BLACKROCK MUNIYIELD CALIFORNIA QUALITY FUND, INC.
Table of Contents

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 811-06692

Name of Fund: BlackRock MuniYield California Quality Fund, Inc. (MCA)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 07/31/2018

Date of reporting period: 01/31/2018


Table of Contents

Item 1 – Report to Stockholders

 


Table of Contents

JANUARY 31, 2018

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

BlackRock MuniYield California Quality Fund, Inc. (MCA)

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

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents

The Markets in Review

Dear Shareholder,

In the 12 months ended January 31, 2018, assets with higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. The equity market advanced despite geopolitical uncertainty and relatively high valuations, while bond returns were constrained by rising interest rates.

Emerging market stocks posted the strongest performance, as accelerating growth in China, the second largest economy in the world and the most influential of all developing economies, improved the outlook for corporate profits and economic growth across most developing nations. Chinese demand for commodities and other raw materials allayed concerns about the country’s banking system, leading to rising equity prices and foreign investment flows.

Rising interest rates worked against high-quality assets with more interest rate sensitivity. Consequently, the 10-year U.S. Treasury — a bellwether of the bond market — posted a modest negative return, as rising energy prices, higher wages, and steady job growth drove expectations of higher inflation and interest rate increases by the U.S. Federal Reserve (the “Fed”).

The market’s performance reflected reflationary expectations early in the reporting period, as investors began to sense that a global recovery was afoot. Thereafter, many countries experienced sustained and synchronized growth for the first time since the financial crisis. Growth rates and inflation are still relatively low, but they are finally rising together. Consensus expectations for global economic growth also rose, as long-anticipated fiscal stimulus and capital spending plans indicated that new sources of demand could extend the current economic cycle.

The Fed responded to these positive developments by increasing short-term interest rates three times during the year. In October 2017, the Fed also reduced its $4.5 trillion balance sheet by $10 billion, while setting expectations for additional modest reductions and rate hikes in 2018.

By contrast, the European Central Bank (“ECB”) and the Bank of Japan (“BoJ”) continued to expand their balance sheets despite nascent signs of sustained economic growth. Rising global growth and inflation, as well as limited bond supply, put steady pressure on other central banks to follow in the Fed’s footsteps. In October 2017, the ECB announced plans to cut its bond purchases in half for 2018, while the BoJ reiterated its commitment to economic stimulus, as the country’s inflation rate remained below 2.0%.

Rising consumer confidence and improving business sentiment are driving momentum for the U.S. economy. If the Fed maintains a measured pace of stimulus reduction, to the extent that inflation rises, it’s likely to be accompanied by rising real growth and higher wages. That could lead to a favorable combination of moderately higher inflation, steadily rising interest rates, and improving growth in 2018. We continue to believe the primary risks to the economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension.

In December 2017, Congress passed a sweeping tax reform bill. The U.S. tax overhaul is likely to accentuate the existing reflationary themes, including faster growth and rising interest rates. Changing the corporate tax rate to a flat 21% will create many winners and losers among high-and-low tax companies, while the windfall from lower taxes could boost business and consumer spending.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2018
     6-month   12-month

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

  15.43%   26.41%

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

  11.23   17.18

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

  12.14   27.60

Emerging market equities
(MSCI Emerging Markets Index)

  18.51   41.01

3-month Treasury bills
(ICE BofAML 3-Month
U.S. Treasury Bill Index)

  0.58   0.93

U.S. Treasury securities
(ICE BofAML 10-Year
U.S. Treasury Index)

  (2.74)   (0.47)

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

  (0.35)   2.15

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

  0.01   3.41

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

  1.94   6.60
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

Table of Contents

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Municipal Market Overview

     4  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Fund Summaries

     6  

Financial Statements:

  

Schedules of Investments

     14  

Statements of Assets and Liabilities

     39  

Statements of Operations

     40  

Statements of Changes in Net Assets

     41  

Statements of Cash Flows

     43  

Financial Highlights

     44  

Notes to Financial Statements

     48  

Director and Officer Information

     57  

Additional Information

     58  

Glossary of Terms Used in this Report

     60  

 

 

     3  


Table of Contents

Municipal Market Overview  For the Reporting Period Ended January 31, 2018

 

Municipal Market Conditions

Municipal bonds experienced positive performance during the period alongside a favorable technical backdrop and a flattening yield curve resulting from continued Fed monetary policy normalization and largely muted inflation expectations. Ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in continued demand for fixed income investments. More specifically, investors favored the tax-exempt income, diversification, quality, and value of municipal bonds amid fiscal policy uncertainty, which saw tax reform ultimately lower the top individual tax rate just 2.6% while eliminating deductions and increasing demand for tax shelter. During the 12 months ended January 31, 2018, municipal bond funds experienced net inflows of approximately $33 billion (based on data from the Investment Company Institute).

 

For the same 12-month period, total new issuance remained elevated from a historical perspective at $394 billion (though well below the robust $455 billion issued in the prior 12-month period). Notably, issuance in December posted the highest monthly total on record at $56 billion, as issuers rushed deals to market ahead of the expected elimination of the tax-exemption for advanced refunding bonds and possibly private activity bonds (PABs). Ultimately, the final version of the Tax Cuts and Jobs Act left PABs unchanged, though the elimination of advanced refundings will likely suppress supply going forward, providing a powerful technical.   S&P Municipal Bond Index

Total Returns as of January 31, 2018

  6 months: 0.01%

12 months: 3.41%

 

A Closer Look at Yields

 

LOGO

From January 31, 2017 to January 31, 2018, yields on AAA-rated 30-year municipal bonds decreased by 17 basis points (“bps”) from 3.08% to 2.91%, while 10-year rates increased by 3 bps from 2.32% to 2.35% and 5-year rates increased by 20 bps from 1.63% to 1.83% (as measured by Thomson Municipal Market Data). The municipal yield curve flattened significantly over the 12-month period with the spread between 2- and 30-year maturities flattening by 64 bps.

During the same time period, on a relative basis, tax-exempt municipal bonds strongly outperformed U.S. Treasuries with the greatest outperformance experienced in the front and intermediate portions of the yield curve. Notably, January saw interest rates move rapidly higher alongside strong global growth and a more hawkish bias from global central banks. The relative positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly scarce. 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 January 31, 2018, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (“AMT”). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the AMT. 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    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

The Benefits and Risks of Leveraging

 

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Funds (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Fund’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such 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 Funds’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not used leverage. Furthermore, the value of the Funds’ 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 Funds’ 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 Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Fund’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 Fund’s Common Shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.

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

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

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

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security commodity, index, market, and/or other assets 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 Funds’ 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 Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      5  


Table of Contents
Fund Summary  as of January 31, 2018    BlackRock MuniHoldings Quality Fund II, Inc.

 

Fund Overview

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

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

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

  MUE

Initial Offering Date

  February 26, 1999

Yield on Closing Market Price as of January 31, 2018 ($12.91)(a)

  5.95%

Tax Equivalent Yield(b)

  10.05%

Current Monthly Distribution per Common Share(c)

  $0.0640

Current Annualized Distribution per Common Share(c)

  $0.7680

Economic Leverage as of January 31, 2018(d)

  38%

 

  (a) 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.  
  (b) Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.  
  (c)  The monthly distribution per Common Share, declared on March 1, 2018, was decreased to $0.0540 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.  
  (d)  Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, 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 Fund, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended January 31, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MUE(a)(b)

    (6.32 )%       0.14

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.00 )%       0.50

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

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

Past performance is not indicative of future results.

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

 

  U.S. municipal bonds produced generally flat returns during the period, with income offsetting a modest decline in prices. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  The Fund’s positions in Illinois and New Jersey bonds made meaningful contributions to performance. Illinois passed its budget and moved closer to achieving fiscal balance and stabilizing its credit rating. In New Jersey, the state government passed legislation that redirected roughly $1 billion annually in lottery proceeds to its pension funds, which helped steady its credit rating and contributed to outperformance for the state’s debt.

 

  At the sector level, transportation was the largest contributor to performance.

 

  The Fund’s investments in lower-rated issues, which outpaced the broader market, also aided returns.

 

  Holdings in longer-term bonds added value, as this segment strongly outperformed. Conversely, positions in short- and intermediate maturity bonds detracted.

 

  The Fund sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Fund’s positioning had a positive effect on returns.

 

  On the negative side, the Fund’s higher-quality bias was a headwind to results at a time in which lower-quality issues outperformed.

 

  Reinvestment had an adverse effect on the Fund’s income, as the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at 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.

 

 

6    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents
Fund Summary  as of January 31, 2018 (continued)    BlackRock MuniHoldings Quality Fund II, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

    

01/31/18

     07/31/17      Change      High      Low  

Market Price

  $ 12.91      $ 14.17        (8.89 )%     $
14.31
 
   $
12.89
 

Net Asset Value

    13.82        14.19        (2.61     
14.29
 
    
13.82
 

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

 

LOGO

Overview of the Fund’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

  01/31/18     07/31/17  

Transportation

    35     41

County/City/Special District/School District

    24       22  

Utilities

    13       13  

Health

    11       11  

Education

    7       3  

State

    5       6  

Housing

    3       2  

Tobacco

    1       1  

Corporate

    1       1  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    16

2019

    12  

2020

    2  

2021

    8  

2022

    5  

 

  (c)  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 ALLOCATION (a)

 

Credit Rating

 

01/31/18

    07/31/17  

AAA/Aaa

    7     7

AA/Aa

    54       55  

A

    27       29  

BBB/Baa

    8       7  

N/R

    4 (b)      2  

 

  (a)  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.  
  (b) The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% of the Fund’s total investments.  
 

 

 

FUND SUMMARY      7  


Table of Contents
Fund Summary  as of January 31, 2018    BlackRock MuniYield California Quality Fund, Inc.

 

Fund Overview

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

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

Fund Information

 

Symbol on NYSE

  MCA

Initial Offering Date

  October 30, 1992

Yield on Closing Market Price as of January 31, 2018 ($14.02)(a)

  5.01%

Tax Equivalent Yield(b)

  10.92%

Current Monthly Distribution per Common Share(c)

  $0.0585

Current Annualized Distribution per Common Share(c)

  $0.7020

Economic Leverage as of January 31, 2018(d)

  41%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 54.1%, 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.  
  (c)  The monthly distribution per Common Share, declared on March 1, 2018, was decreased to $0.0520 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.  
  (d)  Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, 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 Fund, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended January 31, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MCA(a)(b)

    (5.36 )%       0.52

Lipper California Municipal Debt Funds(c)

    (5.62 )%       0.03

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

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

Past performance is not indicative of future results.

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

 

  U.S. municipal bonds produced generally flat returns during the period, with income offsetting a modest decline in prices. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  California’s economy demonstrated impressive gains and outperformed the nation as a whole, with healthy gains in personal income, nonfarm employment and median housing values. These trends helped boost tax receipts and enabled the state to bring in revenues well above the level incorporated into the current budget. However, California underperformed the national indices due to questions about the long-term effects the federal tax reform bill could have on the supply-and-demand profile of the state’s municipal market.

 

  Positions in longer-dated securities contributed to performance, as yields on longer-maturity bonds rose less than those of short-term issues. (Prices and yields move in opposite directions.) In addition, longer-term debt generated higher income relative to other segments of the yield curve. Conversely, positions in shorter-dated and intermediate-term maturities underperformed.

 

  The Fund sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Fund’s positioning had a positive effect on returns.

 

  Positions in AA-rated securities, particularly those in the health care and school district sectors, made a further contribution. However, the Fund’s emphasis in higher-quality securities detracted from results as lower rated securities outperformed the broader market.

 

  The use of leverage helped performance by augmenting portfolio income, but it also exacerbated the impact of declining bond prices.

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    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents
Fund Summary  as of January 31, 2018 (continued)    BlackRock MuniYield California Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

    

01/31/18

     07/31/17      Change      High      Low  

Market Price

  $ 14.02      $ 15.18        (7.64 )%     $ 15.69      $ 13.93  

Net Asset Value

    15.43        15.73        (1.91      15.90        15.43  

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

 

LOGO

Overview of the Fund’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

01/31/18

    07/31/17  

County/City/Special District/School District

    33     36

Transportation

    18       15  

Health

    18       16  

Utilities

    17       17  

Education

    9       10  

State

    4       5  

Corporate

    1       1  

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

CALL/MATURITY SCHEDULE (b)

 

Calendar Year Ended December 31,

       

2018

    8

2019

    15  

2020

    6  

2021

    11  

2022

    3  

 

  (b) 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 ALLOCATION (a)

 

Credit Rating

 

01/31/18

    07/31/17  

AAA/Aaa

    11     7

AA/Aa

    72       80  

A

    12       11  

BBB/Baa

    2       1  

N/R

    3       1  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
 

 

 

FUND SUMMARY      9  


Table of Contents
Fund Summary  as of January 31, 2018    BlackRock MuniYield New York Quality Fund, Inc.

 

Fund Overview

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

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

Fund Information

 

Symbol on NYSE

  MYN

Initial Offering Date

  February 28, 1992

Yield on Closing Market Price as of January 31, 2018 ($12.55)(a)

  4.54%

Tax Equivalent Yield(b)

  9.01%

Current Monthly Distribution per Common Share(c)

  $0.0475

Current Annualized Distribution per Common Share(c)

  $0.5700

Economic Leverage as of January 31, 2018(d)

  40%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 49.6%, 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.  
  (c)  The distribution rate is not constant and is subject to change.  
  (d)  Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, 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 Fund, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended January 31, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MYN(a)(b)

    (3.06 )%       0.41

Lipper New York Municipal Debt Funds(c)

    (4.98 )%       (0.20 )% 

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

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

Past performance is not indicative of future results.

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

 

  U.S. municipal bonds produced generally flat returns during the period, with income offsetting a modest decline in prices. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  New York municipal bonds underperformed the national market. New issuance in the state was relatively robust compared to the nation as a whole, which contributed to the weaker performance. Unfortunately, much of the new issuance was concentrated in several large issuers in which the Fund already had positions, thereby limiting the opportunity set. New York’s overall economic trends continued to improve, albeit at a rate slightly below the national level. However, the state continued to enjoy a broad and diverse economic base. One area of potential concern was the capping of deductibility of state and local taxes due to recently enacted federal tax reform policies, which may reduce New York’s ability to raise taxes in the future.

 

  Portfolio income, enhanced by leverage, made the largest positive contribution to performance at a time in which bond prices fell. However, the use of leverage also exacerbated the effect of market weakness.

 

  The Fund sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Fund’s positioning had a positive effect on returns.

 

  Exposure to lower-rated issues (those rated A and below) helped results as this market segment outperformed higher-rated bonds.

 

  From a sector perspective, the Fund’s allocations to the education and transportation sectors were beneficial.

 

  The Fund’s positions in shorter-term bonds proved detrimental as rates increased the most in the two- to five-year portion of the yield curve. This allocation is largely comprised of advance-refunded bonds purchased in a higher-yield environment. Conversely, the Fund’s exposure to the long end of the yield curve was beneficial as rates increased less in this area.

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    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents
Fund Summary  as of January 31, 2018 (continued)    BlackRock MuniYield New York Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

    

01/31/18

     07/31/17      Change      High      Low  

Market Price

  $ 12.55      $ 13.26       
(5.35
)% 
   $ 13.42      $ 12.45  

Net Asset Value

    13.97        14.25       
(1.96

     14.40        13.97  

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

 

LOGO

Overview of the Fund’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

01/31/18

    07/31/17  

Transportation

    24     25

Education

    17       18  

State

    17       13  

County/City/Special District/School District

    17       18  

Utilities

    15       14  

Health

    5       6  

Housing

    2       3  

Corporate

    2       1  

Tobacco

    1       2  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    8

2019

    4  

2020

    6  

2021

    17  

2022

    8  

 

  (c)  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 ALLOCATION (a)

 

Credit Rating

 

01/31/18

    07/31/17  

AAA/Aaa

    19     20

AA/Aa

    51       55  

A

    19       19  

BBB/Baa

    5       5  

N/R(b)

    6       1  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (b) The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2018 and July 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and less than 1%, respectively, of the Fund’s total investments.  
 

 

 

FUND SUMMARY      11  


Table of Contents
Fund Summary  as of January 31, 2018    BlackRock MuniYield Quality Fund III, Inc.

 

Fund Overview

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

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

Fund Information

 

Symbol on NYSE

  MYI

Initial Offering Date

  March 27, 1992

Yield on Closing Market Price as of January 31, 2018 ($12.77)(a)

  5.50%

Tax Equivalent Yield(b)

  9.29%

Current Monthly Distribution per Common Share(c)

  $0.0585

Current Annualized Distribution per Common Share(c)

  $0.7020

Economic Leverage as of January 31, 2018(d)

  39%

 

  (a)  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.  
  (b)  Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, 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.  
  (c)  The distribution rate is not constant and is subject to change.  
  (d)  Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, 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 Fund, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended January 31, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MYI(a)(b)

    (10.41 )%       0.64

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    (6.00 )%       0.50

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.  
  (c)  Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.  

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

Past performance is not indicative of future results.

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

 

  U.S. municipal bonds produced generally flat returns during the period, with income offsetting a modest decline in prices. Stronger economic growth and concerns about emerging inflation pressures fueled expectations that the Fed would continue to tighten monetary policy, dampening returns across the fixed-income market.

 

  Portfolio income, enhanced by leverage, made the largest positive contribution to performance at a time in which bond prices fell. However, the use of leverage also exacerbated the effect of market weakness.

 

  The Fund sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose, as prices fell, this aspect of the Fund’s positioning had a positive effect on returns.

 

  Exposure to lower-rated issues (those rated A and below) helped results as this market segment outperformed higher-rated bonds. The Fund’s allocation to the transportation sector was also beneficial.

 

  The Fund’s positions in shorter-term bonds proved detrimental as rates increased the most in the two- to five-year portion of the yield curve. This allocation is largely comprised of advance-refunded bonds purchased in a higher-yield environment. Conversely, the Fund’s exposure to the long end of the yield curve was beneficial as rates increased less in this area.

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    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents
Fund Summary  as of January 31, 2018 (continued)    BlackRock MuniYield Quality Fund III, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     01/31/18      07/31/17      Change      High      Low  

Market Price

  $ 12.77      $ 14.66        (12.89 )%     $ 14.86      $ 12.76  

Net Asset Value

    14.17        14.48        (2.14      14.66        14.17  

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

 

LOGO

Overview of the Fund’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

  01/31/18     07/31/17  

Transportation

    26     27

State

    17       18  

Health

    16       13  

Utilities

    14       14  

County/City/Special District/School District

    12       15  

Education

    10       9  

Corporate

    3       2  

Tobacco

    1       1  

Housing

    1       1  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2018

    16

2019

    12  

2020

    2  

2021

    8  

2022

    5  

 

  (c)  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 ALLOCATION (a)

 

Credit Rating

  01/31/18     07/31/17  

AAA/Aaa

    7     11

AA/Aa

    52       54  

A

    20       21  

BBB/Baa

    14       12  

N/R(b)

    7       2  

 

  (a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.  
  (b)  The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2018 and July 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and less than 1%, respectively, of the Fund’s total investments.  
 

