BlackRock New York Municipal Income Quality Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21179

Name of Fund:  BlackRock New York Municipal Income Quality Trust (BSE)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2018

Date of reporting period: 05/31/2018


Item 1 – Schedule of Investments


Schedule of Investments  (unaudited) 

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 124.4%

 

New York — 124.4%        
Corporate — 0.5%        

New York Liberty Development Corp., Refunding RB, Goldman Sachs Headquarters,

   

5.25%, 10/01/35

  $ 355     $ 445,237  
   

 

 

 
County/City/Special District/School District — 16.4%        

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

   

5.50%, 08/01/25

    725       840,659  

5.00%, 08/01/30

    1,000       1,112,980  

City of New York New York, GO:

   

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

    200       216,164  

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

    440       493,816  

Sub-Series F-1, 5.00%, 04/01/40

    930       1,083,776  

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       219,560  

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

   

5.00%, 11/15/40

    1,335       1,509,137  

5.00%, 11/15/45

    1,250       1,408,613  

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       454,330  

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

    150       153,783  

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       70,627  

5.00%, 09/01/36

    50       58,678  

5.00%, 09/01/37

    60       70,360  

5.00%, 09/01/38

    90       105,461  

5.00%, 09/01/39

    70       81,901  

County of Nassau New York, GO, Refunding Series B, 5.00%, 04/01/32

    420       485,394  

Haverstraw-Stony Point Central School District, GO, Refunding, 5.00%, 10/15/36

    240       267,893  

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

   

5.75%, 02/15/21(b)

    615       677,287  

5.75%, 02/15/47

    385       418,056  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)        

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

   

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

  $ 465     $ 531,500  

Fiscal 2017, 5.00%, 02/15/42

    875       1,001,569  

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

   

4, 5.00%, 11/15/31

    1,000       1,088,630  

4, 5.00%, 11/15/44

    1,250       1,347,438  

7 Class 1, 4.00%, 09/15/35

    1,100       1,153,856  

5.75%, 11/15/51

    545       605,244  
   

 

 

 
      15,456,712  
Education — 35.4%        

Build NYC Resource Corp., Refunding RB:

   

City University New York-Queens College Student Residences, LLC Project, Series A,
5.00%, 06/01/38

    250       278,540  

Ethical Culture Fieldston School Project,
5.00%, 06/01/33

    300       334,185  

Ethical Culture Fieldston School Project,
5.00%, 06/01/35

    350       387,569  

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

    260       295,118  

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

    135       151,983  

Packer Collegiate Institute Project,
5.00%, 06/01/40

    690       755,936  

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       191,615  

4.00%, 12/01/34

    130       131,633  

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       494,767  

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

    500       561,050  

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

    410       453,239  

City of New York Trust for Cultural Resources, Refunding RB, Museum of Modern Art, Series 1A, 5.00%, 10/01/18(b)

    700       707,917  
 

 

 

     1  


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

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

   

Series A, 5.13%, 09/01/40

  $ 1,645     $ 1,724,174  

Series B, 4.00%, 08/01/35

    230       237,815  

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

    200       218,332  

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

    565       662,056  

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

   

5.00%, 07/01/42

    195       224,775  

4.00%, 07/01/46

    375       390,056  

County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 07/01/39

    1,500       1,609,545  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project,
Series A, 5.00%, 07/01/21(b)

    500       547,020  

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

   

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

    60       60,136  

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

    400       458,256  

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

   

5.00%, 07/01/37

    180       193,493  

5.00%, 07/01/42

    115       122,892  

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College,
5.00%, 07/01/32

    500       547,320  

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM),
5.50%, 01/01/21(b)

    250       272,310  

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

    1,000       1,058,150  
Security   Par
(000)
    Value  
Education (continued)  

Dobbs Ferry Local Development Corp., RB, Mercy College Project:

   

5.00%, 07/01/39

  $ 1,000     $ 1,129,850  

5.00%, 07/01/44

    500       563,730  

State of New York Dormitory Authority, RB:

   

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

    300       328,683  

Education, Series B, 5.75%, 03/15/19(b)

    600       619,176  

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

    500       547,020  

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

    350       375,809  

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

    500       553,040  

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

    1,000       1,002,670  

Rochester Institute of Technology, 5.00%, 07/01/40

    550       579,914  

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

    600       632,634  

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

    1,000       1,078,460  

State of New York Dormitory Authority, Refunding RB:

   

