080   

University of Medicine & Dentistry, Series B, 6.25%, 12/01/18 (g)

     2,500        2,773,400   

New Jersey Health Care Facilities Financing Authority, Refunding RB, AtlantiCare Regional Medical Center, 5.00%, 7/01/17 (d)

     2,110        2,167,920   

New Jersey Higher Education Student Assistance Authority, RB,
Series 1A, AMT:

   

5.00%, 12/01/19

     2,565        2,791,515   

5.00%, 12/01/20

     2,900        3,211,402   

New Jersey Transportation Trust Fund Authority, RB, 5.00%, 6/15/20

     2,000        2,188,500   
    

 

 

 
               29,448,392   

New York — 3.6%

  

 

Brooklyn Arena Local Development Corp., Refunding RB, Barclays Center Project, Series A, 5.00%, 7/15/20

     330        370,263   

Build NYC Resource Corp., Refunding RB, AMT, 3.75%, 1/01/20 (a)

     720        745,373   

Chautauqua Tobacco Asset Securitization Corp., Refunding RB:

    

5.00%, 6/01/19

     400        435,968   

5.00%, 6/01/20

     450        501,026   

New York State Energy Research & Development Authority, Refunding RB, 2.00%, 2/01/29 (c)

     3,000        3,047,550   

New York State Thruway Authority, Refunding RB, General, Series I, 5.00%, 1/01/20

     875        980,612   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT, 5.00%, 8/01/20

     3,500        3,835,685   

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC Project,
5.00%, 12/01/20

     1,525        1,718,187   
    

 

 

 
               11,634,664   
 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal 2020 Term Trust (BKK)

 

Municipal Bonds

  

Par  

(000)

    Value  

North Carolina — 2.2%

  

 

North Carolina Eastern Municipal Power Agency, Refunding RB, Series B, 5.00%, 1/01/19 (d)

   $ 1,400      $ 1,518,132   

North Carolina Municipal Power Agency No. 1, Refunding RB, Series B, 5.00%, 1/01/20

     5,000        5,598,500   
    

 

 

 
               7,116,632   

Ohio — 2.4%

  

 

Ohio State Water Development Authority, Refunding RB, Series B, 4.00%, 12/01/33 (c)

     5,300        4,821,834   

State of Ohio, RB, Portsmouth Bypass Project, AMT:

    

5.00%, 6/30/19

     945        1,029,313   

5.00%, 12/31/19

     830        916,237   

5.00%, 6/30/20

     1,000        1,113,050   
    

 

 

 
               7,880,434   

Oklahoma — 0.4%

    

County of Tulsa Oklahoma Industrial Authority, RB, Broken Arrow Public School, 4.00%, 9/01/22

     1,100        1,243,176   

Pennsylvania — 8.8%

    

Chester County Health & Education Facilities Authority, Refunding RB, Simpson Senior Services:

    

4.00%, 12/01/19

     840        873,600   

4.00%, 12/01/20

     870        903,182   

County of Beaver Pennsylvania IDA, Refunding RB, First Energy Nuclear Energy Project, Series B, 3.50%, 12/01/35 (c)

     3,405        2,924,486   

Cumberland County Municipal Authority, Refunding RB, 4.00%, 1/01/20

     1,000        1,077,020   

Lancaster IDA, Refunding RB, Garden Spot Village Project, 5.00%, 5/01/19

     1,300        1,377,974   

Montgomery County IDA, Refunding RB, Series A, 5.00%, 1/15/20

     1,400        1,531,880   

Pennsylvania Economic Development Financing Authority, RB, AMT, 5.00%, 12/31/20

     3,830        4,304,997   

Pennsylvania Economic Development Financing Authority, Refunding RB, Amtrak Project, Series A, AMT, 4.00%, 11/01/20

     2,175        2,340,539   

Pennsylvania Higher Educational Facilities Authority, RB, Shippensburg University Student Services:

    

4.00%, 10/01/19

     1,165        1,222,225   

4.00%, 10/01/20

     1,210        1,281,475   

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Series A:

    

Drexel University, 5.00%, 5/01/20

     1,575        1,768,394   

University Properties, Inc., 4.00%, 7/01/19

     230        242,742   

University Properties, Inc., 4.00%, 7/01/20

     450        480,505   

Widener University, 5.00%, 7/15/20

     600        669,990   

Pennsylvania Housing Finance Agency, Refunding RB, S/F Housing Mortgage, Series 115A, AMT:

    

2.30%, 10/01/19

     460        468,740   

2.55%, 4/01/20

     850        871,598   

2.65%, 10/01/20

     865        892,343   

Pennsylvania IDA, Refunding RB, Economic Development, 5.00%, 7/01/20

     1,500        1,692,900   

Pennsylvania Turnpike Commission, RB, Sub-Series A (AGC), 5.00%, 6/01/19 (d)

     1,000        1,102,430   

State Public School Building Authority, RB, Community College Allegheny County Project (AGM), 5.00%, 7/15/20

     995        1,115,783   

Swarthmore Borough Authority, Refunding RB, Swarthmore College Project, 5.00%, 9/15/20

     350        401,712   

Township of East Hempfield Pennsylvania IDA, RB, Student Services, Inc., Student Housing Project:

    

4.00%, 7/01/19

     360        378,695   

4.00%, 7/01/20

     465        495,165   

Westmoreland County Municipal Authority, Refunding RB, (BAM), 3.00%, 8/15/20

     110        115,992   
    

 

 

 
               28,534,367   
Municipal Bonds   

Par  

(000)

    Value  

Rhode Island — 1.8%

    

Rhode Island Health & Educational Building Corp., Refunding RB, Hospital Financing, LifeSpan Obligation, 5.00%, 5/15/20

   $ 1,500      $ 1,675,890   

Rhode Island Student Loan Authority, RB, Student Loan Program, Senior Series A, AMT, 5.00%, 12/01/20

     3,850        4,274,540   
    

 

 

 
               5,950,430   

South Carolina — 0.7%

    

South Carolina State Ports Authority, RB, 5.00%, 7/01/20

     2,000        2,253,360   

Tennessee — 0.2%

    

Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, Lipscomb Revenue Project, Series A:

    

4.00%, 10/01/19

     240        257,127   

5.00%, 10/01/20

     325        364,744   
    

 

 

 
               621,871   

Texas — 15.5%

    

Central Texas Regional Mobility Authority, Refunding RB:

    

5.75%, 1/01/19 (g)

     605        665,609   

5.00%, 1/01/20

     620        687,258   

Senior Lien, 5.75%, 1/01/19

     195        213,652   

Senior Lien, 5.75%, 1/01/20

     1,140        1,290,024   

Central Texas Turnpike System, RB, CAB (AMBAC) (b):

    

0.00%, 8/15/21 (g)

     1,825        1,701,794   

0.00%, 8/15/24 (g)

     1,295        1,124,695   

Series A, 0.00%, 8/15/21

     6,165        5,657,374   

Series A, 0.00%, 8/15/24

     7,155        5,910,960   

Central Texas Turnpike System, Refunding RB, Series A, 5.00%, 8/15/42 (c)

     1,000        1,119,680   

City of Dallas Texas, Refunding RB, Civic Center Convention Complex (AGC), 5.00%, 8/15/21

     2,500        2,742,475   

City of Houston Texas Airport System, Refunding RB:

    

Subordinate Lien, Series B, 5.00%, 7/01/20

     250        281,958   

United Airlines, Inc. Terminal E Project, AMT, 4.50%, 7/01/20

     5,000        5,384,150   

Love Field Airport Modernization Corp., RB, Southwest Airlines Co., Love Field Modernization Program Project, 5.00%, 11/01/20

     3,715        4,151,252   

Lower Colorado River Authority, Refunding RB, LCRA Transmission Corp. Project, Series B, 5.00%, 5/15/20

     5,000        5,653,250   

New Hope Cultural Education Facilities Corp., RB:

    

4.00%, 4/01/20

     585        619,269   

4.00%, 4/01/20

     180        190,544   

Stephenville LLC Tarleton State University Project, Series A, 4.00%, 4/01/19

     345        362,281   

Stephenville LLC Tarleton State University Project, Series A, 4.00%, 4/01/20

     415        441,850   

North Texas Tollway Authority, Refunding RB, Series C:

    

5.25%, 1/01/20

     1,000        1,085,670   

5.38%, 1/01/21

     5,000        5,467,650   

Texas Municipal Gas Acquisition & Supply Corp. III, RB, Natural Gas Utility Improvements, 5.00%, 12/15/20

     5,000        5,611,650   
    

 

 

 
               50,363,045   

Virginia — 1.5%

    

City of Norfolk Virginia Water Revenue, Refunding RB, 5.00%, 11/01/20

     2,000        2,299,580   

Roanoke EDA, Refunding RB, Carilion Clinic Obligation Group, 5.00%, 7/01/20

     1,500        1,697,490   

Virginia College Building Authority, Refunding RB, Marymount University Project, Series A (a):

    

5.00%, 7/01/19

     425        457,020   

5.00%, 7/01/20

     335        367,364   
    

 

 

 
               4,821,454   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    33


Schedule of Investments (continued)

  

BlackRock Municipal 2020 Term Trust (BKK)

 

Municipal Bonds   

Par  

(000)

    Value  

Washington — 2.5%

    

County of Snohomish Washington Everett School District No. 2, GO, Refunding, 5.00%, 12/01/20

   $ 2,625      $ 3,021,480   

Washington Health Care Facilities Authority, Refunding RB, Providence Health & Services, Series B:

    

5.00%, 10/01/20

     250        285,850   

5.00%, 10/01/42 (c)

     4,000        4,669,400   
    

 

 

 
               7,976,730   

Wisconsin — 0.9%

    

State of Wisconsin, Refunding RB, Series A, 5.25%, 5/01/20

     1,000        1,103,720   

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

Froedtert & Community Health, Inc.,
5.00%, 4/01/20

     1,515        1,660,092   

ThedaCare, Inc., 5.00%, 12/15/20

     250        286,157   
    

 

 

 
               3,049,969   
Total Municipal Bonds — 106.5%              346,179,132   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (i) — 1.6%

              

Illinois — 1.6%

    

City of Chicago Illinois Waterworks Revenue, Refunding RB, 2nd Lien (AGM), 5.00%, 11/01/20

     5,000        5,321,750   

Total Long-Term Investments

(Cost — $332,399,038) — 108.1%

             351,500,882   
Short-Term Securities — 0.2%        
Shares
    Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.44% (j)(k)

     456,459      $ 456,505   

Total Short-Term Securities

(Cost — $ 456,459) — 0.2%

             456,505   
Total Investments (Cost — $ 332,855,497) — 108.3%        351,957,387   
Other Assets Less Liabilities — 2.1%        6,744,930   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (1.2)%

       (3,764,346

AMPS Shares, at Liquidation Value — (9.2)%

       (29,875,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

     $ 325,062,971   
    

 

 

 
 
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)   Zero-coupon bond.

 

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

 

(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)   Issuer filed for bankruptcy and/or is in default.

 

(f)   Non-income producing security.

 

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

 

(h)   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.

 

(i)   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 of municipal bonds transferred to TOB Trusts.

 

(j)   During the period ended October 31, 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 April 30,
2016
   

Net

Activity

    Shares Held
at October 31,
2016
    Value at
October 31,
2016
    Income     Realized
Gain/Capital
Gain
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    5,473,974        (5,017,515     456,459      $ 456,505      $ 9,596      $ 9,713   

 

(k)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Municipal 2020 Term Trust (BKK)

 

 

Fair Value Hierarchy as of Period End

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

The following tables summarize the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments 1

            $ 351,500,882                   $ 351,500,882   

Short-Term Securities

  $ 456,505                               456,505   
 

 

 

 

Total

  $ 456,505         $ 351,500,882                   $ 351,957,387   
 

 

 

 

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

      

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, TOB Trusts of $3,750,000 are categorized as Level 2 within the disclosure hierarchy.

During the six months ended October 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    35


Schedule of Investments October 31, 2016 (Unaudited)

  

BlackRock Municipal Income Trust (BFK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 4.3%

    

County of Jefferson Alabama, RB, Limited Obligation School, Series A, 5.25%, 1/01/19

   $ 2,910      $ 2,926,034   

County of Jefferson Alabama Sewer, Refunding RB:

    

Senior Lien, Series A (AGM), 5.00%, 10/01/44

     1,555        1,772,187   

Senior Lien, Series A (AGM), 5.25%, 10/01/48

     2,275        2,615,659   

Sub-Lien, Series D, 6.00%, 10/01/42

     5,740        6,822,564   

Sub-Lien, Series D, 7.00%, 10/01/51

     1,765        2,213,451   

Lower Alabama Gas District, RB, Series A:

    

5.00%, 9/01/34

     3,530        4,333,922   

5.00%, 9/01/46

     2,825        3,550,573   

State of Alabama Docks Department, Refunding RB, 6.00%, 10/01/40

     4,080        4,765,195   
    

 

 

 
        28,999,585   

Arizona — 3.6%

    

City of Phoenix Arizona IDA, RB, Legacy Traditional Schools Projects, Series A, 5.00%, 7/01/46 (a)

     3,400        3,478,710   

Salt Verde Financial Corp., RB, Senior:

    

5.00%, 12/01/32

     10,030        12,088,557   

5.00%, 12/01/37

     7,460        8,944,242   
    

 

 

 
        24,511,509   

California — 13.8%

    

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge, Series F-1, 5.63%, 4/01/19 (b)

     4,445        4,944,262   

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

     6,230        7,268,728   

California Health Facilities Financing Authority, Refunding RB, St. Joseph Health System, Series A, 5.00%, 7/01/33

     2,465        2,849,367   

California Municipal Finance Authority, RB, Senior, Caritas Affordable Housing, Inc. Projects, S/F Housing, Series A:

    

5.25%, 8/15/39

     290        335,663   

5.25%, 8/15/49

     715        822,221   

California Pollution Control Financing Authority, RB, Poseidon Resources (Channel Side) LP Desalination Project, AMT, 5.00%, 11/21/45 (c)

     2,970        3,270,000   

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A (c):

    

5.00%, 12/01/41

     1,030        1,145,968   

5.00%, 12/01/46

     1,250        1,377,950   

California Statewide Communities Development Authority, Refunding RB, John Muir Health, Series A, 4.00%, 8/15/51

     4,470        4,618,806   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A:

    

Senior, 5.00%, 5/15/40

     11,690        13,150,666   

5.25%, 5/15/39

     1,560        1,716,296   

City of Stockton California Public Financing Authority, RB, Delta Water Supply Project, Series A, 6.25%, 10/01/40

     690        857,484   

County of Riverside Transportation Commission, RB, CAB, Senior Lien, Series B (d):

    

0.00%, 6/01/41

     5,000        1,757,450   

0.00%, 6/01/42

     6,000        1,986,060   

0.00%, 6/01/43

     5,000        1,545,000   
Municipal Bonds    Par  
(000)
    Value  

California (continued)

    

Foothill-De Anza Community College District, GO, Election of 2006, Series C,
5.00%, 8/01/21 (b)