 

 

FUND SUMMARY      13  


Table of Contents

Schedule of Investments  (unaudited)

January 31, 2018

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds

   
Alabama — 2.1%  

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 06/01/19(a)

  $ 5,225     $ 5,537,768  

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

    940       1,044,641  
   

 

 

 
      6,582,409  
California — 22.6%  

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18(a)

    5,050       5,182,714  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/42

    2,865       3,147,747  

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

    465       466,800  

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

   

2nd, 5.50%, 05/01/28

    1,800       2,080,224  

2nd, 5.25%, 05/01/33

    1,410       1,595,077  

5.00%, 05/01/44

    1,860       2,064,805  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, Series A-1, AMT, 5.50%, 03/01/30

    4,045       4,463,293  

City of Sunnyvale California, Refunding RB, 5.25%, 04/01/20(a)

    2,800       3,020,808  

County of Riverside Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/40

    4,500       5,245,830  

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 07/01/18(a)

    3,500       3,561,180  

County of Ventura California Community College District, GO, Election of 2002, Series C, 5.50%, 08/01/18(a)

    3,175       3,241,040  

Emery Unified School District, GO, Election of 2010, Series A (AGM), 5.50%, 08/01/21(a)

    1,875       2,121,375  

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

    2,445       2,904,415  

Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 08/01/20(a)

    2,000       2,181,600  

Oceanside Unified School District, GO, Series A (AGC), 5.25%, 08/01/33

    1,675       1,706,004  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 08/01/21(a)

    2,670       3,025,724  

Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series J:

   

5.25%, 05/15/23(a)

    5,905       6,927,687  

5.25%, 05/15/38

    1,675       1,913,285  

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

   

5.50%, 11/01/30

    5,000       5,871,300  

5.50%, 11/01/31

    3,130       3,666,232  

5.50%, 11/01/33

    3,000       3,498,120  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 09/01/33

    1,260       1,447,198  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/40

    940       1,108,147  
   

 

 

 
      70,440,605  
Colorado — 2.1%  

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

   

5.50%, 11/15/28

    1,500       1,724,400  

5.50%, 11/15/30

    565       645,614  

5.50%, 11/15/31

    675       769,379  
Security   Par
(000)
    Value  
Colorado (continued)  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 05/15/19(a)

  $ 3,300     $ 3,485,328  
   

 

 

 
      6,624,721  
Connecticut — 0.4%  

Connecticut State Health & Educational Facility Authority, Refunding RB, Sacred Heart University Issue, Series I -1, 5.00%, 07/01/42

    1,015       1,143,123  
   

 

 

 
Florida — 20.6%  

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

    405       464,616  

County of Broward Florida Airport System Revenue, ARB, Series A, AMT:

   

5.13%, 10/01/38

    5,665       6,353,354  

5.00%, 10/01/45

    1,440       1,599,365  

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

    2,995       3,425,831  

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

    2,500       2,743,550  

County of Lee Florida HFA, RB, S/F Housing, Multi-County Program, Series A-2, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 6.00%, 09/01/40

    220       223,634  

County of Miami-Dade Florida, RB, Seaport Department:

   

Series A, 5.38%, 10/01/33

    1,765       2,000,451  

Series A, 5.50%, 10/01/42

    3,000       3,387,870  

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

    800       945,896  

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

    1,060       1,238,292  

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

    3,130       3,612,239  

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

   

Miami International Airport (AGM), 5.25%, 10/01/18(a)

    4,510       4,619,999  

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

    100       102,197  

Miami International Airport, Series A (AGM), 5.50%, 10/01/18(a)

    4,180       4,288,805  

Series A, 5.00%, 10/01/31

    5,155       5,664,005  

Series A, 5.00%, 10/01/32

    5,000       5,489,100  

County of Orange Florida School Board, COP, Series A (AGC), 5.50%, 08/01/19(a)

    7,600       8,047,260  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 06/01/32

    1,805       2,067,718  

Tohopekaliga Water Authority, Refunding RB, Series A, 5.25%, 10/01/21(a)

    6,965       7,844,819  
   

 

 

 
      64,119,001  
Hawaii — 1.7%  

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

   

5.25%, 08/01/25

    740       839,034  

5.25%, 08/01/26

    1,205       1,359,035  

State of Hawaii, Department of Transportation, RB, Series A, AMT, 5.00%, 07/01/45

    2,805       3,120,170  
   

 

 

 
      5,318,239  
Illinois — 15.2%  

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

   

5.00%, 01/01/41

    1,140       1,251,025  

5.50%, 01/01/28

    1,000       1,130,480  

5.50%, 01/01/29

    1,500       1,692,030  

5.38%, 01/01/33

    2,000       2,227,060  

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

   

3rd Lien, Series A, 5.75%, 01/01/21(a)

    1,680       1,875,653  

3rd Lien, Series A, 5.75%, 01/01/39

    320       352,554  

3rd Lien, Series C, 6.50%, 01/01/21(a)

    9,085       10,336,186  

Senior Lien, Series D, AMT, 5.00%, 01/01/42

    735       821,759  
 

 

 

14    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Illinois (continued)  

City of Chicago Illinois Transit Authority, RB:

   

Federal Transit Administration, Section 5309, Series A (AGC), 6.00%, 12/01/18(a)

  $ 3,400     $ 3,529,778  

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

    2,940       3,203,130  

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

    1,500       1,632,555  

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

    2,985       3,169,801  

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

   

5.25%, 12/01/30

    1,270       1,361,999  

5.50%, 12/01/38

    1,205       1,284,554  

5.25%, 12/01/43

    2,960       3,086,422  

Illinois Finance Authority, Refunding RB, Presence Health Network, Series C, 5.00%, 02/15/41

    975       1,072,373  

Railsplitter Tobacco Settlement Authority, RB(a):

   

5.50%, 06/01/21

    2,350       2,637,099  

6.00%, 06/01/21

    670       762,654  

State of Illinois, GO:

   

5.25%, 02/01/31

    1,495       1,575,835  

5.25%, 02/01/32

    2,320       2,442,937  

5.50%, 07/01/33

    1,000       1,059,850  

5.50%, 07/01/38

    700       740,159  
   

 

 

 
      47,245,893  
Indiana — 0.9%  

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC):

   

5.50%, 01/01/19(a)

    465       482,331  

5.50%, 01/01/38

    1,905       1,971,408  

State of Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 07/01/40

    460       495,158  
   

 

 

 
      2,948,897  
Louisiana — 2.0%  

City of New Orleans Aviation Board, ARB, General Airport North Terminal Project, Series B, AMT, 5.00%, 01/01/48

    1,275       1,417,226  

Lake Charles Louisiana Harbor & Terminal District, RB, Series B, AMT (AGM), 5.50%, 01/01/29

    2,225       2,535,966  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 05/15/29

    2,020       2,112,435  
   

 

 

 
      6,065,627  
Maryland — 0.9%  

County of Howard Maryland Housing Commission, RB, M/F Housing, Woodfield Oxford Square Apartments, 5.00%, 12/01/42

    2,450       2,751,178  
   

 

 

 
Massachusetts — 1.1%  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A:

   

5.00%, 01/01/47

    420       470,261  

5.25%, 01/01/42

    940       1,074,289  

Massachusetts Development Finance Agency, Refunding RB, Emerson College, Series A, 5.00%, 01/01/40

    1,025       1,165,712  

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

    830       853,049  
   

 

 

 
      3,563,311  
Michigan — 2.3%  

Hudsonville Michigan Public Schools, GO, School Building & Site (Q-SBLF), 5.25%, 05/01/21(a)

    3,420       3,789,292  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 09/01/18(a)

    3,115       3,238,260  
   

 

 

 
      7,027,552  
Security   Par
(000)
    Value  
Minnesota — 1.0%  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

   

6.50%, 11/15/18(a)

  $ 305     $ 317,112  

6.50%, 11/15/38

    1,670       1,732,675  

County of St. Paul Minnesota Housing & Redevelopment Authority, Refunding RB, Fairview Health Services, Series A, 4.00%, 11/15/43

    985       1,026,301  
   

 

 

 
      3,076,088  
Mississippi — 1.3%  

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

    2,225       2,740,488  

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 08/01/23(a)

    1,000       1,172,370  
   

 

 

 
      3,912,858  
Montana — 0.3%  

Montana State Board of Housing, RB, S/F, Series B-2:

   

3.38%, 12/01/37

    420       410,760  

3.50%, 12/01/42

    185       182,873  

3.60%, 12/01/47

    280       275,954  
   

 

 

 
      869,587  
Nevada — 4.3%  

City of Carson City Nevada, Refunding RB, Carson Tahoe Regional Healthcare Project, 5.00%, 09/01/42

    550       607,684  

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A (AGM), 5.25%, 07/01/39

    3,210       3,411,749  

County of Clark Nevada, GO, Limited Tax, 5.00%, 06/01/18(a)

    5,000       5,061,200  

County of Clark School District, GO, Refunding, Building, Series A, 5.00%, 06/15/25

    3,650       4,228,634  
   

 

 

 
      13,309,267  
New Jersey — 4.3%  

New Jersey EDA, RB, Goethals Bridge Replacement Project, AMT, Private Activity Bond:

   

5.38%, 01/01/43

    1,940       2,151,324  

(AGM), 5.00%, 01/01/31

    1,355       1,518,752  

New Jersey Health Care Facilities Financing Authority, RB, Virtua Health, Series A (AGC), 5.50%, 07/01/38

    3,400       3,569,422  

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

   

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

    2,930       3,026,954  

Series AA, 5.50%, 06/15/39

    3,040       3,261,251  
   

 

 

 
      13,527,703  
New York — 8.1%  

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

   

Fiscal 2009, 5.25%, 06/15/40

    6,930       7,261,462  

Water & Sewer System, 5.38%, 06/15/43

    2,220       2,440,934  

Hudson Yards Infrastructure Corp., RB, Senior, Fiscal 2012:

   

5.75%, 02/15/21(a)

    580       649,037  

5.75%, 02/15/47

    360       395,327  

Metropolitan Transportation Authority, RB:

   

Series A, 5.25%, 11/15/21(a)

    8,500       9,618,430  

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

    1,550       1,782,748  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 07/15/36

    2,000       2,200,580  

TSASC, Inc., Refunding RB, Series A, 5.00%, 06/01/41

    895       997,272  
   

 

 

 
      25,345,790  
Ohio — 0.9%  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 02/15/31

    2,500       2,847,525  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      15  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Oklahoma — 0.6%  

Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc., Cross Village Student Housing Project, Series A, 5.25%, 08/01/57

  $ 1,640     $ 1,799,310  
   

 

 

 
Pennsylvania — 3.5%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/36

    2,215       2,540,428  

Pennsylvania Housing Finance Agency, RB, S/F, Series 125B, 3.65%, 10/01/42

    3,890       3,815,312  

Pennsylvania Turnpike Commission, RB, Sub-Series B-1, 5.25%, 06/01/47

    500       565,715  

Township of Bristol Pennsylvania School District, GO:

   

5.25%, 06/01/37

    2,500       2,803,875  

5.25%, 06/01/43

    1,100       1,226,203  
   

 

 

 
      10,951,533  
South Carolina — 5.7%  

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

    3,760       4,370,812  

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

   

6.00%, 07/01/38

    2,940       3,387,144  

5.50%, 07/01/41

    2,500       2,814,100  

State of South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/50

    1,870       2,078,150  

State of South Carolina Public Service Authority, Refunding RB:

   

Series C, 5.00%, 12/01/46

    1,000       1,099,310  

Series E, 5.25%, 12/01/55

    3,500       3,908,555  
   

 

 

 
      17,658,071  
Tennessee — 1.1%  

Metropolitan Nashville Airport Authority, ARB, Series B, AMT, 5.00%, 07/01/40

    3,000       3,374,880  
   

 

 

 
Texas — 14.8%  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 03/01/37

    2,345       2,655,619  

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

   

6.00%, 05/15/19(a)

    6,345       6,705,523  

6.00%, 11/15/35

    355       375,359  

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

   

6.50%, 01/01/19(a)

    620       648,427  

6.50%, 07/01/37

    2,380       2,475,152  

Dallas Texas Area Rapid Transit, Refunding RB, Senior Lien(a):

   

5.25%, 12/01/18

    2,605       2,688,360  

5.25%, 12/01/18

    1,950       2,012,400  

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

   

Series A, 5.00%, 11/01/38

    1,615       1,722,817  

Series H, 5.00%, 11/01/37

    1,810       1,969,479  

Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33

    2,155       2,492,839  

North Texas Tollway Authority, RB, Special Projects, Series A, 5.50%, 09/01/21(a)

    5,480       6,165,767  

North Texas Tollway Authority, Refunding RB:

   

1st Tier System, Series K-2 (AGC), 6.00%, 01/01/19(a)

    1,000       1,041,330  

1st Tier-Series A, 5.00%, 01/01/43

    1,515       1,732,600  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/38

    1,070       1,212,192  

State of Texas, GO, Refunding, Transportation Commission-Mobility Fund, Series B, 5.00%, 10/01/36

    10,260       12,083,100  
   

 

 

 
      45,980,964  
Security   Par
(000)
    Value  
Vermont — 0.9%  

University of Vermont & State Agricultural College, Refunding RB, 5.00%, 10/01/43

  $ 2,535     $ 2,902,550  
   

 

 

 
Virginia — 2.5%  

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

    945       1,040,700  

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

    2,195       2,286,883  

Virginia Small Business Financing Authority, RB, Transform 66 P3 Project, AMT, 5.00%, 12/31/49

    4,000       4,423,360  
   

 

 

 
      7,750,943  
Washington — 2.7%  

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 02/01/21(a)

    2,400       2,648,688  

Port of Seattle Washington, ARB, Intermediate Lien, Series C, AMT, 5.00%, 05/01/37

    2,485       2,836,205  

Port of Seattle Washington, RB, Intermediate Lien, Series C, AMT, 5.00%, 05/01/42

    660       748,757  

State of Washington, GO, Various Purposes, Series B, 5.25%, 02/01/21(a)

    1,865       2,061,123  
   

 

 

 
      8,294,773  
Wyoming — 0.2%  

State of Wyoming Municipal Power Agency, Inc., Refunding RB, Series A (BAM), 5.00%, 01/01/42

    570       643,348  
   

 

 

 

Total Municipal Bonds — 124.1%
(Cost — $360,788,035)

 

    386,075,746  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(b)

 

California — 2.8%  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/47

    7,499       8,608,837  
   

 

 

 
Colorado — 3.0%  

Colorado Health Facilities Authority, RB, Catholic Health, Series C-3 (AGM), 5.10%, 04/29/18(a)

    9,410       9,492,855  
   

 

 

 
Connecticut — 1.1%  

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

    3,061       3,444,466  
   

 

 

 
District of Columbia — 0.6%  

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

    1,699       1,749,548  
   

 

 

 
Florida — 4.1%  

County of Miami-Dade Florida, GO, Building Better Communities Program, Series B-1, 6.00%, 07/01/18(a)

    12,500       12,742,562  
   

 

 

 
Illinois — 4.2%  

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

    3,967       4,075,773  

State of Illinois Toll Highway Authority, RB:

   

Series A, 5.00%, 01/01/40

    1,980       2,218,715  

Series B, 5.00%, 01/01/40

    6,148       6,899,904  
   

 

 

 
      13,194,392  
Maryland — 0.9%  

City of Baltimore Maryland, RB, Wastewater Project, Sub-Series A, 5.00%, 07/01/46

    2,499       2,848,220  
   

 

 

 
Nevada — 6.1%  

County of Clark Nevada Water Reclamation District, GO(a):

   

Limited Tax, 6.00%, 07/01/18

    10,000       10,194,050  

Series B, 5.50%, 07/01/19

    8,247       8,703,841  
   

 

 

 
      18,897,891  
 

 

 

16    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New Jersey — 1.7%  

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

  $ 3,639     $ 3,719,447  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(c)

    1,500       1,584,518  
   

 

 

 
      5,303,965  
New York — 7.2%  

City of New York New York Municipal Water Finance Authority, Refunding RB, Series FF, 5.00%, 06/15/45

    5,958       6,605,659  

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 01/15/39

    2,300       2,378,952  

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

    7,515       8,351,760  

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

    4,400       4,956,598  
   

 

 

 
      22,292,969  
Pennsylvania — 0.7%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38

    1,963       2,202,417  
   

 

 

 
Texas — 1.5%  

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

    4,296       4,746,050  
   

 

 

 
Utah — 0.8%  

City of Riverton Utah, RB, IHC Health Services, Inc., 5.00%, 08/15/41

    2,504       2,615,460  
Security   Shares/Par
(000)
    Value  
Virginia — 1.4%  

County of Fairfax Virginia EDA, RB, Metrorail Parking System Project, 5.00%, 04/01/47(c)

  $ 3,720     $ 4,278,707  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 36.1%
(Cost — $108,893,239)

 

    112,418,339  
   

 

 

 

Total Long-Term Investments — 160.2%
(Cost — $469,681,274)

 

    498,494,085  
   

 

 

 

Short-Term Securities — 0.2%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.59%(d)(e)

    433,400       433,444  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost — $ 433,444)

 

    433,444  
   

 

 

 

Total Investments — 160.4%
(Cost — $470,114,718)

 

    498,927,529  

Other Assets Less Liabilities — 1.9%

 

    6,180,091  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (20.2)%

 

    (62,967,195

VMTP Shares, at Liquidation Value — (42.1)%

 

    (131,000,000
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 311,140,425  
   

 

 

 

 

(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)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(c)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between May 7, 2018 to October 1, 2024, is $6,783,458. See Note 4 of the Notes to Financial Statements for details.
(d)  Annualized 7-day yield as of period end.
 
(e)  During the six months ended January 31, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/17
     Net
Activity
     Shares
Held at
01/31/18
     Value at
01/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     327,393        106,007        433,400      $ 433,444      $ 10,773      $ 1,859      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     44          03/20/18        $ 5,349        $ 124,751  

Long U.S. Treasury Bond

     68          03/20/18          10,051          314,312  

5-Year U.S. Treasury Note

     52          03/29/18          5,965          76,732  
                 

 

 

 
                  $ 515,795  
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      17  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
   Other
Contracts
     Total

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $515,795    $      $515,795
  

 

 

    

 

 

    

 

 

    

 

 

    

 

  

 

 

    

 

 

  (a)  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 January 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 296,251      $      $ 296,251  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $      $      $ 536,803      $      $ 536,803  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 21,048,234  

For more information about the Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 498,494,085        $             —        $ 498,494,085  

Short-Term Securities

     433,444                            433,444  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 433,444        $ 498,494,085        $        $ 498,927,529  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 515,795        $        $        $ 515,795  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each state or political subdivision.  
  (b)  Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (62,821,330      $             —        $ (62,821,330

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (193,821,330      $        $ (193,821,330
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

18    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) 

January 31, 2018

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds

 

California — 89.0%  
Corporate — 1.3%  

California Pollution Control Financing Authority, RB, San Jose Water Company Project, AMT, 4.75%, 11/01/46

  $ 4,000     $ 4,339,240  

City of Chula Vista California, Refunding RB, San Diego Gas & Electric, Series A, 5.88%, 02/15/34

    2,435       2,576,425  
   

 

 

 
      6,915,665  
County/City/Special District/School District — 30.7%  

Chaffey Joint Union High School District, GO, CAB, Election of 2012, Series C(a):

   

0.00%, 08/01/32

    250       151,783  

0.00%, 08/01/33

    500       288,925  

0.00%, 08/01/34

    505       278,311  

0.00%, 08/01/35

    545       286,365  

0.00%, 08/01/36

    500       250,470  

0.00%, 08/01/37

    650       310,186  

0.00%, 08/01/38

    630       286,499  

0.00%, 08/01/39

    750       325,230  

0.00%, 08/01/40

    1,850       765,696  

0.00%, 08/01/41

    305       120,463  

0.00%, 02/01/42

    350       134,631  

City & County of San Francisco California, COP, Port Facilities Project, Series C, AMT, 5.25%, 03/01/32

    1,050       1,183,203  

County of Kern California, COP, Capital Improvements Projects, Series A (AGC), 6.00%, 02/01/19(b)

    2,000       2,092,020  

County of Orange California Sanitation District, COP, Series A, 5.00%, 02/01/19(b)

    2,500       2,591,600  

County of Orange California Water District, COP, Refunding, 5.25%, 08/15/19(b)

    9,045       9,578,022  

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A, 6.00%, 03/01/21(b)

    2,755       3,117,916  

El Monte City School District, GO, Los Angeles Country, California Series B, 5.50%, 08/01/46

    4,265       5,166,365  

Fowler Unified School District, GO, Election of 2016, Series A (BAM), 5.25%, 08/01/46

    3,700       4,380,208  

Garden Grove Unified School District, GO, Election of 2010, Series C, 5.25%, 08/01/37

    2,725       3,130,289  

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

   