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

    200       227,098  

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

    2,960       3,300,814  

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

    365       434,927  

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

    250       264,222  

Fordham University, 5.00%, 07/01/44

    640       709,466  

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

    1,380       1,529,675  

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

    745       824,030  
 

 

 

2   


Schedule of Investments  (unaudited) (continued)

May 31, 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 (continued):

   

Pratt Institute, Series A, 5.00%, 07/01/44

  $ 500     $ 546,435  

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

    1,500       1,710,015  

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

    600       683,082  

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

    450       488,587  

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

    375       429,379  

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

    545       623,720  

State University of New York Dormitory Facilities, Series A, 5.00%, 07/01/38

    255       294,372  

Town of Hempstead New York Local Development Corp., Refunding RB:

   

Adelphi University Project, 5.00%, 10/01/34

    310       346,031  

Adelphi University Project, 5.00%, 10/01/35

    310       347,932  

Hofstra University Project, 5.00%, 07/01/47

    100       113,236  
   

 

 

 
      33,353,889  
Health — 11.5%  

Counties of Buffalo & Erie New York Industrial Land Development Corp., RB, Catholic Health System Obligation, 5.25%, 07/01/35

    500       553,745  

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 04/01/30

    500       536,710  

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

   

4.00%, 12/01/41

    200       202,444  

5.00%, 12/01/46

    320       353,760  

Series A, 5.00%, 12/01/37

    850       917,966  
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

  $ 725     $ 787,894  

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

    150       164,970  

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

    895       956,155  

State of New York Dormitory Authority, RB:

   

Mental Health Services (AGM), 5.00%, 08/15/18(b)

    5       5,035  

Mental Health Services (AGM), 5.00%, 08/15/18(b)

    5       5,035  

Mental Health Services (AGM), 5.00%, 02/15/22

    80       80,555  

Mental Health Services, 2nd Series (AGM),
5.00%, 08/15/18(b)

    5       5,035  

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

    250       270,700  

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

    500       521,935  

State of New York Dormitory Authority, Refunding RB:

   

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

    450       517,554  

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

    750       815,918  

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

    750       815,918  

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

    1,840       2,014,671  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/43

    1,140       1,257,329  
   

 

 

 
      10,783,329  
Housing — 4.0%  

City of New York Housing Development Corp., RB, M/F Housing, Series B1, 5.25%, 07/01/30

    750       832,980  
 

 

 

     3  


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing (continued)  

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     $ 1,007,150  

5.00%, 07/01/33

    400       434,056  

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       518,875  

County of Onondaga New York Trust for Cultural Resources, Refunding RB, Abby Lane Housing Corporation Project, 5.00%, 05/01/40

    445       493,536  

State of New York HFA, RB:

   

Affordable Housing, Series E (SONYMA), 4.15%, 11/01/47

    330       341,236  

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

    110       113,615  
   

 

 

 
      3,741,448  
State — 20.2%  

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

   

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

    250       290,038  

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

    250       290,038  

City of New York New York Transitional Finance Authority Building Aid Revenue, RB:

   

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

    370       420,024  

Series S-3, 5.25%, 07/15/36

    325       389,629  

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

   

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

    425       478,044  

Sub-Series C-3, 4.00%, 05/01/42

    760       798,068  

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

    705       814,486  

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

    300       346,083  

City of New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-4 (AGC),
5.50%, 01/15/33

    1,000       1,023,650  

City of New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series E-1,
5.00%, 02/01/38

    910       1,047,838  
Security   Par
(000)
    Value  
State (continued)  

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

  $ 590     $ 676,990  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

   

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

    540       565,445  

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

    750       848,595  

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 5.00%, 10/15/31

    750       862,515  

State of New York Dormitory Authority, RB:

   

5.00%, 03/15/30

    1,000       1,176,090  

Bid Group 2, Series A, 5.00%, 03/15/32

    1,000       1,194,600  

Bid Group 2, Series A, 5.00%, 03/15/38

    560       649,146  

Group B, State Sales Tax, Series A,
5.00%, 03/15/39

    90       104,177  

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

    1,000       1,092,640  

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

    1,400       1,526,518  

Group 4, Series A, 5.00%, 03/15/45

    570       665,458  

Series A, 5.00%, 03/15/36

    440       507,219  

Series A, 5.00%, 02/15/42

    500       571,390  

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

    1,000       1,011,310  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C:

   

5.00%, 03/15/30

    500       560,530  

5.00%, 03/15/32

    1,000       1,117,690  
   

 