   $ 7,000      $ 8,256,360   

San Marcos Unified School District, GO, CAB, Election of 2010, Series B (d):

    

0.00%, 8/01/34

     3,500        1,893,885   

0.00%, 8/01/36

     4,000        1,961,800   

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     4,970        5,768,729   

6.50%, 4/01/33

     20,410        23,052,075   

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

    

Series I, 5.00%, 11/01/38

     1,495        1,762,022   

Sub-Series I-1, 6.38%, 11/01/19 (b)

     2,315        2,683,826   
    

 

 

 
        93,024,618   

Colorado — 0.7%

    

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

     4,205        4,633,700   

Connecticut — 0.4%

    

Connecticut State Health & Educational Facility Authority, RB, Ascension Health Senior Credit, Series A, 5.00%, 11/15/40

     2,710        2,964,469   

Delaware — 2.4%

    

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

     2,225        2,456,022   

Delaware Transportation Authority, RB, 5.00%, 6/01/55

     2,280        2,585,839   

State of Delaware EDA, RB, Exempt Facilities, Indian River Power LLC Project, 5.38%, 10/01/45

     10,080        10,869,566   
    

 

 

 
        15,911,427   

District of Columbia — 4.4%

    

District of Columbia, Refunding RB, Kipp Charter School, Series A, 6.00%, 7/01/43

     1,480        1,762,162   

District of Columbia Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, 6.75%, 5/15/40

     23,035        23,834,084   

Metropolitan Washington Airports Authority, Refunding RB, Dulles Toll Road, 1st Senior Lien, Series A:

    

5.00%, 10/01/39

     990        1,083,456   

5.25%, 10/01/44

     2,465        2,706,841   
    

 

 

 
        29,386,543   

Florida — 2.7%

    

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 5/01/45

     2,620        2,970,635   

County of Miami-Dade Florida Aviation, Refunding ARB, Miami International Airport, Series A-1, 5.38%, 10/01/41

     2,280        2,573,732   

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center:

    

5.00%, 6/01/32

     600        647,280   

5.00%, 6/01/36

     125        134,298   

5.13%, 6/01/42

     1,925        2,074,091   

Mid-Bay Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21 (b)

     5,885        7,548,984   

Stevens Plantation Community Development District, Special Assessment, Series A, 7.10%, 5/01/35 (e)(f)

     3,395        2,374,972   
    

 

 

 
        18,323,992   
 

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust (BFK)

 

Municipal Bonds    Par  
(000)
    Value  

Georgia — 2.0%

    

City of Atlanta Georgia Water & Wastewater, Refunding RB, 5.00%, 11/01/40

   $ 4,370      $ 5,103,548   

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     1,010        1,214,505   

DeKalb Private Hospital Authority, Refunding RB, Children’s Healthcare, 5.25%, 11/15/39

     1,650        1,823,794   

Metropolitan Atlanta Rapid Transit Authority, RB, Sales Tax, 3rd Indenture, Series A, 5.00%, 7/01/39

     5,000        5,484,650   
    

 

 

 
        13,626,497   

Hawaii — 0.4%

    

State of Hawaii Harbor System, RB, Series A, 5.25%, 7/01/30

     2,660        2,977,631   

Illinois — 17.4%

    

City of Chicago Illinois, GO, Project, 5.00%, 1/01/34

     3,560        3,614,788   

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

    

Project, 5.25%, 1/01/32

     6,155        6,407,971   

5.00%, 1/01/34

     2,500        2,543,500   

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien, Series C, 6.50%, 1/01/41

     11,385        13,619,534   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

     2,055        2,268,391   

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien Project, 5.00%, 11/01/42

     7,625        8,342,741   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.50%, 12/01/38

     2,025        2,293,353   

Illinois Finance Authority, RB, Advocate Health Care Network:

    

5.38%, 4/01/19 (b)

     5,010        5,532,643   

5.38%, 4/01/44

     5,620        6,063,811   

Illinois Finance Authority, Refunding RB:

    

Ascension Health, Series A, 5.00%, 11/15/37

     1,895        2,138,072   

Central Dupage Health, Series B, 5.50%, 11/01/39

     3,160        3,565,207   

Presence Health Network, Series C, 4.00%, 2/15/41

     2,805        2,678,775   

Illinois State Toll Highway Authority, RB:

    

Senior, Series C, 5.00%, 1/01/36

     5,095        5,867,861   

Senior, Series C, 5.00%, 1/01/37

     5,455        6,278,214   

Series A, 5.00%, 1/01/38

     3,875        4,422,925   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project:

    

Series B (AGM), 5.00%, 6/15/50

     14,710        15,665,268   

Series B-2, 5.00%, 6/15/50

     3,905        4,080,842   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     885        1,025,998   

6.00%, 6/01/28

     2,245        2,636,191   

State of Illinois, GO:

    

5.00%, 2/01/39

     2,990        3,094,501   

Series A, 5.00%, 4/01/38

     9,030        9,324,649   

State of Illinois, RB, Build Illinois, Series B, 5.25%, 6/15/19 (b)

     1,240        1,375,792   

University of Illinois, RB, Auxiliary Facilities System, Series A:

    

5.00%, 4/01/39

     1,565        1,746,352   

5.00%, 4/01/44

     1,910        2,123,347   
    

 

 

 
        116,710,726   
Municipal Bonds    Par  
(000)
    Value  

Indiana — 3.8%

    

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT:

    

6.75%, 1/01/34

   $ 1,525      $ 1,872,471   

7.00%, 1/01/44

     3,680        4,563,715   

Indiana Finance Authority, RB, Series A:

    

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

     6,305        7,343,434   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

     880        967,727   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/48

     2,905        3,176,414   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 1/01/51

     790        874,499   

Sisters of St. Francis Health Services, 5.25%, 11/01/39

     1,655        1,823,578   

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (b)

     2,150        2,380,308   

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

     2,490        2,867,310   
    

 

 

 
        25,869,456   

Iowa — 1.7%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.00%, 12/01/19

     1,740        1,787,607   

5.50%, 12/01/22

     4,595        4,658,227   

5.25%, 12/01/25

     2,125        2,216,354   

Iowa Student Loan Liquidity Corp., Refunding RB, Student Loan, Senior Series A-1, AMT, 5.15%, 12/01/22

     2,370        2,516,442   
    

 

 

 
        11,178,630   

Kentucky — 0.6%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     1,915        2,134,172   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (g)

     2,325        1,979,342   
    

 

 

 
        4,113,514   

Louisiana — 3.3%

    

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

     6,535        7,561,910   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.50%, 5/15/30

     1,980        2,234,212   

5.25%, 5/15/31

     1,690        1,891,769   

5.25%, 5/15/32

     2,160        2,454,667   

5.25%, 5/15/33

     2,345        2,646,825   

5.25%, 5/15/35

     4,985        5,618,045   
    

 

 

 
        22,407,428   

Maryland — 1.1%

    

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

     855        941,629   

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc., 5.75%, 9/01/25

     1,440        1,461,153   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    37


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust (BFK)

 

Municipal Bonds    Par  
(000)
    Value  

Maryland (continued)

    

Maryland Health & Higher Educational Facilities Authority, Refunding RB, Charlestown Community Project, 6.25%, 1/01/21 (b)

   $ 4,295      $ 4,959,694   
    

 

 

 
        7,362,476   

Massachusetts — 1.6%

    

Commonwealth of Massachusetts, GO, Series E, 3.00%, 4/01/44

     5,645        5,276,890   

Massachusetts Development Finance Agency, Refunding RB, Covanta Energy Project, Series C, AMT, 5.25%, 11/01/42 (c)

     2,775        2,808,272   

Massachusetts Health & Educational Facilities Authority, Refunding RB, Partners Healthcare System, Series J1, 5.00%, 7/01/39

     2,535        2,775,825   
    

 

 

 
        10,860,987   

Michigan — 3.7%

    

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

     8,665        9,678,458   

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

     2,870        3,358,646   

Kalamazoo Hospital Finance Authority, Refunding RB, Bronson Methodist Hospital, 5.50%, 5/15/36

     2,700        3,003,669   

Michigan Finance Authority, Refunding RB:

    

Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 7/01/44

     1,710        1,878,521   

Henry Ford Health System, 4.00%, 11/15/46

     2,875        2,896,275   

Michigan State Hospital Finance Authority, Refunding RB, Henry Ford Health System, Series A, 5.25%, 11/15/46

     4,230        4,237,360   
    

 

 

 
        25,052,929   

Minnesota — 0.1%

    

Minnesota Higher Education Facilities Authority, Refunding RB, St.Olaf College, 4.00%, 10/01/34

     800        879,696   

Missouri — 0.5%

    

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

     495        566,171   

State of Missouri Health & Educational Facilities Authority, RB, Senior Living Facilities, Lutheran Senior Services, 5.50%, 2/01/42

     2,035        2,188,703   

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

     480        534,202   
    

 

 

 
        3,289,076   

Nebraska — 1.4%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

    

5.25%, 9/01/37

     1,610        1,832,937   

5.00%, 9/01/42

     2,815        3,149,281   

County of Douglas Nebraska Hospital Authority No. 2, Refunding RB, Health Facilities, Immanuel Obligation Group, 5.63%, 1/01/40

     3,280        3,569,165   

County of Lancaster Nebraska Hospital Authority No. 1, Refunding RB, Immanuel Obligation Group, Health Facilities, 5.63%, 1/01/40

     600        665,424   
    

 

 

 
        9,216,807   
Municipal Bonds    Par  
(000)
    Value  

Nevada — 0.7%

    

County of Clark Nevada, Refunding RB, Alexander Dawson School Nevada Project, 5.00%, 5/15/29

   $ 4,550      $ 4,557,598   

New Jersey — 9.3%

    

Casino Reinvestment Development Authority, Refunding RB:

    

5.25%, 11/01/39

     3,280        3,379,286   

5.25%, 11/01/44

     2,980        3,058,255   

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

     2,115        2,184,901   

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

     3,680        144,808   

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project, 4.88%, 9/15/19

     1,215        1,280,464   

Continental Airlines, Inc. Project, 5.25%, 9/15/29

     3,830        4,258,347   

Continental Airlines, Inc. Project, Series B, 5.63%, 11/15/30

     2,035        2,330,889   

Private Activity Bond, Goethals Bridge Replacement Project, 5.38%, 1/01/43

     2,285        2,596,240   

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

     8,000        9,748,480   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/43

     8,150        9,284,724   

Series E, 5.00%, 1/01/45

     5,095        5,879,885   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.00%, 6/15/44

     3,765        4,058,821   

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

     8,000        8,816,960   

Transportation System, Series B, 5.25%, 6/15/36

     4,810        5,271,519   
    

 

 

 
        62,293,579   

New York — 9.0%

    

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     4,805        5,530,219   

Counties of New York Tobacco Trust II, RB, Settlement Pass-Through, 5.75%, 6/01/43

     840        843,940   

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (c)

     3,600        3,778,020   

County of Westchester New York Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44

     1,749        1,953,124   

Metropolitan Transportation Authority, RB, Series B:

    

5.25%, 11/15/38

     4,640        5,539,882   

5.25%, 11/15/39

     1,650        1,972,509   

MTA Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

     2,120        2,395,452   

New York Liberty Development Corp., Refunding RB:

    

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

     2,400        2,680,728   

3 World Trade Center Project, Class 1, 5.00%, 11/15/44 (c)

     7,830        8,807,810   

3 World Trade Center Project, Class 2, 5.15%, 11/15/34 (c)

     660        750,328   

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

     1,655        1,911,773   
 

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust (BFK)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

    

New York State Dormitory Authority, Refunding RB, Series D, 5.00%, 2/15/37

   $ 6,655      $ 7,724,592   

New York Transportation Development Corp., RB, Laguardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.00%, 7/01/41

     1,165        1,272,145   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     1,725        1,884,907   

5.00%, 8/01/31

     1,940        2,070,872   

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

     1,575        1,599,286   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8:

    

6.00%, 12/01/36

     2,525        2,932,863   

6.00%, 12/01/42

     1,960        2,270,503   

Westchester Tobacco Asset Securitization, Refunding RB, 5.13%, 6/01/45

     4,600        4,600,000   
    

 

 

 
        60,518,953   

North Carolina — 2.3%

    

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 4/01/19 (b)

     10,000        10,960,200   

North Carolina Medical Care Commission, RB, Health Care Facilities, Duke University Health System, Series A, 5.00%, 6/01/19 (b)

     2,750        3,027,832   

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/41

     1,130        1,287,093   
    

 

 

 
        15,275,125   

Ohio — 4.3%

    

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 5.88%, 6/01/47

     9,530        8,958,486   

County of Allen Ohio Hospital Facilities, Refunding RB, Series A:

    

Catholic Healthcare Partners, 5.25%, 6/01/38

     6,125        6,778,599   

Mercy Health, 4.00%, 11/01/44

     4,090        4,234,500   

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     1,280        1,456,217   

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.00%, 5/01/39

     5,450        5,780,924   

State of Ohio, RB, Portsmouth Bypass Project, AMT, 5.00%, 6/30/53

     1,585        1,736,510   
    

 

 

 
        28,945,236   

Pennsylvania — 1.5%

    

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 7/01/42

     1,240        1,369,692   

Pennsylvania Economic Development Financing Authority, RB:

    

Aqua Pennsylvania, Inc. Project, Series B, 5.00%, 11/15/40

     3,725        4,092,210   

Pennsylvania Bridge Finco LP, AMT, 5.00%, 6/30/42

     1,660        1,836,807   

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

     2,155        2,475,621   
    

 

 

 
        9,774,330   
Municipal Bonds    Par  
(000)
    Value  

Rhode Island — 2.2%

    

Tobacco Settlement Financing Corp., Refunding RB:

    

Series A, 5.00%, 6/01/35

   $ 1,610      $ 1,744,193   

Series A, 5.00%, 6/01/40

     1,450        1,562,071   

Series B, 4.50%, 6/01/45

     5,175        5,361,248   

Series B, 5.00%, 6/01/50

     5,765        5,984,762   
    

 

 

 
        14,652,274   

South Carolina — 4.7%

    

State of South Carolina Ports Authority, RB:

    

5.25%, 7/01/40

     6,455        7,199,068   

AMT, 5.25%, 7/01/55

     2,525        2,852,139   

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

     12,065        14,213,294   

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

     6,140        7,236,481   
    

 

 

 
        31,500,982   

Tennessee — 0.7%

    

City of Chattanooga Tennessee Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     2,660        2,964,437   

Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/46

     1,350        1,557,900   
    

 

 

 
        4,522,337   

Texas — 12.1%

    

Central Texas Regional Mobility Authority, Refunding RB:

    

Senior Lien, 6.25%, 1/01/21 (b)

     4,210        5,061,936   

Sub-Lien, 5.00%, 1/01/33

     700        776,174   

Central Texas Turnpike System, Refunding RB, Series C, 5.00%, 8/15/42

     1,150        1,301,823   

City of Austin Texas Airport System, ARB, Revenue, AMT, 5.00%, 11/15/39

     385        434,938   

City of Dallas Texas Waterworks & Sewer System Revenue, Refunding RB:

    

5.00%, 10/01/20 (b)

     1,375        1,579,710   

5.00%, 10/01/35

     1,595        1,814,871   

City of Houston Texas Airport System, Refunding ARB, Senior Lien, Series A, 5.50%, 7/01/39

     3,000        3,214,770   

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

    

6.00%, 5/15/19(b)

     15,560        17,517,137   

6.00%, 11/15/35

     865        975,028   

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B:

    

7.00%, 1/01/43

     380        498,777   

7.00%, 1/01/48

     500        656,285   

County of Harris Texas-Houston Sports Authority, Refunding RB (NPFGC) (d):

    

3rd Lien, Series A-3, 0.00%, 11/15/37

     26,120        8,891,509   

CAB, Junior Lien, Series H, 0.00%, 11/15/35

     5,000        2,177,050   

CAB, Senior Lien, Series A, 0.00%, 11/15/38

     12,580        4,846,571   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A (d):

    

0.00%, 9/15/40

     9,780        3,653,123   

0.00%, 9/15/41

     5,420        1,919,493   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    39


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust (BFK)

 

Municipal Bonds    Par  
(000)
    Value  

Texas (continued)

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare, 6.00%, 8/15/20 (b)

   $ 7,345      $ 8,671,654   

Fort Bend County Industrial Development Corp., RB, NRG Energy Project, Series B, 4.75%, 11/01/42

     470        499,088   

New Hope Cultural Education Facilities Corp., RB, Collegiate Housing Tarleton State University Project, 5.00%, 4/01/35

     355        386,229   

Texas Municipal Gas Acquisition & Supply Corp. III, RB, 5.00%, 12/15/32

     2,835        3,159,948   

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien:

    

LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     6,000        7,078,620   

NTE Mobility Partners LLC, North Tarrant Express Managed Lanes Project, 6.88%, 12/31/39

     5,100        5,925,588   
    

 

 

 
        81,040,322   

Utah — 0.3%

    

Utah State Charter School Finance Authority, RB, Ogden Preparatory Academy, Series A, 3.25%, 10/15/42

     1,880        1,796,660   

Virginia — 1.3%

    

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

    

5.25%, 1/01/32

     3,155        3,544,990   

6.00%, 1/01/37

     4,615        5,372,644   
    

 

 

 
        8,917,634   

Washington — 1.0%

    

Port of Seattle Washington, RB, Series C, AMT, 5.00%, 4/01/40

     1,475        1,673,682   

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     4,420        5,186,384   
    

 

 

 
        6,860,066   

Wisconsin — 0.8%

    

State of Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Senior Credit Group, Series E, 5.00%, 11/15/33

     1,640        1,818,219   

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     3,545        3,730,191   
    

 

 

 
        5,548,410   
Total Municipal Bonds — 120.1%        807,505,202   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (h)

              

Alabama — 1.2%

    

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     3,320        3,577,466   

City of Birmingham Alabama Special Care Facilities Financing Authority, Refunding RB, Ascension Health, Senior Credit, Series C-2, 5.00%, 11/15/16 (b)

     4,548        4,555,622   
    

 

 

 
        8,133,088   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
   Par  
(000)
    Value  

California — 5.1%

    

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%, 10/01/18 (b)(i)

   $ 5,115      $ 5,543,995   

City & County of San Francisco California Public Utilities Commission, RB, Water Revenue, Series B, 5.00%, 11/01/19 (b)

     18,540        20,735,877   

Los Angeles Community College District California, GO, Election of 2001, Series A (AGM), 5.00%, 8/01/17 (b)

     4,500        4,645,845   

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (b)

     3,260        3,640,222   
    

 

 

 
        34,565,939   

Colorado — 2.0%

    

Colorado Health Facilities Authority, RB, Catholic Health (AGM) (b):

    

Series C-3, 5.10%, 4/29/18

     7,600        8,081,080   

Series C-7, 5.00%, 5/01/18

     4,860        5,161,514   
    

 

 

 
        13,242,594   

Connecticut — 2.9%

    

Connecticut State Health & Educational Facility Authority, RB, Yale University:

    

Series T-1, 4.70%, 7/01/29

     9,397        9,636,062   

Series X-3, 4.85%, 7/01/37

     9,366        9,608,337   
    

 

 

 
        19,244,399   

Florida — 1.1%

    

County of Miami-Dade Florida, RB, Water & Sewer System, 5.00%, 10/01/34

     6,629        7,480,583   

Illinois — 4.6%

    

County of Will Illinois, 5.00%, 11/15/45

     27,000        31,085,640   

Massachusetts — 0.8%

    

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

     4,427        5,147,269   

Nebraska — 1.3%

    

County of Sarpy Hospital Authority No. 1, Refunding RB, Nebraska Medicine, 4.00%, 5/15/51

     8,432        8,736,419   

New Hampshire — 0.7%

    

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (b)(i)

     3,989        4,420,752   

New York — 12.2%

    

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

    

Series FF-2, 5.50%, 6/15/40 (h)

     3,075        3,418,970   

Series HH, 5.00%, 6/15/31 (i)

     16,395        19,125,095   

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

     3,130        3,656,738   

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56 (h)

     8,799        10,579,494   

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

     20,864        24,348,940   

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

     12,611        14,793,920   

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

     5,070        6,069,551   
    

 

 

 
        81,992,708   
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust (BFK)

 

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

North Carolina — 0.9%

    

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55

   $ 4,960      $ 5,815,650   

Texas — 4.2%

    

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

     4,900        5,662,832   

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

     6,650        7,661,997   

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

     6,003        7,068,578   

University of Texas, Permanent University Fund, Refunding RB, Series B, 4.00%, 7/01/41

     7,400        8,042,616   
    

 

 

 
        28,436,023   

Utah — 1.1%

    

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

     7,153        7,730,112   

Virginia — 1.7%

    

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

     10,767        11,449,027   

Washington — 3.2%

    

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/17 (b)

     5,459        5,692,207   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
   Par  
(000)
    Value  

Washington (continued)

    

State of Washington, GO, Various Purposes, Series E, 5.00%, 2/01/19 (b)

   $ 14,487      $ 15,784,826   
    

 

 

 
               21,477,033   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 43.0%
        288,957,236   

Total Long-Term Investments

(Cost — $1,006,036,416) — 163.1%

  

  

    1,096,462,438   
    
   
Short-Term Securities — 1.1%    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.44% (j)(k)

     7,326,387        7,327,120   

Total Short-Term Securities

(Cost — $7,326,751) — 1.1%

             7,327,120   
Total Investments (Cost — $1,013,363,167) — 164.2%        1,103,789,558   
Other Assets Less Liabilities — 1.3%        8,465,555   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (25.2)%

   

    (169,370,339

VMTP Shares, at Liquidation Value — (40.3)%

  

    (270,800,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

  

  $ 672,084,774   
    

 

 

 
 
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)   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)   Zero-coupon bond.

 

(e)   Non-income producing security.

 

(f)   Issuer filed for bankruptcy and/or is in default.

 

(g)   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.

 

(h)   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 of municipal bonds transferred to TOB Trusts.

 

(i)   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 June 1, 2017 to November 15, 2019, is $25,986,986. See Note 4 of the Notes to Financial Statements for details.

 

(j)   During the period ended October 31, 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 April 30,
2016
       Net
Activity
       Shares Held
at October 31,
2016
       Value at
October 31,
2016
       Income        Realized Gain/
Capital Gain
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

       14,214,479           (6,888,092        7,326,387         $ 7,327,120         $ 15,853         $ 2,188   

 

(k)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    41


Schedule of Investments (continued)

  

BlackRock Municipal Income Trust (BFK)

 

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue     Expiration     Notional
Value
    Unrealized
Appreciation
        
  (11     5-Year U.S. Treasury Note        December 2016        $  1,328,766      $ 9,957     
  (79     10-Year U.S. Treasury Note        December 2016        $10,240,375        145,058     
  (84     Long U.S. Treasury Bond        December 2016        $13,668,375        515,965     
  (25     Ultra U.S. Treasury Bond        December 2016        $  4,398,437        228,576           
  Total            $ 899,556     
       

 

 

 

 

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  

Futures contracts

  Net Unrealized Appreciation1                                    $ 899,556               $ 899,556   

1   Includes cumulative appreciation (depreciation) on 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 October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                   $ 879,222               $ 879,222   
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Futures contracts

                                   $ 583,246               $ 583,246   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts:     

Average notional value of contracts — short

     $ 30,225,539   

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

            $ 1,096,462,438                   $ 1,096,462,438   

Short-Term Securities

  $ 7,327,120                               7,327,120   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 7,327,120         $ 1,096,462,438                   $ 1,103,789,558   
 

 

 

      

 

 

      

 

 

      

 

 

 
                                          
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 899,556                             $ 899,556   

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

       

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

       

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Municipal Income Trust (BFK)

 

 

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

  $ 2,565                             $ 2,565   

Cash pledged for futures contracts

    545,800                               545,800   

Liabilities:

                

TOB Trust Certificates

            $ (169,066,842                  (169,066,842

VMTP Shares at Liquidation Value

              (270,800,000                  (270,800,000
 

 

 

 

Total

  $ 548,365         $ (439,866,842                $ (439,318,477
 

 

 

 

During the six months ended October 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    43


Schedule of Investments October 31, 2016 (Unaudited)

  

BlackRock Strategic Municipal Trust (BSD)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 2.4%

    

County of Jefferson Alabama, RB, Limited Obligation School, Series A, 5.25%, 1/01/19

   $ 465      $ 467,562   

County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Series D, 7.00%, 10/01/51

     1,115        1,398,299   

State of Alabama Docks Department, Refunding RB, 6.00%, 10/01/40

     655        765,001   
    

 

 

 
               2,630,862   

Alaska — 0.9%

    

Northern Tobacco Securitization Corp., Refunding RB, Tobacco Settlement, Asset-Backed, Series A:

    

4.63%, 6/01/23

     435        441,825   

5.00%, 6/01/46

     530        500,325   
    

 

 

 
               942,150   

Arizona — 1.6%

    

County of Maricopa Arizona IDA, Refunding RB, Banner Health, Series A, 4.00%, 1/01/36 (a)

     540        569,905   

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

     1,000        1,198,960   
    

 

 

 
               1,768,865   

California — 10.2%

    

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge, Series F-1, 5.63%, 4/01/19 (b)

     720        800,870   

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

     1,010        1,178,397   

California Health Facilities Financing Authority, Refunding RB, St. Joseph Health System, Series A, 5.00%, 7/01/33

     400        462,372   

California Municipal Finance Authority, RB, Senior, Caritas Affordable Housing, Inc. Projects, S/F Housing, Series A:

    

5.25%, 8/15/39

     45        52,086   

5.25%, 8/15/49

     115        132,245   

California Pollution Control Financing Authority, RB, Poseidon Resources (Channel Side) LP Desalination Project, AMT, 5.00%, 11/21/45 (c)

     475        522,980   

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (c)

     370        412,776   

California Statewide Communities Development Authority, Refunding RB, John Muir Health, Series A, 4.00%, 8/15/51

     1,000        1,033,290   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A:

    

Senior, 5.00%, 5/15/40

     1,875        2,109,281   

5.25%, 5/15/39

     250        275,048   

City of Stockton California Public Financing Authority, RB, Delta Water Supply Project, Series A, 6.25%, 10/01/38

     110        136,700   

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     800        928,568   

6.50%, 4/01/33

     650        734,143   

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

    

Series I, 5.00%, 11/01/38

     240        282,866   

Sub-Series I-1, 6.38%, 11/01/19 (b)

     375        434,745   

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

     915        1,100,782   

Tobacco Securitization Authority of Southern California, Refunding RB, Tobacco Settlement, Asset-Backed, Senior Series A-1:

    

5.00%, 6/01/37

     330        326,099   

5.13%, 6/01/46

     200        194,850   
    

 

 

 
               11,118,098   
Municipal Bonds   

Par  

(000)

    Value  

Colorado — 1.3%

    

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

   $ 680      $ 749,326   

County of Adams Colorado, COP, Refunding, 4.00%, 12/01/40

     260        280,319   

Regional Transportation District, COP, Refunding, Series A, 5.38%, 6/01/31

     320        360,224   
    

 

 

 
               1,389,869   

Delaware — 2.4%

    

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

     820        905,141   

Delaware Transportation Authority, RB, 5.00%, 6/01/55

     365        413,961   

State of Delaware EDA, RB, Exempt Facilities, Indian River Power LLC Project, 5.38%, 10/01/45

     1,210        1,304,779   
    

 

 

 
               2,623,881   

District of Columbia — 1.9%

    

District of Columbia, Tax Allocation Bonds, City Market at O Street Project, 5.13%, 6/01/41

     690        780,852   

Metropolitan Washington Airports Authority, Refunding RB, Dulles Toll Road, 1st Senior Lien, Series A:

    

5.00%, 10/01/39

     160        175,104   

5.25%, 10/01/44

     1,000        1,098,110   
    

 

 

 
               2,054,066   

Florida — 2.3%

    

County of Collier Florida Health Facilities Authority, Refunding RB, Series A, 5.00%, 5/01/45

     420        476,209   

Mid-Bay Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21 (b)

     950        1,218,612   

Village Community Development District No.10, Special Assessment Bonds, 5.13%, 5/01/43

     740        819,735   
    

 

 

 
               2,514,556   

Georgia — 2.4%

    

County of Clarke Hospital Authority, Refunding RB, Piedmont Healthcare, Inc. Project, Series A, 3.50%, 7/01/36

     345        337,310   

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     160        192,397   

DeKalb Private Hospital Authority, Refunding RB, Children’s Healthcare, 5.25%, 11/15/39

     265        292,913   

Metropolitan Atlanta Rapid Transit Authority, RB, Sales Tax, 3rd Indenture, Series A, 5.00%, 7/01/39

     1,095        1,201,138   

Richmond County Hospital Authority, Refunding RB, 4.00%, 1/01/36

     500        534,305   
    

 

 

 
               2,558,063   

Hawaii — 0.4%

    

State of Hawaii Harbor System, RB, Series A, 5.25%, 7/01/30

     425        475,749   

Illinois — 19.9%

    

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien, Series A, 5.75%, 1/01/39

     1,500        1,730,250   

City of Chicago Illinois, GO, Project, Series A, 5.00%, 1/01/34

     570        578,772   

City of Chicago Illinois, GO, Refunding, Project, Series A, 5.25%, 1/01/32

     1,000        1,041,100   

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien, Series C, 6.50%, 1/01/41 (b)

     1,855        2,219,081   

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien, Series A, 5.63%, 1/01/35

     800        918,816   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

     330        364,267   
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

    

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien Project, 5.00%, 11/01/42

   $ 1,040      $ 1,137,895   

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.50%, 12/01/38

     245        277,468   

Illinois Finance Authority, Refunding RB:

    

Ascension Health, Series A, 5.00%, 11/15/37

     305        344,122   

Central Dupage Health, Series B, 5.50%, 11/01/39

     2,500        2,820,575   

Illinois State Toll Highway Authority, RB:

    

Senior, Series C, 5.00%, 1/01/36

     815        938,627   

Senior, Series C, 5.00%, 1/01/37

     500        575,455   

Series A, 5.00%, 1/01/38

     730        833,222   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project:

    

CAB, Series B (AGM), 0.00%, 6/15/44 (d)

     2,980        862,353   

Series B (AGM), 5.00%, 6/15/50

     1,280        1,363,123   

Series B-2, 5.00%, 6/15/50

     785        820,349   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     175        202,881   

6.00%, 6/01/28

     940        1,103,795   

State of Illinois, GO:

    

5.00%, 2/01/39

     480        496,776   

Series A, 5.00%, 4/01/35

     1,000        1,037,720   

Series A, 5.00%, 4/01/38

     1,135        1,172,035   

State of Illinois, RB, Build Illinois, Series B, 5.25%, 6/15/19 (b)

     200        221,902   

University of Illinois, RB, Auxiliary Facilities System, Series A:

    

5.00%, 4/01/39

     250        278,970   

5.00%, 4/01/44

     310        344,627   
    

 

 

 
               21,684,181   

Indiana — 4.4%

    

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT:

    

6.75%, 1/01/34

     245        300,823   

7.00%, 1/01/44

     1,090        1,351,753   

Indiana Finance Authority, RB, Series A:

    

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

     1,020        1,187,994   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

     140        153,957   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/48

     465        508,445   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 1/01/51

     125        138,370   

Sisters of St. Francis Health Services, 5.25%, 11/01/39

     270        297,502   

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (b)

     350        387,492   

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

     400        460,612   
    

 

 

 
               4,786,948   

Iowa — 2.5%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.00%, 12/01/19

     280        287,661   

5.50%, 12/01/22

     730        740,045   

5.25%, 12/01/25

     145        151,233   

Iowa Student Loan Liquidity Corp., Refunding RB, Student Loan, Senior Series A-1, AMT, 5.15%, 12/01/22

     380        403,480   

Iowa Tobacco Settlement Authority, Refunding RB, Asset-Backed, Series C, 5.63%, 6/01/46

     1,145        1,124,699   
    

 

 

 
               2,707,118   
Municipal Bonds   

Par  

(000)

    Value  

Kentucky — 4.3%

    

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

   $ 310      $ 345,479   

Kentucky Economic Development Finance Authority, Refunding RB, Norton Healthcare, Inc., Series B (NPFGC), 0.00%, 10/01/24 (d)

     5,000        4,017,550   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (e)

     375        319,249   
    

 

 

 
               4,682,278   

Louisiana — 2.7%

    

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

     1,055        1,220,783   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.50%, 5/15/30

     320        361,085   

5.25%, 5/15/31

     270        302,235   

5.25%, 5/15/32

     345        392,065   

5.25%, 5/15/33

     375        423,266   

5.25%, 5/15/35

     160        180,318   
    

 

 

 
               2,879,752   

Maryland — 1.5%

    

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

     135        148,678   

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc., 5.75%, 9/01/25

     645        654,475   

Maryland Health & Higher Educational Facilities Authority, Refunding RB, Charlestown Community Project, 6.25%, 1/01/21 (b)

     690        796,785   
    

 

 

 
               1,599,938   

Massachusetts — 1.9%

    

Commonwealth of Massachusetts, GO, Series E, 4.00%, 4/01/42

     1,560        1,665,659   

Massachusetts Development Finance Agency, Refunding RB, Covanta Energy Project, Series C, AMT, 5.25%, 11/01/42 (c)

     445        450,335   
    

 

 

 
               2,115,994   

Michigan — 4.8%

    

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

     1,925        2,150,148   

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

     465        544,171   

Kalamazoo Hospital Finance Authority, Refunding RB, Bronson Methodist Hospital, 5.50%, 5/15/36

     435        483,925   

Michigan Finance Authority, Refunding RB:

    

Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 7/01/44

     275        302,101   

Henry Ford Health System, 4.00%, 11/15/46

     115        115,851   

Michigan State Hospital Finance Authority, Refunding RB, Henry Ford Health System, Series A, 5.25%, 11/15/46

     500        500,870   

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

     1,000        1,133,980   
    

 

 

 
               5,231,046   

Missouri — 0.5%

    

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

     80        91,502   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    45


Schedule of Investments (continued)

  

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds   

Par  

(000)

    Value  

Missouri (continued)

    

State of Missouri Health & Educational Facilities Authority, RB, Senior Living Facilities, Lutheran Senior Services, 5.50%, 2/01/42

   $ 330      $ 354,925   

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

     80        89,034   
    

 

 

 
               535,461   

Nebraska — 1.5%

    

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

    

5.25%, 9/01/37

     260        296,002   

5.00%, 9/01/42

     455        509,032   

County of Douglas Nebraska Hospital Authority No. 2, Refunding RB, Health Facilities, Immanuel Obligation Group, 5.63%, 1/01/40

     720        783,475   
    

 

 

 
               1,588,509   

Nevada — 0.8%

    

County of Clark Nevada, Refunding RB, Alexander Dawson School Nevada Project, 5.00%, 5/15/29

     880        881,470   

New Jersey — 9.2%

    

Casino Reinvestment Development Authority, Refunding RB:

    

5.25%, 11/01/39

     320        329,686   

5.25%, 11/01/44

     585        600,362   

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

     340        351,237   

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

     645        25,381   

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project, 5.13%, 9/15/23

     1,090        1,212,701   

Continental Airlines, Inc. Project, 5.25%, 9/15/29

     145        161,217   

Private Activity Bond, Goethals Bridge Replacement Project, 5.38%, 1/01/43

     500        568,105   

New Jersey EDA, Refunding, Special Assessment Bonds, Kapkowski Road Landfill Project, 5.75%, 4/01/31

     705        818,428   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/43

     1,625        1,851,249   

Series E, 5.25%, 1/01/40

     1,355        1,458,969   

Series E, 5.00%, 1/01/45

     280        323,134   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.00%, 6/15/44

     585        630,654   

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

     575        633,719   

Transportation System, Series B, 5.25%, 6/15/36

     775        849,361   

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

     165        191,215   
    

 

 

 
               10,005,418   

New York — 8.3%

    

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     770        886,216   

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (c)

     600        629,670   

County of Westchester New York Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44

     286        319,209   

Metropolitan Transportation Authority, RB, Series B, 5.25%, 11/15/38

     750        895,455   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

    

New York Liberty Development Corp., Refunding RB:

    

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

   $ 385      $ 430,033   

3 World Trade Center Project, Class 1, 5.00%, 11/15/44 (c)

     1,365        1,535,461   

3 World Trade Center Project, Class 2, 5.15%, 11/15/34 (c)

     105        119,370   

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

     265        306,115   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     715        781,281   

5.00%, 8/01/31

     800        853,968   

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

     330        335,089   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8:

    

6.00%, 12/01/36

     410        476,227   

6.00%, 12/01/42

     395        457,576   

Westchester Tobacco Asset Securitization, Refunding RB, 5.13%, 6/01/45

     1,000        1,000,000   
    

 

 

 
               9,025,670   

North Carolina — 0.6%

    

North Carolina Medical Care Commission, RB, Health Care Facilities, Duke University Health System, Series A, 5.00%, 6/01/19 (b)

     440        484,453   

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/41

     185        210,719   
    

 

 

 
               695,172   

Ohio — 1.7%

    

County of Allen Ohio Hospital Facilities, Refunding RB, Mercy Health, Series A, 4.00%, 11/01/44

     655        678,141   

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

     210        238,911   

County of Montgomery Ohio, Refunding RB, Catholic Health, Series A, 5.00%, 5/01/39

     885        938,737   
    

 

 

 
               1,855,789   

Oklahoma — 0.5%

    

Norman Regional Hospital Authority, Refunding RB, 4.00%, 9/01/37 (a)

     550        557,112   

Oregon — 0.9%

    

State of Oregon Facilities Authority, RB, Student Housing, CHF-Ashland, Southern Oregon University Project, 5.00%, 7/01/44

     715        803,646   

State of Oregon Facilities Authority, Refunding RB, Legacy Health Project, Series A, 4.00%, 6/01/41 (a)

     140        144,378   
    

 

 

 
               948,024   

Pennsylvania — 1.9%

    

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 7/01/42

     200        220,918   

Pennsylvania Economic Development Financing Authority, RB:

    

Aqua Pennsylvania, Inc. Project, Series B, 5.00%, 11/15/40

     600        659,148   

Pennsylvania Bridge Finco LP, AMT, 5.00%, 6/30/42

     265        293,225   
 

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

    

Pennsylvania Economic Development Financing Authority, Refunding RB, National Gypsum Co., AMT, 5.50%, 11/01/44

   $ 480      $ 527,501   

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

     345        396,329   
    

 

 

 
               2,097,121   

Puerto Rico — 0.5%

    

Children’s Trust Fund, Refunding RB, Tobacco Settlement, Asset-Backed Bonds, 5.50%, 5/15/39

     150        150,720   

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

     340        338,320   
    

 

 

 
               489,040   

Rhode Island — 2.3%

    

Tobacco Settlement Financing Corp., Refunding RB, Series B:

    

4.50%, 6/01/45

     830        859,872   

5.00%, 6/01/50

     1,580        1,640,229   
    

 

 

 
               2,500,101   

South Carolina — 3.4%

    

State of South Carolina Ports Authority, RB:

    

5.25%, 7/01/40

     1,040        1,159,881   

AMT, 5.25%, 7/01/55

     405        457,472   

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

     1,220        1,437,233   

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

     535        630,540   
    

 

 

 
               3,685,126   

Tennessee — 0.4%

    

City of Chattanooga Tennessee Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

     430        479,214   

Texas — 12.4%

    

Central Texas Regional Mobility Authority, Refunding RB:

    

Senior Lien, 6.25%, 1/01/21 (b)

     680        817,605   

Sub-Lien, 5.00%, 1/01/33

     115        127,514   

City of Austin Texas Airport System, ARB, Revenue, AMT, 5.00%, 11/15/39

     190        214,645   

City of Dallas Texas Waterworks & Sewer System Revenue, Refunding RB:

    

5.00%, 10/01/20 (b)

     220        252,754   

5.00%, 10/01/35

     255        290,152   

City of Houston Texas Airport System, Refunding ARB:

    

Senior Lien, Series A, 5.50%, 7/01/39

     485        519,721   

United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     135        150,864   

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

    

6.00%, 5/15/19 (b)

     2,585        2,910,141   

6.00%, 11/15/35

     145        163,444   

Clifton Higher Education Finance Corp., RB, Idea Public Schools, 6.00%, 8/15/43

     230        275,207   

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/48

     145        190,323   

County of Harris Texas-Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series A (NPFGC), 0.00%, 11/15/38 (d)

     4,750        1,829,985   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A, 0.00%, 9/15/37 (d)

     4,485        1,959,003   
Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare (b):

    

6.00%, 8/15/20

   $ 95      $ 112,159   

6.00%, 8/15/20

     1,175        1,387,228   

La Vernia Higher Education Finance Corp., RB, Kipp, Inc., Series A, 6.38%, 8/15/19 (b)

     500        572,310   

North Texas Tollway Authority, RB, CAB, Special Project System, Series B, 0.00%, 9/01/37 (d)

     640        281,542   

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien:

    

AMT, Blueridge Transportation Group, 5.00%, 12/31/50

     460        507,049   

LBJ Infrastructure Group LLC, 7.00%, 6/30/40

     500        589,885   

NTE Mobility Partners LLC, North Tarrant Express Managed Lanes Project, 6.88%, 12/31/39

     275        319,517   
    

 

 

 
               13,471,048   

Virginia — 5.4%

    

County of Fairfax Virginia EDA, Refunding RB, Goodwin House, Inc., 5.13%, 10/01/17 (b)

     1,000        1,040,070   

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

     2,500        2,658,250   

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

    

5.25%, 1/01/32

     250        280,902   

6.00%, 1/01/37

     1,605        1,868,493   
    

 

 

 
               5,847,715   

Washington — 1.0%

    

Port of Seattle Washington, RB, Series C, AMT, 5.00%, 4/01/40

     235        266,654   

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

     715        838,974   
    

 

 

 
               1,105,628   

Wisconsin — 2.5%

    

Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Senior Credit Group, Series A, 5.00%, 11/15/16 (b)

     2,000        2,003,320   

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

     675        710,262   
    

 

 

 
               2,713,582   

Wyoming — 1.6%

    

County of Sweetwater Wyoming, Refunding RB, Idaho Power Co. Project, Remarketing, 5.25%, 7/15/26

     975        1,080,202   

Wyoming Municipal Power Agency, Inc., RB, Series A:

    

5.00%, 1/01/42

     95        101,408   

5.38%, 1/01/42

     500        523,210   
    

 

 

 
        1,704,820   
Total Municipal Bonds — 123.2%        133,949,434   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
              

Alabama — 1.5%

    

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     780        840,489   

City of Birmingham Alabama Special Care Facilities Financing Authority, Refunding RB, Ascension Health, Senior Credit, Series C-2, 5.00%, 11/15/16 (b)

     760        760,939   
    

 

 

 
               1,601,428   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    47


Schedule of Investments (continued)

  

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

California — 5.2%

    

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%, 10/01/18 (b)(i)

   $ 855      $ 926,709   

City & County of San Francisco California Public Utilities Commission, RB, Water Revenue, Series B, 5.00%, 11/01/19 (b)

     2,970        3,321,767   

Los Angeles Community College District California, GO, Election of 2001, Series A (AGM), 5.00%, 8/01/17 (b)

     740        763,983   

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (b)

     553        617,836   
    

 

 

 
               5,630,295   

Colorado — 3.1%

    

Colorado Health Facilities Authority, RB, Catholic Health (AGM) (b):

    

Series C-3, 5.10%, 10/01/18

     1,210        1,286,593   

Series C-7, 5.00%, 9/01/18

     780        828,391   

County of Adams Colorado, COP, Refunding, 4.00%, 12/01/45

     1,180        1,257,715   
    

 

 

 
               3,372,699   

Connecticut — 2.9%

    

Connecticut State Health & Educational Facility Authority, RB, Yale University:

    

Series T-1, 4.70%, 7/01/29

     1,580        1,619,678   

Series X-3, 4.85%, 7/01/37

     1,541        1,580,859   
    

 

 

 
               3,200,537   

Massachusetts — 0.8%

    

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

     720        837,522   

Nebraska — 1.4%

    

County of Sarpy Hospital Authority No. 1, Refunding RB, Nebraska Medicine, 4.00%, 5/15/51

     1,455        1,507,887   

New Hampshire — 0.6%

    

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (b)(i)

     645        714,633   

New York — 10.0%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     510        567,049   

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

     500        584,143   

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

     2,000        2,404,430   

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

     3,375        3,938,542   

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

     2,030        2,381,575   

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

     810        969,691   
    

 

 

 
               10,845,430   

North Carolina — 0.9%

    

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55

     800        938,008   

Pennsylvania — 0.5%

    

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, 5.00%, 8/15/38

     440        504,962   
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

Texas — 5.2%

    

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

   $ 780      $ 901,430   

County of Harris Texas, Refunding RB, Toll Road, Senior Lien, Series A (i):

    

5.00%, 8/15/19 (b)

     1,214        1,328,383   

5.00%, 8/15/38

     928        1,016,098   

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

     1,080        1,244,354   

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

     975        1,148,644   
    

 

 

 
               5,638,909   

Utah — 1.1%

    

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

     1,155        1,247,838   

Virginia — 1.7%

    

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

     1,785        1,897,541   

Washington — 3.3%

    

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/17 (b)

     900        938,276   

State of Washington, GO, Various Purposes, Series E, 5.00%, 2/01/19 (b)

     2,400        2,614,464   
    

 

 

 
        3,552,740   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 38.2%
        41,490,429   
Total Long-Term Investments
(Cost — $159,666,515) — 161.4%
        175,439,863   
    
                  
Short-Term Securities — 0.0%    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.44% (j)(k)

     41,392        41,396   
Total Short-Term Securities
(Cost — $41,392) — 0.0%
        41,396   
Total Investments (Cost — $159,707,907) — 161.4%        175,481,259   
Other Assets Less Liabilities — 0.4%        414,589   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (22.3)%

   

    (24,269,319

VMTP Shares, at Liquidation Value — (39.5)%

  

    (42,900,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

  

  $ 108,726,529   
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Schedule of Investments (continued)

  

BlackRock Strategic Municipal Trust (BSD)

 

 

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)   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)   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)   Non-income producing security.

