BLACKROCK MUNIHOLDINGS NEW YORK QUALITY FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-08217

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniHoldings New York

Quality Fund, Inc., 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2018

Date of reporting period: 02/28/2018


Item 1 – Report to Stockholders


FEBRUARY 28, 2018

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

BlackRock Maryland Municipal Bond Trust (BZM)

BlackRock Massachusetts Tax-Exempt Trust (MHE)

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

BlackRock New Jersey Municipal Bond Trust (BLJ)

BlackRock New York Municipal Bond Trust (BQH)

BlackRock New York Municipal Income Quality Trust (BSE)

BlackRock New York Municipal Income Trust II (BFY)

BlackRock Virginia Municipal Bond Trust (BHV)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2018, assets with higher risk and return potential, such as stocks and high-yield bonds, continued to deliver strong performance. Faster global growth drove the equity market, while rising interest rates constrained bond returns.

Emerging market stocks posted the strongest performance, as accelerating growth in China, the second-largest economy in the world, 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. Higher prices for industrial metals also bolstered the outlook for emerging-market countries.

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 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.

The Fed responded to these positive developments by increasing short-term interest rates three times during the year. In October 2017, the Fed also began to reduce its balance sheet, while setting expectations for additional 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 particular, we are closely monitoring trade protectionism and the rise of populism in Western nations.

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 February 28, 2018
     6-month   12-month

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

  10.84%   17.10%

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

  8.30   10.51

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

  7.12   20.13

Emerging market equities
(MSCI Emerging Markets Index)

  10.58   30.51

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

  0.58   0.99

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

  (5.47)   (2.54)

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

  (2.18)   0.51

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

  (1.15)   2.32

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

  1.11   4.18
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

 

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Municipal Market Overview

     4  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Trust Summaries

     6  

Financial Statements:

  

Schedules of Investments

     22  

Statements of Assets and Liabilities

     63  

Statements of Operations

     65  

Statements of Changes in Net Assets

     67  

Statements of Cash Flows

     71  

Financial Highlights

     73  

Notes to Financial Statements

     81  

Trustee and Officer Information

     91  

Additional Information

     92  

Glossary of Terms Used in this Report

     94  

 

 

     3  


Municipal Market Overview  For the Reporting Period Ended February 28, 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 benign 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 February 28, 2018, municipal bond funds experienced net inflows of approximately $30 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 $389 billion (though well below the robust $445 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 February 28, 2018
    6 months: (1.15)%
  12 months: 2.32%
 

A Closer Look at Yields

 

LOGO

From February 28, 2017 to February 28, 2018, yields on AAA-rated 30-year municipal bonds increased by just 1 basis point (“bp”) from 3.05% to 3.06%, while 10-year rates increased by 18 bps from 2.29% to 2.47% and 5-year rates increased by 47 bps from 1.50% to 1.97% (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 55 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 February 28, 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


The Benefits and Risks of Leveraging

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

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

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

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

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

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

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), 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 Trusts 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 Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

THE BENEFITS AND RISKS OF LEVERAGING      5  


Trust Summary  as of February 28, 2018    BlackRock Maryland Municipal Bond Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE American

  BZM

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($13.32)(a)

  4.27%

Tax Equivalent Yield(b)

  7.99%

Current Monthly Distribution per Common Share(c)

  $0.0474

Current Annualized Distribution per Common Share(c)

  $0.5688

Economic Leverage as of February 28, 2018(d)

  37%

 

  (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 46.55%, 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BZM(a)(b)

    (4.57 )%       (0.02 )% 

Lipper Other States Municipal Debt Funds(c)

    (5.78      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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.

 

  Maryland benefitted from favorable economic trends and maintained its AAA rating, but the state government remained under pressure from heavy debt and pension burdens. The state’s generally higher-quality debt lagged the general market as lower-quality issues outperformed.

 

  The Trust’s largest detractors were its positions in longer-dated, high-quality securities that were issued in the past two years. These bonds had longer call structures, which translated to higher durations and lower income than their lower-rated and/or shorter-call counterparts. (Duration is a measure of interest rate sensitivity; a call is when an issuer redeems a bond prior to its maturity date.)

 

  Investments in shorter-maturity debt detracted from performance due to the steady increase in short-term rates throughout the period. Such securities typically have lower coupons, which increases their duration profile.

 

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

 

  Holdings in non-rated high-yield securities contributed to results due to their higher yields and above-average price performance.

 

  The Trust had a notable amount of positions pre-refunded, leading to price appreciation from the shortening of the bonds’ effective maturity and the implied upgrade to a AAA rating. (Bonds that are pre-refunded are backed by U.S. government securities.) This development contributed to performance in a period of rising rates, particularly in January and February.

 

  The Trust’s use of leverage made a positive contribution to performance by enhancing income. However, the use of leverage also amplified the impact of falling 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.

 

 

6    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018 (continued)    BlackRock Maryland Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 13.32      $ 14.29        (6.79 )%     $ 14.50      $ 13.24  

Net Asset Value

    14.96        15.32        (2.35      15.42        14.96  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

  02/28/18    

08/31/17

 

Health

    30     28

Education

    20       20  

Transportation

    16       16  

Utilities

    14       14  

County/City/Special District/School District

    10       12  

Housing

    8       8  

Corporate

    1       1  

Tobacco

    1       1  

For Trust compliance purposes, the Trust’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

    11

2019

    7  

2020

    9  

2021

    8  

2022

    24  

 

  (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

  02/28/18    

08/31/17

 

AAA/Aaa

    6     8

AA/Aa

    32       33  

A

    30       30  

BBB/Baa

    17       17  

BB/Ba

    2       1  

B/B

          1  

N/R

    13       10  

 

  (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.  
 

 

 

TRUST SUMMARY      7  


Trust Summary  as of February 28, 2018    BlackRock Massachusetts Tax-Exempt Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE American

  MHE

Initial Offering Date

  July 23, 1993

Yield on Closing Market Price as of February 28, 2018 ($13.62)(a)

  4.67%

Tax Equivalent Yield(b)

  8.63%

Current Monthly Distribution per Common Share(c)

  $0.0530

Current Annualized Distribution per Common Share(c)

  $0.6360

Economic Leverage as of February 28, 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 and state tax rate of 45.9%, 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 $0.044 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MHE(a)(b)

    (0.44 )%       (1.61 )% 

Lipper Other States Municipal Debt Funds(c)

    (5.78      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s premium 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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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.

 

  Massachusetts experienced healthy growth trends stemming from its strong fiscal position and the high representation of companies in faster-growing sectors such as technology, health care and finance. However, the state’s municipal market lagged somewhat as its higher-quality nature was a headwind at a time in which lower-rated bonds outperformed.

 

  The Trust’s largest detractors were its positions in longer-dated, high-quality securities that were issued in the past two years. These bonds had longer call structures, which translated to higher durations and lower income than their lower-rated and/or shorter-call counterparts. (Duration is a measure of interest rate sensitivity; a call is when an issuer redeems a bond prior to its maturity date.)

 

  More generally, positions in higher-quality securities detracted at a time in which lower-rated bonds outperformed.

 

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

 

  Positions in pre-refunded debt outperformed other market segments due to their short durations and implied AAA quality.

 

  The Trust’s allocation to longer-dated securities aided performance. The yield curve flattened over the period, as yields on longer-term maturities rose less than those on shorter-dated issues (indicating outperformance). In addition, longer-term bonds’ higher income helped support their relative performance.

 

  The Trust’s use of leverage made a positive contribution to results by enhancing income. However, the use of leverage also amplified the impact of falling 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


Trust Summary  as of February 28, 2018 (continued)    BlackRock Massachusetts Tax-Exempt Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18      08/31/17      Change      High      Low  

Market Price

  $ 13.62      $ 14.00        (2.71 )%     $ 15.00      $ 13.16  

Net Asset Value

    13.44        13.98        (3.86      14.03        13.44  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

02/28/18

   

08/31/17

 

Education

    40     42

State

    19       19  

Health

    17       14  

Transportation

    16       16  

Housing

    5       6  

County/City/Special District/School District

    2       2  

Tobacco

    1       1  

For Trust compliance purposes, the Trust’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

    13  

2020

    13  

2021

    9  

2022

    14  

 

  (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

  02/28/18    

08/31/17

 

AAA/Aaa

    7     7

AA/Aa

    55       53  

A

    14       21  

BBB/Baa

    17       16  

BB/Ba

    1       1  

N/R

    6       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.  
 

 

 

TRUST SUMMARY      9  


Trust Summary  as of February 28, 2018    BlackRock MuniHoldings New York Quality Fund, Inc.

 

Trust Overview

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

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  MHN

Initial Offering Date

  September 19, 1997

Yield on Closing Market Price as of February 28, 2018 ($12.75)(a)

  4.75%

Tax Equivalent Yield(b)

  9.43%

Current Monthly Distribution per Common Share(c)

  $0.0505

Current Annualized Distribution per Common Share(c)

  $0.6060

Economic Leverage as of February 28, 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 49.62%, 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MHN(a)(b)

    (9.04 )%       (1.20 )% 

Lipper New York Municipal Debt Funds(c)

    (6.92      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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 improved, albeit at a rate slightly below the national level, but 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.

 

  The Trust’s allocation to zero-coupon bonds detracted from performance since their longer duration accentuated the impact of the down market. (Duration is a measure of interest rate sensitivity.)

 

  Portfolio income, enhanced by leverage, made the largest positive contribution to performance. However, the use of leverage also amplified the impact of falling prices.

 

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

 

  Exposure to bonds rated A and below was generally a positive contributor to performance, as lower-rated issues outperformed amid investors’ ongoing preference for higher-yielding securities.

 

  The Trust’s allocation to the education and transportation sectors was also beneficial.

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


Trust Summary  as of February 28, 2018 (continued)    BlackRock MuniHoldings New York Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 12.75      $ 14.36        (11.21 )%     $ 14.58      $ 12.69  

Net Asset Value

    14.40        14.93        (3.55      15.01        14.40  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

02/28/18

   

08/31/17

 

Transportation

    26     26

Education

    18       19  

County/City/Special District/School District

    16       16  

State

    16       15  

Utilities

    13       12  

Health

    6       7  

Housing

    2       3  

Corporate

    2       1  

Tobacco

    1       1  

For Trust compliance purposes, the Trust’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

    10

2019

    7  

2020

    7  

2021

    14  

2022

    11  

 

  (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  

02/28/18

   

08/31/17

 

AAA/Aaa

    16     19

AA/Aa

    53       53  

A

    19       20  

BBB/Baa

    6       6  

N/R(b)

    6       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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade each represents less than 4% and 1%, respectively, of the Trust’s total investments.  
 

 

 

TRUST SUMMARY      11  


Trust Summary  as of February 28, 2018    BlackRock New Jersey Municipal Bond Trust

 

Trust Overview

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

On September 6, 2017, the Boards of the Trust, BlackRock New Jersey Municipal Income Trust (BNJ) and BlackRock MuniYield New Jersey Fund, Inc. (MYJ) approved the reorganizations of the Trust and BNJ with and into MYJ, with MYJ continuing as the surviving fund after the reorganization. At a joint special shareholder meeting held on March 28, 2018, the shareholders of the Trust, BNJ and MYJ approved the reorganizations, which are expected to occur on or about June 8, 2018.

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

Trust Information

 

Symbol on NYSE American

  BLJ

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($13.85)(a)

  5.33%

Tax Equivalent Yield(b)

  10.61%

Current Monthly Distribution per Common Share(c)

  $0.0615

Current Annualized Distribution per Common Share(c)

  $0.7380

Economic Leverage as of February 28, 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 49.77%, 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BLJ(a)(b)

    (5.56 )%       (0.43 )% 

Lipper New Jersey Municipal Debt Funds(c)

    (6.28      (1.09

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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 Jersey bonds outperformed the national market, as sentiment remained favorable due in part to investors’ positive perception of legislation that redirected roughly $1 billion annually in lottery proceeds to the state’s pension funds. Additionally, the state reported positive tax receipts.

 

  Long-term bonds outperformed short-term debt, leading to a flattening of the yield curve. In this environment, the Trust’s short duration posture contributed to relative performance. However, the Trust’s positions in short- and intermediate-term debt detracted. The Trust’s allocation to zero-coupon bonds, while limited, also detracted from performance since their longer duration accentuated the impact of the down market. (Duration is a measure of interest rate sensitivity.)

 

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

 

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

 

  At the sector level, positions in corporate-related tax-exempt bonds contributed to performance. The tobacco sector also generated positive absolute returns due to the announcement of a potential refunding of New Jersey’s outstanding tobacco bonds, which could result in $2.9 billion high yield tobacco issues being removed from the market. The announcement created a tailwind for the sector due to the prospect of a reduced supply of liquid, high yield securities.

 

  Bonds rated BBB and lower contributed to performance, as continued investor demand for higher yields helped support prices. In addition, these positions generated above-average income. Conversely, the Trust’s positions in higher-quality investments underperformed their lower-rated counterparts.

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


Trust Summary  as of February 28, 2018 (continued)    BlackRock New Jersey Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18      08/31/17      Change      High      Low  

Market Price

  $ 13.85      $ 15.04        (7.91 )%     $ 15.47      $ 13.63  

Net Asset Value

    15.36        15.82        (2.91      15.97        15.36  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

  02/28/18    

08/31/17

 

Transportation

    31     31

Education

    19       19  

County/City/Special District/School District

    18       18  

State

    15       15  

Health

    7       8  

Corporate

    6       6  

Tobacco

    2       1  

Housing

    1       1  

Utilities

    1       1  

For Trust compliance purposes, the Trust’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

    8  

2020

    5  

2021

    11  

2022

    11  

 

  (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   02/28/18     08/31/17  

AAA/Aaa

    5     5

AA/Aa

    30       38  

A

    21       22  

BBB/Baa

    34       22  

BB/Ba

    5       9  

B/B

    1       2  

N/R

    4       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.  
 

 

 

TRUST SUMMARY      13  


Trust Summary  as of February 28, 2018    BlackRock New York Municipal Bond Trust

 

Trust Overview

BlackRock New York Municipal Bond Trust’s (BQH) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income taxes and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from 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 Trust invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality at the time of investment by the Trust’s investment adviser. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on NYSE

  BQH

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($13.51)(a)

  5.24%

Tax Equivalent Yield(b)

  10.40%

Current Monthly Distribution per Common Share(c)

  $0.0590

Current Annualized Distribution per Common Share(c)

  $0.7080

Economic Leverage as of February 28, 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 49.62%, 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 $0.046 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BQH(a)(b)

    (4.85 )%       (1.59 )% 

Lipper New York Municipal Debt Funds(c)

    (6.92      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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 improved, albeit at a rate slightly below the national level, but 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.

 

  The Trust’s allocation to zero-coupon bonds detracted from performance since their longer duration accentuated the impact of the down market. (Duration is a measure of interest rate sensitivity.)

 

  Portfolio income, enhanced by leverage, made the largest positive contribution to performance. However, the use of leverage also amplified the impact of falling prices.

 

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

 

  Exposure to bonds rated A and below was generally a positive contributor to performance, as lower-rated issues outperformed amid investors’ ongoing preference for higher-yielding securities.

 

  The Trust’s allocation to the education sector was also beneficial.

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

 

 

14    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018 (continued)    BlackRock New York Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 13.51      $ 14.55        (7.15 )%     $ 15.65      $ 13.42  

Net Asset Value

    15.47        16.11        (3.97      16.20        15.47  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

02/28/18

    08/31/17  

County/City/Special District/School District

    24     25

Education

    22       22  

Transportation

    17       16  

Utilities

    12       12  

Health

    10       11  

State

    6       6  

Housing

    3       3  

Corporate

    3       3  

Tobacco

    3       2  

For Trust compliance purposes, the Trust’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

    7

2019

    6  

2020

    7  

2021

    16  

2022

    11  

 

  (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

  02/28/18    

08/31/17

 

AAA/Aaa

    12     14

AA/Aa

    42       48  

A

    28       21  

BBB/Baa

    6       7  

BB/Ba

    2       3  

N/R(b)

    10       7  

 

  (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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents 4% and 2%, respectively, of the Trust’s total investments.  
 

 

 

TRUST SUMMARY      15  


Trust Summary  as of February 28, 2018    BlackRock New York Municipal Income Quality Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  BSE

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 28, 2018 ($12.77)(a)

  4.37%

Tax Equivalent Yield(b)

  8.67%

Current Monthly Distribution per Common Share(c)

  $0.0465

Current Annualized Distribution per Common Share(c)

  $0.5580

Economic Leverage as of February 28, 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 and state tax rate of 49.62%, 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BSE(a)(b)

    (3.62 )%       (1.54 )% 

Lipper New York Municipal Debt Funds(c)

    (6.92      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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 improved, albeit at a rate slightly below the national level, but 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.

 

  The Trust’s allocation to zero-coupon bonds detracted from performance since their longer duration accentuated the impact of the down market. (Duration is a measure of interest rate sensitivity.)

 

  Portfolio income, enhanced by leverage, made the largest positive contribution to performance. However, the use of leverage also amplified the impact of falling prices.

 

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

 

  Exposure to bonds rated A and below was generally a positive contributor to performance, as lower-rated issues outperformed amid investors’ ongoing preference for higher-yielding securities.

 

  The Trust’s allocation to the education sector was also beneficial.

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.

 

 

16    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018 (continued)    BlackRock New York Municipal Income Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18      08/31/17      Change      High      Low  

Market Price

  $ 12.77      $ 13.55        (5.76 )%     $ 13.69      $ 12.67  

Net Asset Value

    14.48        15.04        (3.72      15.12        14.48  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector   02/28/18     08/31/17  

Education

    24     26

County/City/Special District/School District

    19       19  

Transportation

    18       16  

Utilities

    16       16  

State

    13       12  

Health

    7       7  

Housing

    2       3  

Tobacco

    1       1  

For Trust compliance purposes, the Trust’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

    5

2019

    4  

2020

    2  

2021

    12  

2022

    7  

 

  (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   02/28/18    

08/31/17

 

AAA/Aaa

    11     22

AA/Aa

    53       52  

A

    31       23  

BBB/Baa

    1       2  

N/R(b)

    4       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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% and 1%, respectively, of the Trust’s total investments.  
 

 

 

TRUST SUMMARY      17  


Trust Summary  as of February 28, 2018    BlackRock New York Municipal Income Trust II

 

Trust Overview

BlackRock New York Municipal Income Trust II’s (BFY) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from 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 Trust invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality at the time of investment by the Trust’s investment adviser. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on NYSE American

  BFY

Initial Offering Date

  July 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($13.76)(a)

  5.32%

Tax Equivalent Yield(b)

  10.56%

Current Monthly Distribution per Common Share(c)

  $0.0610

Current Annualized Distribution per Common Share(c)

  $0.7320

Economic Leverage as of February 28, 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 49.62%, 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 $0.049 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BFY(a)(b)

    (9.06 )%       (1.60 )% 

Lipper New York Municipal Debt Funds(c)

    (6.92      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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 improved, albeit at a rate slightly below the national level, but 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.

 

  The Trust’s allocation to zero-coupon bonds detracted from performance since their longer duration accentuated the impact of the down market. (Duration is a measure of interest rate sensitivity.)

 

  Portfolio income, enhanced by leverage, made the largest positive contribution to performance. However, the use of leverage also amplified the impact of falling prices.

 

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

 

  Exposure to bonds rated A and below was generally a positive contributor to performance, as lower-rated issues outperformed amid investors’ ongoing preference for higher-yielding securities.

 

  The Trust’s allocation to the education sector was also beneficial.

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.

 

 

18    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018 (continued)    BlackRock New York Municipal Income Trust II

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 13.76      $ 15.51        (11.28 )%     $ 15.90      $ 13.69  

Net Asset Value

    15.08        15.71        (4.01      15.79        15.08  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector  

02/28/18

   

08/31/17

 

County/City/Special District/School District

    22     23

Transportation

    18       18  

Education

    16       17  

Utilities

    14       13  

State

    10       9  

Health

    9       9  

Housing

    5       6  

Tobacco

    3       3  

Corporate

    3       2  

For Trust compliance purposes, the Trust’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

    6

2019

    8  

2020

    5  

2021

    21  

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  

02/28/18

   

08/31/17

 

AAA/Aaa

    15     15

AA/Aa

    42       45  

A

    28       25  

BBB/Baa

    9       8  

BB/Ba

    3       2  

B

    1       1  

N/R(b)

    2       4  

 

  (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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% and 2%, respectively, of the Trust’s total investments.  
 

 

 

TRUST SUMMARY      19  


Trust Summary  as of February 28, 2018    BlackRock Virginia Municipal Bond Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE American

  BHV

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2018 ($15.91)(a)

  4.75%

Tax Equivalent Yield(b)

  8.89%

Current Monthly Distribution per Common Share(c)

  $0.0630

Current Annualized Distribution per Common Share(c)

  $0.7560

Economic Leverage as of February 28, 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 46.55%, 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 Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.  

Performance

Returns for the six months ended February 28, 2018 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BHV(a)(b)

    (12.70 )%       (1.28 )% 

Lipper Other States Municipal Debt Funds(c)

    (5.78      (1.73

 

  (a)  All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.  
  (b)  The Trust’s premium to NAV narrowed 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 Trust’s absolute performance based on NAV:

 

  U.S. municipal bonds lost ground during the semi-annual period, with declining prices offsetting the benefit of income. 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.

 

  Virginia experienced healthy economic growth, with low unemployment, favorable population trends and rising tax revenues. Still, the state’s municipal market lagged somewhat as its higher-quality nature was a headwind at a time in which lower-rated bonds outperformed.

 

  The Trust’s largest detractors were its positions in longer-dated, high-quality securities that were issued in the past two years. These bonds had longer call structures, which translated to higher durations and lower income than their lower-rated and/or shorter-call counterparts. (Duration is a measure of interest rate sensitivity; a call is when an issuer redeems a bond prior to its maturity date.)

 

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

 

  Positions in the high-quality housing sector outperformed as a result of their short duration characteristics. Holdings in the non-investment grade tobacco sector also contributed due to their high income and strong price performance.

 

  The Trust’s weighting in high-yield bonds (those rated below investment grade) aided results given the outperformance of lower-quality issues. Conversely, positions in higher-quality securities detracted.

 

  The Trust’s use of leverage made a positive contribution to performance by enhancing income. However, the use of leverage also amplified the impact of falling 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.

 

 

20    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2018 (continued)    BlackRock Virginia Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/18     

08/31/17

     Change      High      Low  

Market Price

  $ 15.91      $ 18.68        (14.83 )%     $ 19.27      $ 15.83  

Net Asset Value

    15.17        15.75        (3.68      15.79        15.17  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector   02/28/18    

08/31/17

 

Health

    28     26

Education

    21       25  

Transportation

    21       19  

County/City/Special District/School District

    16       15  

State

    5       6  

Housing

    5       2  

Tobacco

    3       3  

Corporate

    1       1  

Utilities

          3  

For Trust compliance purposes, the Trust’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

    12

2019

    13  

2020

    14  

2021

    6  

2022

    9  

 

  (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  

02/28/18

   

08/31/17

 

AAA/Aaa

    14     15

AA/Aa

    46       47  

A

    11       12  

BBB/Baa

    6       4  

BB/Ba

    2       2  

B

    2       2  

N/R(b)

    19       18  

 

  (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 unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2018 and August 31, 2017, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and 5%, respectively, of the Trust’s total investments.  
 