5.50%, 08/01/21

    2,165       2,449,481  

5.75%, 08/01/21

    8,400       9,574,908  

Grossmont California Healthcare District, GO, Election of 2006, Series B, 6.13%, 07/15/21(b)

    2,500       2,876,675  

Grossmont California Union High School District, GO, Election of 2008, Series C, 5.50%, 08/01/21(b)

    1,880       2,130,472  

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

    5,715       6,725,298  

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 04/01/19(b)

    2,075       2,173,583  

Mount San Antonio Community College District, GO, Refunding, Election of 2008, Series A, 5.00%, 08/01/34

    4,500       5,116,590  

Ohlone Community College District, GO, Election of 2010, Series A, 5.25%, 08/01/21(b)

    8,140       9,155,465  

Orchard School District, GO, Election of 2001, Series A (AGC), 5.00%, 08/01/19(b)

    7,490       7,886,970  

Perris Union High School District, GO, Election of 2012, Series B (BAM), 5.25%, 09/01/39

    2,715       3,146,332  

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

   

5.50%, 08/01/18

    2,000       2,041,600  

5.63%, 08/01/18

    4,500       4,596,390  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

Redlands Unified School District California, GO, Election of 2008 (AGM), 5.25%, 07/01/18(b)

  $ 5,000     $ 5,080,150  

Riverside County Public Financing Authority, Tax Allocation Bonds, Series A (BAM), 4.00%, 10/01/40

    2,455       2,567,120  

RNR School Financing Authority, Special Tax Bonds, Community Facilities Distric No. 92-1, Series A (BAM):

   

5.00%, 09/01/37

    1,500       1,710,825  

5.00%, 09/01/41

    3,000       3,390,300  

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

   

5.75%, 05/01/36

    2,570       2,579,021  

5.75%, 05/01/42

    4,500       5,015,790  

San Jose California Financing Authority, Refunding LRB, Civic Center Project, Series A:

   

5.00%, 06/01/32

    3,375       3,878,921  

5.00%, 06/01/39

    5,800       6,590,598  

San Juan Unified School District, GO, Election of 2002 (AGM), 5.00%, 08/01/20(b)

    6,475       7,023,432  

San Leandro California Unified School District, GO, Election of 2010, Series A, 5.75%, 08/01/41

    3,000       3,387,930  

Snowline Joint Unified School District, COP, Refunding, Refining Project (AGC), 5.75%, 09/01/19(b)

    5,600       5,977,608  

Walnut Valley Unified School District, GO, Election of 2007, Series B, 5.75%, 08/01/21(b)

    7,680       8,754,202  

Washington Township Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/38

    1,625       1,921,026  

West Contra Costa California Unified School District, GO:

   

Election of 2010, Series A (AGM), 5.25%, 08/01/41

    6,140       6,813,005  

Election of 2010, Series B, 5.50%, 08/01/39

    3,000       3,508,260  

Election of 2012, Series A, 5.50%, 08/01/39

    2,500       2,923,550  
   

 

 

 
      163,433,684  
Education — 3.2%  

California Municipal Finance Authority, RB, Emerson College, 6.00%, 01/01/22(b)

    2,750       3,197,012  

California Municipal Finance Authority, Refunding RB, University of La Verne, Series A, 5.00%, 06/01/36

    1,150       1,317,785  

California School Finance Authority, RB, Alliance for College-Ready Public Schools Projects, Series A, 5.00%, 07/01/36(c)

    755       832,365  

California School Finance Authority, Refunding RB, Aspire Public Schools — Obligated Group, 5.00%, 08/01/46(c)

    1,250       1,344,525  

California Statewide Communities Development Authority, Refunding RB:

   

CHF-Irvine LLC, 5.00%, 05/15/33

    2,625       2,991,004  

CHF-Irvine LLC, 5.00%, 05/15/35

    500       566,975  

CHF-Irvine LLC, 5.00%, 05/15/40

    2,250       2,533,905  

University of California, RB, 5.25%, 05/15/36

    3,680       4,288,451  
   

 

 

 
      17,072,022  
Health — 11.6%  

California Health Facilities Financing Authority, RB:

   

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

    10,000       11,052,800  

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

    4,205       4,450,951  

Sutter Health, Series B, 6.00%, 08/15/42

    7,715       8,476,393  

California Health Facilities Financing Authority, Refunding RB, Series A:

   

Catholic Healthcare West, 6.00%, 07/01/19(b)

    5,500       5,848,865  

Dignity Health, 6.00%, 07/01/19(b)

    2,370       2,520,329  

Providence St.Joseph Health, 4.00%, 10/01/47

    4,855       5,001,912  

California Municipal Finance Authority, Refunding RB, Community Medical Centers, Series A, 5.00%, 02/01/42

    4,000       4,440,120  

California Statewide Communities Development Authority, RB, Sutter Health, Series A, 6.00%, 08/15/42

    5,130       5,636,280  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health (continued)  

California Statewide Communities Development Authority, Refunding RB:

   

Front Porch Communities and Services,
4.00%, 04/01/42

  $ 2,595     $ 2,656,969  

Front Porch Communities and Services,
4.00%, 04/01/47

    2,535       2,585,624  

Front Porch Communities and Services,
5.00%, 04/01/47

    3,305       3,698,890  

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

    2,860       3,165,877  

City of Upland California, COP, Refunding San Antonio Regional Hospital, 4.00%, 01/01/42

    2,295       2,332,569  
   

 

 

 
      61,867,579  
State — 6.6%  

State of California, GO, Various Purposes:

   

6.00%, 03/01/33

    5,500       6,001,490  

6.00%, 04/01/38

    13,880       14,551,375  

6.00%, 11/01/39

    3,510       3,762,966  

State of California Public Works Board, LRB:

   

Department of Education, Riverside Campus Project, Series B, 6.50%, 04/01/19(b)

    3,670       3,888,769  

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

    2,575       3,002,553  

Various Capital Projects, Sub-Series I-1, 6.13%, 11/01/19(b)

    3,365       3,639,012  
   

 

 

 
      34,846,165  
Transportation — 23.1%  

Alameda Corridor Transportation Authority, Refunding RB, 2nd Subordinate Lien, Series B, 5.00%, 10/01/35

    1,500       1,700,400  

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

   

Series E, 6.00%, 05/01/39

    9,650       10,179,399  

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

    375       376,451  

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

    985       988,743  

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

   

2nd Series 34E (AGM), 5.75%, 05/01/18(b)

    3,500       3,537,065  

2nd Series A, 5.25%, 05/01/33

    1,900       2,149,394  

Series A, 5.00%, 05/01/40

    3,785       4,226,861  

Series A, 5.00%, 05/01/42

    7,715       8,759,148  

Series A, 5.00%, 05/01/44

    2,660       2,952,893  

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

   

2nd Series 32 (AGM), 5.75%, 05/01/18(b)

    2,285       2,309,198  

2nd Series 34 (AGM), 5.75%, 05/01/18(b)

    1,875       1,894,856  

2nd Series 34E (AGM), 5.75%, 05/01/18(b)

    840       848,786  

San Francisco International Airport, Series B, 5.00%, 05/01/46

    1,400       1,571,626  

City of Los Angeles California Department of Airports, ARB:

   

Los Angeles International Airoport, Sub-Series B, 5.00%, 05/15/40

    2,500       2,662,075  

Series D, AMT, 5.00%, 05/15/35

    2,000       2,254,380  

Series D, AMT, 5.00%, 05/15/36

    1,500       1,687,650  

Sub-Series A, AMT, 5.00%, 05/15/47

    2,990       3,401,245  

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Senior Series A, 5.25%, 05/15/29

    4,760       4,988,290  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, AMT:

   

Series A, 5.00%, 03/01/41

    3,075       3,492,554  

Series A, 5.00%, 03/01/47

    6,770       7,655,177  

Series A-1, 6.25%, 03/01/34

    1,400       1,582,700  
Security   Par
(000)
    Value  
Transportation (continued)  

County of Sacramento California, Refunding ARB, Senior Series A, 5.00%, 07/01/41

  $ 2,500     $ 2,859,300  

County of Sacramento California, ARB:

   

Senior Series B, AMT (AGM), 5.25%, 07/01/33

    7,000       7,108,080  

Subordinated & Passenger Facility Charges/Grant, Series C (AGC), 5.75%, 07/01/18(b)

    5,555       5,657,768  

County of Sacramento California Airport System Revenue, Refunding ARB, Airport System Subordinate Revenue, Sub-Series B, 5.00%, 07/01/41

    1,750       1,987,615  

County of San Bernardino California Transportation Authority, RB, Series A, 5.25%, 03/01/40

    4,500       5,213,205  

County of San Diego California Regional Airport Authority, Refunding ARB, Series B, 5.00%, 07/01/40

    6,350       6,784,213  

County of San Diego Regional Airport Authority, ARB, Subordinate, Series B, AMT, 5.00%, 07/01/42

    7,010       7,985,652  

County of San Diego Regional Airport Authority, RB, Subordinate, Series B, AMT, 5.00%, 07/01/47

    3,750       4,252,425  

Los Angeles Harbor Department, RB, Series B, 5.25%, 08/01/19(b)

    2,760       2,916,464  

Port of Los Angeles California Harbor Department, RB, Series B, 5.25%, 08/01/19(b)

    5,530       5,843,496  

Port of Los Angeles California Harbor Department, Refunding RB, Series A, AMT, 5.00%, 08/01/44

    200       222,830  

San Diego Association of Governments South Bay Expressway Revenue, RB, Senior Lien, Series A:

   

5.00%, 07/01/37

    885       1,030,786  

5.00%, 07/01/38

    1,150       1,336,358  
   

 

 

 
      122,417,083  
Utilities — 12.5%  

Anaheim Public Financing Authority, RB, Electric System Distribution Facilities, Series A, 5.38%, 04/01/21(b)

    5,000       5,588,150  

City of Los Angeles California Department of Water & Power, Refunding RB, Water System, Series A, 5.25%, 07/01/39

    8,000       8,837,600  

City of Los Angeles California Wastewater System Revenue, Refunding RB, Sub-Series A:

   

5.00%, 06/01/20(b)

    1,325       1,428,257  

5.00%, 06/01/28

    675       726,152  

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

    10,000       11,108,200  

City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, Series A:

   

5.25%, 11/01/19(b)

    6,280       6,696,866  

5.00%, 11/01/36

    3,335       3,827,246  

County of San Diego California Water Authority, COP, Refunding, Series A (AGM), 5.00%, 05/01/18(b)

    4,895       4,940,915  

Dublin-San Ramon Services District Water Revenue, Refunding RB, 6.00%, 02/01/21(b)

    4,000       4,514,320  

East Bay California Municipal Utility District Water System Revenue, Refunding RB, Sub-Series A, 5.00%, 06/01/20(b)

    5,000       5,401,600  

El Dorado Irrigation District/El Dorado County Water Agency, Refunding RB, Series A (AGM), 5.25%, 03/01/39

    5,000       5,737,650  

Imperial Irrigation District, Series A, Electric System Revenue(b):

   

5.13%, 11/01/18

    4,085       4,198,563  

5.13%, 11/01/18

    915       940,785  

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 05/15/19(b)

    2,000       2,099,860  
   

 

 

 
      66,046,164  
   

 

 

 

Total Municipal Bonds — 89.0%
(Cost — $446,360,361)

 

    472,598,362  
   

 

 

 
 

 

 

20    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

California — 76.8%  
County/City/Special District/School District — 23.4%  

City of Los Angeles California Department of Airports, ARB, Los Angeles International Airport, Series B, AMT, 5.00%, 05/15/46

  $ 5,000     $ 5,624,725  

County of Riverside California Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45

    10,000       11,611,469  

County of San Luis California Obispo Community College District, GO, Refunding Election of 2014, Series A, 4.00%, 08/01/40

    6,585       6,895,914  

County of San Mateo California Community College District, GO, Election of 2014, Series A, 5.00%, 09/01/45

    17,615       20,375,360  

Fremont Union High School District, GO, Refunding Series A, 4.00%, 08/01/46

    5,000       5,266,675  

Los Angeles Community College District California, GO(b):

   

Election of 2003, Series F-1, 5.00%, 08/01/18

    12,000       12,202,920  

Refunding Election of 2008, Series A, 6.00%, 08/01/19

    9,596       10,246,570  

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

    5,000       5,229,700  

Palomar Community College Distric, GO, Election of 2006, Series C, 5.00%, 08/01/44

    15,140       17,211,909  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/43

    10,005       11,534,298  

West Valley-Mission Community College District, GO, Election of 2012, Series B, 4.00%, 08/01/40

    17,000       17,954,975  
   

 

 

 
      124,154,515  
Education — 13.8%  

California State University, Refunding RB, Series A, 5.00%, 11/01/43

    13,002       14,935,759  

Los Rios Community College District, GO, Election of 2008, Series A, 5.00%, 08/01/20(b)

    11,000       11,916,905  

University of California, RB:

   

Series AM, 5.25%, 05/15/44

    9,210       10,689,955  

Series O, 5.75%, 05/15/19(b)

    11,192       11,810,735  

University of California, Refunding RB, Series I, 5.00%, 05/15/40

    21,105       24,003,505  
   

 

 

 
      73,356,859  
Health — 16.4%  

California Health Facilities Financing Authority, Refunding RB, Kaiser Permanent, Sub-Series A-2, 4.00%, 11/01/44

    13,280       13,839,686  

California Health Facilities Financing Authority, RB:

   

Lucile Salter Packard Children’s Hospital at Stanford, 5.00%, 11/15/56

    6,000       6,841,440  

Sutter Health, Series A, 5.00%, 08/15/52

    10,000       11,135,450  

California Health Facilities Financing Authority, Refunding RB:

   

Lucile Salter Packard Children’s Hospital, Series B, 5.00%, 08/15/55

    4,500       5,086,451  

Sutter Health, Series A, 5.00%, 08/15/43

    24,940       28,322,986  

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 04/01/42

    19,860       21,898,629  
   

 

 

 
      87,124,642  
Transportation — 8.3%  

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge(e):

   

4.00%, 04/01/42

    11,250       11,822,513  

4.00%, 04/01/49

    6,555       6,839,684  

City of Los Angeles California Department of Airports, ARB, Series D, AMT, 5.00%, 05/15/41

    13,312       14,880,314  

City of Los Angeles California Department of Airports, RB, AMT:

   

Los Angeles International Airport, Series B, 5.00%, 05/15/41

    3,641       4,113,871  
Security   Shares/Par
(000)
    Value  
Transportation (continued)  

Senior Revenue, Series A, 5.00%, 05/15/40

  $ 5,500     $ 6,157,250  
   

 

 

 
      43,813,632  
Utilities — 14.9%  

Anaheim Public Financing Authority, Refunding RB, Anaheim Convention Center Expansion Project, Series A:

   

5.00%, 05/01/39

    6,000       6,826,560  

5.00%, 05/01/46

    13,500       15,276,735  

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

    4,380       4,648,823  

City of Los Angeles California Wastewater System Revenue, RB, Green Bonds, Series A, 5.00%, 06/01/44

    6,290       7,109,461  

City of Sacramento California Water Revenue, RB, 5.25%, 09/01/47

    14,825       17,611,404  

County of San Diego California Water Authority Financing Corp., COP, Refunding Series A (AGM)(b):

   

5.00%, 05/01/18

    1,412       1,424,896  

5.00%, 05/01/18

    7,098       7,163,991  

Los Angeles Department of Water, Refunding RB, Series A, 5.00%, 07/01/46

    8,413       9,643,469  

Rancho Water District Financing Authority, Refunding RB, Series A (AGM)(b):

   

5.00%, 08/01/18

    3,729       3,797,667  

5.00%, 08/01/18

    5,548       5,650,441  
   

 

 

 
      79,153,447  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 76.8%
(Cost — $396,070,533)

 

    407,603,095  
   

 

 

 

Total Long-Term Investments — 165.8%
(Cost — $842,430,894)

 

    880,201,457  
   

 

 

 

Short-Term Securities — 0.4%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.59%(f)(g)

    2,448,927       2,449,172  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost — $2,449,155)

 

    2,449,172  
   

 

 

 

Total Investments — 166.2%
(Cost — $844,880,049)

 

    882,650,629  

Other Assets Less Liabilities — 1.9%

 

    10,715,530  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (36.8)%

 

    (196,207,099

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (31.3)%

 

    (166,233,927
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 530,925,133  
   

 

 

 

 

(a)  Zero-coupon bond.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  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)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(e)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreement, which expires on April 1, 2025, is $13,170,992. See Note 4 of the Notes to Financial Statements for details.
(f)  Annualized 7-day yield as of period end.
 

 

 

SCHEDULES OF INVESTMENTS      21  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

(g)  During the six months ended January 31, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/17
     Net
Activity
     Shares
Held at
01/31/18
     Value at
01/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     545,574        1,903,353        2,448,927      $ 2,449,172      $ 12,218      $ (1,488    $ (37
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     127          03/20/18        $ 15,440        $ 353,672  

Long U.S. Treasury Bond

     236          03/20/18          34,884          1,111,066  

5-Year U.S. Treasury Note

     70          03/29/18          8,030          114,239  
                 

 

 

 
                  $ 1,578,977  
                 

 

 

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
   Other
Contracts
     Total

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $1,578,977    $      $1,578,977
  

 

 

    

 

 

    

 

 

    

 

 

    

 

  

 

 

    

 

 

  (a)  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 January 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 420,826      $      $ 420,826  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $      $      $ 1,655,310      $      $ 1,655,310  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 53,646,469  

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

 

 

22    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 880,201,457        $        $ 880,201,457  

Short-Term Securities

     2,449,172                            2,449,172  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,449,172        $ 880,201,457        $        $ 882,650,629  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 1,578,977        $        $             —        $ 1,578,977  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each sector.  
  (b)  Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (195,462,579      $        $ (195,462,579

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (361,962,579      $             —        $ (361,962,579
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      23  


Table of Contents

Schedule of Investments  (unaudited)

January 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New York — 123.5%  
Corporate — 2.6%  

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 07/01/28

  $ 930     $ 1,004,335  

County of Onondaga New York Industrial Development Agency, RB, Bristol-Meyers Squibb Co. Project, AMT, 5.75%, 03/01/24

    2,500       2,964,925  

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

    8,415       10,456,479  
   

 

 

 
      14,425,739  
County/City/Special District/School District — 19.1%  

City of New York New York, GO, Refunding, Series E, 5.50%, 08/01/25

    5,435       6,361,939  

City of New York New York, GO:

   

Series A-1, 5.00%, 08/01/35

    1,950       2,141,802  

Sub-Series A-1, 5.00%, 08/01/33

    2,100       2,384,256  

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

    8,350       9,208,714  

Sub-Series D-1, Fiscal 2014, 5.00%, 08/01/31

    1,300       1,484,613  

Refunding, Fiscal 2012, Series I, 5.00%, 08/01/32

    490       546,884  

Refunding, Fiscal 2014, Series E, 5.00%, 08/01/32

    2,040       2,321,765  

City of New York New York Convention Center Development Corp., RB, CAB, Sub Lien, Hotel Unit Fee, Series B(a):

   

0.00%, 11/15/46

    4,000       1,264,800  

(AGM), 0.00%, 11/15/56

    7,825       1,602,795  

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

   

5.00%, 11/15/40

    6,000       6,787,440  

5.00%, 11/15/45

    13,995       15,759,490  

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

   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/39(a)

    5,000       2,237,950  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/43(a)

    4,330       1,595,735  

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

    1,750       1,768,497  

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

    1,000       1,042,100  

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

    6,400       6,468,928  

Yankee Stadium Project (NPFGC), 5.00%, 03/01/36

    2,250       2,269,552  

Yankee Stadium Project (NPFGC), 5.00%, 03/01/46

    9,650       9,708,865  

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

   

5.25%, 05/01/31

    2,305       2,547,740  

5.25%, 05/01/32

    1,000       1,100,990  

Counties of Buffalo & Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project:

   

5.00%, 05/01/28

    750       885,338  

Series A, 5.00%, 05/01/29

    4,060       4,773,829  

County of Erie New York Fiscal Stability Authority, RB, Sales Tax and State Aid Secured Refunding Bonds, Series D:

   

5.00%, 09/01/35

    335       396,550  

5.00%, 09/01/36

    300       354,288  

5.00%, 09/01/37

    335       394,697  

5.00%, 09/01/38

    515       605,831  

5.00%, 09/01/39

    410       481,939  

County of Nassau New York, GO:

   

Series A, 5.00%, 01/15/31

    1,770       2,040,102  

Series B, 5.00%, 10/01/30

    95       110,184  

Hudson Yards Infrastructure Corp., Refunding RB, Series A:

   

2nd Indenture, 5.00%, 02/15/45

    2,150       2,460,653  

5.00%, 02/15/37

    610       703,318  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

New York Liberty Development Corp., Refunding RB:

   

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

  $ 2,570     $ 2,841,777  

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

    2,000       2,186,300  

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

    3,000       3,387,060  

7 World Trade Center Project, Class 1, 4.00%, 09/15/35

    1,090       1,153,165  

7 World Trade Center Project, Class 2, 5.00%, 09/15/43

    3,725       4,071,984  
   

 

 

 
      105,451,870  
Education — 23.1%  

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

   

5.00%, 12/01/31

    250       277,080  

5.00%, 12/01/32

    100       110,638  

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM), 4.63%, 10/01/20(b)

    2,000       2,157,120  

Build NYC Resource Corp., Refunding RB:

   

City University Queens College, Series A, 5.00%, 06/01/43

    525       590,263  

Manhattan College Project, 5.00%, 08/01/35

    545       622,401  

Manhattan College Project, 4.00%, 08/01/42

    975       1,006,931  

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

    110       111,639  

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

   

American Museum of Natural History, Series A, 5.00%, 07/01/37

    2,265       2,600,039  

American Museum of Natural History, Series A, 5.00%, 07/01/41

    825       946,506  

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

    3,550       3,716,033  

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

    2,150       2,264,122  

Museum of Modern Art, Series 1A, 5.00%, 10/01/18(b)

    1,000       1,024,290  

Wildlife Conservation Society, Series A, 5.00%, 08/01/42

    750       838,800  

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 09/01/40

    5,740       6,145,416  

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

    1,040       1,143,366  

County of Dutchess New York Local Development Corp., Refunding RB, Vassar College Project:

   

5.00%, 07/01/42

    1,180       1,361,814  

4.00%, 07/01/46

    2,235       2,322,098  

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

   

5.00%, 07/01/40

    815       918,570  

5.00%, 07/01/43

    2,940       3,301,179  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series B, 4.50%, 07/01/21(b)

    3,885       4,245,606  

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

   

Nazareth College of Rochester Project, 4.00%, 10/01/47

    350       347,690  

University of Rochester Project, Series A, 5.00%, 07/01/23(b)

    1,440       1,673,438  

University of Rochester Project, Series A, 4.00%, 07/01/39

    500       522,840  

University of Rochester Project, Series C, 4.00%, 07/01/43

    1,000       1,047,140  
 

 

 

24    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

University of Rochester Project, Series D, 4.00%, 07/01/43

  $ 545     $ 570,691  

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

   

5.00%, 12/01/30

    1,190       1,324,244  

5.00%, 12/01/36

    1,150       1,268,082  

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project, 5.38%, 09/01/41

    500       551,640  

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

   

5.25%, 01/01/21

    860       946,163  

5.50%, 01/01/21

    500       553,635  

County of Tompkins New York Industrial Development Agency, RB, Civic Facility Cornell University Project, Series A, 5.00%, 07/01/37

    675       725,787  

State of New York Dormitory Authority, RB:

   

Columbia University, Series A-2, 5.00%, 10/01/46

    1,250       1,650,262  

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

    2,075       2,309,392  

Fordham University, Series A, 5.00%, 07/01/21(b)

    325       360,536  

Fordham University, Series A, 5.50%, 07/01/21(b)

    1,550       1,745,083  

General Purpose, Series A, 5.00%, 02/15/36

    5,500       6,174,465  

New School (AGM), 5.50%, 07/01/20(b)

    4,050       4,417,456  

New York University Mount Sinai School of Medicine, 5.13%, 07/01/19(b)

    665       698,396  

New York University, Series 1 (AMBAC), 5.50%, 07/01/40

    4,580       6,019,219  

New York University, Series B, 5.00%, 07/01/19(b)

    1,000       1,049,200  

New York University, Series B, 5.00%, 07/01/37

    600       674,322  

New York University, Series B, 5.00%, 07/01/42

    3,240       3,626,791  

New York University, Series C, 5.00%, 07/01/18(b)

    2,000       2,030,420  

State University Dormitory Facilities, Series A, 5.00%, 07/01/35

    800       857,056  

State University Dormitory Facilities, Series A, 5.00%, 07/01/40

    2,035       2,177,145  

State University Dormitory Facilities, Series A, 5.00%, 07/01/41

    1,500       1,644,630  

State of New York Dormitory Authority, Refunding RB:

   

3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 05/15/29

    1,000       1,121,300  

Barnard College, Series A, 5.00%, 07/01/34

    1,150       1,319,131  

Barnard College, Series A, 4.00%, 07/01/37

    240       249,360  

Barnard College, Series A, 5.00%, 07/01/43

    2,500       2,814,175  

Cornell University, Series A, 5.00%, 07/01/40

    700       752,157  

Fordham University, 5.00%, 07/01/44

    2,130       2,388,710  

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 07/01/35

    1,380       1,541,791  

New York University, Series A, 5.00%, 07/01/31

    3,955       4,466,302  

New York University, Series A, 5.00%, 07/01/37

    4,775       5,366,479  

Pratt Institute, 5.00%, 07/01/46

    910       1,022,822  

Rochester Institute of Technology, 5.00%, 07/01/42

    750       824,588  

St. John’s University, Series A, 5.00%, 07/01/37

    2,240       2,502,618  

State University Dormitory Facilities, Series A, 5.25%, 07/01/30

    4,195       4,835,325  

State University Dormitory Facilities, Series A, 5.25%, 07/01/31

    8,735       10,058,702  

State University Dormitory Facilities, Series A, 5.00%, 07/01/42

    1,490       1,638,836  

State University Dormitory Facilities, Series A, 5.00%, 07/01/42

    2,315       2,663,523  

State University Dormitory Facilities, Series B, 5.00%, 07/01/32

    500       575,700  
Security   Par
(000)
    Value  
Education (continued)  

State University Dormitory Facilities, Series B, 5.00%, 07/01/33

  $ 1,140     $ 1,310,943  

Town of Hempstead New York Local Development Corp., Refunding RB, Hofstra University Project, 5.00%, 07/01/47

    1,645       1,868,243  
   

 

 

 
      127,990,339  
Health — 8.5%  

City of New York New York Health & Hospital Corp., Refunding RB, Health System, Series A, 5.00%, 02/15/30

    2,200       2,321,990  

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

   

5.50%, 04/01/34

    490       532,527  

5.50%, 04/01/30

    250       271,698  

County of Dutchess New York Local Development Corp., RB, Health Quest Systems, Inc., Series B, 4.00%, 07/01/41

    685       705,221  

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

   

4.00%, 12/01/41

    800       807,104  

5.00%, 12/01/46

    1,280       1,414,669  

Series A, 5.00%, 12/01/32

    830       903,530  

Series A, 5.00%, 12/01/37

    350       378,382  

County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 08/15/40

    5,650       6,254,324  

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 07/01/32

    625       688,225  

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

    1,790       1,920,491  

State of New York Dormitory Authority, RB:

   

Healthcare, Series A, 5.00%, 03/15/19(b)

    2,000       2,080,340  

New York University Hospitals Center, Series A, 5.75%, 07/01/20(b)

    3,450       3,783,339  

New York University Hospitals Center, Series A, 6.00%, 07/01/20(b)

    1,100       1,212,761  

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 05/01/19(b)

    2,075       2,178,708  

North Shore-Long Island Jewish Obligated Group, Series C, 4.25%, 05/01/39

    1,000       1,045,140  

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 05/01/39

    300       313,542  

State of New York Dormitory Authority, Refunding RB:

   

Memorial Sloan-Kettering Cancer Center, Series 1, 4.00%, 07/01/37

    350       372,890  

Memorial Sloan-Kettering Cancer Center, Series 1, 5.00%, 07/01/42

    845       971,251  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/21(b)

    4,000       4,411,200  

North Shore-Long Island Jewish Obligated Group, Series A, 5.25%, 05/01/21(b)

    9,220       10,240,285  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/32

    3,525       4,001,474  
   

 

 

 
      46,809,091  
Housing — 3.7%  

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

   

Fund Grant Program, New York City Housing Authority Program, Series B1, 5.25%, 07/01/32

    6,865       7,642,255  

Fund Grant Program, New York City Housing Authority Program, Series B1, 5.00%, 07/01/33

    1,675       1,836,822  

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

    750       752,002  
 

 

 

SCHEDULES OF INVESTMENTS      25  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing (continued)  

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

  $ 1,335     $ 1,345,026  

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

    840       843,629  

Series H-2-A, AMT, 5.35%, 05/01/41

    600       604,662  

City of New York New York Housing Development Corp., Refunding RB, M/F Housing, 8 Spruce Street, Class F, 4.50%, 02/15/48

    1,230       1,278,081  

City of Yonkers New York Industrial Development Agency, RB, Monastery Manor Associates LP Project, Series A, AMT (SONYMA), 5.25%, 04/01/37

    2,445       2,451,895  

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

   

6.13%, 02/01/20

    210       210,454  

6.25%, 02/01/31

    1,125       1,126,215  

State of New York HFA, RB, M/F Housing:

   

Affordable Series B (Ginnie Mae, Fannie Mae & Freddie Mac), 4.00%, 11/01/42

    1,045       1,077,562  

St. Philip’s Housing, Series A, AMT, 4.65%, 11/15/38

    1,500       1,501,020  
   

 

 

 
      20,669,623  
State — 16.8%  

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

   

Fiscal 2008, Series S-1, 4.50%, 01/15/38

    1,700       1,703,961  

Fiscal 2009, Series S-1 (AGC), 5.50%, 07/15/38

    6,000       6,114,420  

Fiscal 2009, Series S-4 (AGC), 5.50%, 01/15/33

    5,500       5,710,485  

Fiscal 2009, Series S-4 (AGC), 5.50%, 01/15/39

    1,500       1,555,815  

Fiscal 2015, Series S-1, 5.00%, 07/15/37

    2,000       2,289,800  

City of New York New York Transitional Finance Authority, Refunding RB, Fiscal 2018:

   

Series S-1, 5.00%, 07/15/35

    2,205       2,585,407  

Series S-2, 5.00%, 07/15/35

    1,455       1,706,017  

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

   

Fiscal 2014, Sub-Series A-1, 5.00%, 11/01/38

    1,000       1,137,040  

Fiscal 2014, Sub-Series B-1, 5.00%, 11/01/36

    1,690       1,932,904  

Fiscal 2016, Sub-Series B-1, 5.00%, 11/01/38

    4,000       4,657,320  

Series A-2, 5.00%, 08/01/39

    2,555       2,958,562  

Sub Series A-3, 5.00%, 08/01/41

    5,495       6,353,154  

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

    2,510       2,873,875  

Sub-Series F-1, 5.00%, 05/01/38

    4,120       4,759,342  

Sub-Series F-1, 5.00%, 05/01/39

    5,130       5,921,610  

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

    1,470       1,721,737  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

   

Series B, 5.00%, 11/15/19(b)

    1,500       1,593,240  

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

    3,465       3,971,029  

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

    3,835       4,212,709  

State of New York Dormitory Authority, RB:

   

General Purpose, Series A, 5.00%, 02/15/42

    3,000       3,431,850  

General Purpose, Series B, 5.00%, 03/15/37

    1,000       1,109,260  

General Purpose, Series B, 5.00%, 03/15/42

    7,500       8,300,700  

Master BOCES Program Lease (AGC), 5.00%, 08/15/19(b)

    1,750       1,843,205  

Sales Tax, Series A, 5.00%, 03/15/37

    565       657,490  

Sales Tax, Series A, 5.00%, 03/15/43

    2,290       2,649,003  

Series B, 5.00%, 03/15/37

    2,000       2,308,860  

State Personal Income Tax, Series A, 5.00%, 02/15/43

    1,000       1,113,590  

State of New York Dormitory Authority, Refunding RB, General Purpose, Series A, 5.00%, 02/15/38

    4,630       5,326,491  
Security   Par
(000)
    Value  
State (continued)  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/32

  $ 2,000     $ 2,257,280  
   

 

 

 
      92,756,156  
Tobacco — 2.4%  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through:

   

Series A, 5.00%, 06/01/41

    425       461,737  

Series A-2B, 5.00%, 06/01/51

    800       834,264  

Series B, 5.00%, 06/01/45

    1,820       1,931,875  

County of Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 4.75%, 06/01/39

    2,190       2,208,922  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed:

   

5.25%, 05/15/34

    1,650       1,859,154  

5.25%, 05/15/40

    2,250       2,521,530  

Westchester Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 4.00%, 06/01/42

    3,420       3,331,490  
   

 

 

 
      13,148,972  
Transportation — 31.0%  

Buffalo & Fort Erie Public Bridge Authority, RB, Toll Bridge System:

   

5.00%, 01/01/42

    1,115       1,268,625  

5.00%, 01/01/47

    430       487,461  

Metropolitan Transportation Authority, RB:

   

Green Bonds, Series A, 5.00%, 11/15/42

    3,500       4,045,090  

Series A, 5.00%, 11/15/21(b)

    1,000       1,122,440  

Series A, 5.00%, 05/15/23(b)

    1,000       1,159,550  

Series A-1, 5.25%, 11/15/23(b)

    2,565       3,036,729  

Series A-1, 5.25%, 11/15/23(b)

    2,840       3,362,304  

Series C, 6.50%, 11/15/28

    615       640,067  

Series D, 5.25%, 11/15/21(b)

    2,685       3,038,292  

Series D, 5.25%, 11/15/21(b)

    765       865,659  

Series E, 5.00%, 11/15/38

    7,785       8,782,414  

Series E, 5.00%, 11/15/43

    4,000       4,503,320  

Series H, 5.00%, 11/15/22(b)

    930       1,067,705  

Series H, 5.00%, 11/15/31

    760       852,104  

Sub-Series A-1, 5.00%, 11/15/45

    2,050       2,295,098  

Sub-Series B, 5.00%, 11/15/23(b)

    3,250       3,803,378  

Metropolitan Transportation Authority, Refunding RB:

   

Green Bonds, CAB, Series C-2, 0.00%, 11/15/39(a)

    7,060       3,089,244  

Green Bonds, Climate Bond Certified, Series B-1, 5.00%, 11/15/34

    2,120       2,498,844  

Green Bonds, Climate Bond Certified, Sub-Series B-2, 4.00%, 11/15/34

    3,000       3,197,580  

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

    2,610       2,976,209  

Series D, 5.25%, 11/15/20(b)

    1,000       1,099,910  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A:

   

5.00%, 11/15/56

    5,655       6,324,665  

5.00%, 11/15/51

    480       523,075  

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

    3,500       3,896,550  

New York Transportation Development Corp., ARB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT:

   

5.00%, 07/01/46

    6,615       7,204,198  

5.25%, 01/01/50

    8,385       9,211,090  

(AGM), 4.00%, 07/01/41

    1,575       1,620,770  

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

    820       841,107  
 

 

 

26    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Transportation (continued)  

Port Authority of New York & New Jersey, ARB:

   

Consolidated, 163rd Series, 5.00%, 07/15/35

  $ 2,500     $ 2,692,975  

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

    1,000       1,088,590  

Consolidated, 183rd Series, 4.00%, 06/15/44

    1,500       1,555,455  

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

    8,160       8,597,947  

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

   

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

    1,140       1,277,917  

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

    1,390       1,580,639  

Consolidated, 177th Series, AMT, 4.00%, 01/15/43

    735       749,553  

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

    750       833,903  

Consolidated, 186th Series, AMT, 5.00%, 10/15/44

    1,000       1,115,430  

Consolidated, 195th Series, AMT, 5.00%, 04/01/36

    1,500       1,704,045  

Consolidated, 200th Series, 5.00%, 04/15/57

    1,000       1,130,540  

Series G, JFK International Air Terminal (AGM), 5.75%, 12/01/25

    3,500       3,687,810  

State of New York Thruway Authority, RB, Junior Lien, Series A, 5.25%, 01/01/56

    2,940       3,373,856  

State of New York Thruway Authority, Refunding RB, General:

   

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

    10,000       10,026,600  

Series I, 5.00%, 01/01/37

    4,750       5,253,595  

Series I, 5.00%, 01/01/42

    3,250       3,566,355  

Series J, 5.00%, 01/01/41

    6,275       6,943,099  

Series K, 5.00%, 01/01/29

    2,225       2,588,409  

Series K, 5.00%, 01/01/31

    1,500       1,729,515  

Series K, 5.00%, 01/01/32

    3,500       4,028,360  

Triborough Bridge & Tunnel Authority, RB, Series B:

   

5.00%, 11/15/40

    1,010       1,165,207  

5.00%, 11/15/45

    1,500       1,721,445  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    9,590       5,842,324  

General, MTA Bridges & Tunnels, Series C-2, 5.00%, 11/15/42

    4,820       5,605,419  

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

    1,000       1,126,500  

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

    1,460       1,701,542  

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

    4,500       5,100,660  

General, Series C, 5.00%, 11/15/18(b)

    1,235       1,270,408  

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

    765       785,953  

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

    875       998,008  
   

 

 

 
      171,655,537  
Utilities — 16.3%  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, 2nd General Resolution, Fiscal 2017, Series DD, 5.25%, 06/15/47

    2,455       2,878,095  

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

   

Fiscal 2010, Series FF, 5.00%, 06/15/31

    1,500       1,612,635  

Fiscal 2011, Series BB, 5.00%, 06/15/31

    1,000       1,075,090  

Fiscal 2011, Series GG, 5.00%, 06/15/43

    1,000       1,095,550  

Fiscal 2015, Series HH, 5.00%, 06/15/39

    3,000       3,432,330  

Series DD, 5.00%, 06/15/32

    3,750       3,798,938  

City of New York New York Water & Sewer System, RB:

   

2nd General Resolution, Fiscal 2017, Series DD, 5.00%, 06/15/47

    3,785       4,348,322  

Sub-Series BB-1, 5.00%, 06/15/46

    2,750       3,169,540  

County of Western Nassau New York Water Authority, RB, Series A, 5.00%, 04/01/40

    1,185       1,322,152  

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

   

5.00%, 09/01/42

    1,410       1,611,701  

Series A (AGM), 5.00%, 05/01/21(b)

    3,775       4,169,374  

Long Island Power Authority, Refunding RB:

   

Electric System, Series A, 5.00%, 09/01/34

    1,000       1,126,880  
Security   Par
(000)
    Value  
Utilities (continued)  

Electric System, Series B, 5.00%, 09/01/41

  $ 590     $ 671,491  

Electric System, Series B, 5.00%, 09/01/46

    2,750       3,118,775  

Electric Systems, Series A (AGC), 5.75%, 04/01/19(b)

    1,015       1,065,293  

General, Electric Systems, Series A (AGC), 6.00%, 05/01/19(b)

    1,500       1,585,170  

State of New York Environmental Facilities Corp., RB, Green Bonds, Series B:

   

5.00%, 03/15/45

    5,145       5,892,311  

Revolving Funds, 5.00%, 09/15/40

    1,195       1,379,436  

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

   

Revolving Funds, New York City Municipal Water, Series B, 5.00%, 06/15/33

    1,040       1,052,750  

Revolving Funds, New York City Municipal Water, Series B, 5.00%, 06/15/36

    2,100       2,310,735  

Series A, 5.00%, 06/15/40

    4,275       4,987,001  

Series A, 5.00%, 06/15/45

    18,920       21,755,162  

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

    4,920       5,457,362  

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

    9,960       11,440,156  
   

 

 

 
      90,356,249  
   

 

 

 

Total Municipal Bonds in New York

 

