BlackRock Virginia Municipal Bond 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: 811-21053

Name of Fund:  BlackRock Virginia Municipal Bond Trust (BHV)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

              Bond Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2019

Date of reporting period: 11/30/2018

 


Item 1 – Schedule of Investments

 

 


Schedule of Investments  (unaudited) 

November 30, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 128.0%

 

Virginia — 119.5%

 

Corporate — 2.1%

 

County of Chesterfield Virginia EDA, RB, Virginia Electric Power Co. Project, Series A, AMT,
5.60%, 11/01/31

  $ 500     $ 500,675  
   

 

 

 
County/City/Special District/School District — 31.9%  

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 03/01/36

    250       255,403  

Cherry Hill Virginia Community Development Authority, Special Assessment Bonds, Potomac Shores Project, 5.40%, 03/01/45(a)

    250       253,145  

City of Norfolk Virginia, GO, Refunding(b):

   

5.00%, 08/01/23

    465       522,334  

5.00%, 08/01/23

    35       39,398  

City of Portsmouth Virginia, GO, Refunding Series D(b):

   

5.00%, 07/15/20

    485       508,144  

5.00%, 07/15/20

    15       15,728  

City of Suffolk Virginia, GO, Refunding,
5.00%, 06/01/21(b)

    1,000       1,072,560  

County of Fairfax Virginia EDA, RB:

   

Metrorail Parking System Projects, 5.00%, 04/01/36

    775       874,603  

Silverline Phase I Project, 5.00%, 04/01/20(b)

    1,000       1,039,410  

County of Fairfax Virginia Redevelopment & Housing Authority, Refunding RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

    1,500       1,534,170  

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 03/01/26

    500       492,320  

Lower Magnolia Green Community Development Authority, Special Assessment Bonds,
5.00%, 03/01/35(a)

    245       243,366  

Mosaic District Community Development Authority, Special Assessment, Series A, 6.88%, 03/01/36

    250       266,350  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

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

  $ 360     $ 360,000  
   

 

 

 
      7,476,931  
Education — 21.6%  

County of Montgomery Virginia EDA, Refunding RB, Virginia Tech Foundation, Series A,
5.00%, 06/01/20(b)

    355       371,003  

Virginia College Building Authority, RB, Marymount University Project, Series B, 5.00%, 07/01/45(a)

    100       101,676  

Virginia College Building Authority, Refunding RB:

   

Liberty University Projects, 5.00%, 03/01/41

    1,000       1,033,560  

Marymount University Project, Series A, 5.00%, 07/01/45(a)

    400       406,704  

Washington & Lee University Project (NPFGC), 5.25%, 01/01/26

    500       562,320  

Washington & Lee University Project (NPFGC), 5.25%, 01/01/31

    1,000       1,178,330  

Virginia Small Business Financing Authority, RB:

   

Covanta Project, AMT, 5.00%, 01/01/48(a)(c)

    400       405,036  

Roanoke College, 5.75%, 04/01/41

    500       520,095  

Virginia Small Business Financing Authority, Refunding RB, 4.00%, 10/01/38

    500       495,005  
   

 

 

 
      5,073,729  
Health — 34.2%  

City of Danville Virginia IDA, Refunding RB, Danville Regional Medical Center (AMBAC),
5.25%, 10/01/28(d)

    1,000       1,110,720  

County of Fairfax Virginia EDA, Refunding RB, Vinson Hall LLC, Series A, 5.00%, 12/01/42

    500       519,440  

County of Fairfax Virginia IDA, RB, Series A,
5.00%, 05/15/44

    450       487,305  

County of Hanover Virginia EDA, Refunding RB, Covenant Woods:

   

5.00%, 07/01/51

    250       252,770  

Series A, 5.00%, 07/01/42

    500       504,045  

County of Henrico Virginia EDA, Refunding RB, United Methodist Homes, 4.25%, 06/01/26

    145       147,400  
 

 

 

     1  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health (continued)  

County of Prince William Virginia IDA, Refunding RB, Novant Health Obligation Group, Series B,
4.00%, 11/01/46

  $ 500     $ 502,275  

Lexington Industrial Development Authority, RB, Series A,
5.00%, 01/01/42

    690       726,480  

Roanoke Virginia EDA, Refunding RB:

   

Carilion Clinic Obligation Group, 5.00%, 07/01/30

    795       856,064  

Carilion Health System (AGM), 5.00%, 07/01/20(b)

    5       5,229  

Carilion Health System, Series B (AGM), 5.00%, 07/01/38

    495       511,607  

Virginia Beach Development Authority, Refunding RB, Westminster-Canterbury on Chesapeake Bay, 4.00%, 09/01/48

    250       240,718  

Winchester Virginia EDA, Refunding RB, Valley Health System Obligation:

   

5.00%, 01/01/44

    1,000       1,075,900  

Series A, 5.00%, 01/01/44

    400       425,992  

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 01/01/19(b)

    650       651,852  
   

 

 

 
      8,017,797  
Housing — 13.1%  

Virginia HDA, RB, M/F Housing:

   

Rental Housing, Series A, 5.25%, 05/01/41

    750       782,467  

Rental Housing, Series B, 5.63%, 06/01/39

    1,000       1,016,700  

Rental Housing, Series B, 4.00%, 06/01/53

    500       488,100  

Rental Housing, Series F, 5.25%, 10/01/38

    250       273,178  
Security   Par
(000)
    Value  
Housing (continued)  
Virginia HDA, RB, M/F Housing (continued):            