 

 

TRUST SUMMARY      21  


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 141.8%

 

Maryland — 140.4%  
Corporate — 1.9%  

Maryland EDC, Refunding RB:

   

CNX Marine Terminals, Inc., 5.75%, 09/01/25

  $ 320     $ 335,200  

Potomac Electric Power Co., 6.20%, 09/01/22

    250       261,153  
   

 

 

 
      596,353  
County/City/Special District/School District — 16.0%  

County of Anne Arundel Maryland Consolidated, Refunding, Special Tax, Villages of Dorchester and Farmington Project, 5.00%, 07/01/32

    500       555,670  

County of Anne Arundel Maryland Consolidated, RB, Special Taxing District, Villages at Two Rivers Project, 5.25%, 07/01/44

    250       251,597  

County of Frederick Maryland, RB, Jefferson Technology Park Project, Series B, 7.13%, 07/01/43(a)

    250       269,480  

County of Howard Maryland, Tax Allocation Bonds:

   

Annapolis Junction Town Center Project, 6.10%, 02/15/44

    250       256,117  

Downtown Columbia Project, Series A, 4.50%, 02/15/47(a)

    500       504,650  

County of Prince George’s Maryland, Special Obligation, Remarketing, National Harbor Project, 5.20%, 07/01/34

    1,398       1,403,187  

State of Maryland, GO, State & Local Facilities Loan, 2nd Series B, 3.00%, 08/01/27

    1,725       1,747,891  
   

 

 

 
      4,988,592  
Education — 30.9%  

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

   

4.00%, 09/01/27

    510       533,496  

3.25%, 09/01/28

    360       363,456  

Maryland EDC, Refunding RB:

   

Towson University Project, 5.00%, 07/01/37

    500       530,800  

University of Maryland College Park Project (AGM), 5.00%, 06/01/43

    1,350       1,515,496  

University of Maryland Project, 5.00%, 07/01/39

    500       540,710  

University Village at Sheppard Pratt, 5.00%, 07/01/33

    1,000       1,052,350  

Maryland Health & Higher Educational Facilities Authority, RB, Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

    250       280,233  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

   

Anne Arundel Health System, 4.00%, 07/01/39

    100       101,851  

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

    1,000       1,093,800  

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

    500       508,165  

Johns Hopkins University Project, Series A, 4.00%, 07/01/37

    10       10,337  

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

    900       987,390  

Maryland Institute College, 4.00%, 06/01/42

    500       500,055  

Maryland Institute College of Art, 5.00%, 06/01/29

    500       546,945  

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

    1,000       1,059,470  
   

 

 

 
      9,624,554  
Health — 46.2%  

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

    250       267,085  

City of Rockville Maryland, RB, Ingleside at King Farm Project, Series B, 5.00%, 11/01/42

    500       544,500  

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

    750       838,493  

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

    1,000       1,094,490  

Maryland Health & Higher Educational Facilities Authority, RB:

   

Ascension Health Alliance, Series B, 5.00%, 11/15/51

    1,000       1,087,850  

University of Maryland Medical System Issue, 4.00%, 07/01/48

    300       296,862  
Security   Par
(000)
    Value  
Health (continued)  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

   

Anne Arundel Health System, 5.00%, 07/01/19(b)

  $ 1,000     $ 1,044,160  

Charlestown Community Project, 6.25%, 01/01/21(b)

    1,000       1,121,060  

Charlestown Community, Series A, 5.00%, 01/01/45

    500       561,835  

Frederick Memorial Hospital, Series A, 4.00%, 07/01/38

    1,250       1,252,412  

Lifebridge Health Issue, 4.13%, 07/01/47

    500       509,650  

Medstar Health, Inc., 5.00%, 08/15/42

    1,000       1,092,490  

Meritus Medical Center Issue, 5.00%, 07/01/40

    1,000       1,065,560  

Peninsula Regional Medical Center, 5.00%, 07/01/45

    700       751,317  

University of Maryland, 5.00%, 07/01/35

    200       222,796  

University of Maryland, 4.00%, 07/01/41

    500       510,180  

University of Maryland Medical System, 5.13%, 07/01/19(b)

    1,000       1,046,470  

University of Maryland Medical System, Series A, 5.00%, 07/01/43

    1,000       1,074,540  
   

 

 

 
      14,381,750  
Housing — 13.0%  

County of Howard Maryland Housing Commission, RB, M/F Housing:

   

Woodfield Oxford Square Apartments, 5.00%, 12/01/42

    500       555,350  

Columbia Commons Apartments, Series A, 5.00%, 06/01/44

    550       586,993  

Gateway Village Apartments, 4.00%, 06/01/46

    500       505,940  

Maryland Community Development Administration, HRB, M/F Housing, Series A, 4.05%, 07/01/42

    1,220       1,235,067  

Maryland Community Development Administration, RB:

   

M/F Housing, 3.70%, 07/01/35

    500       501,545  

S/F Housing, Residential, Series A, 5.05%, 09/01/39

    500       509,910  

S/F Housing, Residential, Series B, 4.75%, 09/01/39

    150       151,189  
   

 

 

 
      4,045,994  
Transportation — 15.1%  

Maryland Economic Development Corp., Refunding RB, Transportation Facilities Project, Series A, 5.00%, 06/01/35

    100       111,813  

Maryland EDC, RB(b):

   

Term Project, Series B, 5.75%, 06/01/20

    500       545,490  

Transportation Facilities Project, Series A, 5.75%, 06/01/20

    500       545,490  

Maryland State Department of Transportation, RB, Consolidated, 4.00%, 05/15/19(b)

    1,000       1,030,400  

Maryland State Transportation Authority, RB, Baltimore/Washington International Thurgood Marshall Airport Project, Series A, AMT, 4.00%, 06/01/29

    1,925       1,977,148  

Maryland State Transportation Authority, Refunding RB, Baltimore/Washington International Thurgood Marshall Airport Project, Series B, AMT, 5.00%, 03/01/23

    445       488,851  
   

 

 

 
      4,699,192  
Utilities — 17.3%  

City of Annapolis Maryland Water & Sewer Revenue, Refunding RB, Series A, 3.38%, 08/01/40

    780       749,658  

City of Baltimore Maryland, RB:

   

Wastewater Project, Series C, 5.00%, 07/01/38

    1,000       1,115,270  

Water Project, Series A, 5.00%, 07/01/43

    1,000       1,108,470  

City of Baltimore Maryland, Refunding RB:

   

Convention Center Hotel, 5.00%, 09/01/46

    750       826,215  

East Baltimore Research Park, Series A, 5.00%, 09/01/38

    250       266,540  

City of Baltimore Maryland, Tax Allocation Bonds, Center/West Development, Series A, 5.50%, 06/01/43

    250       253,950  

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

   

5.00%, 04/01/31

    500       532,520  

5.00%, 04/01/32

    500       532,205  
   

 

 

 
      5,384,828  
 

 

 

22    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Puerto Rico — 1.4%            
Tobacco — 1.4%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, 5.63%, 05/15/43

  $ 450     $ 419,341  
   

 

 

 

Total Municipal Bonds — 141.8%
(Cost — $42,939,076)

 

    44,140,604  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(c) — 14.3%

 

Maryland — 14.3%  
Transportation — 9.7%  

State of Maryland Transportation Authority, RB, Transportation Facilities Project (AGM), 5.00%, 07/01/41

    3,000       3,034,125  
   

 

 

 
Utilities — 4.6%  

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

    1,269       1,430,005  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 14.3%
(Cost — $4,419,944)

 

    4,464,130  
   

 

 

 

Total Long-Term Investments — 156.1%
(Cost — $47,359,020)

 

    48,604,734  
   

 

 

 
Security       
Shares
    Value  

Short-Term Securities — 0.7%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.94%(d)(e)

    233,990     $ 234,013  
   

 

 

 

Total Short-Term Securities — 0.7%
(Cost — $233,993)

 

    234,013  
   

 

 

 

Total Investments — 156.8%
(Cost — $47,593,013)

 

    48,838,747  

Other Assets Less Liabilities — 1.2%

 

    375,062  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (6.9)%

 

    (2,138,653

VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (51.1)%

 

    (15,935,834
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 31,139,322  
   

 

 

 

 

(a)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(d)  Annualized 7-day yield as of period end.
 
(e)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

            233,990        233,990      $ 234,013      $ 587      $ 2      $ 20  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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

     9          06/20/18        $ 1,080        $ 843  

Long U.S. Treasury Bond

     11          06/20/18          1,578          (6,549

5-Year U.S. Treasury Note

     4          06/29/18          456          739  
                 

 

 

 
        $ (4,967
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

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)

      $      $      $      $      $ 1,582      $      $ 1,582  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                   

Futures contracts

                       

Net unrealized depreciation(a)

      $      $      $      $      $ 6,549      $      $ 6,549  
     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 February 28, 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

   $      $      $      $      $ 196,398      $      $ 196,398  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

Futures contracts

   $      $      $      $      $ 7,386      $      $ 7,386  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 2,475,227  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 48,604,734        $             —        $ 48,604,734  

Short-Term Securities

     234,013                            234,013  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 234,013        $ 48,604,734        $        $ 48,838,747  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 1,582        $        $        $ 1,582  

Liabilities:

 

Interest rate contracts

     (6,549                          (6,549
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (4,967      $        $        $ (4,967
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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.  

 

 

24    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (2,134,375      $             —        $ (2,134,375

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (18,134,375      $        $ (18,134,375
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 151.6%

 

Massachusetts — 149.9%  
County/City/Special District/School District — 3.5%  

Town of Holyoke Massachusetts, GO, Refunding, 5.00%, 09/01/26

  $ 1,000     $ 1,124,750  
   

 

 

 
Education — 64.9%  

Massachusetts Development Finance Agency, RB:

   

Emerson College Issue, Series A, 5.25%, 01/01/42

    500       561,105  

Foxborough Regional Charter School, Series A, 7.00%, 07/01/20(a)

    250       280,020  

Lesley University, Series A, 5.00%, 07/01/35

    300       333,273  

Lesley University, Series A, 5.00%, 07/01/37

    225       248,265  

Merrimack College, 5.00%, 07/01/47

    550       591,839  

Mount Holyoke College, Series B, 5.00%, 07/01/41

    500       542,860  

UMass Boston Student Housing Project, 5.00%, 10/01/48

    1,000       1,082,570  

Wellesley College, Series J, 5.00%, 07/01/42

    1,950       2,155,608  

Wentworth Institute Technology, 5.00%, 10/01/46

    500       545,865  

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

    650       856,615  

Massachusetts Development Finance Agency, Refunding RB:

   

Boston University, Series P, 5.45%, 05/15/59

    1,500       1,768,620  

Emerson College, 5.00%, 01/01/41

    500       543,610  

Emerson College, Series A, 5.00%, 01/01/20(a)

    185       196,507  

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

    500       557,500  

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

    15       15,408  

Emmanuel College Issue, Series A, 5.00%, 10/01/35

    250       273,700  

Foxborough Regional Charter School Issue, 5.00%, 07/01/37

    150       160,011  

Harvard University, Series A, 5.50%, 11/15/18(a)

    75       77,211  

International Charter School, 5.00%, 04/15/40

    1,000       1,059,470  

Suffolk University, 4.00%, 07/01/39

    500       503,080  

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

    1,675       1,804,695  

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

    1,000       1,000,000  

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

    1,000       1,102,520  

Massachusetts Educational Financing Authority, Refunding RB, Issue J, AMT, 3.50%, 07/01/33

    235       226,063  

Massachusetts Health & Educational Facilities Authority, RB:

   

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

    70       70,209  

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

    225       229,309  

Tufts University, Series O, 5.38%, 08/15/18(a)

    1,000       1,018,470  

Massachusetts Health & Educational Facilities Authority, Refunding RB:

   

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

    500       555,145  

Springfield College, 5.63%, 10/15/19(a)

    500       532,700  

Tufts University, Series M, 5.50%, 02/15/27

    1,000       1,230,290  

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

    500       553,990  
   

 

 

 
      20,676,528  
Health — 25.4%  

Massachusetts Development Finance Agency, RB, Seven Hills Foundation Obligated Group, Series A, 5.00%, 09/01/35

    750       793,500  

Massachusetts Development Finance Agency, Refunding RB:

   

Boston Medical Center, Series E, 4.00%, 07/01/38

    500       502,090  

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

    500       526,705  

New Bridge Charles, Inc., 4.13%, 10/01/42(b)

    550       527,401  

Partners Healthcare, 5.00%, 07/01/21(a)

    995       1,096,440  

Partners Healthcare, 5.00%, 07/01/36

    5       5,380  

Umass Memorial Healthcare, 5.00%, 07/01/44

    300       327,306  

Massachusetts Health & Educational Facilities Authority, RB:

   

Cape Cod Healthcare Obligated Group, Series D (AGC), 5.00%, 11/15/19(a)

    1,000       1,057,210  
Security   Par
(000)
    Value  
Health (continued)  

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

   

Caregroup, Series E-1, 5.00%, 07/01/18(a)

  $ 500     $ 506,035  

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

    600       637,680  

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

    500       533,545  

Southcoast Health Obligation Group, Series D, 5.00%, 07/01/39

    500       516,575  

Massachusetts Health & Educational Facilities Authority, Refunding RB, Winchester Hospital, Series H, 5.25%, 07/01/38

    1,000       1,061,490  
   

 

 

 
      8,091,357  
Housing — 7.8%  

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

    185       196,252  

Massachusetts HFA, Refunding RB, AMT:

   

Series A, 4.50%, 12/01/47

    500       517,305  

Series C, 5.00%, 12/01/30

    195       199,399  

Series C, 5.35%, 12/01/42

    795       814,605  

Series F, 5.70%, 06/01/40

    745       755,281  
   

 

 

 
      2,482,842  
State — 23.1%  

Commonwealth of Massachusetts, GO, Series C, 5.00%, 07/01/45

    1,000       1,130,690  

Massachusetts Bay Transportation Authority, Refunding RB, Senior Series A, 5.25%, 07/01/29

    730       900,199  

Massachusetts School Building Authority, RB:

   

Dedicated Sales Tax, Senior Series A, 5.00%, 05/15/43

    500       556,220  

Series B, 5.00%, 10/15/41

    1,000       1,092,140  

Massachusetts State College Building Authority, RB, Series A, 5.50%, 05/01/19(a)

    2,500       2,616,675  

Massachusetts State College Building Authority, Refunding RB, Series B (Syncora), 5.50%, 05/01/39

    825       1,070,413  
   

 

 

 
      7,366,337  
Transportation — 25.2%  

Commonwealth of Massachusetts, RB, Series A, 5.00%, 06/15/22(a)

    1,000       1,127,880  

Commonwealth of Massachusetts, Refunding RB, Series A, 5.00%, 06/01/21(a)

    500       551,565  

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

   

5.00%, 01/01/32

    1,120       1,180,480  

5.00%, 01/01/37

    1,000       1,050,860  

Massachusetts Port Authority, RB, AMT:

   

Series A, 5.00%, 07/01/42

    1,000       1,091,660  

Series B, 5.00%, 07/01/45

    1,750       1,923,092  

Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 07/01/36

    1,000       1,097,400  
   

 

 

 
      8,022,937  
Puerto Rico — 1.7%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

   

5.50%, 05/15/39

    95       89,334  

5.63%, 05/15/43

    470       437,979  
   

 

 

 
      527,313  
   

 

 

 

Total Municipal Bonds — 151.6%
(Cost — $45,536,358)

 

    48,292,064  
   

 

 

 
 

 

 

26    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts(c) — 8.1%

 

Massachusetts — 8.1%  
Health — 1.4%  

Massachusetts Development Finance Agency, Refunding RB, Partners Healthcare System, 4.00%, 07/01/35

  $ 430     $ 443,038  
   

 

 

 
State — 6.7%  

Commonwealth of Massachusetts, GO:

   

Series A, 5.00%, 03/01/46

    1,001       1,119,770  

Series G, 4.00%, 09/01/42

    1,005       1,029,013  
   

 

 

 
      2,148,783  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 8.1%
(Cost — $2,667,754)

 

    2,591,821  
   

 

 

 

Total Long-Term Investments — 159.7%
(Cost — $48,204,112)

 

    50,883,885  
   

 

 

 
Security       
Shares
    Value  

Short-Term Securities — 0.6%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.94%(d)(e)

    172,539     $ 172,556  
   

 

 

 

Total Short-Term Securities — 0.6%
(Cost — $172,547)

 

    172,556  
   

 

 

 

Total Investments — 160.3%
(Cost — $48,376,659)

 

    51,056,441  

Other Assets Less Liabilities — 2.7%

 

    866,966  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (5.2)%

 

    (1,643,875

VRDP Shares at Liquidation Value, Net of Deferred Offering
Costs — (57.8)%

 

    (18,426,095
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 31,853,437  
   

 

 

 

 

(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)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(d)  Annualized 7-day yield as of period end.
 
(e)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     844,109        (671,570      172,539      $ 172,556      $ 948      $ (87    $ 48  
        

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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

     9          06/20/18        $ 1,080        $ 843  

Long U.S. Treasury Bond

     12          06/20/18          1,721          (7,144

5-Year U.S. Treasury Note

     4          06/29/18          456          658  
                 

 

 

 
                  $ (5,643
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

 

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)

   $      $      $      $      $ 1,501      $      $ 1,501  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 7,144      $      $ 7,144  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 February 28, 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

   $      $      $      $      $ 196,782      $      $ 196,782  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:  

Futures contracts

   $      $      $      $      $ 6,826      $      $ 6,826  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts

        

Average notional value of contracts — short

   $ 2,546,946  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 50,883,885        $        $ 50,883,885  

Short-Term Securities

     172,556                            172,556  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 172,556        $ 50,883,885        $        $ 51,056,441  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 1,501        $        $             —        $ 1,501  

Liabilities:

 

Interest rate contracts

     (7,144                          (7,144
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (5,643      $        $        $ (5,643
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

 

28    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

 

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

 

      Level 1      Level 2      Level 3      Total  

Liabilities:

 

TOB Trust Certificates

   $             —      $ (1,635,858    $             —      $ (1,635,858

VRDP Shares at Liquidation Value

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

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (20,135,858    $      $ (20,135,858
  

 

 

    

 

 

    

 

 

    

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 137.0%

 

New York — 136.7%  
Corporate — 2.8%  

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

  $ 820     $ 879,212  

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

    2,250       2,656,283  

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

    7,250       8,905,102  
   

 

 

 
      12,440,597  
County/City/Special District/School District — 20.6%  

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

   

5.50%, 08/01/25

    2,710       3,156,527  

5.00%, 08/01/30

    2,000       2,235,700  

City of New York New York, GO:

   

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

    2,350       2,571,722  

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

    4,175       4,576,844  

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

    945       1,065,951  

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

    490       542,827  

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

    2,000       2,248,440  

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

    3,000       907,350  

(AGM), 0.00%, 11/15/55

    2,485       505,250  

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

    3,765       731,050  

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

   

5.00%, 11/15/40

    6,150       6,913,584  

5.00%, 11/15/45

    12,215       13,669,562  

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

   

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

    1,380       602,025  

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

    800       830,416  

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

    3,500       3,509,135  

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

    6,150       6,198,585  

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

    2,200       2,214,388  

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

    9,500       9,553,770  

Counties of Buffalo & Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A, 5.25%, 05/01/31

    1,000       1,101,400  

Counties of Buffalo & Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project, 5.00%, 05/01/28

    1,685       1,978,375  

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

   

5.00%, 09/01/35

    275       321,151  

5.00%, 09/01/36

    245       285,454  

5.00%, 09/01/37

    275       319,666  

5.00%, 09/01/38

    420       487,465  

5.00%, 09/01/39

    335       388,211  

County of Nassau New York, GO:

   

Series A, 5.00%, 01/15/31

    1,400       1,600,172  

Series B, 5.00%, 10/01/30

    70       80,235  

Refunding Series B, 5.00%, 04/01/32

    1,980       2,262,229  

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

   

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

    3,200       3,605,440  

Fiscal 2017, 5.00%, 02/15/42

    4,145       4,683,850  

5.00%, 02/15/37

    515       586,230  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

New York Liberty Development Corp., Refunding RB, World Trade Center Project:

   

4, 5.00%, 11/15/31

  $ 1,710     $ 1,881,872  

4, 5.00%, 11/15/44

    4,000       4,355,840  

7 Class 1, 4.00%, 09/15/35

    885       926,294  

New York Liberty Development Corp., Refunding RB, World Trade Center Project (continued):

   

7 Class 2, 5.00%, 09/15/43

    3,430       3,731,085  

5.75%, 11/15/51

    1,755       1,972,655  
   

 

 

 
      92,600,750  
Education — 25.2%  

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

   

5.00%, 12/01/30

    250       275,348  

5.00%, 12/01/32

    100       109,569  

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

    4,975       5,351,259  

Build NYC Resource Corp., Refunding RB:

   

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

    450       501,719  

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

    525       533,232  

Manhattan College Project, 5.00%, 08/01/47

    505       561,868  

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       110,641  

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

   

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

    1,775       2,003,318  

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

    750       844,155  

Carnegie Hall, 4.75%, 12/01/39

    3,150       3,290,711  

Carnegie Hall, 5.00%, 12/01/39

    1,850       1,943,795  

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

    2,840       3,151,775  

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

    5,535       5,840,587  

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

    1,000       1,095,610  

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

   

5.00%, 07/01/42

    985       1,121,885  

4.00%, 07/01/46

    1,865       1,914,665  

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

   

5.00%, 07/01/40

    685       765,446  

5.00%, 07/01/43

    2,480       2,760,959  

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

   

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

    295       287,395  

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

    1,240       1,427,178  

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

    350       361,445  

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

    1,295       1,335,689  
 

 

 

30    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

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

   

5.00%, 12/01/29

  $ 1,135     $ 1,252,983  

5.00%, 12/01/36

    1,100       1,208,086  

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

   

5.00%, 07/01/37

    715       771,685  

5.00%, 07/01/42

    445       474,904  

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

   

6.00%, 09/01/34

    300       337,632  

5.38%, 09/01/41

    125       137,404  

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

   

5.25%, 01/01/21

    700       769,188  

5.50%, 01/01/21

    500       552,865  

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

    500       535,160  

Dobbs Ferry Local Development Corp., RB, Mercy College Project, 5.00%, 07/01/39

    750       842,768  

State of New York Dormitory Authority, RB:

   

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

    1,770       1,962,682  

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

    175       192,722  

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

    1,375       1,536,343  

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

    4,500       4,965,750  

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

    3,265       3,551,145  

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

    1,000       1,045,930  

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

    3,500       4,515,910  

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

    400       418,260  

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

    3,000       3,338,520  

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

    2,000       2,024,220  

Siena College, 5.13%, 07/01/19(b)

    1,345       1,408,605  

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

    750       803,093  

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

    1,500       1,604,055  

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

    1,500       1,635,135  

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       1,115,190  

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

    900       1,023,336  

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

    510       525,346  

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

    1,500       1,674,075  

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

    1,000       1,069,610  

Fordham University, 5.00%, 07/01/44

    1,900       2,112,914  

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

    1,030       1,141,024  

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

    3,000       3,366,180  

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

    4,180       4,666,301  

Pratt Institute, 5.00%, 07/01/46

    800       889,080  

Rochester Institute of Technology, 4.00%, 07/01/31

    1,300       1,365,338  

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

    750       820,028  

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

    2,005       2,243,234  

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

    4,755       5,444,523  

State University Dormitory Facilities, Series A, 5.25%, 07/01/32

    6,435       7,364,664  

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

    1,490       1,629,762  
Security   Par
(000)
    Value  
Education (continued)  