 

(g)   Issuer filed for bankruptcy and/or is in default.

 

(h)   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 of municipal bonds transferred to TOB Trusts.

 

(i)   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 June, 1,2017 to February 15, 2031, is $4,050,255. See Note 4 of the Notes to Financial Statements for details.

 

(j)   During the period ended October 31, 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 April 30,
2016
    Net
Activity
    Shares Held
at October 31,
2016
    Value at
October 31,
2016
    Income     Realized Gain/
Capital Gain
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    2,346,845        (2,305,453     41,392      $ 41,396      $ 176      $ 984   

 

(k)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue    Expiration    Notional
Value
    Unrealized
Appreciation
        
  (3   5-Year U.S. Treasury Note    December 2016    $ 362,391      $ 2,639     
  (16   10-Year U.S. Treasury Note    December 2016    $ 2,074,000        28,554     
  (13   Long U.S. Treasury Bond    December 2016    $ 2,115,344        77,235     
  (5   Ultra U.S. Treasury Bond    December 2016    $ 879,687        42,816           
  Total              $ 151,244     
         

 

 

 

 

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  

Futures contracts

 

Net Unrealized Appreciation1

                                   $ 151,244               $ 151,244   

1   Includes cumulative appreciation (depreciation) on 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 October 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                   $ 103,155               $ 103,155   
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Futures contracts

                                   $ 95,558               $ 95,558   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    49


Schedule of Investments (concluded)

  

BlackRock Strategic Municipal Trust (BSD)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts:     

Average notional value of contracts – short

     $ 5,373,711   

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

            $ 175,439,863                   $ 175,439,863   

Short-Term Securities

  $ 41,396                               41,396   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 41,396         $ 175,439,863                   $ 175,481,259   
 

 

 

      

 

 

      

 

 

      

 

 

 
                                          
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 151,244                             $ 151,244   

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

       

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 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 futures contracts

  $ 96,600                             $ 96,600   

Liabilities:

                

TOB Trust Certificates

            $ (24,224,651                  (24,224,651

VMTP Shares at Liquidation Value

              (42,900,000                  (42,900,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 96,600         $ (67,124,651                $ (67,028,051
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended October 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Statements of Assets and Liabilities     

 

October 31, 2016 (Unaudited)  

BlackRock

Investment

Quality
Municipal

Trust, Inc.

(BKN)

   

BlackRock
Long-Term
Municipal

Advantage
Trust

(BTA)

   

BlackRock

Municipal
2020 Term
Trust

(BKK)

   

BlackRock

Municipal
Income Trust

(BFK)

   

BlackRock

Strategic

Municipal
Trust

(BSD)

 
         
Assets                                        

Investments at value — unaffiliated1

  $ 465,280,608      $ 277,481,519      $ 351,500,882      $ 1,096,462,438      $ 175,439,863   

Investments at value — affiliated2

    7,277,881        887,005        456,505        7,327,120        41,396   

Cash

                         2,565          

Cash pledged for futures contracts

    330,050        160,600               545,800        96,600   
Receivables:          

Interest — unaffiliated

    5,021,422        3,891,164        4,660,889        15,545,588        2,505,565   

Investments sold — unaffiliated

    9,094,823        6,332,911        895,103        28,458        4,702,705   

Dividends — affiliated

    2,035        265        3,433        1,724        242   

Prepaid expenses

    68,739        51,168        49,784        86,892        66,173   

Prepaid redemption of Preferred Shares

                  2,350,000                 
 

 

 

   

 

 

 

Total assets

    487,075,558        288,804,632        359,916,596        1,120,000,585        182,852,544   
 

 

 

   

 

 

 
         
Accrued Liabilities                                        
Payables:          

Investments purchased — unaffiliated

    36,689,262        9,863,108               3,478,030        6,280,114   

Income dividends — Common Shares

    1,237,398        731,512        906,601        3,185,651        474,916   

Investment advisory fees

    133,719        146,980        154,047        568,553        89,913   

Interest expense and fees

    70,848        45,936        14,346        303,497        44,668   

Other accrued expenses

    121,397        76,601        105,865        207,254        84,733   

Officer’s and Trustees’ fees

    58,034        18,685        42,908        231,063        13,989   

Administration fees

    57,431                               

Variation margin on futures contracts

    45,312        21,609               74,921        13,031   
 

 

 

   

 

 

 

Total accrued liabilities

    38,413,401        10,904,431        1,223,767        8,048,969        7,001,364   
 

 

 

   

 

 

 
   
Other Liabilities                                        

TOB Trust Certificates

    37,123,627        30,365,452        3,750,000        169,066,842        24,224,651   

VRDP Shares, at liquidation value, net of deferred offering costs of $100,000 per share3,4,5

           75,558,820                        

VMTP Shares, at liquidation value of $100,000 per share3,4,5

    125,900,000                      270,800,000        42,900,000   
 

 

 

   

 

 

 

Total other liabilities

    163,023,627        105,924,272        3,750,000        439,866,842        67,124,651   
 

 

 

   

 

 

 

Total liabilities

    201,437,028        116,828,703        4,973,767        447,915,811        74,126,015   
 

 

 

   

 

 

 
         
AMPS at Redemption Value                                        

$25,000 per share liquidation preference, plus unpaid dividends3,4,5

                  29,879,858                 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets Applicable to Common Shareholders

  $ 285,638,530      $ 171,975,929      $ 325,062,971      $ 672,084,774      $ 108,726,529   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Net Assets Applicable to Common Shareholders Consist of                                        

Paid-in capital5,6,7

  $ 238,730,443      $ 168,946,268      $ 294,621,576      $ 595,030,724      $ 103,465,594   

Undistributed net investment income

    1,476,611        1,058,184        11,222,102        7,344,982        849,404   

Undistributed net realized gain (accumulated net realized loss)

    3,416,005        (19,573,311     117,403        (21,616,879     (11,513,065

Net unrealized appreciation (depreciation)

    42,015,471        21,544,788        19,101,890        91,325,947        15,924,596   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets Applicable to Common Shareholders

  $ 285,638,530      $ 171,975,929      $ 325,062,971      $ 672,084,774      $ 108,726,529   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, per Common Share

  $ 16.62      $ 12.81      $ 16.06      $ 15.00      $ 14.88   
 

 

 

   

 

 

 

1    Investments at cost — unaffiliated

  $ 423,809,108      $ 256,181,030      $ 332,399,038      $ 1,006,036,416      $ 159,666,515   

2    Investments at cost — affiliated

  $ 7,277,447      $ 886,991      $ 456,459      $ 7,326,751      $ 41,392   

3    Preferred Shares outstanding

    1,259        760        1,195        2,708        429   

4    Preferred Shares authorized, including Auction Market Preferred Shares (“AMPS”)

    5,862        unlimited        unlimited        unlimited        unlimited   

5    Preferred and Common Shares par value per share

  $ 0.01      $ 0.001      $ 0.001      $ 0.001      $ 0.001   

6    Common Shares outstanding

    17,185,859        13,422,247        20,236,628        44,804,992        7,306,407   

7    Common Shares authorized

    199,994,138        unlimited        unlimited        unlimited        unlimited   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    51


Statements of Operations     

 

Six Months Ended October 31, 2016 (Unaudited)  

BlackRock

Investment

Quality
Municipal

Trust, Inc.

(BKN)

   

BlackRock

Long-Term

Municipal

Advantage
Trust

(BTA)

   

BlackRock

Municipal
2020 Term
Trust

(BKK)

   

BlackRock

Municipal

Income Trust

(BFK)

   

BlackRock

Strategic

Municipal
Trust

(BSD)

 
         
Investment Income                                        

Interest — unaffiliated

  $ 9,602,377      $ 6,197,211      $ 7,300,282      $ 25,417,349      $ 3,991,409   

Income — affiliated

    9,040        1,850        9,596        15,853        176   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Investment Income

    9,611,417        6,199,061        7,309,878        25,433,202        3,991,585   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Expenses                                        

Investment advisory

    799,046        886,721        925,202        3,337,228        533,561   

Administration

    342,448                               

Professional

    34,796        32,584        35,369        65,902        28,832   

Accounting services

    29,607        9,898        27,088        36,986        13,421   

Officer and Trustees

    17,602        9,782        18,552        44,322        6,354   

Transfer agent

    16,010        11,403        26,533        25,787        10,689   

Custodian

    12,118        8,100        10,127        22,683        5,320   

Registration

    5,323        5,298        5,318        9,753        5,318   

Printing

    5,297        3,840        4,941        8,656        3,849   

Remarketing fees on Preferred Shares

           3,831        25,942                 

Liquidity fees

           3,903                        

Rating agency

    19,143        15,023        6,501        19,214        19,213   

Miscellaneous

    21,504        16,343        16,421        31,265        16,002   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,302,894        1,006,726        1,101,994        3,601,796        642,559   

Interest expense, fees and amortization of offering costs1

    1,185,977        696,866        24,968        2,982,263        468,153   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    2,488,871        1,703,592        1,126,962        6,584,059        1,110,712   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less:

         

Fees waived by the Manager

    (2,022     (435     (1,935     (4,347     (299

Fees paid indirectly

    (191                   (47     (17
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    2,486,658        1,703,157        1,125,027        6,579,665        1,110,396   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    7,124,759        4,495,904        6,184,851        18,853,537        2,881,189   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Realized and Unrealized Gain (Loss)                                        
Net realized gain (loss) from:          

Investments — unaffiliated

    3,977,982        (842,533     49,084        (3,310,420     (361,075

Investments — affiliated

           33        722        4        64   

Futures contracts

    350,564        145,679               879,222        103,155   

Capital gain distributions from investment companies — affiliated

    3,766        1,416        8,991        2,184        920   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    4,332,312        (695,405     58,797        (2,429,010     (256,936
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Net change in unrealized appreciation (depreciation) on:          

Investments — unaffiliated

    (7,983,472     (588,626     (4,837,389     (6,808,025     (986,762

Investments — affiliated

    434        14        46        369        4   

Futures contracts

    392,311        150,251               583,246        95,558   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    (7,590,727     (438,361     (4,837,343     (6,224,410     (891,200
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (3,258,415     (1,133,766     (4,778,546     (8,653,420     (1,148,136
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         
Distributions to AMPS Shareholders From                                        

Net investment income

                  (145,212              
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 3,866,344      $ 3,362,138      $ 1,261,093      $ 10,200,117      $ 1,733,053   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1    Related to TOB Trusts VRDP Shares and/or VMTP Shares.

       

 

 

See Notes to Financial Statements.      
                
52    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Statements of Changes in Net Assets     

 

    BlackRock Investment  Quality
Municipal Trust, Inc. (BKN)
          BlackRock Long-Term
Municipal Advantage Trust (BTA)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

October 31,

2016
(Unaudited)

   

Year Ended

April 30,
2016

         

Six Months Ended

October 31,

2016
(Unaudited)

   

Year Ended

April 30,
2016

 
         
Operations                                        

Net investment income

  $ 7,124,759      $ 15,188,765        $ 4,495,904      $ 9,121,621   

Net realized gain (loss)

    4,332,312        2,083,179          (695,405     125,307   

Net change in unrealized appreciation (depreciation)

    (7,590,727     11,032,224          (438,361     5,211,656   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    3,866,344        28,304,168          3,362,138        14,458,584   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (7,456,338     (15,609,954       (4,436,053     (9,341,884
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

    225,984                          
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    (3,364,010     12,694,214          (1,073,915     5,116,700   

Beginning of period

    289,002,540        276,308,326          173,049,844        167,933,144   
 

 

 

     

 

 

 

End of period

  $ 285,638,530      $ 289,002,540        $ 171,975,929      $ 173,049,844   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,476,611      $ 1,808,190        $ 1,058,184      $ 998,333   
 

 

 

     

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

       

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    53


Statements of Changes in Net Assets     

 

    BlackRock Municipal 2020
Term Trust (BKK)
          BlackRock Municipal
Income Trust (BFK)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

October 31,

2016
(Unaudited)

   

Year Ended

April 30,
2016

         

Six Months Ended

October 31,

2016
(Unaudited)

   

Year Ended

April 30,
2016

 
         
Operations                                        

Net investment income

  $ 6,184,851      $ 11,597,330        $ 18,853,537      $ 38,762,060   

Net realized gain (loss)

    58,797        118,215          (2,429,010     (3,311,237

Net change in unrealized appreciation (depreciation)

    (4,837,343     (868,895       (6,224,410     18,024,234   

Distributions to AMPS Shareholders from net investment income

    (145,212     (107,864                
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    1,261,093        10,738,786          10,200,117        53,475,057   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (5,439,606     (11,294,062       (19,285,305     (40,324,507

From net realized gain

           (12,850                
 

 

 

     

 

 

 

Decrease in net assets resulting from distributions to Common Shareholders

    (5,439,606     (11,306,912                
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

                    667,879        288,964   
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    (4,178,513     (568,126       (8,417,309     13,439,514   

Beginning of period

    329,241,484        329,809,610          680,502,083        667,062,569   
 

 

 

     

 

 

 

End of period

  $ 325,062,971      $ 329,241,484        $ 672,084,774      $ 680,502,083   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 11,222,102      $ 10,622,069        $ 7,344,982      $ 7,776,750   
 

 

 

     

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

         

 

 

See Notes to Financial Statements.      
                