    683,263,576  
   

 

 

 
Guam — 0.3%  
Utilities — 0.3%  

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

    1,380       1,501,854  
   

 

 

 

Total Municipal Bonds — 123.8%
(Cost — $648,882,256)

 

    684,765,430  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(c)

 

New York — 38.6%  
County/City/Special District/School District — 11.1%  

City of New York New York, GO, Refunding, Series E:

   

5.00%, 08/01/19(b)

    309       324,045  

5.00%, 08/01/27

    755       792,813  

5.00%, 08/01/29

    2,000       2,358,830  

City of New York New York, GO:

   

Sub-Series C-3 (AGC), 5.75%, 02/15/19(b)

    916       956,160  

Sub-Series C-3 (AGC), 5.75%, 08/15/28(d)

    13,484       14,077,800  

Sub-Series I-1, 5.00%, 03/01/36

    3,500       3,980,953  

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured, 5.00%, 11/15/32

    3,500       4,032,543  

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 02/15/47(d)

    9,739       10,676,423  

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

    18,000       20,004,216  

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 09/15/40

    3,645       4,043,386  
   

 

 

 
      61,247,169  
Education — 3.7%  

City of New York New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 08/01/33

    1,981       2,227,115  

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

   

5.00%, 07/01/18(b)

    6,498       6,590,317  
 

 

 

SCHEDULES OF INVESTMENTS      27  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

5.25%, 07/01/19(b)

  $ 6,000     $ 6,312,960  

5.00%, 07/01/35

    5,198       5,708,641  
   

 

 

 
      20,839,033  
State — 9.4%  

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

    4,125       4,551,401  

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A:

   

5.00%, 10/15/31

    7,995       9,323,583  

4.00%, 10/15/32

    8,000       8,787,080  

State of New York Dormitory Authority, ERB, Series B, 5.75%, 03/15/19(b)

    7,850       8,223,071  

State of New York Dormitory Authority, RB:

   

General Purpose, Series C, 5.00%, 03/15/41

    1,650       1,796,240  

Mental Health Services Facilities, Series C, AMT (AGM), 5.40%, 02/15/33

    6,297       6,423,383  

Series A, 5.00%, 03/15/44

    5,548       6,313,449  

State of New York Dormitory Authority, Refunding RB, Series E, 5.25%, 03/15/33

    4,500       5,312,520  

State of New York Urban Development Corp., Refunding RB, State Personal Income Tax, Series A, 5.00%, 03/15/45

    1,001       1,143,910  
   

 

 

 
      51,874,637  
Transportation — 7.5%  

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

   

194th Series, 5.25%, 10/15/55

    3,900       4,470,141  

Consolidated, Series 169th, 5.00%, 10/15/25

    7,990       8,810,850  

Consolidated, Series 169th, 5.00%, 10/15/26

    6,000       6,617,970  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 03/15/31

    3,940       4,362,397  

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

    15,000       17,197,575  
   

 

 

 
      41,458,933  
Utilities — 6.9%  

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

   

5.75%, 06/15/18(b)

    942       956,563  

5.75%, 06/15/40

    3,151       3,198,792  

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

   

Fiscal 2011, Series HH, 5.00%, 06/15/32

    9,900       10,885,842  
Security   Par
(000)/Shares
    Value  
Utilities (continued)  

Fiscal 2012, Series BB, 5.00%, 06/15/44

  $ 3,991     $ 4,415,827  

Series FF-2, 5.50%, 06/15/40

    2,760       2,904,210  

State of New York Environmental Facilities Corp., Refunding RB, Subordinated SRF Bonds, Series 2016 A, 4.00%, 06/15/46

    1,488       1,573,181  

Utility Debt Securitization Authority, Refunding RB:

   

5.00%, 12/15/41

    5,998       6,879,210  

Restructuring, 5.00%, 12/15/36

    3,498       4,073,508  

Restructuring, Series B, 4.00%, 12/15/35

    2,980       3,195,141  
   

 

 

 
      38,082,274  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 38.6%
(Cost — $205,398,681)

 

    213,502,046  
   

 

 

 

Total Long-Term Investments — 162.4%
(Cost — $854,280,937)

 

    898,267,476  
   

 

 

 

Short-Term Securities — 1.7%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.59%(e)(f)

    9,122,347       9,123,259  
   

 

 

 

Total Short-Term Securities — 1.7%
(Cost — $9,122,878)

 

    9,123,259  
   

 

 

 

Total Investments — 164.1%
(Cost — $863,403,815)

 

    907,390,735  

Other Assets Less Liabilities — 1.1%

 

    6,559,440  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (20.5)%

 

    (113,726,007

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (44.7)%

 

    (247,345,926
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 552,878,242  
   

 

 

 

 

(a)  Zero-coupon bond.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(d)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreement, which expire between September 6, 2018 and February 15, 2019, is $12,778,278. See Note 4 of the Notes to Financial Statements for details.
(e)  Annualized 7-day yield as of period end.
 
(f)  During the six months ended January 31, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
7/31/17
     Net
Activity
     Shares
Held at
01/31/18
     Value at
01/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     3,960,481        5,161,866        9,122,347      $ 9,123,259      $ 28,407      $ (385    $ (15
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

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

 

 

28    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

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

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     105          03/20/18        $ 12,766        $ 314,141  

5-Year U.S. Treasury Note

     82          03/29/18          9,406          133,607  

Long U.S. Treasury Bond

     193          03/20/18          28,528          975,242  
                 

 

 

 
                  $ 1,422,990  
                 

 

 

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
   Other
Contracts
     Total

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $1,422,990    $      $1,422,990
  

 

 

    

 

 

    

 

 

    

 

 

    

 

  

 

 

    

 

 

  (a)  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 January 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 179,647      $      $ 179,647  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $      $      $ 1,515,007      $      $ 1,515,007  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 52,175,344  

For more information about the Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 898,267,476        $             —        $ 898,267,476  

Short-Term Securities

     9,123,259                            9,123,259  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 9,123,259        $ 898,267,476        $        $ 907,390,735  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 1,422,990        $        $        $ 1,422,990  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each sector.  
  (b)  Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

 

 

SCHEDULES OF INVESTMENTS      29  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

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

 

The Fund 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  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (113,374,080      $             —        $ (113,374,080

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (361,074,080      $        $ (361,074,080
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

30    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 115.7%

 

Alabama — 1.0%  

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 06/01/19(a)

  $ 3,605     $ 3,820,795  

County of Tuscaloosa Board of Education, RB, Special Tax School Warrants, 5.00%, 02/01/43

    2,485       2,821,891  

Homewood Educational Building Authority, Refunding RB, Educational Facilities, Samford University, Series A, 5.00%, 12/01/47

    2,835       3,147,049  
   

 

 

 
      9,789,735  
Alaska — 1.4%  

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

    2,690       2,942,053  

Borough of Matanuska-Susitna Alaska, RB, Goose Creek Correctional Center (AGC)(a):

   

6.00%, 09/01/19

    6,450       6,899,500  

6.00%, 09/01/19

    3,700       3,960,850  
   

 

 

 
      13,802,403  
Arizona — 0.3%  

State of Arizona, COP, Department of Administration, Series A (AGM), 5.00%, 10/01/27

    3,075       3,240,189  
   

 

 

 
California — 10.5%  

California Health Facilities Financing Authority, RB:

   

St. Joseph Health System, Series A, 5.75%, 07/01/39

    1,550       1,636,413  

Sutter Health, Series B, 5.88%, 08/15/31

    3,200       3,509,280  

California Health Facilities Financing Authority, Refunding RB:

   

Kaiser Permanente, Sub-Series A-2, 5.00%, 11/01/47

    1,625       2,094,658  

St. Joseph Health System, Series A, 5.00%, 07/01/37

    2,965       3,323,735  

California State University, RB, Systemwide, Series A, 5.50%, 05/01/19(a)

    1,525       1,602,592  

California Statewide Communities Development Authority, RB:

   

Kaiser Permanente, Series A, 5.00%, 04/01/42

    4,030       4,446,097  

St. Joseph Health System, Series E (AGM), 5.25%, 07/01/18(a)

    4,000       4,064,960  

City & County of San Francisco California Airports Commission, Refunding ARB, Series A, AMT, 5.00%, 05/01/42

    530       601,730  

City of Redding California Electric System Revenue, COP, Refunding Series A, (AGM):

   

5.00%, 06/01/18(a)

    1,100       1,113,574  

5.00%, 06/01/30

    800       808,856  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, AMT:

   

Series A, 5.00%, 03/01/36

    1,160       1,326,332  

Series A, 5.00%, 03/01/37

    1,275       1,454,584  

Series A-1, 5.75%, 03/01/34

    2,300       2,544,030  

County of Sacramento California, ARB, Senior Series A, 5.00%, 07/01/18(a)

    10,000       10,150,000  

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A, 6.00%, 03/01/21(a)

    1,830       2,071,066  

Dublin Unified School District California, GO, CAB, Election of 2004, Series D, 0.00%, 08/01/34(b)

    5,000       1,892,750  

Grossmont Union High School District, GO, CAB, Election of 2004, 0.00%, 08/01/31(b)

    5,110       3,254,814  

Long Beach Unified School District, GO, CAB, Election of 2008, Series B, 0.00%, 08/01/34(b)

    5,000       2,775,450  
Security   Par
(000)
    Value  
California (continued)  

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 6.25%, 08/01/43(c)

  $ 3,975     $ 3,245,111  

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 08/01/38(b)

    7,620       3,273,552  

Oceanside Unified School District, GO, Series A (AGC), 5.25%, 08/01/33

    2,500       2,546,275  

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement, Election of 2008, Series B(b):

   

0.00%, 08/01/35

    7,820       4,124,424  

0.00%, 08/01/36

    10,000       5,048,000  

Rio Hondo Community College District California, GO, CAB, Election of 2004, Series C(b):

   

0.00%, 08/01/37

    8,000       3,914,320  

0.00%, 08/01/38

    12,940       6,042,333  

San Diego California Unified School District, GO, CAB, Election of 2008, Series G(b):

   

0.00%, 07/01/34

    1,860       885,155  

0.00%, 07/01/35

    1,970       880,334  

0.00%, 07/01/36

    2,960       1,242,164  

0.00%, 07/01/37

    1,975       778,565  

San Diego California Unified School District, GO, Refunding, CAB, Series R-1, 0.00%, 07/01/31(b)

    3,485       2,231,829  

San Marcos Unified School District, GO, Election of 2010, Series A(a):

   

5.00%, 08/01/21

    1,800       2,006,046  

5.00%, 08/01/21

    1,600       1,783,152  

State of California, GO, Refunding, Various Purposes:

   

5.00%, 09/01/41

    2,700       2,979,477  

5.00%, 10/01/41

    2,555       2,824,425  

State of California, GO, Series 2007-2 (NPFGC), 5.50%, 04/01/30

    10       10,036  

State of California Public Works Board, LRB, Various Capital Projects, Series I, 5.00%, 11/01/38

    5,040       5,687,438  

Walnut Valley Unified School District, GO, CAB, Election of 2007, Series B, 0.00%, 08/01/36(b)

    6,545       3,090,876  
   

 

 

 
      101,264,433  
Colorado — 1.0%  

Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/36

    1,500       1,690,215  

Rampart Range Metropolitan District No. 1, Refunding RB, (AGM), 5.00%, 12/01/47

    1,555       1,772,513  

Regional Transportation District, COP, Series A, 5.00%, 06/01/39

    5,655       6,263,931  
   

 

 

 
      9,726,659  
Florida — 14.9%  

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/47

    3,915       4,634,655  

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39

    4,535       4,933,445  

County of Broward Florida Airport System Revenue, RB, Series A , AMT, 5.00%, 10/01/40

    3,000       3,344,880  

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 07/01/18(a)

    13,100       13,313,792  

County of Broward Florida Water & Sewer Utility, Refunding RB, Series A, 5.25%, 10/01/18(a)

    2,250       2,307,915  

County of Highlands Florida Health Facilities Authority, RB, Adventist Health System/Sunbelt, Series B, 6.00%, 11/15/37

    1,750       1,873,760  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Florida (continued)  

County of Lee Florida, Refunding ARB, Series A, AMT:

   

5.63%, 10/01/26

  $ 2,600     $ 2,883,556  

5.38%, 10/01/32

    3,440       3,775,125  

County of Miami-Dade Florida, GO, Building Better Communities Program(a):

   

Series B, 6.38%, 07/01/18

    6,000       6,125,700  

Series B-1, 5.75%, 07/01/18

    3,700       3,768,006  

County of Miami-Dade Florida, RB, Seaport:

   

Department, Series A, 6.00%, 10/01/38

    5,695       6,659,391  

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

    1,165       1,377,461  

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

    1,865       2,178,693  

Series B, AMT, 6.00%, 10/01/30

    1,820       2,115,750  

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series C (BHAC), 6.00%, 10/01/18(a)

    20,095       20,711,515  

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

   

5.00%, 10/01/34

    530       596,298  

Miami International Airport, Series A (AGM), 5.50%, 10/01/18(a)

    19,020       19,515,091  

County of Miami-Dade Florida Educational Facilities Authority, RB, University of Miami, Series A, 5.00%, 04/01/40

    14,360       16,012,262  

County of Miami-Dade Florida Health Facilities Authority, Refunding RB, Nicklaus Children’s Hospital Project, 5.00%, 08/01/42

    1,675       1,879,685  

County of Miami-Dade Florida Transit System, RB, Surtax (AGM), 5.00%, 07/01/18(a)

    2,800       2,842,812  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project:

   

5.00%, 08/01/41

    1,550       1,705,419  

5.00%, 08/01/47

    4,590       5,035,643  

County of Palm Beach Florida Solid Waste Authority, Refunding RB, Series B:

   

5.00%, 10/01/21(a)

    50       55,685  

5.00%, 10/01/31

    3,050       3,378,454  

County of Sarasota Florida Public Hospital District, RB, Sarasota Memorial Hospital Project, Series A, 5.63%, 07/01/39

    5,135       5,384,304  

JEA Electric System Revenue, Refunding RB, Series B, 4.00%, 10/01/37

    4,000       4,209,600  

South Miami Health Facilities Authority, Refunding RB, Baptist Health South Florida Obligated Group, 5.00%, 08/15/42

    2,965       3,346,002  
   

 

 

 
      143,964,899  
Georgia — 0.4%  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 08/15/54

    1,405       1,630,460  

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

   

5.00%, 04/01/33

    395       433,777  

5.00%, 04/01/44

    1,775       1,928,573  
   

 

 

 
      3,992,810  
Hawaii — 1.5%  

State of Hawaii Department of Budget & Finance, Refunding RB, Hawaiian Electric Co., Inc. AMT, 4.00%, 03/01/37

    10,275       10,608,424  

State of Hawaii Department of Transportation, COP, AMT:

   

5.00%, 08/01/27

    2,000       2,220,580  

5.00%, 08/01/28

    1,775       1,964,108  
   

 

 

 
      14,793,112  
Security   Par
(000)
    Value  
Illinois — 13.0%  

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, AMT, Series B, 5.00%, 01/01/31

  $ 2,425     $ 2,615,799  

City of Chicago Illinois Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT, 5.00%, 01/01/34

    3,035       3,354,676  

City of Chicago Illinois O’Hare International Airport, ARB, Senior Lien, Series D, 5.25%, 01/01/42

    8,285       9,627,833  

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

   

3rd Lien, Series A, 5.75%, 01/01/21(a)

    7,555       8,434,855  

3rd Lien, Series A, 5.75%, 01/01/39

    1,445       1,592,000  

Senior Lien, Series D, AMT, 5.00%, 01/01/42

    2,865       3,203,185  

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

    1,620       1,764,990  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.13%, 12/01/38

    3,250       3,402,132  

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/37

    615       655,904  

Illinois Finance Authority, RB, Carle Foundation, Series A, 5.75%, 08/15/34

    8,700       9,682,839  

Illinois Finance Authority, Refunding RB:

   

Northwestern Memorial Hospital, Series A, 6.00%, 08/15/19(a)

    5,250       5,610,727  

Silver Cross Hospital & Medical Centers, Series C, 5.00%, 08/15/44

    985       1,049,843  

Illinois State Toll Highway Authority, RB, Series A, 5.00%, 01/01/42

    6,940       7,911,600  

Metropolitan Pier & Exposition Authority, RB, CAB, McCormick Place Expansion Project, Series A (NPFGC)(b):

   

0.00%, 12/15/26

    8,500       6,013,495  

0.00%, 06/15/32

    14,000       7,344,680  

0.00%, 12/15/33

    20,000       9,688,200  

0.00%, 12/15/34

    41,880       19,222,082  

Metropolitan Pier & Exposition Authority, Refunding RB, CAB, McCormick Place Expansion Project, Series B (AGM), 0.00%, 06/15/44(b)

    9,430       3,008,359  

Railsplitter Tobacco Settlement Authority, RB, 6.00%, 06/01/21(a)

    1,700       1,935,093  

Regional Transportation Authority, RB, Series C (NPFGC), 7.75%, 06/01/20

    560       604,100  

State of Illinois, GO:

   

5.25%, 07/01/29

    3,160       3,350,453  

5.25%, 02/01/33

    5,860       6,161,028  

5.50%, 07/01/33

    2,235       2,368,765  

5.25%, 02/01/34

    5,360       5,632,449  

5.50%, 07/01/38

    1,200       1,268,844  
   

 

 

 
      125,503,931  
Indiana — 2.7%  

City of Indianapolis Indiana, Refunding RB, Series B (AGC), 5.25%, 08/15/18(a)

    5,000       5,103,250  

Indiana Finance Authority, RB, Series A:

   

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

    2,900       3,216,100  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 07/01/44

    1,400       1,502,004  

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

    5,000       5,209,000  

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A:

   

5.75%, 01/01/19(a)

    565       587,340  

5.75%, 01/01/38

    2,335       2,422,749  

(AGC), 5.25%, 01/01/19(a)

    265       274,278  

(AGC), 5.50%, 01/01/19(a)

    830       860,934  
 

 

 

32    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Indiana (continued)  

(AGC), 5.25%, 01/01/29

  $ 1,085     $ 1,123,290  

(AGC), 5.50%, 01/01/38

    3,420       3,539,221  

State of Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 07/01/40

    2,425       2,610,343  
   

 

 

 
      26,448,509  
Iowa — 2.3%  

Iowa Finance Authority, RB, Iowa Health Care Facilities, Series A (AGC), 5.63%, 08/15/19(a)

    12,650       13,437,336  

Iowa Student Loan Liquidity Corp., RB, Senior Series A-2, AMT:

   

5.60%, 12/01/26

    2,015       2,130,198  

5.70%, 12/01/27

    2,010       2,113,555  

5.75%, 12/01/28

    1,065       1,119,698  

5.80%, 12/01/29

    1,360       1,428,204  

5.85%, 12/01/30

    1,415       1,486,868  
   

 

 

 
      21,715,859  
Kentucky — 2.0%  

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

    1,000       1,078,320  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 6.60%, 07/01/39(c)

    8,225       7,576,130  

Kentucky State Property & Building Commission, Refunding RB, Project No. 93, (AGC):

   

5.25%, 02/01/19(a)

    3,545       3,676,449  

5.25%, 02/01/19(a)

    5,315       5,512,080  

5.25%, 02/01/19(a)

    685       710,400  

5.25%, 02/01/28

    455       471,548  
   

 

 

 
      19,024,927  
Louisiana — 2.2%  

City of New Orleans Louisiana Aviation Board, ARB, Series B, AMT, 5.00%, 01/01/40

    4,825       5,309,430  

City of Shreveport Louisiana Water & Sewer Revenue, RB, Series A (AGM), 5.00%, 12/01/41

    1,645       1,879,560  

Jefferson Sales Tax District, RB, Series B (AGM):

   

5.00%, 12/01/34

    670       772,838  

5.00%, 12/01/35

    895       1,030,736  

5.00%, 12/01/36

    805       924,889  

5.00%, 12/01/37

    1,005       1,152,856  

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, East Baton Rouge Sewerage Commission Projects, Series A, 5.00%, 02/01/44