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

   

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

  $ 1,435     $ 1,630,720  

State University Dormitory Facilities, Series A, 5.00%, 07/01/46

    440       499,633  

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

    500       570,645  

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

    860       980,288  

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

    1,030       1,152,034  
   

 

 

 
      112,757,219  
Health — 10.2%  

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

    1,800       1,892,268  

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 04/01/34

    500       542,345  

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

    585       595,776  

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

   

4.00%, 12/01/41

    500       497,715  

5.00%, 12/01/46

    800       874,064  

Series A, 5.00%, 12/01/37

    1,180       1,267,686  

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

    5,925       6,516,671  

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

    460       503,226  

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

    1,340       1,430,825  

State of New York Dormitory Authority, RB:

   

Health System, Series B (AGM), 5.00%, 08/15/18(b)

    3,480       3,536,968  

Health System, Series B (AGM), 5.00%, 02/15/33

    1,020       1,036,177  

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

    2,250       2,333,250  

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

    2,680       2,930,151  

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

    1,800       1,978,254  

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

    1,825       1,907,143  

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

    1,000       1,039,160  

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

    685       711,825  

State of New York Dormitory Authority, Refunding RB:

   

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

    295       311,458  

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

    2,200       2,500,058  

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

    2,000       2,196,580  

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

    7,375       8,156,307  

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

    2,645       2,980,624  
   

 

 

 
      45,738,531  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing — 3.8%  

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

  $ 6,505     $ 7,187,049  

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

    1,375       1,496,756  

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

    750       751,192  

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

    1,335       1,341,355  

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

    835       837,513  

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

    600       603,444  

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

    1,075       1,108,680  

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

    2,000       2,005,080  

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

   

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

    845       863,286  

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

    1,000       1,000,550  
   

 

 

 
      17,194,905  
State — 17.5%  

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

   

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

    1,510       1,513,307  

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

    4,000       4,060,280  

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

    3,000       3,103,200  

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

    1,250       1,291,787  

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

   

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

    1,220       1,402,915  

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

    1,220       1,402,915  

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

   

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

    950       1,071,457  

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

    1,690       1,909,294  

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

    1,455       1,651,789  

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

    2,090       2,386,341  

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

    4,505       5,128,087  

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

    2,100       2,373,777  

Sub-Series E-1, 5.00%, 02/01/38

    4,470       5,082,166  

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

    3,455       3,939,529  

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

    4,300       4,895,722  

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

    1,145       1,313,842  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

   

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

    2,500       2,645,650  

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

    4,000       4,546,480  

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

    2,070       2,241,210  

State of New York Dormitory Authority, RB:

   

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

    7,500       8,463,150  

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

    3,000       3,288,630  

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

    4,600       5,031,434  

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

    250       262,600  

Series B, 5.00%, 03/15/37

    1,500       1,707,495  

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

    495       543,827  

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM),
5.00%, 10/01/18(b)

    5,000       5,107,800  
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     $ 2,237,220  
   

 

 

 
      78,601,904  
Tobacco — 2.3%  

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

   

Series A, 5.00%, 06/01/41

    400       432,512  

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

    765       794,261  

Series B, 5.00%, 06/01/45

    1,500       1,592,490  

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

    1,875       1,884,937  

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

   

5.25%, 05/15/34

    1,495       1,612,851  

5.25%, 05/15/40

    1,500       1,602,855  

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

    2,510       2,422,853  
   

 

 

 
      10,342,759  
Transportation — 38.0%  

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

   

5.00%, 01/01/42

    970       1,089,067  

5.00%, 01/01/47

    325       363,577  

Metropolitan Transportation Authority, RB:

   

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

    3,500       3,986,640  

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

    1,000       1,116,770  

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

    3,000       3,444,120  

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

    1,620       1,899,515  

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

    1,620       1,899,515  

Series B, 5.25%, 11/15/44

    1,000       1,141,630  

Series C, 6.50%, 11/15/28

    1,155       1,196,522  

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

    440       495,308  

Series E, 5.00%, 11/15/38

    8,750       9,792,037  

Series E, 5.00%, 11/15/43

    1,000       1,116,850  

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

    1,720       1,908,340  

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

    1,000       1,159,150  

Metropolitan Transportation Authority, Refunding RB:

   

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

    3,380       1,430,957  

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

    1,780       2,069,553  

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

    2,500       2,637,800  

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

    1,830       2,066,290  

Series B, 5.00%, 11/15/37

    2,010       2,273,049  

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

    1,560       1,756,092  

Series D, 5.00%, 11/15/30

    885       987,970  

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

    5,410       6,002,990  

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

    11,500       12,718,540  

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

   

5.00%, 07/01/46

    7,625       8,269,084  

5.25%, 01/01/50

    7,670       8,389,293  

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

    1,250       1,275,187  

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

    695       711,520  
 

 

 

32    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(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     $ 2,687,125  

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

    1,500       1,541,925  

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

    19,725       20,711,842  

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

   

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

    1,000       1,112,070  

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

    1,390       1,570,936  

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

    285       288,642  

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

    750       827,362  

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

    1,400       1,576,554  

Consolidated, 206th Series, AMT, 5.00%, 11/15/42

    2,375       2,676,245  

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

    1,080       1,214,719  

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

   

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

    8,500       8,521,165  

Series I, 5.00%, 01/01/37

    4,245       4,649,761  

Series I, 5.00%, 01/01/42

    4,270       4,654,215  

Series J, 5.00%, 01/01/41

    5,000       5,489,000  

Series K, 5.00%, 01/01/29

    1,750       2,011,240  

Series K, 5.00%, 01/01/31

    1,000       1,138,540  

Series K, 5.00%, 01/01/32

    1,000       1,136,540  

Triborough Bridge & Tunnel Authority, RB, Series B:

   

5.00%, 11/15/40

    940       1,069,786  

5.00%, 11/15/45

    820       929,601  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    7,670       4,618,490  

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

    5,920       6,781,242  

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

    1,000       1,115,410  

General, Series A, 5.00%, 11/15/41

    5,000       5,640,700  

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

    1,280       1,473,306  

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

    3,000       3,359,130  

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

    855       877,290  

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

    530       542,720  

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

    875       989,739  
   

 

 

 
      170,402,661  
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       2,847,898  

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       1,610,145  

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

    1,000       1,073,430  

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

    2,070       2,245,847  

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

    2,250       2,545,605  

Series DD, 5.00%, 06/15/32

    3,750       3,787,988  

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

   

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

    3,785       4,284,469  

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

    2,250       2,561,400  

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

    1,065       1,178,454  

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

   

5.00%, 09/01/42

    1,185       1,337,794  

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

    2,375       2,612,286  

Long Island Power Authority, Refunding RB:

   

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

    475       532,166  

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

    1,805       2,012,358  

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

    1,000       1,045,700  

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

    1,500       1,578,810  
Security   Par
(000)
    Value  
Utilities (continued)  

State of New York Environmental Facilities Corp., RB:

   

Green Bond, Series CRB, Green Bond, Series CRB, Green Bond, Series C, 5.00%, 08/15/38

  $ 1,000     $ 1,159,080  

Green Bond, Series C, 5.00%, 08/15/36

    475       552,682  

Green Bond, Series C, 5.00%, 08/15/37

    585       679,103  

Green Bond, Series C, 5.00%, 08/15/41

    965       1,113,369  

Series B, Revolving Funds, Green Bonds, 5.00%, 09/15/40

    3,170       3,625,592  

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

   

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

    3,200       3,506,976  

Series A, 5.00%, 06/15/40

    1,545       1,786,283  

Series A, 5.00%, 06/15/45

    7,935       9,044,392  

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

    2,580       2,849,971  

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

    15,490       17,536,849  
   

 

 

 
      73,108,647  
   

 

 

 

Total Municipal Bonds in New York

 

    613,187,973  
   

 

 

 
Guam — 0.3%  
Utilities — 0.3%  

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

    1,175       1,275,274  
   

 

 

 

Total Municipal Bonds — 137.0%
(Cost — $588,121,349)

 

    614,463,247  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(c) — 29.8%

 

New York — 29.8%  
County/City/Special District/School District — 6.2%  

City of New York New York, GO, Refunding, Series E, 0.00%, 08/01/29

    2,000       2,321,250  

City of New York New York, GO:

   

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

    636       662,006  

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

    9,364       9,746,894  

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

    2,500       2,818,713  

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

    2,500       2,854,425  

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

    5,999       6,624,642  

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

    2,610       2,880,413  
   

 

 

 
      27,908,343  
Education — 4.0%  

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

    1,981       2,219,426  

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

   

5.00%, 07/01/18(b)

    5,499       5,559,593  

5.25%, 07/01/19(b)

    5,000       5,245,550  

5.00%, 07/01/35

    4,448       4,860,047  
   

 

 

 
      17,884,616  
State — 9.5%  

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

    1,650       1,804,363  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
State (continued)  

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

   

5.00%, 10/15/31

  $ 7,380     $ 8,529,976  

4.00%, 10/15/32

    6,000       6,496,260  

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

    5,000       5,221,700  

State of New York Dormitory Authority, RB:

   

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

    2,500       2,712,838  

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

    5,458       5,551,499  

Series A, 5.00%, 03/15/44

    4,858       5,445,103  

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

    4,500       5,260,972  

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

    1,471       1,682,687  
   

 

 

 
      42,705,398  
Transportation — 5.3%  

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

   

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

    3,405       3,859,363  

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

    8,005       8,746,560  

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

    10,000       11,243,050  
   

 

 

 
      23,848,973  
Utilities — 4.8%  

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

   

5.75%, 06/15/18(b)

    922       932,441  

5.75%, 06/15/40

    3,081       3,118,130  

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

    7,151       7,808,526  

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

    2,400       2,517,520  

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

    601       628,635  
Security   Par
(000)
    Value  
Utilities (continued)  

Utility Debt Securitization Authority, Refunding RB, Restructuring:

   

5.00%, 12/15/36

  $ 3,003     $ 3,462,193  

Series B, 4.00%, 12/15/35

    2,600       2,760,849  
   

 

 

 
      21,228,294  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond
Trusts — 29.8%
(Cost — $130,517,425)

 

    133,575,624  
   

 

 

 

Total Long-Term Investments — 166.8%
(Cost — $718,638,774)

 

    748,038,871  
   

 

 

 
     Shares         

Short-Term Securities — 1.5%

   

BlackRock Liquidity Funds, MuniCash, Institutional Class,
1.61%(e)(f)

    6,711,948       6,712,620  
   

 

 

 

Total Short-Term Securities— 1.5%
(Cost — $6,712,473)

 

    6,712,620  
   

 

 

 

Total Investments — 168.3%
(Cost — $725,351,247)

 

    754,751,491  

Other Assets Less Liabilities — 1.6%

 

    7,138,430  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (15.7)%

 

    (70,221,199

VRDP Shares at Liquidation Value, Net of Deferred Offering
Costs — (54.2)%

 

    (243,239,500
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 448,429,222  
   

 

 

 

 

(a)  Zero-coupon bond.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(d)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between September 6, 2018 to February 15, 2019, is $8,472,762. See Note 4 of the Notes to Financial Statements for details.
(e)  Annualized 7-day yield as of period end.
 
(f)  During the period ended February 28, 2018, investments in issuers considered to be affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     3,259,019        3,452,929        6,711,948      $ 6,712,620      $ 21,656      $ (163    $ 197  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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.

 

 

34    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

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

     148          06/20/18        $ 17,767        $ 13,868  

Long U.S. Treasury Bond

     161          06/20/18          23,093          (95,848

5-Year U.S. Treasury Note

     73          06/29/18          8,317          13,336  
                 

 

 

 
                  $ (68,644
                 

 

 

 

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)

   $      $      $      $      $ 27,204      $      $ 27,204  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

 

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 95,848      $      $ 95,848  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 February 28, 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

   $      $      $      $      $ 2,789,691      $      $ 2,789,691  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 165,663      $      $ 165,663  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 39,104,848  

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

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 748,038,871        $             —        $ 748,038,871  

Short-Term Securities

     6,712,620                            6,712,620  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 6,712,620        $ 748,038,871                 $ 754,751,491  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 27,204        $        $        $ 27,204  

Liabilities:

                 

Interest rate contracts

     (95,848                          (95,848
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (68,644      $        $        $ (68,644
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (70,007,186      $             —        $ (70,007,186

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (313,607,186      $        $ (313,607,186
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

36    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 136.3%

   
New Jersey — 135.2%            
Corporate — 10.3%            

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

  $ 560     $ 5,880  

County of Salem New Jersey Pollution Control Financing Authority, Refunding RB, Atlantic City Electric, Series A, 4.88%, 06/01/29

    750       789,263  

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

    1,550       1,753,159  

New Jersey EDA, Refunding RB:

   

Duke Farms Foundation Project, 4.00%, 07/01/46

    185       193,543  

New Jersey American Water Co., Inc. Project, Series A, AMT, 5.70%, 10/01/39

    500       526,630  

New Jersey American Water Co., Inc. Project, Series B, AMT, 5.60%, 11/01/34

    395       420,276  
   

 

 

 
      3,688,751  
County/City/Special District/School District — 21.3%            

City of Bayonne New Jersey, GO, Refunding, Qualified General Improvement, (BAM):

   

5.00%, 07/01/33

    150       166,932  

5.00%, 07/01/35

    235       260,270  

City of Margate New Jersey, GO, Refunding, Improvement(c):

   

5.00%, 01/15/21

    230       250,893  

5.00%, 01/15/21

    110       119,992  

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 07/01/45(d)

    610       611,812  

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

   

5.50%, 10/01/28

    400       495,812  

5.50%, 10/01/29

    790       986,386  

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

    800       823,856  

County of Mercer New Jersey Improvement Authority, RB, Courthouse Annex Project, 5.00%, 09/01/40

    235       261,012  

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

    440       526,201  

County of Union New Jersey Improvement Authority, LRB, Guaranteed Lease, Family Court Building Project, 5.00%, 05/01/42

    180       197,609  

Monroe Township Board of Education Middlesex County, GO, Refunding, 5.00%, 03/01/38

    265       293,991  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 04/01/28

    2,250       2,632,275  
   

 

 

 
      7,627,041  
Education — 26.4%            

County of Atlantic New Jersey Improvement Authority, RB, Stockton University Atlantic City, Series A (AGM), 4.00%, 07/01/46

    200       203,972  

New Jersey EDA, RB:

   

Hatikvah International Academy Charter School Project, Series A, 5.25%, 07/01/37(d)

    130       124,658  

Hatikvah International Academy Charter School Project, Series A, 5.38%, 07/01/47(d)

    125       118,383  

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

    350       361,284  

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

    5       5,136  

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

    455       506,101  

New Jersey EDA, Refunding RB, Greater Brunswick Charter School, Inc. Project, Series A, 5.63%, 08/01/34(d)

    215       217,930  
Security   Par
(000)
    Value  
Education (continued)            

New Jersey Educational Facilities Authority, RB:

   

Higher Educational Capital Improvement Fund, Series A, 5.00%, 09/01/32

  $ 500     $ 528,945  

Rider University Issue, Series F, 4.00%, 07/01/42

    185       178,838  

Rider University Issue, Series F, 5.00%, 07/01/47

    135       145,202  

New Jersey Educational Facilities Authority, Refunding RB:

   

College of New Jersey, Series D (AGM), 5.00%, 07/01/18(c)

    690       698,218  

Georgian Court University, Series D, 5.00%, 04/24/18(c)

    150       150,813  

Kean University, Series A, 5.50%, 09/01/19(c)

    700       739,697  

Montclair State University, Series A, 5.00%, 07/01/44

    1,600       1,768,624  

New Jersey Institute of Technology, Series H, 5.00%, 07/01/31

    210       222,789  

Ramapo College, Series B, 5.00%, 07/01/42

    85       92,140  

Seton Hall University, Series D, 5.00%, 07/01/38

    105       115,814  

Stevens Institute of Technology, Series A, 5.00%, 07/01/42

    100       111,175  

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

    915       1,007,708  

New Jersey Higher Education Student Assistance Authority, Refunding RB:

   

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

    385       413,051  

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

    90       94,039  

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

    65       67,862  

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

    300       312,906  

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

    160       167,342  

New Jersey Institute of Technology, RB, Series A:

   

5.00%, 07/01/40

    500       560,455  

5.00%, 07/01/45

    220       245,837  

Teaneck Community Charter School Project, Series A(d):

   

5.00%, 09/01/37

    125       121,959  

5.13%, 09/01/52

    150       142,455  
   

 

 

 
      9,423,333  
Health — 9.2%            

New Jersey Health Care Facilities Financing Authority, RB:

   

Hospitall Asset Transformation Program, Series A, 5.25%, 10/01/18(c)

    390       398,830  

Meridian Health System Obligated Group, Series I (AGC), 5.00%, 07/01/18(c)

    235       237,876  

Robert Wood Johnson University Hospital, Series A, 5.50%, 07/01/43

    230       259,157  

Virtua Health, Series A (AGC), 5.50%, 07/01/38

    400       418,116  

New Jersey Health Care Facilities Financing Authority, Refunding RB:

   

AHS Hospital Corp., 6.00%, 07/01/21(c)

    610       692,868  

Princeton Healthcare System, 5.00%, 07/01/39

    250       273,293  

RWJ Barnabas Health Obligated Group, Series A, 4.00%, 07/01/43

    235       239,507  

St. Barnabas Health Care System, Series A,
5.63%, 07/01/21(c)

    180       201,350  

St. Barnabas Health Care System, Series A,
5.63%, 07/01/21(c)

    505       564,898  
   

 

 

 
      3,285,895  
Housing — 2.0%            

New Jersey Housing & Mortgage Finance Agency, RB:

   

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

    370       378,902  

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

    225       230,848  

New Jersey Housing & Mortgage Finance Agency, Refunding RB, Series D, AMT, 4.25%, 11/01/37

    120       120,158  
   

 

 

 
      729,908  
State — 22.7%            

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

    870       924,645  
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
State (continued)            

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

  $ 4,000     $ 2,918,120  

New Jersey EDA, RB:

   

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 07/01/25(f)

    55       65,886  

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 07/01/25

    445       499,223  

New Jersey EDA, Refunding RB:

   

Cigarette Tax, 5.00%, 06/15/28

    255       273,658  

Cigarette Tax, 5.00%, 06/15/29

    500       535,340  

Cigarette Tax (AGM), 5.00%, 06/15/22

    750       815,542  

School Facilities Construction, Series AA, 5.50%, 06/15/19(c)

    335       351,556  

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

    165       171,178  

School Facilities Construction, Series GG, 5.25%, 09/01/27

    1,295       1,364,995  

State of New Jersey, COP, Equipment Lease Purchase, Series A, 5.25%, 06/15/19(c)

    200       209,250  
   

 

 

 
      8,129,393  
Tobacco — 1.8%            

Tobacco Settlement Financing Corp., Refunding RB, Series 1A, 5.00%, 06/01/41

    650       646,763  
   

 

 

 
Transportation — 40.4%            

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

    250       263,270  

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

    1,360       1,501,671  

New Jersey State Turnpike Authority, RB:

   

Series A, 5.00%, 07/01/22(c)

    1,175       1,326,751  

Series A, 5.00%, 07/01/22(c)

    315       354,983  

Series A, 5.00%, 01/01/35

    125       141,978  

Series A, 5.00%, 01/01/43

    185       202,828  

Series E, 5.25%, 01/01/19(c)

    370       381,840  

Series E, 5.00%, 01/01/45

    720       797,990  

New Jersey Transportation Trust Fund Authority, RB:

   

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

    1,250       674,125  

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 06/15/30

    125       136,593  

Federal Highway Reimbursement Revenue Notes, Series A-2, 5.00%, 06/15/30

    805       811,376  

Transportation Program, Series AA, 5.00%, 06/15/38

    705       735,040  

Transportation Program, Series AA, 5.25%, 06/15/41

    480       509,467  

Transportation System, 6.00%, 12/15/38

    325       334,584  

Transportation System, Series A, 6.00%, 06/15/35

    1,275       1,397,132  

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

    555       570,834  

Transportation System, Series A, 5.50%, 06/15/41

    830       873,940  

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

    200       205,812  

Transportation System, Series AA, 5.50%, 06/15/39

    425       452,782  

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

    450       493,556  

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

   

166th Series, 5.25%, 07/15/36

    500       546,550  

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

    1,000       1,091,110  

206th Series, AMT, 5.00%, 11/15/42

    170       191,563  

206th Series, AMT, 5.00%, 11/15/47

    190       213,266  

South Jersey Port Corp., Refunding ARB, Marine Terminal, Series B, AMT, 5.00%, 01/01/48

    240       253,142  
   

 

 

 
      14,462,183  
Utilities — 1.1%            

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC), 0.00%, 09/01/33(e)

    650       373,347  
   

 

 

 
Security   Par
(000)
    Value  
Puerto Rico — 1.1%            

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

   

5.50%, 05/15/39

  $ 210     $ 197,476  

5.63%, 05/15/43

    200       186,374  
   

 

 

 
      383,850  
   

 

 

 

Total Municipal Bonds — 136.3%
(Cost — $46,341,907)

 

    48,750,464  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond
Trusts(g) — 31.3%

 

New Jersey — 31.3%  
County/City/Special District/School District — 8.7%  

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project,
5.25%, 05/01/51

    340       384,496  

County of Union New Jersey Utilities Authority, Refunding RB, Series A, AMT:

   

County Deficiency Agreement, 5.00%, 06/15/41

    690       752,790  

Resource Recovery Facility, Covanta Union, Inc., 5.25%, 12/01/31

    1,780       1,969,294  
   

 

 

 
      3,106,580  
Education — 6.0%  

Rutgers — The State University of New Jersey, Refunding RB:

   

Series F, 5.00%, 05/01/19(c)

    991       1,030,497  

Series L, 5.00%, 05/01/43

    990       1,092,000  
   

 

 

 
      2,122,497  
Health — 2.8%  

New Jersey Health Care Facilities Financing Authority, RB, Inspira Health Obligated Group, 4.00%, 07/01/47

    999       1,002,925  
   

 

 

 
State — 2.9%  

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

   

6.00%, 12/15/18

    986       1,021,347  

6.00%, 12/15/18

    14       14,453  
   

 

 

 
      1,035,800  
Transportation — 10.9%  

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

   

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

    600       601,263  

Series B, 5.25%, 06/15/36(h)

    1,000       1,052,161  

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

   

152nd Series, 5.25%, 11/01/35

    630       633,046  

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

    1,501       1,620,381  
   

 

 

 
      3,906,851  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond
Trusts — 31.3%
(Cost — $10,633,239)

 

    11,174,653  
   

 

 

 

Total Long-Term Investments — 167.6%
(Cost — $56,975,146)

 

    59,925,117  
   

 

 

 
 

 

 

38    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

(Percentages shown are based on Net Assets)

 

Security       
Shares
    Value  

Short-Term Securities — 0.2%

   

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.94%(i)(j)

    82,825     $ 82,833  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost — $82,833)

 

    82,833  
   

 

 

 

Total Investments — 167.8%
(Cost — $57,057,979)

 

    60,007,950  

Other Assets Less Liabilities — 1.4%

 

    518,902  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (16.8)%

 

    (6,036,088

Loan for TOB Trust Certificates — (0.3)%

 

    (99,820

VRDP Shares at Liquidation Value, Net of Deferred Offering
Costs — (52.1)%

 

    (18,627,971
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 35,762,973  
   

 

 

 

 

(a)  Issuer filed for bankruptcy and/or is in default.
(b)  Non-income producing security.
(c)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(d)  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.
(e)  Zero-coupon bond.
(f)  Security is collateralized by municipal bonds or U.S. Treasury obligations.
(g)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(h)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires on June 15, 2019, is $776,985. See Note 4 of the Notes to Financial Statements for details.
(i)  Annualized 7-day yield as of period end.
 