 

 
      19,028,211  
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       282,855  

Series B, 5.00%, 06/01/45

    300       321,195  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 05/15/40

    290       311,550  
 

 

 

4   


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Tobacco (continued)  

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

  $ 285     $ 281,531  
   

 

 

 
      1,197,131  
Transportation — 20.8%  

Buffalo & Fort Erie Public Bridge Authority, RB, Toll Bridge System, 5.00%, 01/01/42

    265       302,225  

Metropolitan Transportation Authority, RB:

   

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

    575       635,013  

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

    270       315,222  

Series C, 6.50%, 11/15/28

    145       148,046  

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

    440       489,579  

Series E, 5.00%, 11/15/38

    650       716,248  

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

    350       387,811  

Metropolitan Transportation Authority, Refunding RB:

   

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

    500       531,965  

Series B, 5.00%, 11/15/37

    1,110       1,262,125  

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

    1,560       1,735,781  

Series D, 5.25%, 11/15/23(b)

    750       875,618  

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

   

5.00%, 11/15/56

    1,345       1,449,090  

5.00%, 11/15/51

    115       122,322  

Port Authority of New York & New Jersey, Refunding ARB, 179th Series,
5.00%, 12/01/38

    245       275,044  

State of New York Thruway Authority, RB, Junior Lien, Series A:

   

5.00%, 01/01/41

    365       410,968  

5.25%, 01/01/56

    210       238,600  

State of New York Thruway Authority, Refunding RB:

   

2nd General Highway & Bridge Trust, Series A, 5.00%, 04/01/32

    250       275,828  

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

    1,325       1,441,375  

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

    425       461,112  

General, Series K, 5.00%, 01/01/32

    750       850,373  

Series L, 5.00%, 01/01/33

    90       105,373  

Series L, 5.00%, 01/01/34

    140       163,786  

Series L, 5.00%, 01/01/35

    170       198,264  

Triborough Bridge & Tunnel Authority, RB, Series B, 5.00%, 11/15/40

    280       319,124  
Security   Par
(000)
    Value  
Transportation (continued)  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

  $ 635     $ 386,848  

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

    1,085       1,265,262  

General, Remarketing, Series A,
5.00%, 11/15/34

    1,000       1,108,150  

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

    370       425,352  

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

    615       624,526  

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

    385       390,563  

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

    1,485       1,660,408  
   

 

 

 
      19,572,001  
Utilities — 14.3%  

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

    1,000       1,093,960  

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

   

Series EE, 5.00%, 06/15/40

    700       815,297  

Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    1,000       1,134,730  

Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 06/15/32

    710       710,767  

Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 06/15/32

    390       390,421  

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

    250       276,575  

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

   

5.00%, 09/01/42

    240       274,728  

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

    500       543,945  

Series C (CIFG), 5.25%, 09/01/29

    1,000       1,205,360  

Long Island Power Authority, Refunding RB:

   

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

    110       124,836  

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

    140       158,338  

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

    1,690       1,747,494  
 

 

 

     5  


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Utilities (continued)  

Long Island Power Authority, Refunding RB (continued):

   

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

  $ 2,000     $ 2,078,820  

State of New York Environmental Facilities Corp., RB, Series B, Revolving Funds, Green Bonds, 5.00%, 09/15/40

    635       722,808  

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

    1,000       1,092,450  

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

    1,000       1,122,330  
   

 

 

 
      13,492,859  
   

 

 

 

Total Municipal Bonds — 124.4%
(Cost — $111,957,335)

 

    117,070,817  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(c) — 38.3%

 

New York — 38.3%  
County/City/Special District/School District — 13.8%  

City of New York, GO:

   

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

    1,000       1,098,400  

Refunding Fiscal 2015, Series B,
4.00%, 08/01/32

    1,790       1,894,321  

City of New York New York, GO:

   

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

    64       65,403  

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

    936       962,942  

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

    250       280,325  

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

    500       576,012  

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

    1,800       1,968,160  

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

    3,495       3,827,009  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

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

  $ 2,085     $ 2,282,436  
   

 

 

 
      12,955,008  
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       2,160,741  
   

 

 

 
State — 6.6%  

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

    2,475       2,682,752  

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

   

5.00%, 10/15/31

    990       1,138,140  

4.00%, 10/15/32

    1,500       1,632,465  

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 03/15/41

    750       803,831  
   

 

 