54    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Statements of Changes in Net Assets     

 

    BlackRock Strategic
Municipal Trust (BSD)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

October 31,

2016
(Unaudited)

    Year Ended
April 30,
2016
 
   
Operations                

Net investment income

  $ 2,881,189      $ 6,004,003   

Net realized loss

    (256,936     (300,628

Net change in unrealized appreciation (depreciation)

    (891,200     2,548,449   
 

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    1,733,053        8,251,824   
 

 

 

 
   
Distributions to Common Shareholders1                

From net investment income

    (2,893,209     (6,236,693
 

 

 

 
   
Capital Share Transactions                

Reinvestment of common distributions

    22,963          
 

 

 

 
   
Net Assets Applicable to Common Shareholders                

Total increase (decrease) in net assets applicable to Common Shareholders

    (1,137,193     2,015,131   

Beginning of period

    109,863,722        107,848,591   
 

 

 

 

End of period

  $ 108,726,529      $ 109,863,722   
 

 

 

 

Undistributed net investment income, end of period

  $ 849,404      $ 861,424   
 

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

       

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    55


Statements of Cash Flows     

 

Six Months Ended October 31, 2016 (Unaudited)  

BlackRock

Investment

Quality

Municipal

Trust, Inc.

(BKN)

   

BlackRock

Long-Term

Municipal

Advantage

Trust

(BTA)

   

BlackRock

Municipal

Income Trust

(BFK)

   

BlackRock

Strategic

Municipal

Trust

(BSD)

 
       
Cash Provided by (Used for) Operating Activities                                

Net increase in net assets resulting from operations

  $ 3,866,344      $ 3,362,138      $ 10,200,117      $ 1,733,053   

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 and principal paydowns

    72,385,855        60,596,268        69,153,463        33,996,028   

Purchases of long-term investments

    (71,788,398     (67,787,555     (118,679,070     (39,726,906

Net proceeds from sales (purchases) of short-term securities

    (6,197,348     2,495,076        6,887,728        2,305,453   

Amortization of premium and accretion of discount on investments and other fees

    (760,554     249,894        717,402        10,708   

Net realized gain (loss) on investments

    (3,977,982     842,500        3,310,416        361,011   

Net unrealized loss on investments

    7,983,038        588,612        6,807,656        986,758   

(Increase) Decrease in Assets:

       

Cash pledged for futures contracts

    (71,000     (27,000     (64,000     (19,000

Receivables:

       

Interest — unaffiliated

    105,047        (160,118     34        (16,220

Dividends — affiliated

    (1,880     (129     (164     (188

Prepaid expenses

    (37,579     (19,228     (34,753     (36,853

Increase (Decrease) in Liabilities:

       

Payables:

       

Investment advisory fees

    6,124        5,928        38,755        4,688   

Interest expense and fees

    53,823        34,888        240,035        34,309   

Administration fees

    2,692                        

Officer’s and Trustees’ fees

    2,503        772        8,984        642   

Variation margin on futures contracts

    8,750        3,453        8,187        2,640   

Other accrued expenses

    (8,683     (11,158     (607     (16,204
 

 

 

 

Net cash provided by (used for) operating activities

    1,570,752        174,341        (21,405,817     (380,081
 

 

 

 
       
Cash Provided by (Used for) Financing Activities                                

Proceeds from TOB Trust Certificates

    10,827,739        4,395,621        40,573,154        3,395,366   

Repayments of TOB Trust Certificates

    (4,990,179            (60,424     (9,942

Proceeds from Loan for TOB Trust Certificates

    4,990,000               60,424        9,942   

Repayments of Loan for TOB Trust Certificates

    (4,990,000            (60,424     (9,942

Cash dividends paid to Common Shareholders

    (7,263,733     (4,483,031     (18,793,372     (2,913,978

Decrease in bank overdraft

    (144,579     (94,179     (310,976     (91,365

Amortization of deferred offering costs

           7,248                 
 

 

 

 

Net cash (provided by) used for financing activities

    (1,570,752     (174,341     21,408,382        380,081   
 

 

 

 
       
Cash                                

Net increase in cash

                  2,565          

Cash at beginning of period

                           
 

 

 

 

Cash at end of period

                $ 2,565          
 

 

 

 
       
Supplemental Disclosure of Cash Flow Information                                

Cash paid during the period for interest expense

  $ 1,132,154      $ 661,978      $ 2,742,228      $ 433,844   
 

 

 

 
       
Non-Cash Financing Activities                                

Capital shares issued in reinvestment of distributions paid to Common Shareholders

    225,984               667,879        22,963   
 

 

 

 

 

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Financial Highlights    BlackRock Investment Quality Municipal Trust, Inc.  (BKN)

 

   

Six Months Ended
October 31,

2016
(Unaudited)

    Year Ended April 30,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 16.83      $ 16.09      $ 15.34      $ 16.35      $ 15.39      $ 12.75   
 

 

 

 

Net investment income1

    0.41        0.88        0.90        0.94        0.94        0.98   

Net realized and unrealized gain (loss)

    (0.19     0.77        0.80        (0.99     1.00        2.68   

Distributions to AMPS Shareholders from net investment income

                                       (0.01
 

 

 

 

Net increase (decrease) from investment operations

    0.22        1.65        1.70        (0.05     1.94        3.65   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.91     (0.95     (0.96     (0.98     (1.01
 

 

 

 

Net asset value, end of period

  $ 16.62      $ 16.83      $ 16.09      $ 15.34      $ 16.35      $ 15.39   
 

 

 

 

Market price, end of period

  $ 15.68      $ 16.94      $ 15.60      $ 14.86      $ 16.11      $ 15.75   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                            

Based on net asset value

    1.31% 4      10.92%        11.43%        0.41%        12.89%        29.46%   
 

 

 

 

Based on market price

    (5.04)%4        15.15%        11.52%        (1.28)%        8.69%        29.15%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                           

Total expenses

    1.68% 5      1.46%        1.46%        1.55%        1.48%        1.26% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.68% 5      1.46%        1.45%        1.55%        1.48%        1.26% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    0.88% 5      0.89%        0.90%        0.92%        0.87%        0.99% 6,8 
 

 

 

 

Net investment income

    4.82% 5      5.48%        5.61%        6.45%        5.87%        6.94% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                       0.09%   
 

 

 

 

Net investment income to Common Shareholders

    4.82% 5      5.48%        5.61%        6.45%        5.87%        6.85%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $  285,639      $  289,003      $  276,308      $  263,298      $  280,514      $  263,375   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 125,900      $ 125,900      $ 125,900      $ 125,900      $ 125,900      $ 125,900   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 326,877      $ 329,549      $ 319,467      $ 309,133      $ 322,807      $ 309,194   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 37,124      $ 31,286      $ 28,685      $ 23,585      $ 27,198      $ 14,883   
 

 

 

 

Portfolio turnover rate

    17%        28%        37%        29%        33%        47%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended April 30, 2016, 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%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    57


Financial Highlights    BlackRock Long-Term Municipal Advantage Trust  (BTA)

 

   

Six Months Ended
October 31,

2016
(Unaudited)

    Year Ended April 30,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 12.89      $ 12.51      $ 12.02      $ 12.85      $ 12.19      $ 10.51   
 

 

 

 

Net investment income1

    0.33        0.68        0.69        0.71        0.74        0.75   

Net realized and unrealized gain (loss)

    (0.08     0.40        0.52        (0.80     0.68        1.70   
 

 

 

 

Net increase (decrease) from investment operations

    0.25        1.08        1.21        (0.09     1.42        2.45   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.33     (0.70     (0.72     (0.74     (0.76     (0.77
 

 

 

 

Net asset value, end of period

  $ 12.81      $ 12.89      $ 12.51      $ 12.02      $ 12.85      $ 12.19   
 

 

 

 

Market price, end of period

  $ 11.89      $ 12.28      $ 11.41      $ 11.29      $ 12.50      $ 12.27   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    2.01% 4      9.51%        10.86%        0.28%        11.95%        24.09%   
 

 

 

 

Based on market price

    (0.61)%4        14.39%        7.65%        (3.17)%        8.19%        28.70%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.92% 5      1.59%        1.47%        1.52%        1.55%        1.69%   
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.92% 5      1.59%        1.47%        1.44%        1.37%        1.42%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.13% 5      1.11%        1.11%        1.03%        0.92%        0.86%   
 

 

 

 

Net investment income to Common Shareholders

    5.07% 5      5.45%        5.52%        6.19%        5.80%        6.60%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $  171,976      $  173,050      $  167,933      $  161,269      $  172,428      $  163,215   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 76,000      $ 76,000      $      $      $      $   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 326,284      $ 327,697      $      $      $      $   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 30,365      $ 25,970      $ 84,867      $ 89,036      $ 101,513      $ 96,815   
 

 

 

 

Portfolio turnover rate

    22%        29%        8%        27%        16%        26%   
 

 

 

 

 

  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   

Interest expense and fees relate to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Financial Highlights    BlackRock Municipal 2020 Term Trust (BKK)

 

   

Six Months Ended
October 31,

2016
(Unaudited)

    Year Ended April 30,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                           

Net asset value, beginning of period

  $ 16.27      $ 16.30      $ 16.22      $ 16.85      $ 16.36      $ 14.63   
 

 

 

 

Net investment income1

    0.31        0.57        0.61        0.74        0.90        1.02   

Net realized and unrealized gain (loss)

    (0.24     (0.03     0.14        (0.55     0.52        1.48   

Distributions to AMPS Shareholders from net investment income

    (0.01     (0.01     (0.00 )2      (0.01     (0.02     (0.02
 

 

 

 

Net increase from investment operations

    0.06        0.53        0.75        0.18        1.40        2.48   
 

 

 

 

Distributions to Common Shareholders:3

           

From net investment income

    (0.27     (0.56     (0.67     (0.81     (0.91     (0.75

From net realized gain

           (0.00 )2                             
 

 

 

 

Total distributions to Common Shareholders

    (0.27     (0.56     (0.67     (0.81     (0.91     (0.75
 

 

 

 

Net asset value, end of period

  $ 16.06      $ 16.27      $ 16.30      $ 16.22      $ 16.85      $ 16.36   
 

 

 

 

Market price, end of period

  $ 16.27      $ 16.14      $ 16.25      $ 16.61      $ 16.64      $ 16.06   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    0.34% 5      3.39%        4.67%        1.17%        8.72%        17.27%   
 

 

 

 

Based on market price

    2.47% 5      2.87%        1.90%        4.91%        9.37%        11.83%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                           

Total expenses6

    0.68% 7      0.69%        0.72%        0.84%        0.94%        0.99%   
 

 

 

 

Total expenses after fees waived and paid indirectly6

    0.68% 7      0.69%        0.72%        0.84%        0.94%        0.99%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6,8,9

    0.66% 7      0.68%        0.71%        0.84%        0.93%        0.98%   
 

 

 

 

Net investment income6

    3.73% 7      3.54%        3.75%        4.61%        5.38%        6.57%   
 

 

 

 

Distributions to AMPS Shareholders

    0.09% 7      0.03%        0.02%        0.05%        0.13%        0.13%   
 

 

 

 

Net investment income to Common Shareholders

    3.64% 7      3.51%        3.73%        4.56%        5.25%        6.44%   
 

 

 

 
           
Supplemental Data                           

Net assets applicable to Common Shareholders, end of period (000)

  $  325,063      $  329,241      $  329,810      $  328,163      $  340,990      $  331,058   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

  $ 29,875      $ 34,578      $ 53,700      $ 67,950      $ 161,250      $ 173,850   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

  $ 297,019      $ 263,065      $ 178,543      $ 145,738      $ 77,867      $ 72,607   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 3,750      $ 3,750      $ 3,750      $ 3,750      $ 3,750      $ 3,750   
 

 

 

 

Portfolio turnover rate

    7%        4%        11%        8%        14%        18%   
 

 

 

 

 

  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   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Annualized.

 

  8   

Interest expense and fees relate to TOB Trusts. See Note 4 of the Notes to Financial Statements for details.

 

  9   

The total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees as follows:

 

Six Months Ended

October 31, 2016

(Unaudited)

  

Year Ended April 30,

   2016    2015    2014    2013    2012

0.65%

   0.66%    0.69%    0.79%    0.85%    0.90%

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    59


Financial Highlights    BlackRock Municipal Income Trust (BFK)

 

   

Six Months Ended

October 31,

2016
(Unaudited

    Year Ended April 30,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.20      $ 14.91      $ 14.27      $ 15.40      $ 14.53      $ 12.16   
 

 

 

 

Net investment income1

    0.42        0.87        0.88        0.93        0.93        0.95   

Net realized and unrealized gain (loss)

    (0.19     0.32        0.67        (1.15     0.90        2.39   

Distributions to AMPS Shareholders from net investment income

                                       (0.01)   
 

 

 

 

Net increase (decrease) from investment operations

    0.23        1.19        1.55        (0.22     1.83        3.33   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.90     (0.91     (0.91     (0.96     (0.96)   
 

 

 

 

Net asset value, end of period

  $ 15.00      $ 15.20      $ 14.91      $ 14.27      $ 15.40      $ 14.53   
 

 

 

 

Market price, end of period

  $ 14.68      $ 15.44      $ 14.32      $ 13.57      $ 15.40      $ 14.83   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    1.49% 4      8.57%        11.43%        (0.72)%        12.84%        28.24%   
 

 

 

 

Based on market price

    (2.22)%4        14.76%        12.54%        (5.59)%        10.55%        28.87%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.90% 5      1.61%        1.60%        1.71%        1.71%        1.45% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.90% 5      1.61%        1.60%        1.71%        1.71%        1.45%6   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.04% 5      1.03%        1.04%        1.07%        1.05%        1.14%6,8   
 

 

 

 

Net investment income

    5.44% 5      5.85%        5.91%        6.81%        6.13%        7.06%6   
 

 

 

 

Distributions to AMPS Shareholders

                                       0.07%   
 

 

 

 

Net investment income to Common Shareholders

    5.44% 5      5.85%        5.91%        6.81%        6.13%        6.99%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $  672,085      $  680,502      $  667,063      $  638,577      $  688,707      $  648,497   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 270,800      $ 270,800      $ 270,800      $ 270,800      $ 270,800      $ 270,800   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 348,185      $ 351,293      $ 346,330      $ 335,811      $ 354,323      $ 339,474   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 169,067      $ 128,554      $ 122,688      $ 126,073      $ 170,263      $ 139,718   
 

 

 

 

Portfolio turnover rate

    6%        7%        10%        20%        13%        17%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the period ended April 30, 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 1.10%.