(j)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliated    Shares
Held at

08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/28
     Income      Net
Realized

Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

            82,825        82,825      $ 82,833      $ 161      $ (5    $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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:

                 

Long U.S. Treasury Bond

     8          06/20/18        $ 1,148        $ (4,763

10-Year U.S. Treasury Note

     11          06/20/18          1,321          1,031  

5-Year U.S. Treasury Note

     6          06/29/18          684          986  
                 

 

 

 
                  $ (2,746
                 

 

 

 

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)

   $      $      $      $      $ 2,017      $      $ 2,017  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 4,763      $      $ 4,763  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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.  

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New Jersey Municipal Bond Trust (BLJ)

 

For the six months ended February 28, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                             

Futures contracts

     $        $        $        $ 231,953        $        $ 231,953  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                      

Futures contracts

     $        $        $        $ 12,524        $        $ 12,524  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 2,734,438  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 59,925,117        $             —        $ 59,925,117  

Short-Term Securities

     82,833                            82,833  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 82,833        $ 59,925,117        $        $ 60,007,950  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 2,017        $        $        $ 2,017  

Liabilities:

 

Interest rate contracts

     (4,763                          (4,763
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (2,746      $        $        $ (2,746
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (6,015,711      $             —        $ (6,015,711

Loan for TOB Trust Certificates

              (99,820                 (99,820

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (24,815,531      $        $ (24,815,531
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

40    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 137.6%

 

New York — 136.5%  
Corporate — 4.3%  

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

  $ 100     $ 107,341  

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

    690       739,825  

County of Essex New York Industrial Development Agency, RB, International Paper Co. Project, Series A, AMT, 6.63%, 09/01/32

    100       102,539  

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

    250       295,143  

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

    210       257,941  

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

    375       375,232  
   

 

 

 
      1,878,021  
County/City/Special District/School District — 31.8%  

City of New York New York, GO, Refunding:

   

Series E, 5.50%, 08/01/25

    150       174,715  

Series J, 5.00%, 08/01/32

    500       571,095  

City of New York New York, GO:

   

Series A-1, 4.75%, 08/15/25

    500       507,370  

Series D, 5.38%, 06/01/32

    15       15,053  

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

    5       5,192  

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

    245       276,358  

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

    245       254,251  

Sub-Series G-1, 5.00%, 04/01/29

    250       276,347  

Sub-Series I-1, 5.38%, 04/01/19(b)

    115       119,732  

Sub-Series I-1, 5.38%, 04/01/36

    20       20,801  

City of New York New York Convention Center Development Corp., RB, CAB, Sub Lien, Hotel Unit Fee, Series B (AGM), 0.00%, 11/15/55(c)

    500       101,660  

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

   

5.00%, 11/15/40

    1,110       1,247,818  

5.00%, 11/15/45

    670       749,784  

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

   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/41(c)

    4,155       1,622,860  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/42(c)

    500       185,280  

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

    2,000       704,160  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/45(c)

    950       304,437  

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

    325       327,515  

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

    100       103,802  

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

    175       176,158  

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

    175       175,990  

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

   

5.00%, 09/01/35

    25       29,196  

5.00%, 09/01/36

    25       29,128  

5.00%, 09/01/37

    25       29,061  

5.00%, 09/01/38

    40       46,425  

5.00%, 09/01/39

    35       40,559  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

County of Nassau New York, GO:

   

Series A, 5.00%, 01/15/31

  $ 250     $ 285,745  

Refunding Series B, 5.00%, 04/01/32

    190       217,083  

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

   

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

    125       140,838  

Fiscal 2017, 5.00%, 02/15/42

    405       457,650  

5.00%, 02/15/37

    50       56,916  

New York Liberty Development Corp., Refunding RB:

   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 07/15/47

    1,350       1,446,552  

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 07/15/49

    285       304,713  

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

    120       131,084  

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

    750       825,382  

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

    320       334,931  

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

    500       543,890  

7 World Trade Center Project, Class 3, 5.00%, 03/15/44

    520       552,334  

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

    340       382,167  
   

 

 

 
      13,774,032  
Education — 35.4%  

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

    140       150,588  

Build NYC Resource Corp., Refunding RB:

   

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 06/01/38

    250       279,487  

Ethical Culture Fieldston School Project, 5.00%, 06/01/32

    450       502,929  

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

    120       135,664  

Packer Collegiate Institute Project, 5.00%, 06/01/40

    310       339,521  

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

    250       256,498  

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

   

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

    110       124,149  

Carnegie Hall, 4.75%, 12/01/39

    400       417,868  

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

   

Series A, 5.13%, 09/01/40

    610       643,678  

Series B, 4.00%, 08/01/35

    110       112,775  

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 06/01/19(b)

    250       263,555  

Counties of Buffalo & Erie New York Industrial Land Development Corp., Refunding RB, The Charter School for Applied Technologies Project, Series A, 5.00%, 06/01/35

    55       58,038  

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 05/01/39

    60       65,130  

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

   

5.00%, 07/01/42

    100       113,897  

4.00%, 07/01/46

    185       189,927  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project(b):

   

5.00%, 07/01/21

    110       121,327  

5.00%, 07/01/21

    390       431,492  

Series A, 5.00%, 07/01/21

    500       553,195  

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

   

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

    25       24,356  

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

    120       138,114  

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

    125       128,928  
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 03/01/20(b)

  $ 200     $ 212,172  

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 01/01/21(b)

    100       110,573  

Geneva Development Corp., Refunding RB, Hobart & William Smith Colleges, 5.25%, 09/01/44

    160       179,411  

State of New York Dormitory Authority, RB:

   

5.00%, 03/15/30

    500       585,070  

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

    300       332,658  

Education, Series B, 5.75%, 03/15/19(b)

    300       313,407  

New York University, Series 1 (AMBAC) (BHAC), 5.50%, 07/01/31

    245       299,662  

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

    500       556,420  

State University Dormitory Facilities, Series A,
5.00%, 07/01/19(b)

    150       156,848  

Teachers College, Series B, 5.00%, 07/01/42

    750       820,027  

Touro College & University System, Series A, 5.25%, 01/01/34

    250       274,935  

Touro College & University System, Series A, 5.50%, 01/01/39

    500       553,625  

University of Rochester, Series A, 5.13%, 07/01/19(b)

    185       193,497  

University of Rochester, Series A, 5.75%, 07/01/19(b)

    150       158,118  

University of Rochester, Series A, 5.13%, 07/01/39

    30       31,346  

University of Rochester, Series A, 5.75%, 07/01/39

    25       26,374  

State of New York Dormitory Authority, Refunding RB:

   

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

    100       113,704  

Brooklyn Law School, 5.75%, 07/01/33

    125       130,061  

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

    150       160,442  

Fordham University, 5.00%, 07/01/44

    340       378,100  

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

    345       382,188  

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

    445       496,771  

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

    1,750       1,947,470  

Skidmore College, Series A, 5.00%, 07/01/28

    250       273,365  

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

    350       401,131  

State University Dormitory Facilities, Series A, 5.25%, 07/01/32

    350       400,564  

State University Dormitory Facilities, Series A, 5.00%, 07/01/46

    190       215,751  

Teachers College, 5.50%, 03/01/19(b)

    350       364,017  

Town of Hempstead New York Local Development Corp., Refunding RB:

   

Adelphi University Project, 5.00%, 10/01/34

    105       117,586  

Hofstra University Project, 5.00%, 07/01/47

    100       111,848  
   

 

 

 
      15,348,257  
Health — 16.7%            

Counties of Buffalo & Erie New York Industrial Land Development Corp., RB, Catholic Health System Obligation, 5.25%, 07/01/35

    500       553,395  

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A (AGM), 5.75%, 07/01/30

    350       382,921  

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

    130       130,071  

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

   

4.00%, 12/01/41

    100       99,543  

5.00%, 12/01/46

    160       174,813  

Series A, 5.00%, 12/01/37

    370       397,495  
Security   Par
(000)
    Value  
Health (continued)            

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

  $ 275     $ 302,461  

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

    80       87,518  

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

   

Remarketing, Series A, 5.00%, 11/01/30

    1,030       1,099,813  

Series B, 6.00%, 11/01/20(b)

    175       194,367  

Series B, 6.00%, 11/01/30

    25       27,173  

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 01/01/34

    500       536,720  

State of New York Dormitory Authority, RB:

   

Mental Health Services (AGM), 5.00%, 08/15/18(b)

    5       5,082  

Mental Health Services (AGM), 5.00%, 02/15/22

    25       25,416  

New York State Association for Retarded Children, Inc., Series B (AMBAC), 6.00%, 07/01/19(b)

    185       195,745  

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

    220       240,535  

North Shore-Long Island Jewish Obligated Group, Series A, 5.75%, 05/01/19(b)

    500       523,940  

State of New York Dormitory Authority, Refunding RB:

   

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

    25       26,395  

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

    205       232,960  

Miriam Osborn Memorial Home Association, 5.00%, 07/01/29

    290       300,040  

Mount Sinai Hospital, Series A, 5.00%, 07/01/26

    315       335,239  

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

    1,000       1,098,290  

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 05/01/33

    250       259,247  
   

 

 

 
      7,229,179  
Housing — 5.5%            

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

    735       812,065  

5.00%, 07/01/33

    250       272,138  

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

    500       515,665  

County of Onondaga New York Trust for Cultural Resources, Refunding RB, Abby Lane Housing Corporation Project, 5.00%, 05/01/40

    135       148,748  

State of New York HFA, RB:

   

Affordable Housing, Series E (SONYMA), 4.15%, 11/01/47

    165       168,432  

M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 02/15/39

    490       491,759  
   

 

 

 
      2,408,807  
State — 5.9%            

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

   

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

    115       132,242  

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

    115       132,242  

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

   

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

    200       226,074  

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

    325       370,578  

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

    135       153,703  
 

 

 

42    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
State (continued)            

State of New York, GO, Series A, 5.00%, 02/15/39

  $ 250     $ 257,738  

State of New York Dormitory Authority, RB, General Purpose, Series A, 5.00%, 02/15/42

    500       564,210  

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

    370       422,410  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/30

    250       280,532  
   

 

 

 
      2,539,729  
Tobacco — 3.8%            

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A,
6.25%, 06/01/41(a)

    200       206,134  

Counties of New York Tobacco Trust VI, Refunding RB:

   

Settlement Pass-Through Turbo, Series C, 4.00%, 06/01/51

    400       370,196  

Tobacco Settlement Pass-Through, Series A-2B, 5.00%, 06/01/51

    340       353,005  

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

    75       75,397  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 05/15/40

    170       181,657  

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

    250       241,320  

Westchester Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 5.13%, 06/01/51

    200       204,194  
   

 

 

 
      1,631,903  
Transportation — 23.4%            

Buffalo & Fort Erie Public Bridge Authority, RB, Toll Bridge System, 5.00%, 01/01/42

    120       134,730  

County of Albany Airport Authority, Refunding RB, AMT, Series B:

   

4.00%, 12/15/34

    235       236,441  

4.00%, 12/15/35

    120       120,364  

Metropolitan Transportation Authority, RB:

   

Series A, 5.63%, 11/15/18(b)

    45       46,369  

Series C, 6.50%, 11/15/28

    130       134,674  

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

    220       247,654  

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

    165       183,067  

Metropolitan Transportation Authority, Refunding RB:

   

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

    320       135,475  

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

    200       211,024  

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

    780       878,046  

Series D, 5.25%, 11/15/23(b)

    170       199,332  

Series D, 5.25%, 11/15/23(b)

    250       293,135  

Series D, 5.25%, 11/15/23(b)

    250       293,135  

Series F, 5.00%, 11/15/30

    500       558,175  

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

    450       499,324  

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

   

5.25%, 01/01/50

    165       180,474  

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

    150       153,023  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    690       730,531  

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

    500       548,395  
Security   Par
(000)
    Value  
Transportation (continued)            

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

   

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

  $ 150     $ 169,525  

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

    250       281,527  

Consolidated, 206th Series, AMT, 5.00%, 11/15/42

    225       253,539  

Port Authority of New York & New Jersey, Refunding RB, 178th Series, AMT, 5.00%, 12/01/32

    270       300,712  

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

    370       416,154  

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

   

2nd Highway & Bridge Trust, Series A, 5.00%, 04/01/32

    1,000       1,112,410  

Series I, 5.00%, 01/01/37

    440       481,954  

Series I, 5.00%, 01/01/42

    140       152,597  

Series J, 5.00%, 01/01/41

    250       274,450  

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

    140       159,330  

Triborough Bridge & Tunnel Authority, Refunding RB, General:

   

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

    385       441,010  

Series A, 5.25%, 11/15/45

    275       316,530  
   

 

 

 
      10,143,106  
Utilities — 9.7%            

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

    120       139,205  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    250       282,845  

City of New York New York Water & Sewer System, RB, 2nd General Resolution, Fiscal 2017, Series DD, 5.00%, 06/15/47

    135       152,815  

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

   

5.00%, 09/01/42

    110       124,183  

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

    225       247,480  

Series C (CIFG), 5.25%, 09/01/29

    500       599,010  

Long Island Power Authority, Refunding RB, Electric System:

   

Series A, 5.50%, 04/01/19(b)

    100       104,193  

Series B, 5.00%, 09/01/41

    50       56,017  

Series B, 5.00%, 09/01/46

    210       234,125  

State of New York Environmental Facilities Corp., RB, Green Bond, Series C, 5.00%, 08/15/37

    285       330,845  

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

    600       662,784  

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

    1,115       1,262,336  
   

 

 

 
      4,195,838  
Puerto Rico — 1.1%  
Tobacco — 1.1%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, 5.63%, 05/15/43

    500       465,935  
   

 

 

 

Total Municipal Bonds — 137.6%
(Cost — $55,654,134)

 

    59,614,807  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d) — 25.7%

 

New York — 25.7%  
County/City/Special District/School District — 7.5%  

City of New York New York, GO, Sub-Series I-1, 5.00%, 03/01/36

    250       281,871  

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

    300       342,531  
 

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

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

  $ 700     $ 772,875  

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

    630       695,618  

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

    1,050       1,158,787  
   

 

 

 
      3,251,682  
State — 3.9%            

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

    500       515,101  

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

    825       902,182  

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

    255       294,735  
   

 

 

 
      1,712,018  
Transportation — 3.8%            

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

    360       408,038  

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

    600       661,848  

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

    500       562,153  
   

 

 

 
      1,632,039  
Utilities — 10.5%            

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

   

5.75%, 06/15/18(b)

    93       94,292  

5.75%, 06/15/40

    312       315,317  

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

    990       1,081,357  

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

    1,500       1,637,160  

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

    511       534,340  
Security   Par
(000)
    Value  
Utilities (continued)            

Utility Debt Securitization Authority, Refunding RB, Restructuring:

   

5.00%, 12/15/36

  $ 496     $ 571,262  

Series B, 4.00%, 12/15/35

    280       297,322  
   

 

 

 
      4,531,050  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 25.7%
(Cost — $10,780,742)

 

    11,126,789  
   

 

 

 

Total Long-Term Investments — 163.3%
(Cost — $66,434,876)

 

    70,741,596  
   

 

 

 
     Shares         

Short-Term Securities — 0.8%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.94%(f)(g)

    354,279       354,314  
   

 

 

 

Total Short-Term Securities — 0.8%
(Cost — $354,281)

 

    354,314  
   

 

 

 

Total Investments — 164.1%
(Cost — $66,789,157)

 

    71,095,910  

Other Assets Less Liabilities — 1.7%

 

    758,542  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (15.1)%

 

    (6,542,491

VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (50.7)%

 

    (21,995,460
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 43,316,501  
   

 

 

 

 

(a)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Zero-coupon bond.
(d)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(e)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on February 15, 2019, is $370,682.
(f)  Annualized 7-day yield as of period end.
 
(g)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net Realized
Gain (Loss) (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     225,260        129,019        354,279      $ 354,314      $ 2,507      $ (35    $ 33  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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.

 

 

44    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Bond Trust (BQH)

 

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

     11          06/20/18        $ 1,321        $ 1,031  

Long U.S. Treasury Bond

     18          06/20/18          2,582          (10,716

5-Year U.S. Treasury Note

     9          06/29/18          1,025          1,682  
                 

 

 

 
                  $ (8,003
                 

 

 

 

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)

   $      $      $      $      $ 2,713      $      $ 2,713  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                                 

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 10,716      $      $ 10,716  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 February 28, 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

   $      $      $      $      $ 273,365      $      $ 273,365  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 15,615      $      $ 15,615  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 3,922,105  

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

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Bond Trust (BQH)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 70,741,596        $             —        $ 70,741,596  

Short-Term Securities

     354,314                            354,314  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 354,314        $ 70,741,596        $        $ 71,095,910  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 2,713        $        $        $ 2,713  

Liabilities:

                 

Interest rate contracts

     (10,716                          (10,716
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (8003      $        $        $ (8,003
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (6,521,464      $             —        $ (6,521,464

VRDP Shares at Liquidation Value

              (22,100,000                 (22,100,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (28,621,464      $        $ (28,621,464
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

46    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 122.4%

 

New York — 122.4%  
Corporate — 0.5%  

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

  $ 355     $ 436,043  
   

 

 

 
County/City/Special District/School District — 16.1%  

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

   

5.50%, 08/01/25

    725       844,458  

5.00%, 08/01/30

    1,000       1,117,850  

City of New York New York, GO:

   

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

    200       218,870  

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

    440       496,316  

City of New York New York Convention Center Development Corp., RB, CAB, Sub Lien, Hotel Unit Fee, Series B (AGM), 0.00%, 11/15/55(a)

    1,000       203,320  

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

   

5.00%, 11/15/40

    1,335       1,500,754  

5.00%, 11/15/45

    1,250       1,398,850  

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

   

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

    1,000       436,250  

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

    150       155,703  

Counties of Buffalo & Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A, 5.25%, 05/01/31

    200       220,280  

Counties of Buffalo & Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project, 5.00%, 05/01/28

    565       663,372  

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

   

5.00%, 09/01/35

    60       70,069  

5.00%, 09/01/36

    50       58,256  

5.00%, 09/01/37

    60       69,745  

5.00%, 09/01/38

    90       104,457  

5.00%, 09/01/39

    70       81,119  

County of Nassau New York, GO, Refunding Series B, 5.00%, 04/01/32

    420       479,867  

Haverstraw-Stony Point Central School District, GO, Refunding, 5.00%, 10/15/36

    240       268,994  

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

   

5.75%, 02/15/21(b)

    615       684,919  

5.75%, 02/15/47

    385       421,317  

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

   

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

    465       523,915  

Fiscal 2017, 5.00%, 02/15/42

    875       988,750  

New York Liberty Development Corp., Refunding RB, World Trade Center Project:

   

4, 5.00%, 11/15/31

    1,000       1,100,510  

4, 5.00%, 11/15/44

    1,250       1,361,200  

7 Class 1, 4.00%, 09/15/35

    1,100       1,151,326  

5.75%, 11/15/51

    545       612,591  
   

 

 

 
      15,233,058  
Education — 35.3%  

Build NYC Resource Corp., Refunding RB:

   

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 06/01/38

    250       279,488  

Ethical Culture Fieldston School Project, 5.00%, 06/01/33

    300       334,053  

Ethical Culture Fieldston School Project, 5.00%, 06/01/35

    350       387,345  

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

    260       293,938  

Manhattan College Project, 5.00%, 08/01/47

    135       150,202  
Security   Par
(000)
    Value  
Education (continued)  

Build NYC Resource Corp., Refunding RB (continued):

   

Packer Collegiate Institute Project, 5.00%, 06/01/40

  $ 690     $ 755,709  

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

   

5.00%, 12/01/33

    175       190,974  

4.00%, 12/01/34

    130       130,758  

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

   

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

    440       496,597  

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

    500       562,770  

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

    700       715,092  

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

    410       455,010  

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

   

Series A, 5.13%, 09/01/40

    1,645       1,735,820  

Series B, 4.00%, 08/01/35

    230       235,803  

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

   

5.00%, 07/01/42

    195       222,099  

4.00%, 07/01/46

    375       384,986  

County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 07/01/39

    1,500       1,602,390  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A,
5.00%, 07/01/21(b)

    500       553,195  

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

   

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

    60       58,453  

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

    400       460,380  

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

    265       273,326  

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

   

5.00%, 07/01/37

    180       194,270  

5.00%, 07/01/42

    115       122,728  

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 07/01/32

    500       551,635  

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 01/01/21(b)

    250       276,433  

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

    1,000       1,070,320  

Dobbs Ferry Local Development Corp., RB, Mercy College Project:

   

5.00%, 07/01/39

    1,000       1,123,690  

5.00%, 07/01/44

    500       560,000  

State of New York Dormitory Authority, RB:

   

5.00%, 03/15/30

    1,000       1,170,140  

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

    300       332,658  

Education, Series B, 5.75%, 03/15/19(b)

    600       626,814  

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

    500       550,635  

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

    350       380,674  

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

    500       558,170  

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

    1,000       1,012,110  

Rochester Institute of Technology, 5.00%, 07/01/40

    550       586,207  

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

    600       641,622  

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

    1,000       1,090,090  
 

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

State of New York Dormitory Authority, Refunding RB:

   

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

  $ 200     $ 227,408  

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

    2,960       3,303,508  

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

    250       267,403  

Fordham University, 5.00%, 07/01/44

    640       711,718  

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

    1,380       1,528,750  

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

    745       831,673  

Pratt Institute, Series A, 5.00%, 07/01/44

    500       547,880  

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

    1,500       1,719,135  

State University Dormitory Facilities, Series A, 5.25%, 07/01/32

    600       686,682  

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

    450       492,210  

State University Dormitory Facilities, Series A, 5.00%, 07/01/46

    375       425,824  

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

    545       622,003  

Town of Hempstead New York Local Development Corp., Refunding RB:

   

Adelphi University Project, 5.00%, 10/01/34

    310       347,160  

Adelphi University Project, 5.00%, 10/01/35

    310       349,134  

Hofstra University Project, 5.00%, 07/01/47

    100       111,848  
   

 

 

 
      33,298,920  
Health — 11.5%  

Counties of Buffalo & Erie New York Industrial Land Development Corp., RB, Catholic Health System Obligation, 5.25%, 07/01/35

    500       553,395  

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 04/01/30

    500       542,345  

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

   

4.00%, 12/01/41

    200       199,086  

5.00%, 12/01/46

    320       349,626  

Series A, 5.00%, 12/01/37

    850       913,163  

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

    725       797,398  

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

    150       164,096  

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

    895       955,663  

State of New York Dormitory Authority, RB:

   

Mental Health Services (AGM), 5.00%, 08/15/18(b)

    5       5,082  

Mental Health Services (AGM), 5.00%, 08/15/18(b)