    8,155       9,077,249  

West Baton Rouge Parish School District No. 3, GO, (AGM), 5.00%, 03/01/37

    695       802,961  
   

 

 

 
      20,950,519  
Massachusetts — 1.9%  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 01/01/47

    5,950       6,662,036  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/43

    320       352,323  

Massachusetts HFA, RB, M/F Housing, Series B, 7.00%, 12/01/38

    3,150       3,231,428  

Massachusetts HFA, Refunding RB, AMT:

   

Series A, 4.45%, 12/01/42

    2,235       2,331,306  

Series C, 5.35%, 12/01/42

    1,710       1,757,487  

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior Series A, 5.00%, 05/15/43

    3,495       3,919,503  
   

 

 

 
      18,254,083  
Security   Par
(000)
    Value  
Michigan — 5.6%  

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM), 6.25%, 07/01/19(a)

  $ 1,075     $ 1,145,370  

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A, 5.50%, 07/01/41

    3,185       3,549,905  

Michigan Finance Authority, Refunding RB:

   

Henry Ford Health System, 3.25%, 11/15/42

    2,505       2,204,350  

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

    16,040       17,471,089  

Trinity Health Credit Group, 5.00%, 12/01/21(a)

    60       67,098  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, Beaumont Health Credit Group, Series D, 5.00%, 09/01/39

    1,330       1,452,333  

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

   

Series I, 6.25%, 10/15/18(a)

    1,890       1,952,616  

Series I, 6.25%, 10/15/18(a)

    1,130       1,167,437  

Series I, 6.25%, 10/15/38

    105       108,448  

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

    1,750       1,855,315  

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

    3,250       3,445,000  

Series I-A, 5.38%, 10/15/36

    2,075       2,318,958  

Series I-A, 5.38%, 10/15/41

    1,900       2,116,904  

Series II-A (AGM), 5.25%, 10/15/36

    8,040       8,949,565  

Wayne County Airport Authority, Refunding RB, AMT (AGC), 5.38%, 12/01/32

    5,000       5,137,750  

Western Michigan University, Refunding RB, General, University and College Improvements (AGM), 5.00%, 11/15/39

    1,080       1,220,843  
   

 

 

 
      54,162,981  
Minnesota — 0.6%  

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

   

6.50%, 11/15/18(a)

    845       878,555  

6.50%, 11/15/38

    4,655       4,829,702  
   

 

 

 
      5,708,257  
Missouri — 0.6%  

Health & Educational Facilities Authority of the State of Missouri, Refunding RB, Series C, 5.00%, 11/15/42

    5,000       5,661,000  
   

 

 

 
Nebraska — 0.8%  

Central Plains Energy Project Nebraska, RB, Gas Project No. 3, 5.25%, 09/01/37

    6,825       7,670,140  
   

 

 

 
Nevada — 1.0%  

City of Las Vegas Nevada, GO, Limited Tax, Performing Arts Center, 6.00%, 04/01/19(a)

    2,250       2,367,135  

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A:

   

5.25%, 07/01/42

    2,000       2,125,700  

(AGM), 5.25%, 07/01/39

    5,170       5,494,934  
   

 

 

 
      9,987,769  
New Jersey — 8.8%  

New Jersey EDA, RB:

   

Goethals Bridge Replacement Project, AMT, Private Activity Bond, 5.38%, 01/01/43

    4,920       5,455,936  

Goethals Bridge Replacement Project, AMT, Private Activity Bond, 5.13%, 01/01/34

    1,930       2,130,874  

School Facilities Construction Bonds, Series DDD, 5.00%, 06/15/42

    590       629,990  

Series WW, 5.25%, 06/15/33

    445       484,027  

Series WW, 5.00%, 06/15/34

    570       609,421  

Series WW, 5.00%, 06/15/36

    2,635       2,799,898  

Series WW, 5.25%, 06/15/40

    1,025       1,099,938  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New Jersey (continued)  

New Jersey EDA, Refunding RB, School Facilities Construction:

   

Series N-1 (AMBAC), 5.50%, 09/01/24

  $ 6,325     $ 7,193,929  

Series N-1 (NPFGC), 5.50%, 09/01/28

    1,685       1,980,802  

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

   

5.50%, 12/01/25

    750       812,535  

5.50%, 12/01/26

    1,085       1,162,512  

5.75%, 12/01/28

    120       129,594  

5.88%, 12/01/33

    6,895       7,497,554  

New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series 2, AMT, 4.35%, 11/01/33

    2,645       2,758,894  

New Jersey Transportation Trust Fund Authority, RB:

   

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

    18,525       8,349,217  

CAB, Transportation System, Series C (AGC) (AMBAC), 0.00%, 12/15/25(b)

    8,550       6,397,281  

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 06/15/28

    4,205       4,671,923  

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 06/15/29

    2,145       2,370,053  

Transportation Program, Series AA, 5.25%, 06/15/33

    4,150       4,437,512  

Transportation Program, Series AA, 5.00%, 06/15/38

    3,990       4,223,694  

Transportation System, Series A, 5.50%, 06/15/41

    2,980       3,162,883  

Transportation System, Series A (NPFGC), 5.75%, 06/15/25

    4,000       4,707,840  

Transportation System, Series AA, 5.50%, 06/15/39

    5,625       6,034,388  

Transportation System, Series B, 5.50%, 06/15/31

    1,000       1,071,880  

Transportation System, Series B, 5.00%, 06/15/42

    2,575       2,682,506  

Transportation System, Series D, 5.00%, 06/15/32

    1,825       1,947,147  
   

 

 

 
      84,802,228  
New Mexico — 0.1%  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 08/01/44

    1,040       1,163,167  
   

 

 

 
New York — 3.7%  

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

   

Fiscal 2009, Series S-4, 5.50%, 01/15/34

    7,250       7,534,562  

Future Tax Secured Fiscal, Sub-Series E-1, 5.00%, 02/01/37

    3,595       4,149,061  

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/32

    4,150       4,670,949  

Hudson Yards Infrastructure Corp., RB, Senior, Fiscal 2012:

   

5.75%, 02/15/21(a)

    1,190       1,331,646  

5.75%, 02/15/47

    730       801,635  

Metropolitan Transportation Authority, Refunding RB, Series B, 5.00%, 11/15/37

    3,855       4,433,597  

New York Transportation Development Corp., ARB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.25%, 01/01/50

    8,300       9,117,716  

State of New York Dormitory Authority, ERB, Series B, 5.25%, 03/15/19(a)

    3,250       3,387,703  
   

 

 

 
      35,426,869  
Ohio — 3.5%  

American Municipal Power, Inc., RB, Combined Hydroelectric Projects, Series A, 5.00%, 02/15/41

    2,000       2,230,780  

American Municipal Power, Inc., Refunding RB, Combined Hydroelectric Projects, Series A, 5.00%, 02/15/38

    2,035       2,275,903  
Security   Par
(000)
    Value  
Ohio (continued)  

County of Franklin Ohio, RB, Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

  $ 6,930     $ 7,827,574  

County of Lucas Ohio, Refunding RB, Promedica Healthcare, Series A, 6.50%, 11/15/21(a)

    3,000       3,522,150  

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

    11,135       12,212,422  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

   

5.25%, 02/15/32

    1,950       2,218,086  

5.25%, 02/15/33

    2,730       3,102,536  
   

 

 

 
      33,389,451  
Oregon — 0.5%  

Clackamas Community College District, GO, Convertible Deferred Interest Bonds, Series A, 5.00%, 06/15/38(c)

    425       435,493  

Counties of Washington & Multnomah Oregon School District No. 48J Beaverton, GO, Convertible CAB, Series D, 5.00%, 06/15/36(c)

    2,340       2,672,912  

County of Clackamas Community College District, GO, Convertible Deferred Interest Bonds, Series A, 5.00%, 06/15/39(c)

    395       404,417  

County of Clackamas Oregon Community College District, GO, Convertible Deferred Interest Bonds, Series A, 5.00%, 06/15/40(c)

    420       429,656  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 06/15/38(b)

    2,800       1,238,916  
   

 

 

 
      5,181,394  
Pennsylvania — 8.5%  

Commonwealth Financing Authority, RB, Series B, 5.00%, 06/01/42

    3,305       3,607,936  

Pennsylvania Economic Development Financing Authority, RB:

   

AMT, 5.00%, 12/31/34

    7,115       7,952,507  

AMT, 5.00%, 06/30/42

    6,805       7,543,002  

Pennsylvania Bridge Finco LP, 5.00%, 12/31/38

    5,850       6,497,888  

Pennsylvania Economic Development Financing Authority, Refunding RB, Series A, 4.00%, 11/15/42

    12,945       13,154,321  

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Thomas Jefferson University, Series A, 5.25%, 09/01/50

    8,075       9,034,794  

Pennsylvania Turnpike Commission, RB:

   

Series A, 5.00%, 12/01/38

    1,775       1,998,544  

Series A-1, 5.00%, 12/01/41

    2,320       2,605,128  

Series B, 5.00%, 12/01/40

    920       1,032,507  

Series C, 5.50%, 12/01/23(a)

    1,565       1,868,798  

Sub-Series B-1, 5.00%, 06/01/42

    7,330       8,142,970  

Sub-Series C (AGC), 6.25%, 06/01/18(a)

    5,695       5,788,113  

Subordinate, Special Motor License Fund, 6.00%, 12/01/20(a)

    2,575       2,867,546  

Pennsylvania Turnpike Commission, Refunding RB:

   

Motor Licenced Fund Enhancement, Second Series, 5.00%, 12/01/41

    3,940       4,434,785  

Motor Licenced Fund Enhancement, Third Series, 4.00%, 12/01/38

    3,500       3,597,370  

Series A-1, 5.00%, 12/01/40

    2,165       2,422,245  
   

 

 

 
      82,548,454  
Rhode Island — 1.8%  

Rhode Island Commerce Corp., RB, Airport Corp., Series D:

   

5.00%, 07/01/41

    295       329,506  

5.00%, 07/01/46

    325       361,507  

Rhode Island Health & Educational Building Corp., RB, Series A, 4.00%, 09/15/42

    5,515       5,715,581  
 

 

 

34    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Rhode Island (continued)  

Tobacco Settlement Financing Corp., Refunding RB, Series B:

   

4.50%, 06/01/45

  $ 3,000     $ 3,040,980  

5.00%, 06/01/50

    7,465       7,785,398  
   

 

 

 
      17,232,972  
South Carolina — 4.0%  

South Carolina Jobs EDA, Refunding RB, Palmetto Health, Series A (AGM), 6.50%, 08/01/39

    3,600       4,099,320  

State of South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/50

    6,530       7,256,854  

State of South Carolina Public Service Authority, RB, Santee Cooper:

   

Series A, 5.50%, 12/01/54

    9,350       10,425,624  

Series E, 5.50%, 12/01/53

    2,025       2,254,898  

State of South Carolina Public Service Authority, Refunding RB, Series B:

   

Santee Cooper, 5.00%, 12/01/38

    5,870       6,444,086  

(AGM), 5.00%, 12/01/56

    7,155       8,004,299  
   

 

 

 
      38,485,081  
Texas — 16.0%  

City of Houston Texas Combined Utility System Revenue, Refunding RB, 1st Lien:

   

Series B, 5.00%, 11/15/36

    7,110       8,200,816  

Combined Series A (AGC), 5.38%, 05/15/19(a)

    3,460       3,629,159  

Combined Series A (AGC), 6.00%, 05/15/19(a)

    5,400       5,706,828  

Combined Series A (AGC), 6.00%, 11/15/35

    300       317,205  

Combined Series A (AGC), 5.38%, 11/15/38

    190       198,865  

City of San Antonio Texas Electric & Gas Revenue, Refunding RB, 5.00%, 02/01/42

    7,450       8,598,194  

City of San Antonio Texas Electric & Gas Revenue, RB, Junior Lien, 5.00%, 02/01/38

    1,450       1,620,027  

County of Bexar Texas, GO, Refunding, 5.00%, 06/15/43

    3,335       3,790,961  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 09/15/36(b)

    5,810       2,707,634  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Cook Children’s Medical Center, 5.25%, 12/01/39

    2,095       2,339,927  

Dallas ISD, GO, School Building (PSF-GTD), 6.38%, 02/15/18(a)

    10,000       10,018,500  

Dallas-Fort Worth International Airport, ARB, Joint Improvement, Series D, AMT, 5.00%, 11/01/38

    10,980       11,939,213  

Dallas-Fort Worth International Airport, Refunding ARB, Series F:

   

5.25%, 11/01/33

    2,745       3,148,268  

5.00%, 11/01/35

    5,000       5,344,800  

Grand Parkway Transportation Corp., RB, Convertible CAB, Series B, 5.80%, 10/01/46(c)

    5,815       5,453,656  

Grand Prairie ISD, GO, Refunding, CAB, 0.00%, 08/15/18(a)(b)

    10,000       5,092,100  

Leander ISD, GO, Refunding, CAB, Series D (PSF-GTD), 0.00%, 08/15/38(b)

    9,685       4,011,624  

New Hope Cultural Education Facilities Finance Corp., Refunding RB, Children’s Health System, Series A, 4.00%, 08/15/40

    1,875       1,919,831  

North Texas Tollway Authority, RB, CAB, Special Project System, Series B, 0.00%, 09/01/31(a)(b)

    24,100       6,571,347  

North Texas Tollway Authority, Refunding RB:

   

1st Tier System, Series A, 6.00%, 01/01/19(a)

    5,100       5,308,386  

1st Tier System, Series A, 6.00%, 01/01/28

    1,175       1,222,141  

1st Tier-Series A, 5.00%, 01/01/43

    7,000       8,005,410  

2nd Tier-Series B, 5.00%, 01/01/43

    9,470       10,611,040  
Security   Par
(000)
    Value  
Texas (continued)  

Series A, 5.00%, 01/01/39

  $ 5,065     $ 5,705,368  

Series B, 5.00%, 01/01/40

    1,710       1,882,368  

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing & Expansion Project, CAB(b):

   

0.00%, 09/15/35

    680       303,906  

0.00%, 09/15/36

    12,195       5,133,120  

0.00%, 09/15/37

    8,730       3,456,294  

Texas Municipal Gas Acquisition & Supply Corp. III, RB, Natural Gas Utility Improvements:

   

5.00%, 12/15/31

    1,665       1,821,876  

5.00%, 12/15/32

    3,930       4,294,665  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, AMT, Blueridge Transportation Group, 5.00%, 12/31/45

    3,630       3,990,278  

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 08/15/41

    11,345       12,436,616  
   

 

 

 
      154,780,423  
Utah — 0.4%  

Salt Lake City Corp. Airport Revenue, ARB, Series A, AMT, 5.00%, 07/01/42

    3,490       3,945,550  
   

 

 

 
Virginia — 1.4%  

Hampton Roads Transportation Accountability Commission, RB, Senior Lien, Series A, 5.50%, 07/01/57(d)

    11,740       13,869,519  
   

 

 

 
Washington — 2.3%  

Port of Seattle Washington, RB, Intermediate Lien, Series C, AMT, 5.00%, 04/01/40

    2,830       3,142,376  

Washington Health Care Facilities Authority, RB:

   

MultiCare Health System, Remarketing, Series B, 5.00%, 08/15/44

    1,000       1,103,710  

Providence Health & Services, Series A, 5.25%, 10/01/39

    2,725       2,880,352  

Washington Health Care Facilities Authority, Refunding RB:

   

Catholic Health Initiatives, Series D, 6.38%, 10/01/36

    5,400       5,531,598  

Multicare Health System, Series B, 4.00%, 08/15/41

    9,000       9,224,550  
   

 

 

 
      21,882,586  
Wisconsin — 1.0%  

Public Finance Authority, RB, KU Campus Development Corp., Central District Development Project, 5.00%, 03/01/46

    560       624,086  

State of Wisconsin Health & Educational Facilities Authority, RB:

   

Ascension Health Senior Credit Group, Series E, 5.00%, 11/15/33

    3,745       3,921,502  

Marshfield Clinic Health System, Inc. Series C, 4.00%, 02/15/42

    5,000       5,007,450  
   

 

 

 
      9,553,038  
   

 

 

 

Total Municipal Bonds — 115.7%
(Cost — $1,044,944,121)

 

    1,117,922,947  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(e)

 

Arizona — 1.1%  

Arizona School Facilities Board, COP, (AGC), 5.13%, 09/01/18(a)(f)

    10,000       10,213,800  
   

 

 

 
California — 4.9%  

California State University, RB, Systemwide, Series A (AGM):

   

5.00%, 05/01/18(a)(f)

    7,793       7,866,168  

5.00%, 11/01/33

    204       205,836  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
California (continued)  

City of Riverside California Electric Revenue, RB, Issue D (AGM), 5.00%, 10/01/38

  $ 20,000     $ 20,427,150  

County of San Diego California Water Authority Financing Corp., COP, Refunding Series A (AGM)(a):

   

5.00%, 05/01/18

    1,554       1,568,893  

5.00%, 05/01/18

    7,816       7,887,967  

Los Angeles Community College District California, GO, Refunding Election of 2008, Series A, 6.00%, 08/01/19(a)

    5,248       5,603,593  

San Diego Community College District California, GO, Election of 2002, 5.25%, 08/01/19(a)

    1,047       1,105,770  

University of California, RB, Series O, 5.75%, 05/15/19(a)

    2,205       2,327,316  
   

 

 

 
      46,992,693  
Colorado — 0.3%  

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiatives, Series A, 5.50%, 07/01/34(f)

    2,469       2,568,924  
   

 

 

 
Connecticut — 0.5%  

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

    3,932       4,423,774  
   

 

 

 
District of Columbia — 1.5%  

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

    2,594       2,773,646  

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

    4,277       4,404,745  

Metropolitan Washington Airports Authority, Refunding ARB, Series A, AMT, 5.00%, 10/01/30

    6,880       7,655,995  
   

 

 

 
      14,834,386  
Florida — 6.3%  

City of Miami Beach Florida, RB, 5.00%, 09/01/45

    8,760       9,849,810  

City of Miami Beach Florida Stormwater Revenue, Refunding RB, 5.00%, 09/01/41

    10,000       11,510,519  

County of Miami-Dade Florida Transit System, Refunding RB, Sales Tax, 5.00%, 07/01/42

    4,840       5,318,990  

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/20(a)

    11,701       12,713,966  

County of Orange Florida School Board, COP, Series A (AGC), 5.50%, 08/01/19(a)

    12,013       12,712,164  

County of Pinellas Florida School Board, COP, Master Lease Program, Series A, 5.00%, 07/01/41

    7,880       8,956,211  
   

 

 

 
      61,061,660  
Illinois — 4.5%  

State of Illinois, RB, Build Illinois, Series B, 5.25%, 06/15/19(a)(f)

    3,499       3,674,664  

State of Illinois Finance Authority, RB, University of Chicago, Series B, 6.25%, 07/01/18(a)

    10,000       10,204,350  

State of Illinois Toll Highway Authority, RB:

   

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

    10,000       11,192,793  

Series A, 5.00%, 01/01/38

    5,836       6,488,100  

Series A, 5.00%, 01/01/40

    7,621       8,538,690  

Series B, 5.00%, 01/01/40

    2,939       3,298,491  
   

 

 

 
      43,397,088  
Kansas — 1.7%  

County of Wyandotte Kansas Unified School District, GO, Series A, 5.50%, 09/01/47

    13,470       16,168,357  
   

 

 

 
Massachusetts — 0.5%  

Commonwealth of Massachusetts, GO, Series A, 5.00%, 03/01/46

    4,204       4,743,375  
   

 

 

 
Michigan — 0.9%  

Michigan Finance Authority, RB, Beaumont Health Credit Group, Series A, 5.00%, 11/01/44

    5,591       6,183,133  
Security   Par
(000)
    Value  
Michigan (continued)  

Michigan State Building Authority, Refunding RB, Facilities Program, Series I, 5.00%, 10/15/45

  $ 2,410     $ 2,725,445  
   

 

 