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Financial Highlights    BlackRock Strategic Municipal Trust (BSD)

 

   

Six Months Ended
October 31,

2016
(Unaudited)

    Year Ended April 30,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.04      $ 14.76      $ 14.11      $ 15.28      $ 14.43      $ 12.27   
 

 

 

 

Net investment income1

    0.39        0.82        0.83        0.86        0.85        0.89   

Net realized and unrealized gain (loss)

    (0.15     0.31        0.70        (1.14     0.89        2.17   

Distributions to AMPS Shareholders from net investment income

                                       (0.01
 

 

 

 

Net increase (decrease) from investment operations

    0.24        1.13        1.53        (0.28     1.74        3.05   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.40     (0.85     (0.88     (0.89     (0.89     (0.89
 

 

 

 

Net asset value, end of period

  $ 14.88      $ 15.04      $ 14.76      $ 14.11      $ 15.28      $ 14.43   
 

 

 

 

Market price, end of period

  $ 14.25      $ 15.02      $ 14.00      $ 13.26      $ 14.97      $ 14.38   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    1.58% 4      8.32%        11.50%        (0.94)%        12.29%        25.65%   
 

 

 

 

Based on market price

    (2.59)%4        14.05%        12.54%        (4.99)%        10.40%        29.32%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.98% 5      1.72%        1.72%        1.87%        1.84%        1.55% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.98% 5      1.72%        1.72%        1.87%        1.84%        1.55%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%        1.21%        1.17%        1.23%6,8   
 

 

 

 

Net investment income

    5.14% 5      5.61%        5.67%        6.40%        5.68%        6.64%6   
 

 

 

 

Distributions to AMPS Shareholders

                                       0.07%   
 

 

 

 

Net investment income to Common Shareholders

    5.14% 5      5.61%        5.67%        6.40%        5.68%        6.57%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $  108,727      $  109,864      $  107,849      $  103,069      $  111,603      $  105,309   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 42,900      $ 42,900      $ 42,900      $ 42,900      $ 42,900      $ 42,900   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 353,442      $ 356,093      $ 351,395      $ 340,253      $ 360,148      $ 345,474   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 24,225      $ 20,839      $ 19,309      $ 20,939      $ 27,375      $ 23,025   
 

 

 

 

Portfolio turnover rate

    22%        11%        10%        22%        18%        30%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended April 30, 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 1.19%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    61


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 Investment Quality Municipal Trust, Inc.

  BKN    Maryland    Diversified

BlackRock Long-Term Municipal Advantage Trust

  BTA    Delaware    Non-diversified

BlackRock Municipal 2020 Term Trust

  BKK    Delaware    Diversified

BlackRock Municipal Income Trust

  BFK    Delaware    Diversified

BlackRock Strategic Municipal Trust

  BSD    Delaware    Diversified

The Board of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees 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., futures contracts) or certain borrowings (e.g., TOB Trust 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. 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 and made at least annually. 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: The Trusts have adopted the Financial Accounting Standards Board Accounting Standards Update, “Simplifying the Presentation of Debt Issuance Costs.” Under the new standard, 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. This change in accounting policy had no impact on the net assets of the Trusts.

The deferred offering costs that are now presented as a deduction from the VRDP Shares at liquidation value in the Statements of Assets and Liabilities and amortization included in interest expense, fees and amortization of offering costs in the Statements of Operations were as follows:

 

     BTA  

Deferred offering costs

  $ 441,180   

Amortization of deferred offering costs

  $ 1,065   

 

                
62    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

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.

Through May 31, 2016, the Trusts had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned may be utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

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 determines the fair values of their financial instruments using various 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 oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods 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.

 

 

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 investments, 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 and 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 methodologies 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 its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    63


Notes to Financial Statements (continued)     

 

Changes in valuation methodologies 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 Trust” 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 adviser 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 Residuals will be shared among the Trusts 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. In the case of an MTE, after the payment of fees, the TOB Trust Certificates holders would be paid before the TOB Residuals holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificates holders and the TOB Residuals holders would be paid pro rata in proportion to the respective face values of their certificates. During the six months ended October 31, 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 restrict the ability of a Trust to borrow money for purposes of making investments. 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 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 pursuant to the liquidity facility 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

 

                
64    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

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, 2017, 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 in which no banking entity would sponsor the TOB Trust. Specifically, a Trust establishes structures and “sponsors” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank are 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 new or restructured non-bank sponsored 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 pursuant to the liquidity facility 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 Trust 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 non-bank sponsored TOB Trusts, 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 October 31, 2016, the following table is a summary of each Trust’s TOB Trusts:

 

    

Underlying
Municipal

Bonds
Transferred to

TOB Trusts1

    

Liability for
TOB Trust

Certificates2

     Range of
Interest Rates
on TOB Trust
Certificates at
Period End
     Average TOB
Trust
Certificates
Outstanding
     Daily Weighted
Average
Rate of Interest
and Other
Expenses on
TOB Trusts
 

BKN

  $ 67,110,917       $ 37,123,627         0.66% — 0.81%       $ 32,491,171         1.23%   

BTA

  $ 52,292,797       $ 30,365,452         0.66% — 1.23%       $ 27,969,950         1.18%   

BKK

  $ 5,321,750       $ 3,750,000         0.83% — 0.83%       $ 3,750,000         1.32%   

BFK

  $ 288,957,236       $ 169,066,842         0.66% — 0.78%       $ 145,668,671         1.20%   

BSD

  $ 41,490,429       $ 24,224,651         0.66% — 0.78%       $ 22,421,320         1.20%   

 

  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 Trust 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 Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the Trusts, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.

 

  2   

The Trusts may invest in TOB Trusts that are structured on a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility. In such an event, the Liquidity Provider will typically either (i) fund the full amount owed under the liquidity facility and be subsequently reimbursed from only the proceeds of the liquidation of all or a portion of the municipal bonds held in the TOB Trust or the remarketing of the TOB Trust Certificates, or (ii) 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 October 31, 2016, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Trust at October 31, 2016.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    65


Notes to Financial Statements (continued)     

 

For the six months ended October 31, 2016, the following table is a summary of each Trust’s Loan for TOB Trust Certificates:

 

     Loans
Outstanding
at Period End
     Range of Interest
Rates on Loans
at Period End
     Average Loans
Outstanding
     Daily Weighted
Average Rate of
Interest and
Other Expenses
on Loans
 

BKN

                  $ 1,152,581         0.81%   

BFK

                  $ 17,733         0.78%   

BSD

                  $ 2,918         0.78%   

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 their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Futures Contracts: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

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 a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a 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 in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. 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 market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations 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 futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or 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: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, 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, BKN, BKK, BFK and BSD each pay the manager a monthly fee at an annual rate equal to the below percentages of the average weekly value of each Fund’s managed assets.

 

     BKN      BKK      BFK      BSD  

Investment advisory fees

    0.35%         0.50%         0.60%         0.60%   

For purposes of calculating the above fees, “managed asset” means the total assets of the Fund minus the sum of the accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

For such services, BTA pays the Manager a monthly fee at an annual rate of 1.00% of the average weekly value of the Fund’s net assets. For purposes of calculating this fee, “net assets” mean the total assets of the Trust minus the sum of its accrued liabilities (which includes liabilities represented by TOB Trusts and the liquidation preference of preferred shares. It is understood that the liquidation preference of any outstanding preferred stock (other than accumulated dividends) and TOB Trusts is not considered a liability in determining the Trust’s net asset value.

Administration: BKN has an Administration Agreement with the Manager. The administration fee paid to the Manager is computed at an annual rate of 0.15% of the Trust’s average managed assets.

Waivers: With respect to the Trust, 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 Trusts. These amounts are included in fees waived by the Manager in

 

                
66    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

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 October 31, 2016, the amounts waived were as follows:

 

     BKN      BTA      BKK      BFK      BSD  

Amount waived

  $ 2,022       $ 435       $ 1,935       $ 4,347       $ 299   

Officers and Trustees: Certain officers and/or trustees of the Trusts are officers and/or trustees 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 October 31, 2016, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BKN      BTA      BKK      BFK      BSD  

Purchases

  $ 100,047,480       $ 70,027,482       $ 24,818,785       $ 116,067,823       $ 43,593,306   

Sales

  $ 76,070,268       $ 61,602,353       $ 25,574,626       $ 68,440,484       $ 38,157,396   

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 generally remains open for each of the four years ended April 30, 2016. 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 October 31, 2016, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of April 30, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires April 30,   BKN      BTA      BFK      BSD  

No expiration date1

          $ 5,477,378       $ 10,872,059       $ 1,475,632   

2017

            6,882,935         2,065,704         3,887,588   

2018

  $ 127,242         4,821,726         2,455,638         2,381,683   

2019

            951,237                 2,978,126   
 

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 127,242       $ 18,133,276       $ 15,393,401       $ 10,723,029   
 

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of October 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BKN      BTA      BKK      BFK      BSD  

Tax Cost

  $ 394,020,049       $ 226,931,782       $ 328,912,577       $ 846,404,791       $ 135,707,837   
 

 

 

 

Gross unrealized appreciation

  $ 44,535,119       $ 22,503,046       $ 21,071,618       $ 98,376,779         16,613,958   

Gross unrealized depreciation

    (3,120,306      (1,431,756      (1,776,808      (10,058,854      (1,065,187
 

 

 

 

Net unrealized appreciation

  $ 41,414,813       $ 21,071,290       $ 19,294,810       $ 88,317,925       $ 15,548,771   
 

 

 

 

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.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    67


Notes to Financial Statements (continued)     

 

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 Fund to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment 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 Fund portfolio’s current earnings rate.

There is no assurance that BKK will achieve its investment objective and BKK may return less than $15.00 per share. As BKK approaches its scheduled termination date, it is expected that the maturity of BKK’s portfolio securities will shorten, which is likely to reduce BKK’s income and distributions to shareholders.

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.

It is possible that regulators could take positions that could limit the market for non-bank sponsored 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 Residuals 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 Trust 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 have 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 and Risk Retention Rules 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 Trust 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 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: As of period end, BKN invested a significant portion of its assets in securities in the health sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trust and could affect the value, income and/or liquidity of positions in such securities.

BTA invests a substantial amount of its assets in issuers located in a single state or limited number of states. This may subject the 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 Trust’s portfolio. Investment percentages in specific states or U.S. territories are presented in the Schedule of Investments.

 

                
68    SEMI-ANNUAL REPORT    OCTOBER 31, 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:

BTA, BKK, BFK, and BSD are authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. BKN is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Trust’s Common Shares is $0.001, except for BKN, which is $0.01. The par value for each Trust’s Preferred Shares outstanding is $0.001, except for BKN, which is $0.01. The Board is authorized, however, to issue or reclassify any unissued Common Shares to Preferred Shares 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:

 

     BKN      BFK      BSD  

Six Months Ended October 31, 2016

    13,193         43,378         1,503   

Year Ended April 30, 2016

            19,211           

For the six months ended October 31, 2016 and year ended April 30, 2016 for BTA and BKK, shares issued and outstanding remained constant.

At October 31, 2016, shares of BKK owned by BlackRock Holdco 2, Inc., an affiliate of the Trusts, were 8,021.

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 asset coverage of at least 200% of the liquidation preference of the Trust’s 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 Trust’s 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 ratings agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the voting rights of 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 on certain matters. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees to the Board of each Trust. The holders of Preferred Shares are also entitled to elect the full Board of Directors if dividends on the Preferred Shares are not paid for a period of two years. The holders of Preferred Shares are also generally entitled to a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, 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

BTA, has issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended, (the “Securities Act”). The VRDP Shares include a liquidity feature and VRDP Shares of certain Trusts are currently in a special rate period, each as described below.

As of period end the VRDP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BTA

    10/29/15         760       $ 76,000,000         11/01/45   

Redemption Terms: BTA is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, BTA is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, BTA is required to redeem certain of its outstanding VRDP Shares if it fails to comply with 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 BTA. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Liquidity Feature: BTA entered into a fee agreement with the liquidity provider that requires an upfront 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 BTA and the liquidity provider is for a three-year term and is scheduled to expire on October 29, 2018, unless renewed or terminated in advance.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    69


Notes to Financial Statements (continued)     

 

In the event the fee agreement is not renewed or is terminated in advance, and BTA does not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, BTA is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, BTA is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance BTA will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: BTA may incur remarketing fees of 0.10% on the aggregate principal amount of all the Trust’s VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), BTA may incur no remarketing fees.

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. At the date of issuance, the VRDP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VRDP Shares were assigned a long-term rating of Aa1 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 October 31, 2016, the annualized dividend rate for the VRDP Shares was 1.37%.

Special Rate Period: On October 29, 2015, the Board of BTA authorized BTA to designate an approximate three-year term (the “special rate period”) which is scheduled to expire October 24, 2018. During the special rate period, the VRDP Shares are not subject to any remarketing and the dividend rate is based on a predetermined methodology. The special rate period resulted in a mandatory tender of the VRDP Shares. The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for BTA were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to October 24, 2018, the holder of the VRDP Shares and BTA may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special rate period and will be remarketed and available for purchase by qualified institutional investors.

During the special rate period, the liquidity and fee agreements will remain in effect and the VRDP Shares remain subject to mandatory redemption by BTA on the maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during the special rate period. During the special rate period, BTA is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period. BTA pays a nominal fee at the annual rate of 0.01% to the liquidity provider and the marketing agent during the special rate period. BTA also pays dividends monthly based on the sum of the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

If BTA redeems the VRDP Shares prior to the end of the special rate period and the VRDP Shares have long-term ratings above A1/A+ and its equivalent by all ratings agencies then rating the VRDP Shares, then such redemption may be 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 comply with minimum asset coverage requirements.

For the six months ended October 31, 2016, VRDP Shares issued and outstanding of BTA remained constant.

VMTP Shares

BKN, BFK and BSD (collectively, the “VMTP Trusts”), have issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in privately negotiated offerings and sale of VMTP Shares exempt from registration under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and VMTP Trusts may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing documents generally require the consent of the holders of VMTP Shares.

As of period end, the VMTP Shares outstanding were are as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BKN

    12/16/11         1,259       $ 125,900,000         1/02/19   

BFK

    12/16/11         2,708       $ 270,800,000         1/02/19   

BSD

    12/16/11         429       $ 42,900,000         1/02/19   

Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. In June 2015, the term redemption dates for VMTP Trusts were extended until January 2, 2019. There is no assurance that the term of a VMTP Trust’s VMTP Shares will be extended further or that a VMTP Trust’s VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to term redemption date, each VMTP Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. In addition, each VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

 

                
70    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (continued)     

 

Subject to certain conditions, a VMTP Trust’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Trust. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If the VMTP Trust redeems the VMTP Shares prior to the term redemption date and the VMTP Shares have long-term ratings above A1/A+ or its equivalent by the ratings agencies then rating the VMTP Shares, then such redemption may be subject to a prescribed redemption premium (up to 3% of the liquidation preference) payable to the holder of the VMTP Shares based on the time remaining until the term redemption date, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.

Dividends: Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the SIFMA Municipal Swap Index. The fixed spread is determined based on the long-term preferred share ratings assigned to the VMTP Shares by the ratings agencies then rating the VMTP Shares. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VMTP Shares were assigned a long-term rating of Aa1 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. The dividend rate on the VMTP Shares is subject to a step-up spread if the VMTP Trusts fail to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

For the six months ended October 31, 2016, the average annualized dividend rate for the VMTP Shares were as follows:

 

     BKN      BFK      BSD  

Rate

    1.54%         1.54%         1.54%   

For the six months ended October 31, 2016, VMTP Shares issued and outstanding of each VMTP Trust remained constant.

Offering Costs: BKN, BTA, BFK and BSD incurred costs in connection with the issuance of VRDP Shares and VMTP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP Shares and VMTP 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.