    5       5,082  

Mental Health Services (AGM), 5.00%, 02/15/22

    80       81,331  

Mental Health Services, 2nd Series (AGM),
5.00%, 08/15/18(b)

    5       5,082  

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

    250       274,758  

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

    500       519,580  

State of New York Dormitory Authority, Refunding RB:

   

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

    60       63,347  

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

    450       511,376  

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

    750       823,717  

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

    750       823,717  
Security   Par
(000)
    Value  
Health (continued)  

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

   

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

  $ 1,840     $ 2,034,930  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/43

    1,140       1,256,018  
   

 

 

 
      10,878,792  
Housing — 3.9%  

City of New York New York Housing Development Corp., RB, M/F Housing, Series B1:

   

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

    915       1,010,938  

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

    400       435,420  

5.25%, 07/01/30

    750       836,438  

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

    500       515,665  

County of Onondaga New York Trust for Cultural Resources, Refunding RB, Abby Lane Housing Corporation Project, 5.00%, 05/01/40

    445       490,319  

State of New York HFA, RB:

   

Affordable Housing, Series E (SONYMA), 4.15%, 11/01/47

    330       336,864  

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

    110       112,380  
   

 

 

 
      3,738,024  
State — 14.6%  

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-4 (AGC), 5.50%, 01/15/33

    1,000       1,034,400  

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

   

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

    250       287,483  

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

    250       287,483  

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

   

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

    425       480,407  

Sub-Series E-1, 5.00%, 02/01/38

    910       1,034,625  

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

    705       803,869  

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

    300       341,562  

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

    590       677,001  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

   

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

    540       571,460  

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

    750       852,465  

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

    750       867,180  

State of New York Dormitory Authority, RB:

   

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

    500       564,210  

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

    1,000       1,096,210  

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

    1,400       1,531,306  

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

    100       114,958  

Series A, 5.00%, 03/15/36

    440       504,051  

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/18(b)

    1,000       1,021,560  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C:

   

5.00%, 03/15/30

    500       561,065  

5.00%, 03/15/32

    1,000       1,118,610  
   

 

 

 
      13,749,905  
 

 

 

48    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Tobacco — 1.3%  

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

   

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

  $ 270     $ 280,327  

Series B, 5.00%, 06/01/45

    300       318,498  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 05/15/40

    290       309,885  

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

    295       284,758  
   

 

 

 
      1,193,468  
Transportation — 25.4%  

Buffalo & Fort Erie Public Bridge Authority, RB, Toll Bridge System, 5.00%, 01/01/42

    265       297,529  

Metropolitan Transportation Authority, RB:

   

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

    575       642,143  

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

    270       316,586  

Series C, 6.50%, 11/15/28

    145       150,213  

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

    440       495,308  

Series E, 5.00%, 11/15/38

    650       727,408  

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

    350       388,325  

Metropolitan Transportation Authority, Refunding RB:

   

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

    690       292,118  

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

    365       424,375  

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

    500       527,560  

Series B, 5.00%, 11/15/37

    1,110       1,255,266  

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

    1,560       1,756,092  

Series D, 5.25%, 11/15/23(b)

    750       879,405  

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

   

5.00%, 11/15/56

    1,345       1,492,425  

5.00%, 11/15/51

    115       124,849  

Port Authority of New York & New Jersey, Refunding ARB, 179th Series, 5.00%, 12/01/38

    245       276,892  

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

    210       236,195  

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

   

2nd Highway & Bridge Trust, Series A, 5.00%, 04/01/32

    250       278,103  

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

    4,000       4,009,960  

Series I, 5.00%, 01/01/37

    1,325       1,451,339  

Series I, 5.00%, 01/01/42

    425       463,241  

Series K, 5.00%, 01/01/32

    750       852,405  

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

    280       318,660  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    635       382,365  

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

    1,490       1,706,765  

General, Remarketing, Series A, 5.00%, 11/15/34

    1,000       1,118,240  

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

    370       425,877  

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

    615       631,033  

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

    385       394,240  

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

    1,485       1,679,728  
   

 

 

 
      23,994,645  
Utilities — 13.8%  

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

    1,000       1,105,850  

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

   

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

    1,000       1,131,380  

Series DD, 5.00%, 06/15/32

    1,100       1,111,143  
Security   Par
(000)
    Value  
Utilities (continued)  

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

  $ 250     $ 276,632  

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

   

5.00%, 09/01/42

    240       270,946  

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

    500       549,955  

Series C (CIFG), 5.25%, 09/01/29

    1,000       1,198,020  

Long Island Power Authority, Refunding RB:

   

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

    110       123,239  

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

    405       451,526  

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

    1,690       1,767,233  

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

    2,000       2,105,080  

State of New York Environmental Facilities Corp., RB, Series B, Revolving Funds, Green Bonds, 5.00%, 09/15/40

    635       726,262  

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

    1,000       1,104,640  

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

    1,000       1,132,140  
   

 

 

 
      13,054,046  
   

 

 

 

Total Municipal Bonds — 122.4%
(Cost — $110,536,193)

 

    115,576,901  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(c) — 39.7%

 

New York — 39.7%  
County/City/Special District/School District — 15.0%  

City of New York New York, GO, Refunding, Series E, 5.00%, 08/01/29

    1,000       1,160,625  

City of New York New York, GO:

   

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

    64       66,201  

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

    936       974,689  

Sub-Series G-1, 5.00%, 04/01/29

    1,000       1,104,690  

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

    250       281,871  

Refunding Fiscal 2015, Series B, 4.00%, 08/01/32

    1,790       1,883,474  

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

    500       570,885  

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

    1,800       1,987,392  

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

    3,495       3,859,023  

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

    2,085       2,301,020  
   

 

 

 
      14,189,870  
Education — 2.3%  

State of New York Dormitory Authority, RB, State University Dormitory Facilities, New York University, Series A, 5.00%, 07/01/35

    1,999       2,184,291  
   

 

 

 
State — 6.7%  

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

    2,475       2,706,545  

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

   

5.00%, 10/15/31

    990       1,144,265  

4.00%, 10/15/32

    1,500       1,624,065  

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 03/15/41

    750       813,851  
   

 

 

 
      6,288,726  
 

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Transportation — 3.0%  

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

  $ 735     $ 833,078  

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

    800       882,464  

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

    1,000       1,124,305  
   

 

 

 
      2,839,847  
Utilities — 12.7%  

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

   

5.75%, 06/15/18(b)

    114       115,246  

5.75%, 06/15/40

    381       385,387  

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

    2,249       2,455,511  

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

    2,010       2,193,795  

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

    405       424,832  

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

    691       722,930  

Utility Debt Securitization Authority, Refunding RB:

   

5.00%, 12/15/41

    3,719       4,205,131  

Restructuring, 5.00%, 12/15/36

    1,006       1,159,835  

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

    280       297,322  
   

 

 

 
      11,959,989  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond
Trusts — 39.7%
(Cost — $35,917,793)

 

    37,462,723  
   

 

 

 

Total Long-Term Investments — 162.1%
(Cost — $146,453,986)

 

    153,039,624  
   

 

 

 
Security  

Shares

    Value  

Short-Term Securities — 0.9%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.94%(e)(f)

    866,475     $ 866,562  
   

 

 

 

Total Short-Term Securities — 0.9%
(Cost — $866,515)

 

    866,562  
   

 

 

 

Total Investments — 163.0%
(Cost — $147,320,501)

 

    153,906,186  

Other Assets Less Liabilities — 1.6%

 

    1,563,196  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (21.9)%

 

    (20,665,280

VRDP Shares at Liquidation Value, Net of Deferred Offering
Costs — (42.7)%

 

    (40,386,989
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 94,417,113  
   

 

 

 

 

(a)  Zero-coupon bond.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(d)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between September 6, 2018 to February 15, 2019, is $1,482,731. See Note 4 of the Notes to Financial Statements for details.
(e)  Annualized 7-day yield as of period end.
 
(f)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     1,143,510        (277,035      866,475      $ 866,562      $ 4,534      $ (9    $ 97  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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

     32          06/20/18        $ 3,842        $ 2,999  

Long U.S. Treasury Bond

     30          06/20/18          4,303          (17,860

5-Year U.S. Treasury Note

     21          06/29/18          2,393          3,897  
                 

 

 

 
                  $ (10,964
                 

 

 

 

 

 

50    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

      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)

   $      $      $      $      $ 6,896      $      $ 6,896  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 17,860      $      $ 17,860  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 February 28, 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

   $      $      $      $      $ 573,767      $      $ 573,767  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                            

Futures contracts

   $      $      $      $      $ 39,067      $      $ 39,067  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts

        

Average notional value of contracts — short

   $ 8,496,402  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 153,039,624        $        $ 153,039,624  

Short-Term Securities

     866,562                            866,562  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 866,562        $ 153,039,624        $        $ 153,906,186  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments (b)

 

Assets:

 

Interest rate contracts

   $ 6,896        $        $        $ 6,896  

Liabilities:

 

Interest rate contracts

     (17,860                             —          (17,860
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (10,964      $        $        $ (10,964
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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      51  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (20,604,151      $        $ (20,604,151

VRDP Shares at Liquidation Value

                 —          (40,500,000                    —          (40,500,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (61,104,151      $        $ (61,104,151
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

52    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Municipal Bonds — 148.0%

 

New York — 144.1%  
Corporate — 5.1%  

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

  $ 140     $ 150,277  

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT:

   

5.00%, 07/01/22

    350       384,633  

5.00%, 07/01/28

    330       353,829  

County of Essex New York Industrial Development Agency, RB, International Paper Co. Project, Series A, AMT, 6.63%, 09/01/32

    200       205,078  

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

    500       590,285  

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

    1,270       1,559,928  

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

    625       625,388  
   

 

 

 
      3,869,418  
County/City/Special District/School District — 32.5%  

City of New York New York, GO, Refunding:

   

Series A, 5.00%, 08/01/30

    1,700       1,959,845  

Series E, 5.50%, 08/01/25

    965       1,124,003  

Series E, 5.00%, 08/01/30

    500       558,925  

City of New York New York, GO:

   

Series A-1, 4.75%, 08/15/25

    500       507,370  

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

    5       5,192  

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

    690       778,313  

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

    245       254,251  

Sub-Series I-1, 5.38%, 04/01/19(b)

    120       124,938  

Sub-Series I-1, 5.38%, 04/01/36

    15       15,601  

City of New York New York Convention Center Development Corp., RB, CAB, Sub Lien, Hotel Unit Fee, Series B (AGM), 0.00%, 11/15/55(c)

    1,000       203,320  

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

   

5.00%, 11/15/40

    1,445       1,624,411  

5.00%, 11/15/45

    2,340       2,618,647  

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

   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/42(c)

    1,750       648,480  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/45(c)

    500       160,230  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/35(c)

    500       266,785  

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

    100       103,802  

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

    500       503,870  

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

    400       402,648  

Yankee Stadium Project (NPFGC), 4.75%, 03/01/46

    400       400,600  

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

    500       502,830  

City of Syracuse New York, GO, Airport Terminal Security & Access, Series A, AMT (AGM), 4.75%, 11/01/31

    500       529,770  

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

   

5.00%, 09/01/35

    45       52,552  

5.00%, 09/01/36

    40       46,605  

5.00%, 09/01/37

    45       52,309  

5.00%, 09/01/38

    70       81,244  

5.00%, 09/01/39

    55       63,736  
Security  

Par

(000)

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

County of Nassau New York, GO, Refunding Series B, 5.00%, 04/01/32

  $ 335     $ 382,751  

Haverstraw-Stony Point Central School District, GO, Refunding, 5.00%, 10/15/36

    120       134,497  

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

   

5.75%, 02/15/21(b)

    960       1,069,143  

5.75%, 02/15/47

    590       645,655  

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

   

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

    565       636,586  

Fiscal 2017, 5.00%, 02/15/42

    700       791,000  

New York Liberty Development Corp., Refunding RB:

   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 07/15/47

    1,400       1,500,128  

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 07/15/49

    500       534,585  

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

    200       218,474  

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

    1,000       1,100,510  

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

    1,250       1,361,200  

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

    1,000       1,087,780  

7 World Trade Center Project, Class 3, 5.00%, 03/15/44

    690       732,904  

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

    670       753,093  
   

 

 

 
      24,538,583  
Education — 26.2%  

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

    275       295,798  

Build NYC Resource Corp., Refunding RB:

   

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 06/01/38

    250       279,488  

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

    215       243,064  

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

    500       512,995  

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

   

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

    440       496,597  

Carnegie Hall, 4.75%, 12/01/39

    700       731,269  

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

   

Series A, 5.13%, 09/01/40

    1,000       1,055,210  

Series B, 4.00%, 08/01/35

    190       194,794  

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 06/01/19(b)

    500       527,110  

Counties of Buffalo & Erie New York Industrial Land Development Corp., Refunding RB, Series A:

   

Buffalo State College Foundation Housing Corp. Project, 5.38%, 10/01/41

    280       306,771  

The Charter School for Applied Technologies Project, 5.00%, 06/01/35

    100       105,523  

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 05/01/39

    125       135,688  

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

   

5.00%, 07/01/42

    165       187,930  

4.00%, 07/01/46

    310       318,255  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 07/01/21(b)

    1,000       1,106,390  

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

   

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

    50       48,711  

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

    240       276,228  
 

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Education (continued)  

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

   

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

  $ 215     $ 221,755  

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 03/01/20(b)

    350       371,301  

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

   

6.00%, 09/01/34

    150       168,816  

5.38%, 09/01/41

    650       714,499  

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 01/01/21(b)

    450       497,579  

Geneva Development Corp., Refunding RB, Hobart & William Smith Colleges, 5.25%, 09/01/44

    400       448,528  

State of New York Dormitory Authority, RB:

   

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

    500       554,430  

Education, Series B, 5.75%, 03/15/19(b)

    300       313,407  

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

    150       167,601  

State University Dormitory Facilities, Series A, 5.00%, 07/01/19(b)

    250       261,413  

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

    670       730,360  

Touro College & University System, Series A, 5.25%, 01/01/34

    1,200       1,319,688  

University of Rochester, Series A, 5.13%, 07/01/19(b)

    215       224,875  

University of Rochester, Series A, 5.13%, 07/01/39

    35       36,570  

State of New York Dormitory Authority, Refunding RB:

   

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

    150       170,556  

Brooklyn Law School, 5.75%, 07/01/33

    250       260,123  

Fordham University, 5.00%, 07/01/44

    640       711,718  

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

    685       758,836  

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

    600       669,804  

Skidmore College, Series A, 5.25%, 07/01/29

    200       220,836  

Skidmore College, Series A, 5.25%, 07/01/31

    300       330,948  

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

    1,220       1,398,230  

State University Dormitory Facilities, Series A, 5.25%, 07/01/32

    700       801,129  

State University Dormitory Facilities, Series A, 5.00%, 07/01/46

    310       352,014  

Teachers College, 5.50%, 03/01/19(b)

    650       676,032  

Town of Hempstead New York Local Development Corp., Refunding RB:

   

Adelphi University Project, 5.00%, 10/01/35

    210       236,510  

Hofstra University Project, 4.00%, 07/01/37

    220       226,208  

Hofstra University Project, 5.00%, 07/01/47

    100       111,848  
   

 

 

 
      19,777,435  
Health — 14.8%  

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

    185       188,408  

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 07/01/40

    300       326,631  

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

    210       210,116  

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

   

4.00%, 12/01/41

    200       199,086  

5.00%, 12/01/46

    320       349,626  
Security  

Par

(000)

    Value  
Health (continued)  

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

   

Series A, 5.00%, 12/01/32

  $ 180     $ 194,861  

Series A, 5.00%, 12/01/37

    250       268,577  

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

    1,425       1,567,300  

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

    150       164,096  

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

   

Remarketing, Series A, 5.00%, 11/01/30

    895       955,663  

Series B, 6.00%, 11/01/20(b)

    130       144,387  

Series B, 6.00%, 11/01/30

    20       21,738  

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 01/01/34

    500       536,720  

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

   

Healthcare, 5.00%, 03/15/19

    500       518,500  

New York State Association for Retarded Children, Inc., 6.00%, 07/01/19

    250       264,520  

New York University Hospitals Center, 5.75%, 07/01/20

    425       464,669  

State of New York Dormitory Authority, Refunding RB:

   

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

    250       282,105  

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

    50       52,790  

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

    370       420,464  

Miriam Osborn Memorial Home Association, 5.00%, 07/01/29

    130       134,501  

Mount Sinai Hospital, Series A, 5.00%, 07/01/26

    500       532,125  

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

    1,000       1,098,290  

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

    750       823,717  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/43

    860       947,522  

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 05/01/33

    500       518,495  
   

 

 

 
      11,184,907  
Housing — 5.2%  

City of New York New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

   

5.25%, 07/01/32

    915       1,010,938  

5.00%, 07/01/33

    400       435,420  

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

    500       515,665  

County of Onondaga New York Trust for Cultural Resources, Refunding RB, Abby Lane Housing Corporation Project, 5.00%, 05/01/40

    265       291,988  

State of New York HFA, RB:

   

Affordable Housing, Series E (SONYMA), 4.15%, 11/01/47

    660       673,728  

M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 02/15/39

    970       973,482  
   

 

 

 
      3,901,221  
State — 12.8%  

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

   

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

    205       235,736  

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

    205       235,736  
 

 

 

54    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
State (continued)  

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

   

Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

  $ 825     $ 903,119  

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

    340       384,118  

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

    355       405,335  

Sub-Series E-1, 5.00%, 02/01/38

    750       852,713  

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

    580       661,339  

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

    245       278,942  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund, Sub-Series B-1, 5.00%, 11/15/31

    750       852,465  

State of New York, GO, Series A, 5.00%, 02/15/39

    500       515,475  

State of New York Dormitory Authority, RB:

   

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

    1,070       1,172,945  

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

    1,000       1,093,790  

General Purpose, Series C, 5.00%, 03/15/34

    1,000       1,087,010  

Series A, 5.00%, 03/15/36

    350       400,950  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/30

    500       561,065  
   

 

 

 
      9,640,738  
Tobacco — 3.8%  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A,
6.25%, 06/01/41(a)

    400       412,268  

Counties of New York Tobacco Trust VI, Refunding RB:

   

Settlement Pass-Through Turbo, Series C, 4.00%, 06/01/51

    750       694,117  

Tobacco Settlement Pass-Through, Series A-2B, 5.00%, 06/01/51

    600       622,950  

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

    250       251,325  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 05/15/40

    230       245,771  

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

    295       284,758  

Westchester Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 5.13%, 06/01/51

    355       362,444  
   

 

 

 
      2,873,633  
Transportation — 26.8%  

Buffalo & Fort Erie Public Bridge Authority, RB, Toll Bridge System, 5.00%, 01/01/42

    215       241,391  

Metropolitan Transportation Authority, RB:

   

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

    270       316,586  

Series C, 6.50%, 11/15/28

    145       150,213  

Series E, 5.00%, 11/15/38

    1,000       1,119,090  

Metropolitan Transportation Authority, Refunding RB:

   

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

    570       241,315  

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

    500       527,560  

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

    250       282,280  

Series B, 5.00%, 11/15/37

    915       1,034,746  

Series F, 5.00%, 11/15/30

    1,500       1,674,525  

Series F, 5.00%, 11/15/35

    500       566,460  

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

    1,120       1,242,763  

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

    500       552,980  

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

   

5.00%, 07/01/46

    1,320       1,431,500  

5.25%, 01/01/50

    1,325       1,449,259  

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

    300       306,045  
Security  

Par

(000)

    Value  
Transportation (continued)  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

  $ 920     $ 974,041  

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

    1,000       1,096,790  

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

   

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

    480       486,134  

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

    430       474,355  

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

    305       343,046  

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

   

Series I, 5.00%, 01/01/37

    1,530       1,675,886  

Series I, 5.00%, 01/01/42

    1,030       1,122,679  

Series J, 5.00%, 01/01/41

    1,000       1,097,800  

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

    240       273,137  

Triborough Bridge & Tunnel Authority, Refunding RB, General:

   

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

    505       578,467  

Series A, 5.25%, 11/15/45

    370       425,877  

Series A, 5.00%, 11/15/50

    500       559,855  
   

 

 

 
      20,244,780  
Utilities — 16.9%  

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

    245       284,210  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    1,500       1,697,070  

City of New York New York Water & Sewer System, RB, 2nd General Resolution, Fiscal 2017, Series DD, 5.00%, 06/15/47

    270       305,629  

Long Island Power Authority, RB, Electric Systems:

   

CAB, Series A (AGM), 0.00%, 06/01/28(c)

    3,515       2,523,559  

General, 5.00%, 09/01/42

    200       225,788  

General, Series C (CIFG), 5.25%, 09/01/29

    1,000       1,198,020  

Long Island Power Authority, Refunding RB, Electric System:

   

Series A, 5.50%, 04/01/19(b)

    500       520,965  

Series B, 5.00%, 09/01/41

    75       84,026  

Series B, 5.00%, 09/01/46

    335       373,485  

State of New York Environmental Facilities Corp., RB, Green Bond, Series C, 5.00%, 08/15/37

    510       592,039  

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

   

Revolving Funds, Series B, 5.00%, 06/15/36

    350       383,575  

State Clean Water & Drinking Water Revolving Finance Authority Projects, Series A, 5.00%, 06/15/37

    1,500       1,513,890  

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

    2,690       3,045,457  
   

 

 

 
      12,747,713  
Multi-State — 2.8%  
Housing — 2.8%            

Centerline Equity Issuer Trust(a)(d):

   

Series A-4-2, 6.00%, 10/31/19

    1,000       1,046,490  

Series B-3-2, 6.30%, 10/31/19

    1,000       1,049,930  
   

 

 

 
      2,096,420  
Puerto Rico — 1.1%  
Tobacco — 1.1%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, 5.63%, 05/15/43

    900       838,683  
   

 

 

 

Total Municipal Bonds — 148.0%
(Cost — $105,564,513)

 

    111,713,531  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      55  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts (e) — 18.2%

 

New York — 18.2%  
County/City/Special District/School District — 4.4%            

City of New York New York, GO, Sub-Series I-1, 5.00%, 03/01/36

  $ 500     $ 563,743  

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

    500       570,885  

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

    1,995       2,202,790  
   

 

 

 
      3,337,418  
Education — 0.8%  

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

    510       571,670  
   

 

 

 
State — 4.1%  

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

    1,300       1,339,263  

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

   

5.00%, 10/15/31

    255       294,735  

4.00%, 10/15/32

    350       378,948  

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 03/15/41

    1,000       1,085,135  
   

 

 

 
      3,098,081  
Transportation — 3.3%  

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

   

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

    735       833,078  

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

    1,000       1,092,460  

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

    500       562,153  
   

 

 

 
      2,487,691  
Utilities — 5.6%  

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

   

5.75%, 06/15/18(b)

    55       55,877  

5.75%, 06/15/40

    185       186,854  

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

    1,500       1,638,420  

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

    1,005       1,096,898  
Security  

Par

(000)

    Value  
Utilities (continued)  

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

  $ 992     $ 1,037,247  

Utility Debt Securitization Authority, Refunding RB, Restructuring, Series B, 4.00%, 12/15/35

    190       201,754  
   

 

 

 
      4,217,050  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond
Trusts — 18.2%
(Cost — $13,184,771)

 

    13,711,910  
   

 

 

 

Total Long-Term Investments — 166.2%
(Cost — $118,749,284)

 

    125,425,441  
   

 

 

 
     Shares         

Short-Term Securities — 0.9%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.94%(f)(g)

    669,805       669,872  
   

 

 

 

Total Short-Term Investments — 0.9%
(Cost — $669,813)

 

    669,872  

Total Investments — 167.1%
(Cost — $119,419,097)

 

    126,095,313  

Other Assets Less Liabilities — 1.9%

 

    1,487,703  

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (10.4)%

 

    (7,840,313

VRDP Shares at Liquidation Value, Net of Deferred Offering
Costs — (58.6)%

 

    (44,292,548
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 75,450,155  
   

 

 

 

 

(a)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Zero-coupon bond.
(d)  Represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.
(e)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(f)  Annualized 7-day yield as of period end.
 