 
      8,908,578  
Nevada — 1.7%  

County of Clark Nevada Water Reclamation District, GO, Series B(a):

   

5.50%, 07/01/19

    510       538,056  

5.75%, 07/01/19

    4,813       5,096,270  

Las Vegas Valley Water District Nevada, GO, Refunding, Water Improvement, Series A, 5.00%, 06/01/46

    9,840       11,308,546  
   

 

 

 
      16,942,872  
New Jersey — 2.0%  

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 05/01/51

    2,320       2,653,198  

Garden State Preservation Trust, RB, Election of 2005, Series A (AGM), 5.75%, 11/01/28

    10,000       11,902,600  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36(f)

    4,961       5,239,475  
   

 

 

 
      19,795,273  
New York — 8.8%  

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

   

Series DD, 5.00%, 06/15/35

    4,740       5,457,130  

Water & Sewer System, 2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 06/15/47

    15,521       17,444,562  

Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 06/15/18(a)

    2,586       2,615,013  

Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 06/15/37

    14,981       15,150,023  

Metropolitan Transportation Authority, RB, Sub-Series D-1, 5.25%, 11/15/44

    9,850       11,397,583  

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

    4,280       4,911,504  

New York State Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 03/15/43

    14,280       15,992,779  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 198th Series, 5.25%, 11/15/56

    6,402       7,410,528  

Triborough Bridge & Tunnel Authority, RB, General, Series A-2, 5.25%, 11/15/34(f)

    4,500       4,635,360  
   

 

 

 
      85,014,482  
Ohio — 0.7%  

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 04/28/18(a)

    4,990       5,033,463  

State of Ohio, RB, Cleveland Clinic Health Obligated Group, Series B, 5.50%, 01/01/34

    1,520       1,575,290  
   

 

 

 
      6,608,753  
Pennsylvania — 0.3%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/42

    2,560       2,862,733  
   

 

 

 
Texas — 5.9%  

Aldine Independent School District, GO, Refunding, (PSF-GTD), 5.00%, 02/15/42

    9,701       11,185,177  

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

    1,798       1,986,719  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Texas Health Resources System, Series A, 5.00%, 02/15/41

    9,840       11,122,373  
 

 

 

36    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Texas (continued)  

Dallas Fort Worth International Airport, ARB, Series H, AMT, 5.00%, 11/01/37(f)

  $ 8,868     $ 9,629,506  

Friendswood Independent School District, GO, Schoolhouse (PSF-GTD), 5.00%, 02/15/18(a)

    12,955       12,972,234  

Texas State University Systems, Refunding RB, 5.25%, 03/15/18(a)

    10,000       10,046,650  
   

 

 

 
      56,942,659  
Virginia — 0.4%  

University of Virginia, Refunding RB, GO, 5.00%, 06/01/18(a)

    3,944       3,991,280  
   

 

 

 
Washington — 1.0%  

Washington Health Care Facilities Authority, Refunding RB, Seattle Children’s Hospital, Series B, 5.00%, 10/01/38

    8,205       9,621,292  
   

 

 

 
Wisconsin — 2.7%  

State of Wisconsin, Refunding RB, Series A, 6.00%, 05/01/19(a)

    14,780       15,600,660  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group:

   

Series A, 5.00%, 04/01/42

    2,490       2,670,911  

Series C, 5.25%, 04/01/19(a)(f)

    7,459       7,779,656  
   

 

 

 
      26,051,227  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 45.7%
(Cost — $429,282,562)

 

    441,143,206  
   

 

 

 

Total Long-Term Investments — 161.4%
(Cost — $1,474,226,683)

 

    1,559,066,153  
   

 

 

 
Security   Shares         
Value
 

Short-Term Securities — 2.1%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.59%(g)(h)

    19,884,259     $ 19,886,247  
   

 

 

 

Total Short-Term Securities — 2.1%
(Cost — $ 19,885,347)

 

    19,886,247  
   

 

 

 

Total Investments — 163.5%
(Cost — $1,494,112,030)

 

    1,578,952,400  

Other Assets Less Liabilities — 0.5%

 

    5,390,860  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (27.2)%

 

    (262,441,097

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (36.8)%

 

    (355,932,994
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 965,969,169  
   

 

 

 

 

(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)  Zero-coupon bond.
(c)  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.
(d)  When-issued security.
(e)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(f)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between April 6, 2018 to November 1, 2019, is $32,233,114. See Note 4 of the Notes to Financial Statements for details.
(g)  Annualized 7-day yield as of period end.
 
(h)  During the six months ended January 31, 2018, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/17
     Net
Activity
     Shares
Held at
01/31/18
     Value at
01/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     10,345,820        9,538,439        19,884,259      $ 19,886,247      $ 90,081      $ (682    $ (1,642
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Includes net capital gain distributions, if applicable.  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value /
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     132          03/20/18        $ 16,048        $ 391,099  

Long U.S. Treasury Bond

     454          03/20/18          67,107          2,142,317  

5-Year U.S. Treasury Note

     73          03/29/18          8,374          112,395  
                 

 

 

 
                  $ 2,645,811  
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      37  


Table of Contents

Schedule of Investments  (unaudited) (continued)

January 31, 2018

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

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:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate
Contracts

     Other
Contracts
     Total

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 2,645,811      $      $2,645,811
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  (a)  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 January 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate
Contracts

     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 55,219      $      $ 55,219  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $      $      $ 2,795,770      $      $ 2,795,770  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 84,836,621  

For more information about the Fund’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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 1,559,066,153        $        $ 1,559,066,153  

Short-Term Securities

     19,886,247                            19,886,247  
  

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments

   $ 19,886,247        $ 1,559,066,153        $             —        $ 1,578,952,400  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 2,645,811        $        $        $ 2,645,811  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)  See above Schedule of Investments for values in each state or political subdivision.  
  (b)  Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.  

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (261,616,551      $        $ (261,616,551

VRDP Shares at Liquidation Value

              (356,400,000                 (356,400,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (618,016,551      $             —        $ (618,016,551
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

38    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Statements of Assets and Liabilities  (unaudited)

January 31, 2018

 

     MUE    

MCA

   

MYN

   

MYI

 

ASSETS

 

Investments at value — unaffiliated(a)

  $ 498,494,085     $ 880,201,457     $ 898,267,476     $ 1,559,066,153  

Investments at value — affiliated(b)

    433,444       2,449,172       9,123,259       19,886,247  

Cash pledged for futures contracts

    243,800       755,750       654,350       1,314,600  

Receivables:

 

Interest — unaffiliated

    5,516,410       12,962,025       8,923,975       17,135,129  

Investments sold

    2,402,912             50,000       11,680,800  

Variation margin on futures contracts

    9,250       16,688             17,375  

Dividends — affiliated

    4,569       1,246       5,421       17,250  

Prepaid expenses

    13,621       19,517       22,100       36,727  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    507,118,091       896,405,855       917,046,581       1,609,154,281  
 

 

 

   

 

 

   

 

 

   

 

 

 

ACCRUED LIABILITIES

 

Bank overdraft

    189,485       98,868       279,579       253,390  

Payables:

 

Income dividends — Common Shares

    1,441,329       2,012,735       1,880,363       3,986,557  

Investment advisory fees

    225,403       381,943       390,503       674,777  

Interest expense and fees

    145,865       744,520       351,927       824,546  

Variation margin on futures contracts

    29,750       103,251       62,812       198,625  

Directors’ and Officer’s fees

    3,788       281,890       296,623       510,079  

Investments purchased

                      18,907,017  

Other accrued expenses

    120,716       161,009       186,526       280,576  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total accrued liabilities

    2,156,336       3,784,216       3,448,333       25,635,567  
 

 

 

   

 

 

   

 

 

   

 

 

 

OTHER LIABILITIES

 

TOB Trust Certificates

    62,821,330       195,462,579       113,374,080       261,616,551  

VMTP Shares, at liquidation value of $100,000 per share(c)(d)

    131,000,000                    

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs(c)(d)

          166,233,927       247,345,926       355,932,994  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total other liabilities

    193,821,330       361,696,506       360,720,006       617,549,545  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    195,977,666       365,480,722       364,168,339       643,185,112  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 311,140,425     $ 530,925,133     $ 552,878,242     $ 965,969,169  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

 

Paid-in capital(e)(f)

  $ 296,730,542     $ 493,038,423     $ 527,849,631     $ 904,656,842  

Undistributed net investment income

    1,016,490       557,264       2,279,652       6,145,908  

Accumulated net realized loss

    (15,935,213     (2,020,111     (22,660,951     (32,319,762

Net unrealized appreciation (depreciation)

    29,328,606       39,349,557       45,409,910       87,486,181  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 311,140,425     $ 530,925,133     $ 552,878,242     $ 965,969,169  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, per Common Share

  $ 13.82     $ 15.43     $ 13.97     $ 14.17  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 469,681,274     $ 842,430,894     $ 854,280,937     $ 1,474,226,683  

(b) Investments at cost — affiliated

  $ 433,444     $ 2,449,155     $ 9,122,878     $ 19,885,347  

(c) Preferred Shares outstanding, par value $0.10 per share

    1,310       1,665       2,477       3,564  

(d) Preferred Shares authorized

    9,490       12,665       14,637       26,364  

(e) Common Shares outstanding, par value $0.10 per share

    22,520,759       34,405,717       39,586,584       68,150,681  

(f)  Common Shares authorized

    199,990,510       199,987,335       199,985,363       199,973,636  

See notes to financial statements.

 

 

39    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

 

Statements of Operations  (unaudited)

Six Months Ended January 31, 2018

 

     MUE    

MCA

   

MYN

   

MYI

 

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 11,368,433     $ 17,402,840     $ 17,458,930     $ 33,807,124  

Dividends — affiliated

    10,773       12,218       28,407       90,081  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    11,379,206       17,415,058       17,487,337       33,897,205  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    1,417,324       2,274,237       2,329,311       4,032,136  

Professional

    42,486       58,127       64,537       97,416  

Accounting services

    38,620       56,853       58,740       84,081  

Transfer agent

    15,844       16,916       20,283       37,185  

Directors and Officer

    15,242       31,639       33,046       57,350  

Custodian

    11,598       16,937       18,811       29,239  

Printing

    5,309       5,741       5,915       7,541  

Registration

    4,027       5,698       6,536       11,581  

Rating agency

    20,677       20,706       20,770       20,856  

Miscellaneous

    15,562       18,426       21,683       29,085  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,586,689       2,505,280       2,579,632       4,406,470  

Interest expense, fees and amortization of offering costs(a)

    1,839,936       3,185,140       3,297,358       5,538,086  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    3,426,625       5,690,420       5,876,990       9,944,556  

Less fees waived by the Manager

    (64,639     (1,521     (3,085     (9,575
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    3,361,986       5,688,899       5,873,905       9,934,981  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    8,017,220       11,726,159       11,613,432       23,962,224  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    165,117       (12,805     1,106,074       1,677,363  

Investments — affiliated

    1,013       (1,986     (2,752     (6,447

Futures contracts

    296,251       420,826       179,647       55,219  

Capital gain distributions from investment companies — affiliated

    846       498       2,367       5,765  
 

 

 

   

 

 

   

 

 

   

 

 

 
    463,227       406,533       1,285,336       1,731,900  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (8,720,001     (11,642,197     (13,365,433     (22,212,982

Investments — affiliated

          (37     (15     (1,642

Futures contracts

    536,803       1,655,310       1,515,007       2,795,770  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (8,183,198     (9,986,924     (11,850,441     (19,418,854
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (7,719,971     (9,580,391     (10,565,105     (17,686,954
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 297,249     $ 2,145,768     $ 1,048,327     $ 6,275,270  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Related to TOB Trusts, VMTP Shares and/or VRDP Shares.

See notes to financial statements.

 

 

40    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

Statements of Changes in Net Assets

 

    MUE            MCA  
    

Six Months Ended
01/31/18
(unaudited)

   

Year Ended
07/31/17

           

Six Months Ended
01/31/18
(unaudited)

   

Year Ended
07/31/17

 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

OPERATIONS

          

Net investment income

  $ 8,017,220     $ 16,780,598        $ 11,726,159     $ 25,202,616  

Net realized gain (loss)

    463,227       1,224,001          406,533       (3,261

Net change in unrealized appreciation (depreciation)

    (8,183,198     (20,793,364        (9,986,924     (32,315,965
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    297,249       (2,788,765        2,145,768       (7,116,610
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

          

From net investment income

    (8,647,981     (17,291,692        (12,523,681     (26,836,468

From net realized gain

                         (1,659,457
 

 

 

   

 

 

      

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (8,647,981     (17,291,692        (12,523,681     (28,495,925
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

          

Reinvestment of common distributions

    78,607                      151,954  
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

Total decrease in net assets applicable to Common Shareholders

    (8,272,125     (20,080,457        (10,377,913     (35,460,581

Beginning of period

    319,412,550       339,493,007          541,303,046       576,763,627  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 311,140,425     $ 319,412,550        $ 530,925,133     $ 541,303,046  
 

 

 

   

 

 

      

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 1,016,490     $ 1,647,251        $ 557,264     $ 1,354,786  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      41  


Table of Contents

Statements of Changes in Net Assets  (continued)

 

    MYN            MYI  
    

Six Months Ended
01/31/18
(unaudited)

   

Year Ended
07/31/17

           

Six Months Ended
01/31/18
(unaudited)

   

Year Ended
07/31/17

 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

OPERATIONS

          

Net investment income

  $ 11,613,432     $ 25,426,197        $ 23,962,224     $ 52,485,913  

Net realized gain

    1,285,336       3,142,849          1,731,900       3,162,460  

Net change in unrealized appreciation (depreciation)

    (11,850,441     (35,166,270        (19,418,854     (69,166,719
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    1,048,327       (6,597,224        6,275,270       (13,518,346
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

          

From net investment income

    (12,371,916     (25,728,944        (26,857,387     (55,560,635
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

          

Reinvestment of common distributions

                   957,599       1,440,983  
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

          

Total decrease in net assets applicable to Common Shareholders

    (11,323,589     (32,326,168        (19,624,518     (67,637,998

Beginning of period

    564,201,831       596,527,999          985,593,687       1,053,231,685  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of period

  $ 552,878,242     $ 564,201,831        $ 965,969,169     $ 985,593,687  
 

 

 

   

 

 

      

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 2,279,652     $ 3,038,136        $ 6,145,908     $ 9,041,071  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

42    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

Statements of Cash Flows  (unaudited)

Six Months Ended January 31, 2018

 

     MUE     MCA     MYN     MYI  

CASH PROVIDED BY OPERATION ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 297,249     $ 2,145,768     $ 1,048,327     $ 6,275,270  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

Proceeds from sales of long-term investments and principal paydowns

    41,936,188       95,358,431       54,588,453       152,283,731  

Purchases of long-term investments

    (42,688,516     (96,814,574     (52,352,442     (150,607,407

Net proceeds from sales (purchases) of short-term securities

    (104,908     (1,905,402     (5,163,961     (9,544,378

Amortization of premium and accretion of discount on investments and other fees

    1,002,761       2,984,889       2,753,154       114,377  

Net realized gain (loss) on investments

    (166,130     14,791       (1,103,322     (1,670,916

Net unrealized loss on investments

    8,720,001       11,642,234       13,365,448       22,214,624  
(Increase) Decrease in Assets:  

Cash pledged for futures contracts

    (42,000     (156,000     78,000       (148,000

Receivables:

 

Interest — unaffiliated

    (108,808     (211,528     (228,106     (460,541

Dividends — affiliated

    (4,454     4,329       (823     (7,941

Variation margin on futures contracts

    1,766       16,078       39,641       51,664  

Prepaid expenses

    3,923       2,127       533       (4,878
Increase (Decrease) in Liabilities:  

Payables:

 

Investment advisory fees

    (225,756     (370,406     (382,126     (652,343

Interest expense and fees

    41,030       203,719       91,853       214,731  

Decrease in Directors’ and Officer’s fees

    (723     (5,377     (5,797     (9,834

Variation margin on futures contracts

    29,750       103,251       62,812       198,625  

Other accrued expenses

    (86,486     (114,284     (106,956     (160,212
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    8,604,887       12,898,046       12,684,688       18,086,572  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH USED FOR FINANCING ACTIVITIES

 

Proceeds from TOB Trust Certificates

    1,277,500       16,804,998             18,255,882  

Repayments of TOB Trust Certificates

    (1,297,488     (16,829,999           (9,569,828

Proceeds from Loan for TOB Trust Certificates

    1,277,500                   1,184,828  

Repayments of Loan for TOB Trust Certificates

    (1,277,500                 (1,184,828

Cash dividends paid to Common Shareholders

    (8,569,019     (12,747,317     (12,629,229     (26,542,999

Decrease in bank overdraft

    (15,880     (131,495     (63,129     (239,711

Amortization of deferred offering costs

          5,767       7,670       10,084  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (8,604,887     (12,898,046     (12,684,688     (18,086,572
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

 

Net increase in cash

                       

Cash at beginning of period

                       
 

 

 

   

 

 

   

 

 

   

 

 

 

Cash at end of period

                       
 

 

 

   

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the period for interest expense

  $ 1,798,906     $ 2,975,654     $ 3,197,835     $ 5,313,271  
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

 

Capital shares issued in reinvestment of distributions paid to Common Shareholders

    78,607                   957,599  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      43  


Table of Contents

Financial Highlights

(For a share outstanding throughout each period)

 

    MUE  
    Six Months Ended
01/31/18
(Unaudited)
           Year Ended July 31,  
             2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 14.19              $ 15.08      $ 14.48      $ 14.42      $ 13.27      $ 15.18  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.36          0.75        0.78        0.80        0.82        0.81  

Net realized and unrealized gain (loss)

    (0.35        (0.87      0.63        0.09        1.18        (1.87
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

Net increase (decrease) from investment operations

    0.01          (0.12      1.41        0.89        2.00        (1.06
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.38        (0.77      (0.81      (0.83      (0.85      (0.85
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

Net asset value, end of period

  $ 13.82        $ 14.19      $ 15.08      $ 14.48      $ 14.42      $ 13.27  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.91        $ 14.17      $ 14.94      $ 13.13      $ 12.94      $ 12.32  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                  

Based on net asset value

    0.14 %(d)         (0.50 )%       10.33      6.84      16.19      (7.41 )% 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (6.32 )%(d)         0.29      20.55      7.96      12.30      (16.08 )% 
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                  

Total expenses

    2.14 %(e)         1.96      1.56      1.50      1.61      1.66
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived

    2.10 %(e)         1.92      1.55      1.49      1.56      1.60
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs(f)

    0.95 %(e)         0.95      0.95      0.96      0.95      0.97
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    5.01 %(e)         5.21      5.32      5.41      6.01      5.36
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets applicable to Common Shareholders, end of period (000)

  $ 311,140        $ 319,413      $ 339,493      $ 325,911      $ 324,563      $ 298,707  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 131,000        $ 131,000      $ 131,000      $ 131,000      $ 131,000      $ 131,000  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 337,512        $ 343,826      $ 359,155      $ 348,787      $ 347,758      $ 328,021  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 62,821        $ 62,841      $ 57,549      $ 51,795      $ 52,497      $ 81,123  
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    8        19      15      13      28      40
 

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)  Based on average Common Shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  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 at actual reinvestment prices.
(d)  Aggregate total return.
(e)  Annualized.
(f)  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.

See notes to financial statements.