Financial Reporting: The VRDP Shares and VMTP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP Shares and VMTP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. 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 and VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares and VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares and VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

AMPS

The AMPS are redeemable at the option of BKK, in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The AMPS are also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of BKK, as set forth in BKK’s Statement of Preferences (the “Governing Instrument”) are not satisfied.

From time to time in the future, BKK may effect repurchases of its AMPS at prices below their liquidation preference as agreed upon by the Trust and seller. BKK also may redeem its AMPS from time to time as provided in the applicable Governing Instrument. BKK intends to effect such redemptions and/or repurchases to the extent necessary to comply with applicable asset coverage requirements or for such other reasons as the Board may determine.

As of period end, the AMPS outstanding of each Trust were as follows:

 

     Series      AMPS      Effective Yield     

Rate

Frequency Days

    

Moody’s

Rating

 

BKK

    F-7         461         1.16%         7         Aa1   
    M-7         461         1.20%         7         Aa1   
      W-7         461         1.20%         7         Aa1   

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    71


Notes to Financial Statements (continued)     

 

Dividends on seven-day AMPS are cumulative at a rate which is reset every seven days based on the results of an auction. If the AMPS fail to clear the auction on an auction date, BKK is required to pay the maximum applicable rate on the AMPS to holders of such shares for successive dividend periods until such time as the shares are successfully auctioned. The maximum applicable rate on the AMPS is as footnoted in the table below. The low, high and average dividend rates on the AMPS for each Trust for the period were as follows:

 

     Series      Low      High      Average  

BKK

    F-7         0.13%         1.48%         1.46%   
    M-7         0.13%         1.48%         1.47%   
      W-7         0.13%         1.48%         1.47%   

Since February 13, 2008, the AMPS of BBK failed to clear any of their auctions. As a result, the AMPS dividend rates were reset to the maximum applicable rate, which ranged from 0.35% to 1.94% for the six months ended October 31, 2016. A failed auction is not an event of default for the Trusts but it has a negative impact on the liquidity of AMPS. A failed auction occurs when there are more sellers of a Trust’s AMPS than buyers. A successful auction for the Trust’s AMPS may not occur for some time, if ever, and even if liquidity does resume, holders of AMPS may not have the ability to sell the AMPS at their liquidation preference.

BKK paid commissions of 0.15% on the aggregate principal amount of all shares that fail to cleared their auctions and 0.25% on the aggregate principal amount of all shares that successfully cleared their auctions. Certain broker dealers have individually agreed to reduce commissions for failed auctions. The commissions paid to these broker dealers are included in remarketing fees on Preferred Shares in the Statements of Operations.

During the six months ended October 31, 2016, BKK announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

     Series     

Redemption

Date

    

Shares

Redeemed

    

Aggregate

Principal

 

BKK

    F-7         10/31/16         94       $ 2,350,000   
      W-7         10/27/16         94       $ 2,350,000   

During the year ended April 30, 2016, BKK announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

     Series     

Redemption

Date

    

Shares

Redeemed

    

Aggregate

Principal

 

BKK

    F-7         6/22/15         67       $ 1,675,000   
    M-7         6/23/15         67       $ 1,675,000   
    W-7         6/25/15         67       $ 1,675,000   
    F-7         8/24/15         38       $ 950,000   
    M-7         8/24/15         38       $ 950,000   
    W-7         8/20/15         38       $ 950,000   
    F-7         1/25/16         150       $ 3,750,000   
    M-7         1/25/16         150       $ 3,750,000   
      W-7         1/25/16         150       $ 3,750,000   

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:

 

     Common Dividend Per Share              Preferred Shares3  
            Paid1            Declared2              Shares      Series      Declared  

BKN

  $ 0.0720       $ 0.0720            VMTP         W-7       $ 160,746   

BTA

  $ 0.0545       $ 0.0545            VRDP         W-7       $ 86,445   

BKK

  $ 0.0448       $ 0.0448            AMPS         F-7       $ 7,695   
             AMPS         M-7       $ 7,463   
             AMPS         W-7       $ 7,556   

BFK

  $ 0.0711       $ 0.0711            VMTP         W-7       $ 345,751   
BSD   $ 0.0650       $ 0.0650                  VMTP         W-7       $ 54,774   

 

  1   

Net investment income dividend paid on December 1, 2016 to Common Shareholders of record on November 15, 2016.

 

  2   

Net investment income dividend declared on December 1, 2016, payable to Common Shareholders of record on December 12, 2016.

 

  3   

Dividends declared for period November 1, 2016 to November 30, 2016.

 

                
72    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Notes to Financial Statements (concluded)     

 

 

     Common Distribution Per Share  
     Declared4      Declared5      Declared6  

BKN

  $ 0.000003       $ 0.038767       $ 0.221251   

BKK

                  $ 0.009669   

 

  4  

Special taxable net investment income distribution declared on December 1, 2016, payable to Common Shareholders of record on December 12, 2016.

 

  5  

Special short-term capital gain distribution declared on December 1, 2016, payable to Common Shareholders of record on December 12, 2016.

 

  6  

Special long-term capital gain distribution declared on December 1, 2016, payable to Common Shareholders of record on December 12, 2016.

 

BKK completed the following redemptions of Preferred Shares at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

     Series     

Redemption

Date

    

Shares

Redeemed

    

Aggregate

Principal

 

BKK

    M-7         11/1/16         94       $ 2,350,000   

BKK announced the following redemptions of Preferred Shares at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

     Series      Redemption
Date
     Shares
Redeemed
     Aggregate
Principal
 

BKK

    F-7         1/9/17         80       $ 2,000,000   
    M-7         1/10/17         80       $ 2,000,000   
      W-7         1/5/17         80       $ 2,000,000   

On December 2, 2016, each Trust entered into a fee waiver agreement with the Manager memorializing the previously voluntary waiver of advisory fees paid to the Manager indirectly through its investment in affiliated money market funds.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    73


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement

 

The Board of Trustees (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Investment Quality Municipal Trust Inc. (“BKN”), BlackRock Long-Term Municipal Advantage Trust (“BTA”), BlackRock Municipal 2020 Term Trust (“BKK”), BlackRock Municipal Income Trust (“BFK”) and the BlackRock Strategic Municipal Trust (“BSD,” and together with BKN, BTA, BKK and BFK, each a “Fund,” and, collectively, the “Funds”) met in person on April 28, 2016 (the “April Meeting”) and June 9-10, 2016 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement,” and, collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Manager is referred to herein as “BlackRock.” The Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Fund consisted of eleven individuals, nine of whom were not “interested persons” of such Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of their respective Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of its Advisory Agreement on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Boards assessed, among other things, the nature, extent and quality of the services provided to the Funds by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, consider at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. BlackRock also furnished additional information to the Boards in response to specific questions from the Boards. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Funds for services; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Funds’ compliance with their compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Funds; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Board of each of BKN, BKK, BFK, and BSD considered BlackRock’s efforts during the past several years with regard to the redemption of outstanding auction rate preferred securities (“AMPS”). As of the date of this report, each of BKN, BFK, and BSD has redeemed all of its outstanding AMPS, and BKK has redeemed 84.5% of its outstanding AMPS.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Fund fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds as determined by Broadridge1 and, with respect to BKN, BTA, BFK, and BSD, a customized peer group selected by BlackRock (“Customized Peer Group”); (b) information on the profits realized by

 

1   

Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
74    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

 

BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by each Fund to BlackRock.

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2017. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared the Funds’ performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective(s), strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to the Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain administrative, shareholder, and other services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Boards in their consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the April Meeting, the Boards were provided with reports independently prepared by Broadridge, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in its applicable Broadridge category and, with respect to BKN, BTA, BFK, and BSD, the Customized Peer Group. The Boards were provided with a description of the methodology used by Broadridge to select peer funds and periodically met with Broadridge representatives to review its methodology. The Boards were provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    75


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (continued)

 

In evaluating performance, the Boards recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Boards recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BKN noted that for each of the one-, three- and five-year periods reported, BKN ranked in the first quartile against its Customized Peer Group Composite.

The Board of BTA noted that for the one-, three- and five-year periods reported, BTA ranked in the fourth, first and first quartiles, respectively, against its Customized Peer Group Composite. The Board and BlackRock reviewed and discussed the reasons for the Fund’s underperformance during the one-year period.

The Board of BSD noted that for the one-, three- and five-year periods reported, BSD ranked in the third, first and first quartiles, respectively, against its Customized Peer Group Composite. The Board and BlackRock reviewed and discussed the reasons for the Fund’s underperformance during the one-year period.

The Board of BFK noted that for the one-, three- and five-year periods reported, BFK ranked in the second, first and first quartiles, respectively, against its Customized Peer Group Composite.

BlackRock believes that the Customized Peer Group Composite is an appropriate performance metric for each of BKN, BTA, BSD, and BFK in that it ranks the Fund’s performance on a blend of total return and yield.

The Board of BKK noted that for the one-, three- and five-year periods reported, BKK ranked in the fourth, fourth and third quartiles, respectively, against its Performance Universe Composite. BlackRock believes that the Composite is an appropriate performance metric for BKK. The Composite measures a blend of total return and yield. The Board and BlackRock reviewed and discussed the reasons for BKK’s performance during these periods. The Board of BKK was informed that, among other things, its Fund has a targeted maturity, and as such is managed to achieve the specific maturity goal. The peer funds within the Performance Universe generally do not have a similar specific maturity goal.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Fund’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards reviewed BlackRock’s profitability methodology and were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at an individual fund level is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of their analysis, the Boards reviewed BlackRock’s methodology in allocating its costs of managing the Funds, to the Funds. The Boards may receive and review information from independent third parties as part of their annual evaluation. The Boards considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards. The Boards further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Funds in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

 

                
76    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement (concluded)

 

The Board of BKN noted that BKN’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to its Expense Peers.

The Board of BTA noted that BTA’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio ranked in the fourth and second quartiles, respectively, relative to its Expense Peers.

The Board of BKK noted that BKK’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to its Expense Peers.

The Board of BFK noted that BFK’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the second and fourth quartiles, respectively, relative to its Expense Peers.

The Board of BSD noted that BSD’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio ranked in the third and fourth quartiles, respectively, relative to its Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable its Fund to more fully participate in these economies of scale. Each Board considered its Fund’s asset levels and whether the current fee was appropriate.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including for administrative, securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that they had considered the investment by BlackRock’s funds in affiliated exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with their consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Funds’ fees and expenses are too high or if they are dissatisfied with the performance of the Funds.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of AMPS for the BlackRock closed-end funds with AMPS outstanding; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of its Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of the Advisory Agreement were fair and reasonable and in the best interest of its Fund and its shareholders. In arriving at its decision to approve the Advisory Agreement for its Fund, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    77


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Barbara G. Novick, Trustee

John M. Perlowski, 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

 

As of the date of this report:

 

 

The portfolio managers of BKN are Timothy Browse and Walter O’Connor.

 

 

The portfolio managers of BTA and BSD are Ted Jaeckel and Michael Perilli.

 

 

The portfolio managers of BKK are Phillip Soccio and Ted Jaeckel.

 

         

Investment Adviser

BlackRock Advisors, LLC
Wilmington, DE 19809

 

Transfer Agent

Computershare Trust
Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Provider

Bank of America, N.A.

New York, NY 10036

 

VRDP Tender and

Paying Agent and

VMTP Redemption and

Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

Legal Counsel

Skadden, Arps, Slate,
Meagher & Flom LLP

Boston, MA 02116

Custodian and

Accounting Agent

State Street Bank and

Trust Company

Boston, MA 02110

 

AMPS Auction Agent

The Bank of New York Mellon

New York, NY 10286

 

VRDP Remarketing Agent

Merrill Lynch, Pierce, Fenner &

Smith Incorporated

New York, NY 10036

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

                
78    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Additional Information     

 

Proxy Results      

The Annual Meeting of Shareholders was held on July 26, 2016 for shareholders of record on May 31, 2016, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Trustees as follows:

 

    

Catherine A. Lynch1

  

Richard E. Cavanagh2

  

Cynthia L. Egan2

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

BKN

   15,454,795    436,656    0    15,411,793    479,658    0    15,460,478    430,973    0

BTA

   11,860,059    376,671    0    11,852,315    384,415    0    11,861,305    375,425    0

BKK

   18,774,818    243,298    0    18,680,708    337,408    0    18,731,425    286,691    0

BFK

   39,847,831    816,685    0    39,981,682    682,834    0    39,824,061    840,455    0

BSD

   6,455,755    168,935    0    6,441,958    182,732    0    6,455,755    168,935    0
    

Jerrold B. Harris2

  

Barbara G. Novick2

              
      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

BKN

   15,407,380    484,071    0    15,454,878    436,573    0         

BTA

   11,846,700    390,030    0    11,903,358    333,372    0         

BKK

   18,667,931    350,185    0    18,779,675    238,441    0         

BFK

   39,903,456    761,060    0    39,838,147    826,369    0         

BSD

   6,437,801    186,889    0    6,448,901    175,789    0               

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Frank J. Fabozzi, R. Glenn Hubbard, W. Carl Kester, John M. Perlowski, and Karen P. Robards.

 

 

  1   

Class II.

 

  2   

Class III.

 

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.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    79


Additional Information (continued)     

 

 

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.

In order to provide additional flexibility for BKK to potentially continue to conduct partial redemptions of AMPS, an amendment to BKK’s AMPS Statement of Preferences was made. The amendment eliminates a requirement that precluded partial redemptions of AMPS once the number of AMPS outstanding for a particular series fell below 300 shares. The removal of this requirement is in the best interest of BKK and shareholders as it seeks to provide additional flexibility to conduct partial redemptions of AMPS in advance of BKK’s maturity, if such redemption is otherwise determined to be consistent with the best interest of BKK and its shareholders.

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. Except as noted on page 77, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Effective September 26, 2016, BlackRock implemented a new methodology for calculating “effective duration” for BlackRock’s municipal bond portfolios. The new methodology replaces the model previously used by BlackRock to evaluate municipal bond duration and is a common indicator of an investment’s sensitivity to interest rate movements. The new methodology will be applied to each Trust’s duration reported for periods after September 26, 2016.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts, including each Trust’s effective duration and additional information about the new methodology, 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 in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, 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 the operation of the Public Reference Room or 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.

 

                
80    SEMI-ANNUAL REPORT    OCTOBER 31, 2016   


Additional 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.

 

                
   SEMI-ANNUAL REPORT    OCTOBER 31, 2016    81


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

 

CEMUNI5-10/16-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) Effective July 1, 2016, Mr. Jaeckel was removed as Portfolio Manager.

 

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 Investment Quality Municipal Trust, Inc.
By:   /s/ John M. Perlowski                                
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Investment Quality Municipal Trust, Inc.

Date: January 4, 2017

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 Investment Quality Municipal Trust, Inc.

Date: January 4, 2017

 

By:   /s/ Neal J. Andrews                                   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Investment Quality Municipal Trust, Inc.

Date: January 4, 2017

 

3