(g)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     604,604        65,201        669,805      $ 669,872      $ 4,029      $ (24    $ 59  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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.

 

 

56    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Trust II (BFY)

 

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

     25        06/20/18      $ 3,001      $ 2,343  

Long U.S. Treasury Bond

     28        06/20/18        4,016        (16,647

5-Year U.S. Treasury Note

     15        06/29/18        1,709        2,749  
           

 

 

 
            $ (11,555
           

 

 

 

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)

   $      $      $      $      $ 5,092      $      $ 5,092  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 16,647      $      $ 16,647  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For the six months ended February 28, 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

   $      $      $      $      $ 480,542      $      $ 480,542  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 28,442      $      $ 28,442  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 6,980,051  

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

 

 

SCHEDULES OF INVESTMENTS      57  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock New York Municipal Income Trust II (BFY)

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

 

Long-Term Investments(a)

   $        $ 125,425,441        $             —        $ 125,425,441  

Short-Term Securities

     669,872                            669,872  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 669,872        $ 125,425,441        $        $ 126,095,313  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

 

Interest rate contracts

   $ 5,092        $        $        $ 5,092  

Liabilities:

                 

Interest rate contracts

     (16,647                          (16,647
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (11,555      $        $        $ (11,555
  

 

 

      

 

 

      

 

 

      

 

 

 

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (7,816,903      $             —        $ (7,816,903

VRDP Shares at Liquidation Value

              (44,400,000                 (44,400,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (52,216,903      $        $ (52,216,903
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

58    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 131.7%

 

Virginia — 120.5%  
Corporate — 2.1%  

County of Chesterfield Virginia EDA, RB, Virginia Electric Power Co. Project, Series A, AMT, 5.60%, 11/01/31

  $ 500     $ 501,295  
   

 

 

 
County/City/Special District/School District — 25.4%            

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 03/01/36

    250       260,588  

Cherry Hill Virginia Community Development Authority, Special Assessment Bonds, Potomac Shores Project, 5.40%, 03/01/45(a)

    250       255,695  

City of Portsmouth Virginia, GO, Refunding Series D(b):

   

5.00%, 07/15/20

    485       522,946  

5.00%, 07/15/20

    15       16,192  

City of Suffolk Virginia, GO, Refunding, 5.00%, 06/01/21(b)

    1,000       1,103,130  

County of Fairfax Virginia EDA, RB, Silverline Phase I Project, 5.00%, 04/01/20(b)

    1,000       1,069,080  

County of Fairfax Virginia Redevelopment & Housing Authority, Refunding RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

    1,500       1,562,010  

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 03/01/26

    500       499,665  

Lower Magnolia Green Community Development Authority, Special Assessment Bonds, 5.00%, 03/01/35(a)

    245       249,194  

Mosaic District Community Development Authority, Special Assessment, Series A, 6.88%, 03/01/36

    250       270,405  

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

    360       373,838  
   

 

 

 
      6,182,743  
Education — 22.0%  

City of Norfolk Virginia, GO, Refunding(b):

   

5.00%, 08/01/23

    465       533,917  

5.00%, 08/01/23

    35       40,284  

County of Montgomery Virginia EDA, Refunding RB, Virginia Tech Foundation, Series A, 5.00%, 06/01/20(b)

    355       381,856  

Virginia College Building Authority, RB, Marymount University Project, Series B, 5.00%, 07/01/45(a)

    100       104,997  

Virginia College Building Authority, Refunding RB:

   

Liberty University Projects, 5.00%, 03/01/41

    1,000       1,060,470  

Marymount University Project, Series A, 5.00%, 07/01/45(a)

    400       419,976  

Washington & Lee University Project (NPFGC), 5.25%, 01/01/26

    500       568,580  

Washington & Lee University Project (NPFGC), 5.25%, 01/01/31

    1,000       1,193,970  

Virginia Small Business Financing Authority, RB, Roanoke College, 5.75%, 04/01/41

    500       533,995  

Virginia Small Business Financing Authority, Refunding RB, 4.00%, 10/01/38

    500       513,090  
   

 

 

 
      5,351,135  
Health — 31.9%  

City of Danville Virginia IDA, Refunding RB, Danville Regional Medical Center (AMBAC), 5.25%, 10/01/28(c)

    1,000       1,131,730  

County of Fairfax Virginia EDA, Refunding RB, Vinson Hall LLC, Series A, 5.00%, 12/01/42

    500       521,760  

County of Fairfax Virginia IDA, RB, Series A, 5.00%, 05/15/44

    1,000       1,109,640  

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A, 5.00%, 07/01/42

    500       515,860  

County of Henrico Virginia EDA, Refunding RB, United Methodist Homes, 4.25%, 06/01/26

    145       149,830  

Lexington Industrial Development Authority, RB, Series A, 5.00%, 01/01/42

    690       744,089  
Security   Par
(000)
    Value  
Health (continued)  

Roanoke Virginia EDA, Refunding RB:

   

Carilion Clinic Obligation Group, 5.00%, 07/01/30

  $ 795     $ 861,502  

Carilion Health System (AGM), 5.00%, 07/01/20(b)

    5       5,385  

Carilion Health System, Series B (AGM), 5.00%, 07/01/38

    495       518,607  

Winchester Virginia EDA, Refunding RB, Valley Health System Obligation:

   

5.00%, 01/01/44

    1,000       1,089,900  

Series A, 5.00%, 01/01/44

    400       432,912  

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 01/01/19(b)

    650       671,976  
   

 

 

 
      7,753,191  
Housing — 8.7%  

Virginia HDA, RB, M/F Housing, Rental Housing:

   

Series A, 5.25%, 05/01/41

    750       797,820  

Series B, 5.63%, 06/01/39

    1,000       1,043,640  

Series F, 5.25%, 10/01/38

    250       278,438  
   

 

 

 
      2,119,898  
State — 7.7%  

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 09/01/18(b)

    1,000       1,018,930  

Virginia Public School Authority, RB, School Financing, 1997 Resolution, Series B(b):

   

5.25%, 08/01/18

    400       406,712  

4.00%, 08/01/21

    405       434,508  
   

 

 

 
      1,860,150  
Tobacco — 3.2%  

Tobacco Settlement Financing Corp., Refunding RB, Senior:

   

Convertible, Series B2, 5.20%, 06/01/46

    500       492,310  

Series B-1, 5.00%, 06/01/47

    300       291,180  
   

 

 

 
      783,490  
Transportation — 19.0%  

Capital Region Airport Commission, Refunding RB, Series A, 4.00%, 07/01/38

    300       312,069  

Hampton Roads Transportation Accountability Commission, RB, Series A, 5.00%, 07/01/42

    100       114,893  

Richmond Metropolitan Authority, Refunding RB, (NPFGC), 5.25%, 07/15/22

    500       532,550  

Virginia Port Authority, RB, 5.00%, 07/01/36

    500       535,040  

Virginia Resources Authority, RB, Series B:

   

5.00%, 11/01/18(b)

    1,155       1,183,367  

5.00%, 11/01/33

    740       757,279  

Virginia Small Business Financing Authority, RB, AMT:

   

Senior Lien, Elizabeth River Crossings OpCo LLC Project, 6.00%, 01/01/37

    820       921,647  

Transform 66 P3 Project, 5.00%, 12/31/52

    250       268,485  
   

 

 

 
      4,625,330  
Utilities — 0.5%  

Virginia Resources Authority, RB, 5.00%, 11/01/18(b)

    105       107,579  
   

 

 

 
District of Columbia — 9.9%  

Metropolitan Washington Airports Authority, Refunding RB:

   

Dulles Toll Road, 1st Senior Lien, Series A, 5.00%, 10/01/39

    290       302,772  

Dulles Toll Road, 1st Senior Lien, Series A, 5.25%, 10/01/44

    460       481,597  

Series B, 5.00%, 10/01/29

    1,000       1,051,720  

Washington Metropolitan Area Transit Authority, RB, Series B, 5.00%, 07/01/42

    500       570,780  
   

 

 

 
      2,406,869  
 

 

 

SCHEDULES OF INVESTMENTS      59  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Puerto Rico — 1.3%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds, 5.63%, 05/15/43

  $ 335     $ 312,176  
   

 

 

 

Total Municipal Bonds — 131.7%
(Cost — $30,312,037)

 

    32,003,856  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d) — 31.9%

 

Virginia — 31.9%  
Education — 12.5%  

University of Virginia, Refunding RB, General, 5.00%, 06/01/18(b)

    2,999       3,027,024  
   

 

 

 
Health — 13.7%  

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

    2,000       2,272,920  

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

    1,000       1,056,285  
   

 

 

 
      3,329,205  
Transportation — 5.7%  

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 05/15/21(b)

    1,261       1,388,696  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond
Trusts — 31.9%
(Cost — $7,579,811)

 

    7,744,925  
   

 

 

 

Total Long-Term Investments — 163.6%
(Cost — $37,891,848)

 

    39,748,781  
   

 

 

 
Security  

Shares

    Value  

Short-Term Securities — 0.2%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.94%(f)(g)

    59,255     $ 59,261  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost — $59,261)

 

    59,261  
   

 

 

 

Total Investments — 163.8%
(Cost — $37,951,109)

 

    39,808,042  

Other Assets Less Liabilities — 1.6%

 

    413,610  

Liability for TOB Trust Certificates, Including Interest Expense
and Fees Payable — (17.9)%

 

    (4,375,866

VRDP Shares at Liquidation Value, Net of Deferred Offering
Costs — (47.5)%

 

    (11,537,219
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 24,308,567  
   

 

 

 

 

(a)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)  U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.
(c)  Security is collateralized by municipal bonds or U.S. Treasury obligations.
(d)  Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.
(e)  All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on October 1, 2024, is $1,051,389.
(f)  Annualized 7-day yield as of period end.
 
(g)  During the period ended February 28, 2018, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/17
     Net
Activity
     Shares
Held at
02/28/18
     Value at
02/28/18
     Income      Net Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

            59,255        59,255      $ 59,261      $ 385      $ 4      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For Trust compliance purposes, the Trust’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

     4          06/20/18        $ 480        $ 375  

Long U.S. Treasury Bond

     4          06/20/18          574          (2,382

5-Year U.S. Treasury Note

     2          06/29/18          228          410  
                 

 

 

 
                  $ (1,597
                 

 

 

 

 

 

60    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

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)

   $      $      $      $      $ 785      $      $ 785  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $      $      $ 2,382      $      $ 2,382  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (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 February 28, 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

   $      $      $      $      $ 76,665      $      $ 76,665  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Futures contracts

   $      $      $      $      $ 4,595      $      $ 4,595  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 1,167,039  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 39,748,781        $        $ 39,748,781  

Short-Term Securities

     59,261                            59,261  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 59,261        $ 39,748,781        $        $ 39,808,042  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Assets:

 

Interest rate contracts

   $ 785        $        $        $ 785  

Liabilities:

 

Interest rate contracts

     (2,382                          (2,382
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (1,597      $        $             —        $ (1,597
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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      61  


Schedule of Investments  (unaudited) (continued)

February 28, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (4,360,368      $        $ (4,360,368

VRDP Shares at Liquidation Value

              (11,600,000                 (11,600,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (15,960,368      $             —        $ (15,960,368
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2018, there were no transfers between levels.

See notes to financial statements.

 

 

62    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities  (unaudited)

February 28, 2018

 

     BZM      MHE     MHN     BLJ  

ASSETS

        

Investments at value — unaffiliated(a)

  $ 48,604,734      $ 50,883,885     $ 748,038,871     $ 59,925,117  

Investments at value — affiliated(b)

    234,013        172,556       6,712,620       82,833  

Cash

    12,656        13,313       197,274       12,234  

Cash pledged for futures contracts

    39,350        42,050       589,850       34,900  

Receivables:

        

Interest — unaffiliated

    495,028        614,391       8,371,171       729,815  

Dividends — affiliated

    169        123       2,755       76  

Investments sold

           390,084       1,530,356        

Prepaid expenses

    13,307        11,018       14,134       3,853  
 

 

 

    

 

 

   

 

 

   

 

 

 

Total assets

    49,399,257        52,127,420       765,457,031       60,788,828  
 

 

 

    

 

 

   

 

 

   

 

 

 

ACCRUED LIABILITIES

        

Payables:

        

Income dividends — Common Shares

    98,648        125,637       1,572,167       143,167  

Investment advisory fees

    22,714        19,980       292,249       30,265  

Variation margin on futures contracts

    12,250        13,125       184,719       10,313  

Trustees’ and Officer’s fees

    11,964        710       239,510       11,156  

Interest expense and fees

    4,278        8,017       214,013       20,413  

Investments purchased

                 1,099,537        

Offering costs payable

                       15,315  

Other accrued expenses

    39,872        44,561       178,928       51,724  
 

 

 

    

 

 

   

 

 

   

 

 

 

Total accrued liabilities

    189,726        212,030       3,781,123       282,353  
 

 

 

    

 

 

   

 

 

   

 

 

 

OTHER LIABILITIES

        

TOB Trust Certificates

    2,134,375        1,635,858       70,007,186       6,015,711  

Loan for TOB Trust Certificates

                       99,820  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs(c)(d)

    15,935,834        18,426,095       243,239,500       18,627,971  
 

 

 

    

 

 

   

 

 

   

 

 

 

Total other liabilities

    18,070,209        20,061,953       313,246,686       24,743,502  
 

 

 

    

 

 

   

 

 

   

 

 

 

Total liabilities

    18,259,935        20,273,983       317,027,809       25,025,855  
 

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 31,139,322      $ 31,853,437     $ 448,429,222     $ 35,762,973  
 

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

        

Paid-in capital(e)(f)(g)

  $ 29,493,729      $ 29,330,486     $ 437,198,641     $ 33,004,414  

Undistributed net investment income

    253,817        122,575       1,497,147       260,312  

Accumulated net realized loss

    151,009        (273,763     (19,598,166     (448,978

Net unrealized appreciation (depreciation)

    1,240,767        2,674,139       29,331,600       2,947,225  
 

 

 

    

 

 

   

 

 

   

 

 

 

Net Assets Applicable to Common Shareholders

  $ 31,139,322      $ 31,853,437     $ 448,429,222     $ 35,762,973  
 

 

 

    

 

 

   

 

 

   

 

 

 

Net asset value per Common Share

  $ 14.96      $ 13.44     $ 14.40     $ 15.36  
 

 

 

    

 

 

   

 

 

   

 

 

 

Shares authorized

        

(a) Investments at cost — unaffiliated

  $ 47,359,020      $ 48,204,112     $ 718,638,774     $ 56,975,146  

(b) Investments at cost — affiliated

  $ 233,993      $ 172,547     $ 6,712,473     $ 82,833  

(c) Preferred Shares outstanding:

        

Par value $0.001 per share

    160                    187  

Par value $0.01 per share

           185              

Par value $0.10 per share

                 2,436        

(d) Preferred Shares authorized

    unlimited        unlimited       14,956       unlimited  

(e) Par Value per Common Shares

  $ 0.001      $ 0.010     $ 0.100     $ 0.001  

(f) Common Shares outstanding

    2,081,183        2,370,510       31,132,023       2,327,921  

(g) Common Shares authorized

    unlimited        unlimited       199,985,044       unlimited  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      63  


 

Statements of Assets and Liabilities  (unaudited) (continued)

February 28, 2018

 

     BQH     BSE     BFY     BHV  

ASSETS

       

Investments at value — unaffiliated(a)

  $ 70,741,596     $ 153,039,624     $ 125,425,441     $ 39,748,781  

Investments at value — affiliated(b)

    354,314       866,562       669,872       59,261  

Cash

    19,711       41,086       34,664       5,109  

Cash pledged for futures contracts

    61,350       119,300       103,400       15,950  

Receivables:

       

Interest — unaffiliated

    775,268       1,756,168       1,388,313       551,651  

Dividends — affiliated

    349       493       507       39  

Investments sold

    151,610       100,553       384,814        

Prepaid expenses

    34,884       37,603       46,983       3,225  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    72,139,082       155,961,389       128,053,994       40,384,016  
 

 

 

   

 

 

   

 

 

   

 

 

 

ACCRUED LIABILITIES

       

Payables:

       

Income dividends — Common Shares

    165,206       303,164       305,300       100,944  

Investment advisory fees

    30,413       65,751       53,975       16,088  

Variation margin on futures contracts

    19,344       36,219       32,156       4,688  

Trustees’ and Officer’s fees

    12,021       11,489       13,734       8,935  

Interest expense and fees

    21,027       61,129       23,410       15,498  

Other accrued expenses

    57,646       75,384       65,813       31,709  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total accrued liabilities

    305,657       553,136       494,388       177,862  
 

 

 

   

 

 

   

 

 

   

 

 

 

OTHER LIABILITIES

       

TOB Trust Certificates

    6,521,464       20,604,151       7,816,903       4,360,368  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs(c)(d)

    21,995,460       40,386,989       44,292,548       11,537,219  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total other liabilities

    28,516,924       60,991,140       52,109,451       15,897,587  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    28,822,581       61,544,276       52,603,839       16,075,449  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 43,316,501     $ 94,417,113     $ 75,450,155     $ 24,308,567  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

       

Paid-in capital(e)(f)(g)

  $ 39,699,290     $ 90,805,577     $ 70,249,553     $ 22,869,818  

Undistributed net investment income

    294,392       155,014       539,706       181,769  

Accumulated net realized loss

    (975,931     (3,118,199     (2,003,765     (598,356

Net unrealized appreciation (depreciation)

    4,298,750       6,574,721       6,664,661       1,855,336  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets Applicable to Common Shareholders

  $ 43,316,501     $ 94,417,113     $ 75,450,155     $ 24,308,567  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per Common Share

  $ 15.47     $ 14.48     $ 15.08     $ 15.17  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 66,434,876     $ 146,453,986     $ 118,749,284     $ 37,891,848  

(b) Investments at cost — affiliated

  $ 354,281     $ 866,515     $ 669,813     $ 59,261  

(c) Preferred Shares outstanding:

       

Par value $0.001 per share

    221       405       444       116  

(d) Preferred Shares authorized

    unlimited       unlimited       unlimited       unlimited  

(e) Par Value per Common Shares

  $ 0.001     $ 0.001     $ 0.001     $ 0.001  

(f) Common Shares outstanding

    2,800,105       6,519,660       5,004,922       1,602,282  

(g) Common Shares authorized

    unlimited       unlimited       unlimited       unlimited  

See notes to financial statements.

 

 

64    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations  (unaudited)

Six Months Ended February 28, 2018

 

     BZM     MHE     . MHN     BLJ  

INVESTMENT INCOME

       

Interest — unaffiliated

  $ 976,690     $ 1,060,852     $ 14,832,534     $ 1,348,121  

Dividends — affiliated

    587       948       21,656       161  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    977,277       1,061,800       14,854,190       1,348,282  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    160,560       130,590       2,109,412       197,889  

Liquidity fees

    57,463             12,303        

Professional

    21,212       19,540       58,126       22,809  

Transfer agent

    7,578       7,987       16,270       7,805  

Remarketing fees on Preferred Shares

    5,631             12,080        

Accounting services

    5,109       5,390       50,657       5,791  

Printing

    2,703       2,875       5,792       2,893  

Custodian

    1,780       1,584       16,971       1,656  

Trustees and Officer

    1,583       1,642       23,401       1,811  

Registration

    333       379       4,112       372  

Reorganization costs

                      109,738  

Rating agency

    14,476       14,480       20,358       14,480  

Miscellaneous

    6,107       4,684       17,978       7,648  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    284,535       189,151       2,347,460       372,892  

Interest expense, fees and amortization of offering costs(a)

    118,588       189,171       2,925,176       231,480  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    403,123       378,322       5,272,636       604,372  

Less fees waived and/or reimbursed by the Manager

    (12,405     (111     (182,348     (22
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    390,718       378,211       5,090,288       604,350  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    586,559       683,589       9,763,902       743,932  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    56,899       (22,107     584,350       (6,052

Investments — affiliated

    (31     (182     (2,033     (5

Futures contracts

    196,398       196,782       2,789,691       231,953  

Capital gain distributions from investment companies — affiliated

    33       95       1,870        
 

 

 

   

 

 

   

 

 

   

 

 

 
    253,299       174,588       3,373,878       225,896  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (925,716     (1,391,120     (19,519,861     (1,177,942

Investments — affiliated

    20       48       197        

Futures contracts

    7,386       6,826       165,663       12,524  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (918,310     (1,384,246     (19,354,001     (1,165,418
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (665,011     (1,209,658     (15,980,123     (939,522
 

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ (78,452   $ (526,069   $ (6,216,221   $ (195,590
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)  Related to TOB Trusts and/or VRDP Shares.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      65  


 

Statements of Operations  (unaudited) (continued)

Six Months Ended February 28, 2018

 

     BQH     BSE     BFY     BHV  

INVESTMENT INCOME

       

Interest — unaffiliated

  $ 1,412,167     $ 2,960,204     $ 2,579,330     $ $885,227  

Dividends — affiliated

    2,507       4,534       4,029       385  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    1,414,674       2,964,738       2,583,359       885,612  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    235,876       430,816       353,912       131,437  

Liquidity fees

                      42,062  

Professional

    22,975       27,496       25,306       16,076  

Transfer agent

    7,767       9,414       8,363       7,456  

Remarketing fees on Preferred Shares

                      4,083  

Accounting services

    6,852       14,282       8,656       1,840  

Printing

    3,036       3,394       3,228       2,724  

Custodian

    2,360       4,138       3,797       1,407  

Trustees and Officer

    2,286       4,904       3,928       1,265  

Registration

    3,222       3,222       799       256  

Rating agency

    20,129       20,147       20,151       14,472  

Miscellaneous

    9,798       10,710       10,655       5,871  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    314,301       528,523       438,795       228,949  

Interest expense, fees and amortization of offering costs(a)

    271,282       568,100       496,343       107,543  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    585,583       1,096,623       935,138       336,492  

Less fees waived and/or reimbursed by the Manager

    (36,537     (497     (421     (26,332
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    549,046       1,096,126       934,717       310,160  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    865,628       1,868,612       1,648,642       575,452  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    58,822       43,746       102,311       175,894  

Investments — affiliated

    (264     (321     (321      

Futures contracts

    273,365       573,767       480,542       76,665  

Capital gain distributions from investment companies — affiliated

    229       312       297       4  
 

 

 

   

 

 

   

 

 

   

 

 

 
    332,152       617,504       582,829       252,563  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (2,018,879     (4,257,398     (3,623,272     (1,124,120

Investments — affiliated

    33       97       59        

Futures contracts

    15,615       39,067       28,442       4,595  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (2,003,231     (4,218,234     (3,594,771     (1,119,525
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (1,671,079     (3,600,730     (3,011,942     (866,962
 

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ (805,451   $ (1,732,118   $ (1,363,300   $ (291,510
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)  Related to TOB Trusts and/or VRDP Shares.