 

 

44    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Financial Highlights

(For a share outstanding throughout each period)

 

    MCA  
    Six Months Ended
01/31/18
(Unaudited)
          Year Ended July 31,  
        2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 15.73             $ 16.77      $ 16.11      $ 16.14      $ 14.83      $ 16.60  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.34         0.73        0.81        0.83        0.87        0.88  

Net realized and unrealized gain (loss)

    (0.28       (0.94      0.70        0.02        1.35        (1.74
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.06         (0.21      1.51        0.85        2.22        (0.86
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Distributions to Common Shareholders:(b)                                              

From net investment income

    (0.36       (0.78      (0.85      (0.88      (0.91      (0.91

From net realized gain

            (0.05                            
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.36       (0.83      (0.85      (0.88      (0.91      (0.91
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 15.43       $ 15.73      $ 16.77      $ 16.11      $ 16.14      $ 14.83  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 14.02       $ 15.18      $ 16.75      $ 14.71      $ 14.37      $ 13.66  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    0.52 %(d)        (0.92 )%       9.84      5.76      16.04      (5.41 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (5.36 )%(d)        (4.26 )%       20.15      8.47      12.16      (12.83 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.09 %(e)        1.91      1.46      1.32      1.40      1.48
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived

    2.09 %(e)        1.91      1.46      1.32      1.40      1.48
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs(f)

    0.92 %(e)        0.92      0.89      0.86      0.90      0.92
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.30 %(e)        4.64      4.94      5.09      5.63      5.37
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 530,925       $ 541,303      $ 576,764      $ 554,060      $ 555,127      $ 510,018  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 166,500       $ 166,500      $ 166,500      $ 166,500      $ 166,500      $ 166,500  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 418,874       $ 425,107      $ 446,404      $ 432,769      $ 433,410      $ 406,317  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 195,463       $ 195,488      $ 176,433      $ 172,574      $ 127,397      $ 188,185  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    9       37      23      36      15      25
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)  Based on average Common Shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  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 at actual reinvestment prices.
(d)  Aggregate total return.
(e)  Annualized.
(f)  Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      45  


Table of Contents

Financial Highlights

(For a share outstanding throughout each period)

 

    MYN  
    Six Months Ended
01/31/18
(Unaudited)
          Year Ended July 31,  
        2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 14.25             $ 15.07      $ 14.16      $ 14.09      $ 13.17      $ 15.07  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.29         0.64        0.70        0.75        0.78        0.83  

Net realized and unrealized gain (loss)

    (0.26       (0.81      0.94        0.09        0.97        (1.88
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

Net increase (decrease) from investment operations

    0.03         (0.17      1.64        0.84        1.75        (1.05
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.31       (0.65      (0.73      (0.77      (0.83      (0.85
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 13.97       $ 14.25      $ 15.07      $ 14.16      $ 14.09      $ 13.17  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.55       $ 13.26      $ 14.40      $ 13.13      $ 12.71      $ 12.34  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

               

Based on net asset value

    0.41 %(d)        (0.69 )%       12.19      6.54      14.21      (7.33 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (3.06 )%(d)        (3.29 )%       15.60      9.52      9.95      (13.40 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.07 %(e)        1.93      1.51      1.44      1.50      1.53
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived

    2.07 %(e)        1.93      1.50      1.44      1.50      1.53
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs(f)

    0.91 %(e)        0.92      0.89      0.89      0.91      0.91
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.09 %(e)        4.52      4.79      5.22      5.82      5.59
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 552,878       $ 564,202      $ 596,528      $ 560,372      $ 557,606      $ 521,263  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 247,700       $ 247,700      $ 247,700      $ 247,700      $ 247,700      $ 247,700  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 323,205       $ 327,776      $ 340,827      $ 326,230      $ 325,114      $ 310,441  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 113,374       $ 113,374      $ 112,712      $ 93,113      $ 89,734      $ 108,615  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    6       13      15      20      18      10
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)  Based on average Common Shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  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 at actual reinvestment prices.
(d)  Aggregate total return.
(e)  Annualized.
(f)  Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

46    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Financial Highlights

(For a share outstanding throughout each period)

 

    MYI  
    Six Months Ended
01/31/18
(Unaudited)
          Year Ended July 31,  
      2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 14.48             $ 15.49      $ 14.79      $ 14.84      $ 13.64      $ 15.32  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.35         0.77        0.84        0.87        0.89        0.89  

Net realized and unrealized gain (loss)

    (0.27       (0.96      0.74        (0.03      1.18        (1.70
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.08         (0.19      1.58        0.84        2.07        (0.81
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.39       (0.82      (0.88      (0.89      (0.87      (0.87
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.17       $ 14.48      $ 15.49      $ 14.79      $ 14.84      $ 13.64  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.77       $ 14.66      $ 15.63      $ 14.04      $ 13.46      $ 12.80  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    0.64 %(d)        (1.02 )%       11.08      6.12      16.23      (5.66 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (10.41 )%(d)        (0.69 )%       18.07      11.06      12.35      (14.21 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.00 %(e)        1.85      1.45      1.39      1.47      1.43
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived

    2.00 %(e)        1.84      1.45      1.39      1.47      1.43
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs(f)

    0.88 %(e)        0.89      0.88      0.88      0.91      0.89
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.82 %(e)        5.30      5.60      5.78      6.35      5.83
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 965,969       $ 985,594      $ 1,053,232      $ 1,003,621      $ 1,007,291      $ 925,812  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 356,400       $ 356,400      $ 356,400      $ 356,400      $ 356,400      $ 356,400  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 371,035       $ 376,541      $ 395,520      $ 381,600      $ 382,629      $ 359,768  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 261,617       $ 252,930      $ 261,803      $ 244,245      $ 262,507      $ 287,426  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    10       16      10      11      15      9
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) Based on average Common Shares outstanding.
(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
(c)  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 at actual reinvestment prices.
(d)  Aggregate total return.
(e)  Annualized.
(f)  Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      47  


Table of Contents

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 “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRockMuniHoldings Quality Fund II, Inc.

  MUE    Maryland    Diversified

BlackRockMuniYield California Quality Fund, Inc.

  MCA    Maryland    Diversified

BlackRockMuniYield New York Quality Fund, Inc.

  MYN    Maryland    Non-diversified

BlackRockMuniYield Quality Fund III, Inc.

  MYI    Maryland    Diversified

The Boards of Directors of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Funds, 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 Fund 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:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.

Segregation and Collateralization: In cases where a Fund 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 Fund 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 Funds 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.

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 U.S. 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 Fund’s Board, the independent Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, if applicable. Deferred compensation liabilities are included in the directors’ and officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Funds’ presentation in the Statements of Cash Flows.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. 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.

 

 

48    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Funds’ 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 Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of each Fund (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 Fund’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”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant 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 techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

    Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund 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 Fund’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 or funds. 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.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’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 funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund 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 fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks

 

 

NOTES TO FINANCIAL STATEMENTS      49  


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain funds leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust 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 issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that 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 fund provide the fund 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 funds 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 a fund 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 funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are 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 are remarketed by a Remarketing Agent. In the event of a failed remarketing, 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 number of days the loan is outstanding.

The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a 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. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Funds) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.

While a fund’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. MCA, MYN and MYI’s management believes that the funds’ restrictions on borrowings do not apply to the funds’ TOB Trust transactions. Each fund’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 fund. A fund typically invests the cash received in additional municipal bonds.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a fund’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 fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a fund 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 fund 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. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:

 

     Interest Expense      Liquidity Fees      Other Expenses      Total  

MUE

  $ 331,392      $ 137,574      $ 49,130      $ 518,096  

MCA

    1,018,690        453,298        136,951        1,608,939  

MYN

    594,807        261,761        91,912        948,480  

MYI

    1,363,687        594,367        192,250        2,150,304  

For the six months ended January 31, 2018, the following table is a summary of each Fund’s TOB Trusts:

 

    

Underlying

Municipal Bonds

Transferred to

TOB Trusts (a)

    

Liability for

TOB Trust

Certificates (b)

    

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
 

MUE

  $ 112,418,339      $ 62,821,330        1.17% - 1.34%      $ 62,744,468        1.64

MCA

    407,603,095        195,462,579        1.17% - 1.36%        194,777,905        1.64  

MYN

    213,502,046        113,374,080        1.18% - 1.31%        103,374,080        1.66  

MYI

    441,143,206        261,616,551        1.17% - 1.80%        257,355,434        1.66  

 

  (a)  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 funds, 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 funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.  

 

 

50    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

  (b)  TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a fund invests in a TOB Trust on a recourse basis, a fund enters into a reimbursement agreement with the Liquidity Provider where a fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a fund invests in a recourse TOB Trust, a fund 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 fund at January 31, 2018, 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 fund at January 31, 2018.  

For the six months ended January 31, 2018, the following table is a summary of each fund’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
 

MUE

  $           $ 83,315        0.78

MYI

                  38,636        0.78  

 

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to 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: Futures contracts are purchased or sold 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 Funds 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 Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated 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 Funds 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 notional amount of the contract at the time it was opened and the notional amount 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 Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ 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 Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, each Fund pays the Manager a monthly fee, at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets:

 

     MUE      MCA      MYN      MYI  

Investment advisory fees

    0.55      0.50      0.50      0.50

For purposes of calculating these fees, “net assets” mean the total assets of a Fund minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). It is understood that the liquidation preference of any outstanding preferred shares (other than accumulated dividends) and TOB Trusts is not considered a liability in determining a Fund’s NAV.

Waivers: With respect to each Fund, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2018, the amounts waived were as follows:

 

     MUE      MCA      MYN      MYI  

Amounts waived

  $ 1,031      $ 1,521      $ 3,085      $ 9,575  

 

 

NOTES TO FINANCIAL STATEMENTS      51  


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2018. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. For the six months ended January 31, 2018, there were no such fees waived by the Manager.

The Manager, for MUE, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOB Trusts that exceed 35% of total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2018 the waiver was $63,608.

Directors and Officers: Certain Directors and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.

 

7. PURCHASES AND SALES

For the six months ended January 31, 2018, purchases and sales of investments, excluding short-term securities, were as follows:

 

     MUE      MCA      MYN      MYI  

Purchases

  $ 39,067,967      $ 84,417,944      $ 52,352,441      $ 169,514,424  

Sales

    44,339,098        95,358,431        51,866,943        163,964,531  

 

8. INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2017. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of January 31, 2018, 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 Funds’ financial statements.

As of July 31, 2017, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires July 31,   MUE      MYN      MYI  

No expiration date(a)

  $ 9,520,478      $ 17,179,778      $ 229,581  

2018

    6,013,130        3,370,191        26,460,028  

2019

           1,287,746         
 

 

 

    

 

 

    

 

 

 
  $ 15,533,608      $ 21,837,715      $ 26,689,609  
 

 

 

    

 

 

    

 

 

 

 

  (a)  Must be utilized prior to losses subject to expiration.  

As of January 31, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     MUE     MCA     MYN     MYI  

Tax cost

  $ 407,584,365     $ 649,799,176     $ 750,521,050     $ 1,236,000,383  
 

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 30,048,143     $ 39,927,597     $ 47,688,093     $ 90,389,009  

Gross unrealized depreciation

    (1,010,514     (959,746     (2,769,498     (6,407,732
 

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 29,037,629     $ 38,967,851     $ 44,918,595     $ 83,981,277  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

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 Fund’s ability to buy or sell bonds. As a result, a Fund 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 Fund 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 Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

 

 

52    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

Each Fund 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 Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund 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.

The Funds may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Funds reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Fund.

A Fund structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

Should short-term interest rates rise, the Funds’ investments in the TOB Trusts may adversely affect the Funds’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Funds’ NAVs per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). 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 Funds’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and the Funds, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty Credit Risk: The Funds 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 Funds 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 Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: MCA and MYN invest a substantial amount of their assets in issuers located in a single state or limited number of states. This may subject each Fund 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 Funds’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, MUE and MYI invested a significant portion of their assets in securities in the transportation sector. MCA invested a significant portion of its assets in securities in the county, city, special district and school district sector. Changes in economic conditions affecting such sectors would have a greater impact on the Funds and could affect the value, income and/or liquidity of positions in such securities.

Certain Funds 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.

 

10. CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s Common Shares is $0.10. The par value for each Fund’s Preferred Shares outstanding is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the 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:

 

     MUE      MCA      MYI  

Six Months Ended January 31, 2018

    5,535               65,843  

Year Ended July 31, 2017

           9,066        95,522  

 

 

NOTES TO FINANCIAL STATEMENTS      53  


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

For the six months ended January 31, 2018 and the year ended July 31, 2017, shares issued and outstanding remained constant for MYN.

Preferred Shares

Each Fund’s Preferred Shares rank prior to the Fund’s Common Shares as to the payment of dividends by the Fund and distribution of assets upon dissolution or liquidation of a Fund. The 1940 Act prohibits the declaration of any dividend on a Fund’s Common Shares or the repurchase of a Fund’s Common Shares if a Fund fails to maintain asset coverage of at least 200% of the liquidation preference of the Fund’s outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Fund is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Fund’s Preferred Shares or repurchasing such shares if a Fund fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the 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 Directors to the Board of each Fund. 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 Fund’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

MCA, MYN and MYI (collectively, the “VRDP Funds”), have issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in privately negotiated offerings. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended (the “Securities Act”). The VRDP Shares include a liquidity feature and are currently in a special rate period, each as described below.

As of period end, the VRDP Shares outstanding of each Fund were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Maturity
Date
 

MCA

    4/21/11        1,665      $ 166,500,000        5/01/41  

MYN

    4/21/11        2,477        247,700,000        5/01/41  

MYI

    5/19/11        3,564        356,400,000        6/01/41  

Redemption Terms: Each VRDP Fund is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Fund is required to begin to segregate liquid assets with the Fund’s custodian to fund the redemption. In addition, VRDP Funds are required to redeem certain of their outstanding VRDP Shares if they fail 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 each VRDP Fund. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Liquidity Feature: Each VRDP Fund entered into a fee agreement with the liquidity provider that requires an initial commitment and a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The fee agreement between each VRDP Fund and its respective liquidity provider is for a 364 day term and is scheduled to expire on July 5, 2018 unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and the VRDP Funds do not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, VRDP Funds are required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, VRDP Funds are required to begin to segregate liquid assets with their custodian to fund the redemption. There is no assurance the VRDP Funds will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: The VRDP Funds may incur remarketing fees of 0.10% on the aggregate principal amount of all the Fund’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), the VRDP Funds 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, MCA’s and MYN’s VRDP Shares were assigned a long-term rating of Aa2 and MYI’s 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 longterm rating of AAA from Fitch.

 

 

54    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

For the six months ended January 31, 2018, the annualized dividend rates for the VRDP Shares were as follows:

 

     MCA      MYN      MYI  

Rate

    1.88      1.88      1.89

Ratings: The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term rating. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories.

Special Rate Period: On June 21, 2012, each of the VRDP Funds commenced a three-year term ending June 24, 2015 (the “special rate period”) with respect to their VRDP Shares, during which the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. The special rate period has been extended each year for an additional one year term and is currently set to expire on June 20, 2018. Prior to June 20, 2018, the holder of the VRDP Shares and the VRDP Funds may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert 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 remain in effect and the VRDP Shares remain subject to mandatory redemption by the VRDP Funds 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, the VRDP Funds are 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. The VRDP Funds will not pay any fees to the liquidity provider and remarketing agent during the special rate period. The VRDP Funds will also pay dividends monthly based on the sum of the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

If the VRDP Funds redeem the VRDP Shares prior to 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 January 31, 2018, VRDP Shares issued and outstanding of each VRDP Fund remained constant.

VMTP Shares

MUE has issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in a 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 MUE may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing documents generally require the consent of the holders of VMTP Shares.

As of period end, the VMTP Shares outstanding of MUE were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Term
Redemption
Date
 

MUE

    12/16/11        1,310      $ 131,000,000        1/02/19  

Redemption Terms: MUE is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of MUE’s VMTP Shares will be extended further or that MUE’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 the term redemption date, MUE is required to begin to segregate liquid assets with MUE’s custodian to fund the redemption. In addition, MUE is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, MUE’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Fund. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If MUE 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 Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating 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 MUE fails 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 January 31, 2018, the average annualized dividend rate for MUE’s VMTP Shares was 2.01%.

 

 

NOTES TO FINANCIAL STATEMENTS      55  


Table of Contents

Notes to Financial Statements  (unaudited) (continued)

 

For the six months ended January 31, 2018, VMTP Shares issued and outstanding of MUE remained constant.

Offering Costs: The Funds incurred costs in connection with the issuance of VRDP 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 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 and VMTP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP 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 and VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP and VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP and VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP and VMTP Shares are included in interest expense, fees and amortization of offering costs in the Statements of Operations:

 

             Dividends
Accrued
     Deferred
Offering
Costs
Amortization
 

MUE

     $ 1,321,840      $  

MCA

       1,570,434        5,767  

MYN

       2,341,208        7,670  

MYI

             3,377,698        10,084  

 

11. SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend
Per Share
           Preferred Shares (c)  
     Paid (a)      Declared (b)            Shares      Series      Declared  

MUE

  $ 0.0640      $ 0.0540         VMTP        W-7      $ 204,755  

MCA

    0.0585        0.0520         VRDP        W-7        244,276  

MYN

    0.0475        0.0475         VRDP        W-7        363,406  

MYI

    0.0585        0.0585               VRDP        W-7        522,883  

 

  (a)  Net investment income dividend paid on March 1, 2018 to Common Shareholders of record on February 15, 2018.  
  (b)  Net investment income dividend declared on March 1, 2018, payable to Common Shareholders of record on March 15, 2018.  
  (c)  Dividends declared for period February 1, 2018 to February 28, 2018.  

 

 

56    2018 BLACKROCK SEMI-ANNUAL REPORT TO  SHAREHOLDERS


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Director and Officer Information

 

Richard E. Cavanagh, Chair of the Board and Director

Karen P. Robards, Vice Chair of the Board and Director

Michael J. Castellano, Director

Cynthia L. Egan, Director

Frank J. Fabozzi, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director

Catherine A. Lynch, Director

Barbara G. Novick, Director

John M. Perlowski, Director, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective December 31, 2017, Jerrold B. Harris retired as a Director of the Funds.

Effective February 16, 2018, Barbara G. Novick resigned, and Robert Fairbairn was appointed, as an Interested Director of the Funds.

 

Investment Adviser  

Transfer Agent

BlackRock Advisors, LLC  

Computershare Trust
Company, N.A.

Wilmington, DE 19809  

Canton, MA 02021

 
Accounting Agent and Custodian  

VRDP Tender and Paying Agent and VMTP Redemption and Paying Agent

State Street Bank and Trust Company  

The Bank of New York Mellon

Boston, MA 02111  

New York, NY 10286

 
 

VRDP Liquidity Provider

 

Citibank, N.A.

 

New York, NY 10179

 
 

VRDP Remarketing Agent

 

Citigroup Global Markets Inc.

 

New York, NY 10179

 
 

Independent Registered Public Accounting Firm

 

Deloitte & Touche LLP

 

Boston, MA 02116

 
  Legal Counsel
  Skadden, Arps, Slate, Meagher & Flom LLP
  Boston, MA 02116
 
  Address of the Funds
 

100 Bellevue Parkway

 

Wilmington, DE 19809

 

 

DIRECTOR AND OFFICER INFORMATION      57  


Table of Contents

Additional Information

 

Fund Certification

Certain Funds 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 Funds 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 Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds, may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

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 Funds 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 Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on 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 Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

 

 

58    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Additional Information  (continued)

 

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

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.

 

 

ADDITIONAL INFORMATION      59  


Table of Contents

Glossary of Terms Used in this Report

 

Portfolio Abbreviations

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

 

 

60    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

 

MHMYINS4-1/18-SAR    LOGO


Table of Contents
Item 2 –   Code of Ethics – Not Applicable to this semi-annual report
Item 3 –   Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –   Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –   Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –   Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
  (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –   Portfolio Managers of Closed-End Management Investment Companies
 

(a)   Not Applicable to this semi-annual report.

 

(b)   As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –   Controls and Procedures
  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Disclosure of Securities Lending Activities for Closed-End Management Investment
  Companies – Not Applicable
Item 13 –   Exhibits attached hereto

 

2


Table of Contents

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

 

3


Table of Contents

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock MuniYield California Quality Fund, Inc.

 

By: /s/ John M. Perlowski                                

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock MuniYield California Quality Fund, Inc.

Date: April 4, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By: /s/ John M. Perlowski                                

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock MuniYield California Quality Fund, Inc.

Date: April 4, 2018

 

By: /s/ Neal J. Andrews                                    

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock MuniYield California Quality Fund, Inc.

Date: April 4, 2018

 

4