 
      6,257,188  
Transportation — 3.0%  

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

    735       839,772  

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

    800       870,464  

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

    1,000       1,140,470  
   

 

 

 
      2,850,706  
Utilities — 12.6%  

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

   

5.75%, 06/15/18(b)

    114       114,086  

5.75%, 06/15/40

    381       381,510  
 

 

 

6   


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Utilities (continued)  

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

   

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

  $ 2,249     $ 2,434,586  

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

    2,011       2,176,462  

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

    405       419,810  

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

    691       724,082  

Utility Debt Securitization Authority, Refunding RB:

   

5.00%, 12/15/41

    3,719       4,169,271  

Restructuring, 5.00%, 12/15/36

    1,006       1,151,654  
Security   Par
(000)
    Value  
Utilities (continued)  

Utility Debt Securitization Authority, Refunding RB (continued):

   

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

  $ 280     $ 299,089  
   

 

 

 
      11,870,550  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option
Bond Trusts — 38.3%
(Cost — $34,631,152)

 

    36,094,193  
   

 

 

 

Total Long-Term Investments — 162.7%
(Cost — $146,588,487)

 

    153,165,010  
   

 

 

 
     Shares         
Short-Term Securities — 0.1%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.92%(e)(f)

    72,999       73,006  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $72,999)

 

    73,006  
   

 

 

 

Total Investments — 162.8%
(Cost — $146,661,486)

 

    153,238,016  

Other Assets Less Liabilities — 1.6%

 

    1,465,463  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (21.5)%

 

    (20,196,551

VRDP Shares at Liquidation Value, Net of Deferred OfferingCosts — (42.9)%

 

    (40,354,304
   

 

 

 

Net Assets Applicable to Common
Shares — 100.0%

 

  $ 94,152,624  
   

 

 

 
 
(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.
(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.
(e) Annualized 7-day yield as of period end.
(f) During the period ended May 31, 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
05/31/18
     Value at
05/31/18
     Income      Net Realized
Gain (Loss)(a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     1,143,510        (1,070,511      72,999      $ 73,006      $ 8,253      $ 26      $ 57  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

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

 

 

     7  


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

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

     27          09/19/18        $ 3,252        $ (27,108

Long U.S. Treasury Bond

     23          09/19/18          3,338          (72,597

5-Year U.S. Treasury Note

     15          09/28/18          1,708          (9,511
                 

 

 

 
        $ (109,216
                 

 

 

 

Portfolio Abbreviations

AGC — Assured Guarantee Corp.

AGM — Assured Guaranty Municipal Corp.

ARB — Airport Revenue Bonds

BARB — Building Aid Revenue Bonds

CAB — Capital Appreciation Bonds

CIFG — CIFG Assurance North America, Inc.

EDC — Economic Development Corp.

FHA — Federal Housing Administration

GO — General Obligation Bonds

HFA — Housing Finance Agency

M/F — Multi-Family

PILOT — Payment in Lieu of Taxes

RB — Revenue Bonds

SONYMA — State of New York Mortgage Agency

SRF — State Revolving Fund

 

 

8   


Schedule of Investments  (unaudited) (continued)

May 31, 2018

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

    Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

    Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

    Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (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 the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

As of May 31,2018, 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)

   $ —          $ 153,165,010        $        $ 153,165,010  

Short-Term Securities

     73,006                            73,006  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 73,006        $ 153,165,010        $        $ 153,238,016  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Liabilities:

                 

Interest rate contracts

   $ (109,216      $        $         —        $ (109,216
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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

   $        $ (20,104,151      $        $ (20,104,151

VRDP Shares at Liquidation Value

              (40,500,000                 (40,500,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $         —        $ (60,604,151      $         —        $ (60,604,151
  

 

 

      

 

 

      

 

 

      

 

 

 

During the period ended May 31, 2018, there were no transfers between levels.

 

 

     9  


Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

 

     Certifications – Attached hereto


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  BlackRock New York Municipal Income Quality Trust   
  By:       /s/ John M. Perlowski                   
    John M. Perlowski   
    Chief Executive Officer (principal executive officer) of   
    BlackRock New York Municipal Income Quality Trust   

Date: July 19, 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 New York Municipal Income Quality Trust   

Date: July 19, 2018

 

  By:       /s/ Neal J. Andrews                   
    Neal J. Andrews   
    Chief Financial Officer (principal financial officer) of   
    BlackRock New York Municipal Income Quality Trust   

Date: July 19, 2018