See notes to financial statements.

 

 

66    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BZM           MHE  
     Six Months Ended
02/28/18
(unaudited)
    Year Ended
08/31/17
           Six Months Ended
02/28/18
(unaudited)
    Year Ended
08/31/17
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

OPERATIONS

         

Net investment income

  $ 586,559     $ 1,220,727       $ 683,589     $ 1,458,297  

Net realized gain (loss)

    253,299       94,503         174,588       (15,349

Net change in unrealized appreciation (depreciation)

    (918,310     (1,470,250       (1,384,246     (1,620,354
 

 

 

   

 

 

     

 

 

   

 

 

 

Net decrease in net assets applicable to Common Shareholders resulting from operations

    (78,452     (155,020       (526,069     (177,406
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

         

From net investment income

    (592,442     (1,183,544       (753,656     (1,506,359

From net realized gain

    (83,044                    
 

 

 

   

 

 

     

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (675,486     (1,183,544       (753,656     (1,506,359
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

Reinvestment of common distributions

          30,246         17,798       26,673  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total decrease in net assets applicable to Common Shareholders

    (753,938     (1,308,318       (1,261,927     (1,657,092

Beginning of period

    31,893,260       33,201,578         33,115,364       34,772,456  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 31,139,322     $ 31,893,260       $ 31,853,437     $ 33,115,364  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 253,817     $ 259,700       $ 122,575     $ 192,642  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      67  


 

Statements of Changes in Net Assets  (continued)

 

    MHN           BLJ  
     Six Months Ended
02/28/18
(unaudited)
    Year Ended
08/31/17
           Six Months Ended
02/28/18
(unaudited)
    Year Ended
08/31/17
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

OPERATIONS

         

Net investment income

  $ 9,763,902     $ 21,343,909       $ 743,932     $ 1,741,974  

Net realized gain

    3,373,878       2,216,818         225,896       250,501  

Net change in unrealized appreciation (depreciation)

    (19,354,001     (25,369,660       (1,165,418     (2,314,253
 

 

 

   

 

 

     

 

 

   

 

 

 

Net decrease in net assets applicable to Common Shareholders resulting from operations

    (6,216,221     (1,808,933       (195,590     (321,778
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

         

From net investment income

    (10,172,201     (21,691,673       (859,003     (1,839,286
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

Reinvestment of common distributions

                        20,051  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total decrease in net assets applicable to Common Shareholders

    (16,388,422     (23,500,606       (1,054,593     (2,141,013

Beginning of period

    464,817,644       488,318,250         36,817,566       38,958,579  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 448,429,222     $ 464,817,644       $ 35,762,973     $ 36,817,566  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 1,497,147     $ 1,905,446       $ 260,312     $ 375,383  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

68    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets  (continued)

 

    BQH           BSE  
    

Six Months Ended
02/28/18

(unaudited)

    Year Ended
08/31/17
          

Six Months Ended
02/28/18

(unaudited)

    Year Ended
08/31/17
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

OPERATIONS

         

Net investment income

  $ 865,628     $ 1,876,649       $ 1,868,612     $ 4,108,641  

Net realized gain

    332,152       285,329         617,504       534,682  

Net change in unrealized appreciation (depreciation)

    (2,003,231     (2,647,715       (4,218,234     (5,787,817
 

 

 

   

 

 

     

 

 

   

 

 

 

Net decrease in net assets applicable to Common Shareholders resulting from operations

    (805,451     (485,737       (1,732,118     (1,144,494
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

         

From net investment income

    (991,237     (1,982,474       (1,926,560     (4,075,779
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total decrease in net assets applicable to Common Shareholders

    (1,796,688     (2,468,211       (3,658,678     (5,220,273

Beginning of period

    45,113,189       47,581,400         98,075,791       103,296,064  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 43,316,501     $ 45,113,189       $ 94,417,113     $ 98,075,791  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 294,392     $ 420,001       $ 155,014     $ 212,962  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      69  


 

Statements of Changes in Net Assets  (continued)

 

    BFY           BHV  
     Six Months Ended
02/28/18
(unaudited)
    Year Ended
08/31/17
           Six Months Ended
02/28/18
(unaudited)
    Year Ended
08/31/17
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

OPERATIONS

         

Net investment income

  $ 1,648,642     $ 3,573,037       $ 575,452     $ 1,246,653  

Net realized gain

    582,829       204,867         252,563       88,117  

Net change in unrealized appreciation (depreciation)

    (3,594,771     (4,281,706       (1,119,525     (1,426,601
 

 

 

   

 

 

     

 

 

   

 

 

 

Net decrease in net assets applicable to Common Shareholders resulting from operations

    (1,363,300     (503,802       (291,510     (91,831
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

         

From net investment income

    (1,831,785     (3,813,493       (639,999     (1,209,228
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

Reinvestment of common distributions

    4,281       31,711         24,550       54,508  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total decrease in net assets applicable to Common Shareholders

    (3,190,804     (4,285,584       (906,959     (1,246,551

Beginning of period

    78,640,959       82,926,543         25,215,526       26,462,077  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 75,450,155     $ 78,640,959       $ 24,308,567     $ 25,215,526  
 

 

 

   

 

 

     

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 539,706     $ 722,849       $ 181,769     $ 246,316  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

70    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2018

 

     BZM     MHE     MHN     BLJ  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

       

Net decrease in net assets resulting from operations

  $ (78,452   $ (526,069   $ (6,216,221   $ (195,590

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

       

Proceeds from sales of long-term investments

    1,755,509       3,015,914       45,459,178       2,678,835  

Purchases of long-term investments

    (1,582,184     (4,183,226     (46,220,323     (1,469,910

Net (purchases) sales of short-term securities

    (234,025     671,671       (3,454,460     (82,825

Amortization of premium and accretion of discount on investments and other fees

    114,677       127,765       2,250,857       27,643  

Net realized (gain) loss on investments

    (56,868     22,289       (582,317     6,057  

Net unrealized loss on investments

    925,696       1,391,072       19,519,664       1,177,942  
(Increase) Decrease in Assets:                        

Cash pledged for futures contracts

    16,000       11,000       179,000       26,000  

Receivables:

       

Interest — unaffiliated

    (3,978     21,912       (114,139     (11,470

Dividends — affiliated

    (168     324       (725     (29

Prepaid expenses

    (720     13,122       15,330       13,176  
Increase (Decrease) in Liabilities:                        

Payables:

       

Investment advisory fees

    (2,734     (2,435     (40,203     (3,457

Interest expense and fees

    1,268       1,680       50,912       6,929  

Trustees’ and Officer’s fees

    58       66       (7,353     46  

Variation margin on futures contracts

    3,750       4,992       66,851       1,297  

Other accrued expenses

    (15,673     (13,711     2,916       (13,347
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    842,156       556,366       10,908,967       2,161,297  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash payments for offering costs

                      15,315  

Proceeds from TOB Trust Certificates

          215,000             391,195  

Proceeds from Loan for TOB Trust Certificates

                      491,015  

Repayments of Loan for TOB Trust Certificates

                      (391,195

Repayments of TOB Trust Certificates

                      (491,015

Cash dividends paid to Common Shareholders

    (675,486     (735,790     (10,405,691     (859,003

Decrease in bank overdraft

    (155,520     (23,917     (313,660     (1,306,844

Amortization of deferred offering costs

    1,506       1,654       7,658       1,469  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (829,500     (543,053     (10,711,693     (2,149,063
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

       

Net increase in cash

    12,656       13,313       197,274       12,234  

Cash at beginning of period

                       
 

 

 

   

 

 

   

 

 

   

 

 

 

Cash at end of period

  $ 12,656     $ 13,313     $ 197,274     $ 12,234  
 

 

 

   

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

       

Cash paid during the period for interest expense

  $ 115,814     $ 185,837     $ 2,866,606     $ 223,082  
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

       

Capital shares issued in reinvestment of distributions paid to Common Shareholders

  $     $ 17,798     $     $  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      71  


 

Statements of Cash Flows  (unaudited) (continued)

Six Months Ended February 28, 2018

 

     BQH     BSE     BFY     BHV  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

       

Net decrease in net assets resulting from operations

  $ (805,451   $ (1,732,118   $ (1,363,300   $ (291,510

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

       

Proceeds from sales of long-term investments

    2,650,533       9,226,484       7,639,795       4,327,467  

Purchases of long-term investments

    (2,813,912     (10,460,198     (8,088,819     (4,133,300

Net (purchases) sales of short-term securities

    (129,218     277,067       (65,348     (59,255

Amortization of premium and accretion of discount on investments and other fees

    156,872       495,733       245,312       64,660  

Net realized (gain) loss on investments

    (58,558     (43,425     (101,990     (175,894

Net unrealized loss on investments

    2,018,846       4,257,301       3,623,213       1,124,120  
(Increase) Decrease in Assets:                        

Cash pledged for futures contracts

    13,000       41,000       28,000       9,000  

Receivables:

       

Interest — unaffiliated

    (15,885     (43,989     (19,677     25,343  

Dividends — affiliated

    (176     87       (131     (32

Prepaid expenses

    22,413       21,525       17,063       13,574  
Increase (Decrease) in Liabilities:                        

Payables:

       

Investment advisory fees

    (3,931     (8,373     (6,964     (2,076

Interest expense and fees

    5,317       15,675       6,142       4,170  

Trustees’ and Officer’s fees

    133       231       185       68  

Variation margin on futures contracts

    7,633       12,094       11,867       1,047  

Other accrued expenses

    (10,542     (7,756     (8,225     (10,664
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    1,037,074       2,051,338       1,917,123       896,718  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash dividends paid to Common Shareholders

    (991,237     (1,962,418     (1,827,488     (615,355

Decrease in bank overdraft

    (29,018     (50,934     (58,110     (277,536

Amortization of deferred offering costs

    2,892       3,100       3,139       1,282  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (1,017,363     (2,010,252     (1,882,459     (891,609
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

       

Net increase in cash

    19,711       41,086       34,664       5,109  

Cash at beginning of period

                       
 

 

 

   

 

 

   

 

 

   

 

 

 

Cash at end of period

  $ 19,711     $ 41,086     $ 34,664     $ 5,109  
 

 

 

   

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

       

Cash paid during the period for interest expense

  $ 263,073     $ 549,325     $ 487,062     $ 102,091  
 

 

 

   

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

       

Capital shares issued in reinvestment of distributions paid to Common Shareholders

  $     $     $ 4,281     $ 24,550  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

72    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    BZM  
    Six Months Ended
02/28/2018
(unaudited)
          Year Ended August 31,  
        2017     2016     2015     2014      2013  

Net asset value, beginning of period

  $ 15.32             $ 15.97     $ 14.96     $ 15.20     $ 13.33      $ 15.60  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net investment income(a)

    0.28         0.59       0.61       0.63       0.70        0.72  

Net realized and unrealized gain (loss)

    (0.32       (0.67     1.02       (0.19     1.90        (2.23
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.04       (0.08     1.63       0.44       2.60        (1.51
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Distributions to Common Shareholders(b)

              

From net investment income

    (0.28       (0.57     (0.62     (0.68     (0.73      (0.76

From net realized gain

    (0.04                                 
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total distribution

    (0.32       (0.57     (0.62     (0.68     (0.73      (0.76
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 14.96       $ 15.32     $ 15.97     $ 14.96     $ 15.20      $ 13.33  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 13.32       $ 14.29     $ 16.06     $ 14.44     $ 14.59      $ 12.66  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

            

Based on net asset value

    (0.02 )%(d)        (0.31 )%      11.15     3.07     20.39      (10.24 )% 
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Based on market price

    (4.57 )%(d)        (7.53 )%      15.80     3.64     21.68      (27.84 )% 
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

              

Total expenses

    2.57 %(e)        2.35     2.10     1.96     2.00      2.04
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.49 %(e)        2.27     2.02     1.88     1.92      2.02
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.73 %(e)(g)        1.75 %(g)      1.83 %(g)      1.41 %(g)      1.34      1.41
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.73 %(e)        3.87     3.98     4.19     4.88      4.73
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Supplemental Data

              

Net assets applicable to Common Shareholders, end of period (000)

  $ 31,139       $ 31,893     $ 33,202     $ 31,073     $ 31,535      $ 27,642  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 16,000       $ 16,000     $ 16,000     $ 16,000     $ 16,000      $ 16,000  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 294,621       $ 299,333     $ 307,510     $ 294,207     $ 297,091      $ 272,765  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 2,134       $ 2,134     $ 1,500     $ 1,500     $ 1,500      $ 1,500  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    3       12     11     18     15      11
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

(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.
(g)  For the six months ended February 28, 2018 and years ended August 31, 2017, August 31, 2016 and August 31, 2015, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were 1.32%, 1.31%, 1.39% and 1.33%, respectively.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      73  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MHE  
    Six Months Ended
02/28/18
(unaudited)
          Year Ended August 31,  
        2017     2016     2015      2014      2013  

Net asset value, beginning of period

  $ 13.98             $ 14.69     $ 13.89     $ 14.02      $ 12.34      $ 14.35  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.29         0.62       0.65       0.68        0.69        0.71  

Net realized and unrealized gain (loss)

    (0.51       (0.69     0.83       (0.10      1.74        (1.97
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.22       (0.07     1.48       0.58        2.43        (1.26
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.32       (0.64     (0.68     (0.71      (0.75      (0.75
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 13.44       $ 13.98     $ 14.69     $ 13.89      $ 14.02      $ 12.34  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.62       $ 14.00     $ 15.32     $ 13.26      $ 13.75      $ 11.91  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

             

Based on net asset value

    (1.61 )%(d)        (0.34 )%      11.01     4.25      20.47      (9.27 )% 
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Based on market price

    (0.44 )%(d)        (4.30 )%      21.27     1.47      22.42      (15.72 )% 
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

               

Total expenses

    2.33 %(e)        2.17     1.77     1.71      1.78      1.77
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.33 %(e)        2.17     1.77     1.71      1.78      1.77
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.17 %(e)        1.18 %(g)      1.15 %(g)      1.15      1.16      1.12
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.22 %(e)        4.44     4.53     4.82      5.22      5.06
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Supplemental Data

               

Net assets applicable to Common Shareholders, end of period (000)

  $ 31,853       $ 33,115     $ 34,772     $ 32,864      $ 33,139      $ 29,163  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,500       $ 18,500     $ 18,500     $ 18,500      $ 18,500      $ 18,500  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 272,181       $ 279,002     $ 287,959     $ 277,646      $ 279,130      $ 257,637  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 1,636       $ 1,421     $ 751     $      $      $ 1,840  
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    6       18     30     8      14      11
 

 

 

     

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

 

(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 VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.
(g)  For the years ended August 31, 2017 and August 31, 2016, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were 1.18% and 1.15%, respectively.

See notes to financial statements.

 

 

74    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MHN  
    Six Months Ended
02/28/18
(unaudited)
          Year Ended August 31,  
        2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 14.93             $ 15.69      $ 14.81      $ 14.98      $ 13.14      $ 15.64  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.31         0.69        0.75        0.80        0.83        0.87  

Net realized and unrealized gain (loss)

    (0.51       (0.75      0.91        (0.15      1.88        (2.45
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.20       (0.06      1.66        0.65        2.71        (1.58
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.33       (0.70      (0.78      (0.82      (0.87      (0.92
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.40       $ 14.93      $ 15.69      $ 14.81      $ 14.98      $ 13.14  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.75       $ 14.36      $ 15.04      $ 13.65      $ 13.64      $ 12.65  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

               

Based on net asset value

    (1.20 )%(d)        0.04      11.63      4.88      21.74      (10.59 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (9.04 )%(d)        0.37      16.10      6.16      15.15      (15.12 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.31 %(e)        2.13      1.68      1.58      1.66      1.75
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.23 %(e)        2.05      1.62      1.52      1.59      1.67
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)(g)

    0.95 %(e)        0.96      0.95      0.95      1.22      1.36
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.28 %(e)        4.65      4.91      5.35      5.86      5.73
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 448,429       $ 464,818      $ 488,318      $ 461,159      $ 466,412      $ 408,935  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,600       $ 243,600      $ 243,600      $ 243,600      $ 243,600      $ 243,600  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 284,084       $ 290,812      $ 300,459      $ 289,310      $ 291,466      $ 267,871  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 70,007       $ 70,007      $ 76,443      $ 53,308      $ 51,890      $ 64,658  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    6       17      13      19      16      18
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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 VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.
(g)  For the six months ended February 28, 2018 and the years ended August 31, 2017, August 31, 2016, August 31, 2015, August 31, 2014 and August 31, 2013, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.94%, 0.95%, 0.94%, 0.94%, 0.95% and 0.95%, respectively.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      75  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BLJ  
    Six Months Ended
02/28/2018
(unaudited)
          Year Ended August 31,  
            2017      2016      2015      2014      2013  

Net asset value, beginning of period

  $ 15.82             $ 16.74      $ 15.65      $ 16.29      $ 14.13      $ 16.67  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.32         0.75        0.81        0.82        0.87        0.88  

Net realized and unrealized gain (loss)

    (0.41       (0.88      1.11        (0.59      2.18        (2.54
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.09       (0.13      1.92        0.23        3.05        (1.66
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.37       (0.79      (0.83      (0.87      (0.89      (0.88
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 15.36       $ 15.82      $ 16.74      $ 15.65      $ 16.29      $ 14.13  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.85       $ 15.04      $ 17.40      $ 13.99      $ 14.68      $ 13.54  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    (0.43 )%(d)        (0.45 )%       12.80      1.74      22.83      (10.43 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    (5.56 )%(d)        (8.95 )%       31.16      0.93      15.51      (14.12 )% 
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    3.33 %(e)        2.48      2.07      1.98      2.05      2.10
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    3.33 %(e)        2.48      2.07      1.98      2.05      2.10
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    2.06 %(e)        1.43      1.41      1.39      1.42      1.45
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.10 %(e)        4.80      5.03      5.07      5.74      5.39
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 35,763       $ 36,818      $ 38,959      $ 36,376      $ 37,868      $ 32,841  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,700       $ 18,700      $ 18,700      $ 18,700      $ 18,700      $ 18,700  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 291,246       $ 296,885      $ 308,335      $ 294,526      $ 302,505      $ 275,620  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 6,016       $ 6,116      $ 4,776      $ 4,520      $ 4,520      $ 4,520  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    2       7      6      13      16      8
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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 VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

76    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BQH  
    Six Months Ended
02/28/18
(unaudited)
          Year Ended August 31,  
        2017      2016     2015     2014     2013  

Net asset value, beginning of period

  $ 16.11             $ 16.99      $ 15.75     $ 15.77     $ 13.32     $ 16.53  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.31         0.67        0.71       0.74       0.79       0.84  

Net realized and unrealized gain (loss)

    (0.60       (0.84      1.27       0.03       2.46       (3.00
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (0.29       (0.17      1.98       0.77       3.25       (2.16
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to Common Shareholders(b)

              

From net investment income

    (0.35       (0.71      (0.74     (0.79     (0.80     (0.83

From net realized gain

                                     (0.22
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

    (0.35       (0.71      (0.74     (0.79     (0.80     (1.05
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 15.47       $ 16.11      $ 16.99     $ 15.75     $ 15.77     $ 13.32  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 13.51       $ 14.55      $ 15.70     $ 13.66     $ 13.86     $ 12.45  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Return Applicable to Common Shareholders(c)

 

            

Based on net asset value

    (1.59 )%(d)        (0.47 )%       13.22     5.57     25.66     (13.83 )% 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (4.85 )%(d)        (2.73 )%       20.63     4.18     18.16     (19.61 )% 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

              

Total expenses

    2.65 %(e)        2.44      2.10     2.08     2.23     2.26
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.48 %(e)        2.28      2.07     2.07     2.23     2.26
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.26 %(e)        1.24      1.48 %(g)      1.91 %(g)      2.02 %(g)      1.96 %(g) 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income to Common Shareholders

    3.92 %(e)        4.21      4.31     4.68     5.45     5.26
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

              

Net assets applicable to Common Shareholders, end of period (000)

  $ 43,317       $ 45,113      $ 47,581     $ 44,111     $ 44,158     $ 37,302  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 22,100       $ 22,100      $ 22,100     $ 22,100     $ 22,100     $ 22,100  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 296,002       $ 304,132      $ 315,300     $ 299,597     $ 299,812     $ 268,789  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 6,521       $ 6,521      $ 6,381     $ 5,070     $ 4,900     $ 4,775  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    4       17      13     22     18     18
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.
(g)  For the years ended August 31, 2016, August 31, 2015, August 31, 2014 and August 31, 2013, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.41%, 1.41%, 1.46% and 1.47%, respectively.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      77  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BSE  
    Six Months Ended
02/28/18
(unaudited)
          Year Ended August 31,  
        2017      2016     2015     2014     2013  

Net asset value, beginning of period

  $ 15.04             $ 15.84      $ 14.81     $ 14.92     $ 12.92     $ 15.51  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.29         0.63        0.68       0.70       0.72       0.78  

Net realized and unrealized gain (loss)

    (0.55       (0.80      1.03       (0.08     2.05       (2.54
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (0.26       (0.17      1.71       0.62       2.77       (1.76
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.30       (0.63      (0.68     (0.73     (0.77     (0.83
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 14.48       $ 15.04      $ 15.84     $ 14.81     $ 14.92     $ 12.92  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 12.77       $ 13.55      $ 14.84     $ 12.99     $ 13.16     $ 12.05  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Return Applicable to Common Shareholders(c)

 

            

Based on net asset value

    (1.54 )%(d)        (0.55 )%       12.22     4.88     22.65     (11.80 )% 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (3.62 )%(d)        (4.36 )%       19.87     4.29     15.99     (18.94 )% 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

              

Total expenses

    2.28 %(e)        2.10      1.76     1.70     1.75     1.79
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.28 %(e)        2.09      1.75     1.70     1.75     1.78
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.10 %(e)        1.10      1.17 %(g)      1.51 %(g)      1.55 %(g)      1.51 %(g) 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income to Common Shareholders

    3.89 %(e)        4.23      4.40     4.72     5.18     5.20
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

              

Net assets applicable to Common Shareholders, end of period (000)

  $ 94,417       $ 98,076      $ 103,296     $ 96,587     $ 97,276     $ 84,262  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 40,500       $ 40,500      $ 40,500     $ 40,500     $ 40,500     $ 40,500  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 333,129       $ 342,162      $ 355,052     $ 338,486     $ 340,188     $ 308,055  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 20,604       $ 20,604      $ 21,873     $ 18,091     $ 17,431     $ 17,054  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    6       13      8     20     24     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.
(g)  For the years ended August 31, 2016, August 31, 2015, August 31, 2014 and August 31, 2013, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.12%, 1.09%, 1.09% and 1.09%, respectively.

See notes to financial statements.

 

 

78    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BFY  
    Six Months Ended
02/28/18
(unaudited)
          Year Ended August 31,  
        2017      2016     2015     2014     2013  

Net asset value, beginning of period

  $ 15.71             $ 16.58      $ 15.57     $ 15.66     $ 13.36     $ 16.09  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income(a)

    0.33         0.71        0.78       0.82       0.84       0.89  

Net realized and unrealized gain (loss)

    (0.59       (0.82      1.06       (0.07     2.30       (2.73
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    (0.26       (0.11      1.84       0.75       3.14       (1.84
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.37       (0.76      (0.83     (0.84     (0.84     (0.89
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

  $ 15.08       $ 15.71      $ 16.58     $ 15.57     $ 15.66     $ 13.36  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Market price, end of period

  $ 13.76       $ 15.51      $ 17.01     $ 14.16     $ 14.02     $ 12.56  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Return Applicable to Common Shareholders(c)

              

Based on net asset value

    (1.60 )%(d)        (0.37 )%       12.24     5.33     24.75     (12.01 )% 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Based on market price

    (9.06 )%(d)        (4.13 )%       26.61     7.00     18.80     (20.82 )% 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

              

Total expenses

    2.43 %(e)        2.21      1.86     1.83     1.96     1.97
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.43 %(e)        2.21      1.85     1.83     1.95     1.97
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.14 %(e)        1.12      1.23 %(g)      1.69 %(g)      1.78 %(g)      1.71 %(g) 
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income to Common Shareholders

    4.29 %(e)        4.60      4.83     5.25     5.76     5.68
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Supplemental Data

              

Net assets applicable to Common Shareholders, end of period (000)

  $ 75,450       $ 78,641      $ 82,927     $ 77,854     $ 78,304     $ 66,772  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 44,400       $ 44,400      $ 44,400     $ 44,400     $ 44,400     $ 44,400  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 269,933       $ 277,119      $ 286,771     $ 275,347     $ 276,360     $ 250,387  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 7,817       $ 7,817      $ 8,061     $ 5,895     $ 5,725     $ 5,198  
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Portfolio turnover rate

    6       14      17     20     21     30
 

 

 

     

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

(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.
(g)  For the years ended August 31, 2016, August 31, 2015, August 31, 2014 and August 31, 2013, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.16%, 1.13%, 1.15% and 1.14%, respectively.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      79  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BHV  
    Six Months Ended
02/28/2018
(unaudited)
          Year Ended August 31,  
        2017     2016     2015     2014      2013  

Net asset value, beginning of period

  $ 15.75             $ 16.56     $ 15.90     $ 15.95     $ 14.03      $ 16.74  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net investment income(a)

    0.36         0.78       0.81       0.81       0.83        0.84  

Net realized and unrealized gain (loss)

    (0.54       (0.83     0.66       (0.01     1.95        (2.64
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.18       (0.05     1.47       0.80       2.78        (1.80
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.40       (0.76     (0.81     (0.85     (0.86      (0.91
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 15.17       $ 15.75     $ 16.56     $ 15.90     $ 15.95      $ 14.03  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 15.91       $ 18.68     $ 19.14     $ 16.70     $ 16.35      $ 14.91  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

              

Based on net asset value

    (1.28 )%(d)        (0.44 )%      9.05     5.02     20.31      (11.96 )% 
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Based on market price

    (12.70 )%(d)        2.17     20.00     7.61     16.06      (20.01 )% 
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

              

Total expenses

    2.73 %(e)        2.46     2.16     1.98     2.01      2.18
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.52 %(e)        2.25     1.95     1.77     1.96      2.18
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)

    1.65 %(e)(g)        1.61 %(g)      1.70 %(g)      1.30 %(g)      1.38      1.58
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.68 %(e)        4.95     5.00     5.08     5.52      5.18
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Supplemental Data

              

Net assets applicable to Common Shareholders, end of period (000)

  $ 24,309       $ 25,216     $ 26,462     $ 25,336     $ 25,373      $ 22,256  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 11,600       $ 11,600     $ 11,600     $ 11,600     $ 11,600      $ 11,600  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 309,557       $ 317,375     $ 328,121     $ 318,414     $ 318,733      $ 291,862  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 4,360       $ 4,360     $ 3,860     $ 3,019     $ 3,019      $ 3,019  
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Portfolio turnover rate

    10       10     6     9     11      8
 

 

 

     

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

 

(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.
(g) For the six months ended February 28, 2018 and the years ended August 31, 2017, August 31, 2016 and August 31, 2015, the total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.27%, 1.22%, 1.30% and 1.23%, respectively.

See notes to financial statements.

 

 

80    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited)

 

1. ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Maryland Municipal Bond Trust

  BZM    Delaware    Non-diversified

BlackRock Massachusetts Tax-Exempt Trust

  MHE    Massachusetts    Non-diversified

BlackRock MuniHoldings New York Quality Fund, Inc.

  MHN    Maryland    Non-diversified

BlackRock New Jersey Municipal Bond Trust

  BLJ    Delaware    Non-diversified

BlackRock New York Municipal Bond Trust

  BQH    Delaware    Diversified

BlackRock New York Municipal Income Quality Trust

  BSE    Delaware    Non-diversified

BlackRock New York Municipal Income Trust II

  BFY    Delaware    Non-diversified

BlackRock Virginia Municipal Bond Trust

  BHV    Delaware    Non-diversified

The Board of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

 

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

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 and non-cash dividend income are 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 Trust enters into certain investments (e.g., futures contracts) or certain borrowings (e.g., TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are distributed at least annually and are recorded on the ex-dividend dates. 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 Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in the trustees’ and officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting 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 Trusts’ 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

 

 

NOTES TO FINANCIAL STATEMENTS      81  


Notes to Financial Statements  (unaudited) (continued)

 

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 Trusts.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

    Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

    Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

    Futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). 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 Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

    Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

    Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in 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 Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

 

82    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

 

4. SECURITIES AND OTHER INVESTMENTS

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a trust may be required to pay more at settlement than the security is worth. In addition, a trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain trusts leverage their assets through the use of “TOB Trust” transactions. The trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust 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 trusts 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 trust provide the trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a trust has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the 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 trust, 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 Trusts) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.

While a trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a trust to borrow money for purposes of making investments. MHE’s management believes that the trust’s restrictions on borrowings do not apply to the trust’s TOB Trust transactions. Each trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a trust. A trust typically invests the cash received in additional municipal bonds.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a trust on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:

 

     Interest Expense      Liquidity Fees      Other Expenses      Total  

BZM

  $ 11,467      $ 2,782      $ 1,087      $ 15,336  

MHE

    8,010        3,196        992        12,198  

MHN

    376,052        157,141        55,968        589,161  

BLJ

    33,681        12,192        6,925        52,798  

BQH

    35,178        14,663        5,451        55,292  

BSE

    110,216        49,023        15,241        174,480  

BFY

    41,981        18,333        4,765        65,079  

BHV

    23,073        10,443        2,609        36,125  

 

 

NOTES TO FINANCIAL STATEMENTS      83  


Notes to Financial Statements  (unaudited) (continued)

 

For the six months ended February 28, 2018, the following table is a summary of each Trust’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
 

BZM

  $ 4,464,130      $   2,134,375        1.12% - 1.13    $ 2,134,375        1.45

MHE

    2,591,820        1,635,858        1.11 - 1.13        1,498,067        1.64  

MHN

    133,575,624        70,007,186        1.11 - 1.24        70,007,186        1.70  

BLJ

    11,174,653        6,015,711        1.09 - 1.29        6,086,883        1.74  

BQH

    11,126,789        6,521,464        1.11 - 1.24        6,521,464        1.71  

BSE

    37,462,723        20,604,151        1.11 - 1.24        20,604,151        1.71  

BFY

    13,711,910        7,816,903        1.11 - 1.24        7,816,903        1.68  

BHV

    7,744,925        4,360,368        1.11 - 1.12        4,360,368        1.67  

 

  (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 trusts, as TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the trusts, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.  
  (b)  TOB Trusts may be structured on a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility 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 trust invests in a TOB Trust on a recourse basis, the trust enters into a reimbursement agreement with the Liquidity Provider where a trust 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 trust invests in a recourse TOB Trust, a trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a trust at February 28, 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 a trust at February 28, 2018.  

For the six months ended February 28, 2018, the following table is a summary of each Trust’s Loan for TOB Trust Certificates:

 

     Loan
Outstanding
at Period End
    

Interest Rate
on Loan at

Period End

     Average
Loans
Outstanding
     Daily Weighted
Average Rate
of Interest and
Other Expenses
on Loans
 

BLJ

  $ 99,820        0.25    $ 28,648        0.75

 

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Futures Contracts: 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 Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional value of the contract at the time it was opened and the notional value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

 

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

 

 

84    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

For such services, each Trust, except for MHE and MHN, pays the Manager a monthly fee, at an annual rate equal to a percentage of each Trust’s average weekly managed assets. For such services, MHE and MHN each pays the Manager a monthly fee, at an annual rate equal to a percentage of each Trust’s average daily net assets. The Trusts pay their respective fees based on the following annual rates:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Investment advisory fee

    0.65      0.50      0.55      0.65      0.65      0.55      0.55      0.65

For purposes of calculating these fees, “net assets” mean the total assets of each Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred 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 Trust’s NAV. For purposes of calculating these fees, “managed assets” mean the total assets of the Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

Expense Limitations and Waivers: With respect to BZM, BQH and BHV, the Manager voluntarily agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Trust’s business (“expense limitation”). The expense limitations as a percentage of average weekly managed assets are as follows:

 

     BZM      BQH      BHV  

Fee waived

    0.05      0.10      0.13

The Manager, for MHN, 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). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2018, waivers were as follows:

 

     BZM      MHN      BQH      BHV  

Amounts waived

  $ 12,351      $ 180,057      $ 36,289      $ 26,287  

With respect to each Trust, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation will be reduced by the amount of 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 February 28, 2018, the amounts waived were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Amounts waived

    $54      $ 111      $ 2,291      $ 22      $ 248      $ 497      $ 421      $ 45  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’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 Trusts’ Independent Trustees. For the six months ended February 28, 2018, there were no fees waived by the Manager.

Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

 

7. PURCHASES AND SALES

For the six months ended February 28, 2018, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Purchases

  $ 1,582,184      $ 3,101,138      $ 45,468,577      $ 1,469,910      $ 2,634,774      $ 10,066,046      $ 7,784,257      $ 4,133,300  

Sales

    1,755,509        3,405,998        46,548,946        2,678,835        2,659,774        9,327,037        7,982,665        4,327,467  

 

8. INCOME TAX INFORMATION

It is each Trust’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 their taxable income to their shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2017. The statutes of limitations on each Trust’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of February 28, 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 Trusts’ financial statements.

 

 

NOTES TO FINANCIAL STATEMENTS      85  


Notes to Financial Statements  (unaudited) (continued)

 

As of August 31, 2017, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

No expiration date(a)

  $      $ 421,253      $ 17,199,043      $ 408,671      $ 1,190,209      $ 1,862,742      $ 1,545,537      $ 770,865  

2018

           32,672        3,861,956                      1,544,362        357,549         

2019

    8,953        74        673,531                             255,001        51,866  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 8,953      $ 453,999      $ 21,734,530      $ 408,671      $ 1,190,209      $ 3,407,104      $ 2,158,087      $ 822,731  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)  Must be utilized prior to losses subject to expiration.  

As of February 28, 2018, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BZM     MHE     MHN     BLJ     BQH     BSE     BFY     BHV  

Tax cost

  $ 45,456,673     $ 46,734,491     $ 655,366,874     $ 51,062,720     $ 60,311,535     $ 126,892,721     $ 111,607,509     $ 33,604,187  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 1,409,561     $ 2,894,445     $ 32,714,086     $ 3,594,351     $ 4,631,754     $ 7,192,808     $ 7,214,771     $ 1,907,141  

Gross unrealized depreciation

    (166,829     (213,996     (3,405,299     (767,398     (376,846     (794,458     (555,425     (65,251
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 1,242,732     $ 2,680,449     $ 29,308,787     $ 2,826,953     $ 4,254,908     $ 6,398,350     $ 6,659,346     $ 1,841,890  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

9. PRINCIPAL RISKS

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust 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.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

A Trust 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 Trusts’ investments in TOB Trusts may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). 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 Trust’s 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 Trusts, 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 Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

 

 

86    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: Each Trust invests a substantial amount of its assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, BZM and BHV invested a significant portion of their assets in securities in the health sector. MHE invested a significant portion of its assets in securities in the education sector. MHN and BLJ invested a significant portion of their assets in securities in the transportation sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.

 

10. CAPITAL SHARE TRANSACTIONS

Each Trust, except for MHN, is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. MHN is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Trust’s Common Shares is $0.001, except for MHE and MHN, which is $0.01 and $0.10, respectively. The par value for each Trust’s Preferred Shares outstanding is $0.001, except for MHE and MHN, which is $0.01 and $0.10 respectively. 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:

 

     BZM      MHE      BLJ      BFY      BHV  

Six months ended February 28, 2018

           1,287               273        1,483  

Year ended August 31, 2017

    1,922        1,915        1,212        1,924        3,295  

For the six months ended February 28, 2018 and the year ended August 31, 2017, shares issued and outstanding remained constant for MHN, BQH and BSE.

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a Trust fails to maintain asset coverage of at least 200% of the liquidation preference of the Trust’s outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Trust’s Preferred Shares or repurchasing such shares if a Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the voting rights of the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class on certain matters. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees to the Board of each Trust. The holders of Preferred Shares are also entitled to elect the full Board of Directors if dividends on the Preferred Shares are not paid for a period of two years. The holders of Preferred Shares are also generally entitled to a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

The VRDP Trusts 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 VRDP Shares of certain Trusts are currently in a special rate period, each as described below.

 

 

NOTES TO FINANCIAL STATEMENTS      87  


Notes to Financial Statements  (unaudited) (continued)

 

As of period end, the VRDP Shares outstanding of each Trust were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Maturity
Date
 

BZM

    06/14/12        160      $ 16,000,000        07/01/42  

MHE

    06/14/12        185        18,500,000        07/01/42  

MHN

    06/30/11        2,436        243,600,000        07/01/41  

BLJ

    06/14/12        187        18,700,000        07/01/42  

BQH

    09/15/11        221        22,100,000        10/01/41  

BSE

    09/15/11        405        40,500,000        10/01/41  

BFY

    09/15/11        444        44,400,000        10/01/41  

BHV

    06/14/12        116        11,600,000        07/01/42  

Redemption Terms: Each VRDP Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, each Trust is required to redeem certain of its outstanding VRDP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of each Trust. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Liquidity Feature: Each Trust entered into a fee agreement with the liquidity provider that requires an upfront commitment and a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The fee agreement between each Trust and the liquidity provider is set to expire, unless renewed or terminated in advance, as follows:

 

     BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Expiration Date

    07/05/18        07/05/18        04/15/20        07/05/18        10/22/18        10/22/18        10/22/18        07/05/18  

In the event a Trust’s fee agreement is not renewed or is terminated in advance, and that Trust does not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, the Trust is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance the Trust will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: MHE, MHN, BLJ, BQH, BSE and BFY may incur remarketing fees of 0.10% on the aggregate principal amount of the Trust’s VRDP Shares and BZM and BHV may incur remarketing fees of 0.07% on the aggregate principal amount of the Trust’s VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), the VRDP Trusts may incur no remarketing fees.

Dividends: Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VRDP Shares were assigned a long-term rating of Aa2 for BZM, BQH, MHN, BLJ, BSE, BFY and BHV and Aa3 for MHE from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

For the six months ended February 28, 2018, the annualized dividend rates for the VRDP Shares were as follows:

 

        BZM      MHE      MHN      BLJ      BQH      BSE      BFY      BHV  

Rate

       1.26      1.88      1.90      1.88      1.92      1.92      1.92      1.20

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. As of period end, the short-term ratings of the liquidity provider and the VRDP Shares for BZM and BHV were P1/F1 as rated by Moody’s, Fitch and/or S&P, respectively, which is within the two highest rating categories.

Special Rate Period: Upon issuance of the VRDP Shares on June 14, 2012, MHE and BLJ commenced a three-year term ending June 24, 2015 (“special rate period”) with respect to their VRDP Shares. The special rate period for MHE and BLJ has been extended each year for an additional one-year term and is currently scheduled to expire on June 20, 2018.

On April 17, 2014, MHN commenced a three-year special rate period ending April 19, 2017 with respect to its VRDP Shares. The special rate period for MHN was extended for an additional three-year term and is currently scheduled to expire on April 15, 2020.

 

 

88    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

On October 22, 2015, BQH, BSE and BFY commenced a three-year special rate period ending April 18, 2018 with respect to their VRDP Shares. The implementation of the special rate period resulted in a mandatory tender of the VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for BQH, BSE and BFY were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. The special rate period for BQH, BSE and BFY has been extended each year for an additional one-year term and is currently scheduled to expire on April 17, 2019.

Prior to their respective expiration date, a Trust and the holders of their VRDP Shares 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. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

During the special rate period, the liquidity and fee agreements will remain in effect and the VRDP Shares will remain subject to mandatory redemption by the Trusts 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 Trusts will be 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 Trusts will not pay any fees to the liquidity provider and remarketing agent during the special rate period, except MHN which pays 0.01%. The Trusts 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 Trusts 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 February 28, 2018, VRDP Shares issued and outstanding of each Trust remained constant.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP Shares with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Financial Reporting: The VRDP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP Shares are included in interest expense, fees and amortization of offering costs in the Statements of Operations:

 

     Dividends
Accrued
     Deferred
Offering Costs
Amortization
 

BZM

  $ 101,746      $ 1,506  

MHE

    175,319        1,654  

MHN

    2,328,357        7,658  

BLJ

    177,213        1,469  

BQH

    213,098        2,892  

BSE

    390,520        3,100  

BFY

    428,125        3,139  

BHV

    70,136        1,282  

 

11. SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

At a joint special shareholder meeting held on March 28, 2018, the shareholders of BLJ, BlackRock New Jersey Municipal Income Trust and BlackRock MuniYield New Jersey Fund, Inc. approved the reorganizations, which are expected to occur on or about June 8, 2018.

 

 

NOTES TO FINANCIAL STATEMENTS      89  


Notes to Financial Statements  (unaudited) (continued)

 

 

     Common Dividend
Per Share
           Preferred Shares (c)  
     Paid (a)      Declared (b)            Shares      Series      Declared  

BZM

  $ 0.0474      $ 0.0474         VRDP        W-7      $ 19,603  

MHE

    0.0440        0.0440         VRDP        W-7        34,390  

MHN

    0.0505        0.0505         VRDP        W-7        454,364  

BLJ

    0.0615        0.0615         VRDP        W-7        34,761  

BQH

    0.0460        0.0460         VRDP        W-7        41,609  

BSE

    0.0465        0.0465         VRDP        W-7        76,251  

BFY

    0.0490        0.0490         VRDP        W-7        83,594  

BHV

    0.0630        0.0630               VRDP        W-7        14,213  

 

  (a)  Net investment income dividend paid on April 2, 2018 to Common Shareholders of record on March 15, 2018.  
  (b)  Net investment income dividend declared on April 2, 2018, payable to Common Shareholders of record on April 16, 2018.  
  (c)  Dividends declared for period March 1, 2018 to March 31, 2018.  

 

 

90    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trustee and Officer Information

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective December 31, 2017, Jerrold B. Harris retired as a Trustee of the Trusts.

Effective February 16, 2018, Barbara G. Novick resigned, and Robert Fairbairn was appointed, as an interested Trustee of the Trusts.

 

Investment Adviser   VRDP Liquidity Providers
BlackRock Advisors, LLC   Bank of America, N.A.(a)
Wilmington, DE 19809   New York, NY 10036
 
Accounting Agent and Custodian   Citibank, N.A.(b)
State Street Bank and Trust Company   New York, NY 10179
Boston, MA 02111  
 
Transfer Agent   Barclays Bank PLC.(c)
Computershare Trust Company, N.A.   New York, NY 10019
Canton, MA 02021  
 
VRDP Tender and Paying Agent   Independent Registered Public Accounting Firm
The Bank of New York Mellon   Deloitte & Touche LLP
New York, NY 10289   Boston, MA 02116
 
 
VRDP Remarketing Agent   Legal Counsel
Merrill Lynch, Pierce, Fenner & Smith Incorporated(a)   Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10036   Boston, MA 02116
 
 
Citigroup Global Markets, Inc.(b)   Address of the Trusts
New York, NY 10179   100 Bellevue Parkway
  Wilmington, DE 19809
 
Barclays Capital, Inc.(c)  

 

New York, NY 10019

 

 

(a)  For MHN.
(b)  For BZM, MHE, BLJ and BHV.
(c)  For BQH, BSE and BFY.

 

 

TRUSTEE AND OFFICER INFORMATION      91  


Additional Information

 

Proxy Results

At a joint special meeting of shareholders of BlackRock New Jersey Municipal Bond Trust (the “Trust”) held on Wednesday, March 28, 2018, Trust shareholders were asked to vote on the following proposals:

Common and Preferred Shareholders

Proposal 1(A). The common and preferred shareholders of the Trust were asked to vote as a single class on a proposal to approve an Agreement and Plan of Reorganization between the Trust and BlackRock MuniYield New Jersey Fund, Inc. and the transactions contemplated therein, including the termination of the Trust’s registration under the 1940 Act and the dissolution of the Trust in accordance with its Agreement and Declaration of Trust and Delaware law.

With respect to Proposal 1(A), the shares of the Trust were voted as follows:

 

For   Against    Abstain
1,167,949   38,146    56,092

Preferred Shareholders

Proposal 1(B). The preferred shareholders of the Trust were asked to vote as a separate class on a proposal to approve an Agreement and Plan of Reorganization between the Trust and BlackRock MuniYield New Jersey Fund, Inc. and the transactions contemplated therein, including the termination of the Trust’s registration under the 1940 Act and the dissolution of the Trust under Delaware law.

With respect to Proposal 1(B), the shares of the Trust were voted as follows:

 

For   Against    Abstain
187     

Trust Certification

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts, may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website into this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

 

 

92    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

ADDITIONAL INFORMATION      93  


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
CIFG    CIFG Assurance North America, Inc.
COP    Certificates of Participation
EDA    Economic Development Authority
EDC    Economic Development Corp.
ERB    Education Revenue Bonds
FHA    Federal Housing Administration
GO    General Obligation Bonds
HDA    Housing Development Authority
HFA    Housing Finance Agency
HRB    Housing Revenue Bonds
IDA    Industrial Development Authority
LRB    Lease Revenue Bonds
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
PILOT    Payment in Lieu of Taxes
RB    Revenue Bonds
S/F    Single-Family
SONYMA    State of New York Mortgage Agency
SRF    State Revolving Fund
Syncora    Syncora Guarantee
 

 

 

94    2018 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEF-STMUNI-8-2/18-SAR   LOGO


Item 2 –   Code of Ethics – Not Applicable to this semi-annual report
Item 3 –   Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –   Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –   Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –  

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –  

Portfolio Managers of Closed-End Management Investment Companies

(a)  Not Applicable to this semi-annual report.

(b)  As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –   Controls and Procedures
  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –  

Disclosure of Securities Lending Activities for Closed-End Management Investment

Companies – Not Applicable

Item 13 –   Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto

 

2


  (a)(3) – Not Applicable
  (a)(4) – Not Applicable
  (b) –     Certifications – Attached hereto

 

3


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock MuniHoldings New York Quality Fund, Inc.

 

By:       /s/ John M. Perlowski                            
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock MuniHoldings New York Quality Fund, Inc.

Date: May 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 MuniHoldings New York Quality Fund, Inc.

Date: May 4, 2018

 

By:       /s/ Neal J. Andrews                             
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock MuniHoldings New York Quality Fund, Inc.

Date: May 4, 2018

 

4