Series E, 2.50%, 12/01/22(e)

  $ 500     $ 500,730  
   

 

 

 
      3,061,175  
State — 1.8%  

Virginia Public School Authority, RB, School Financing, 1997 Resolution, Series B, 4.00%, 08/01/21(b)

    405       425,214  
   

 

 

 
Tobacco — 3.8%  

Tobacco Settlement Financing Corp., Refunding RB, Senior:

   

Convertible, Series B2, 5.20%, 06/01/46

    500       491,380  

Series B-1, 5.00%, 06/01/47

    410       388,619  
   

 

 

 
      879,999  
Transportation — 7.8%  

Richmond Metropolitan Authority, Refunding RB, (NPFGC), 5.25%, 07/15/22

    410       431,017  

Virginia Port Authority, RB, 5.00%, 07/01/20(b)

    500       523,690  

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

    820       885,723  
   

 

 

 
      1,840,430  
Utilities — 3.2%  

County of Henrico Virginia Water & Sewer Revenue, Refunding RB, 5.00%, 05/01/42

    665       741,475  
   

 

 

 

Total Municipal Bonds in Virginia — 119.5%

 

    28,017,425  
   

 

 

 
 

 

 

2   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

District of Columbia — 7.6%

 

Transportation — 7.6%  

Metropolitan Washington Airports Authority, Refunding RB:

   

Dulles Toll Road, 1st Senior Lien, Series A,
5.00%, 10/01/39

  $ 290     $ 295,849  

Dulles Toll Road, 1st Senior Lien, Series A,
5.25%, 10/01/44

    460       469,223  

Series B, 5.00%, 10/01/29

    1,000       1,023,360  
   

 

 

 

Total Municipal Bonds in District of Columbia — 7.6

 

    1,788,432  
   

 

 

 

Puerto Rico — 0.9%

 

Tobacco — 0.9%  

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

    205       205,381  
   

 

 

 

Total Municipal Bonds in Puerto Rico — 0.9

 

    205,381  
   

 

 

 

Total Municipal Bonds — 128.0%
(Cost — $28,947,378)

 

    30,011,238  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts (f) — 41.8%

 

Virginia — 41.8%

 

Health — 13.9%  

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

    2,000       2,223,120  

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

    1,000       1,038,462  
   

 

 

 
      3,261,582  
Security   Par
(000)
    Value  
Transportation — 27.9%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.00%, 07/01/48

  $ 4,308     $ 4,865,982  

Washington Metropolitan Area Transit Authority, RB, Series B, 5.00%, 07/01/42

    1,503       1,682,223  
   

 

 

 
      6,548,205  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 41.8%
(Cost — $9,904,397)

 

    9,809,787  
   

 

 

 

Total Long-Term Investments — 169.8%
(Cost — $38,851,775)

 

    39,821,025  
   

 

 

 
     Shares         
Short-Term Securities — 2.8%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.55%(h)(i)

    656,175       656,240  
   

 

 

 

Total Short-Term Securities — 2.8%
(Cost — $656,240)

 

    656,240  
   

 

 

 

Total Investments — 172.6%
(Cost — $39,508,015)

 

    40,477,265  

Liabilities in Excess of Other Assets — (0.3)%

 

    (65,119

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (23.1)%

 

    (5,415,337

VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (49.2)%

 

    (11,539,165
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 23,457,644  
   

 

 

 

 

(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)

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(d)

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

(e)

When-issued security.

(f)

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.

(g)

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.

(h)

Annualized 7-day yield as of period end.

 

 

 

     3  


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

(i)

During the period ended November 30, 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:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
11/30/18
     Value at
11/30/18
     Income     

Net

Realized

Gain (Loss) (a)

     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     13,073        643,102        656,175      $ 656,240      $ 1,965      $      $  
              

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

For Trust compliance purposes, theTrust’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.

 

Portfolio Abbreviations
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
EDA    Economic Development Authority
GO    General Obligation Bonds
HDA    Housing Development Authority
IDA    Industrial Development Authority
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
RB    Revenue Bonds

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        03/20/19        $ 478        $ (884

Long U.S. Treasury Bond

   7        03/20/19          979          (4,508

5-Year U.S. Treasury Note

   1        03/29/19          113          (237
                 

 

 

 
                  $ (5,629
                 

 

 

 

 

 

4   


Schedule of Investments  (unaudited) (continued)

November 30, 2018

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

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 Trusts. 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 annual report.

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments(a)

   $        $ 39,821,025        $        $ 39,821,025  

Short-Term Securities

     656,240                            656,240  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 656,240        $ 39,821,025        $        $ 40,477,265  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest rate contracts

   $ (5,629      $        $        $ (5,629
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (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

   $        $ (5,396,436      $        $ (5,396,436

VRDP Shares at Liquidation Value

              (11,600,000                 (11,600,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (16,996,436      $        $ (16,996,436
  

 

 

      

 

 

      

 

 

      

 

 

 

During the period ended November 30, 2018, there were no transfers between levels.

 

 

     5  


Item 2 – Controls and Procedures

2(a) –    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3 – Exhibits
   Certifications – Attached hereto

 

 


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

BlackRock Virginia Municipal Bond Trust

 

By:    /s/ John M. Perlowski                       
   John M. Perlowski   
   Chief Executive Officer (principal executive officer) of   
   BlackRock Virginia Municipal Bond Trust   

Date: January 18, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:    /s/ John M. Perlowski                       
   John M. Perlowski   
   Chief Executive Officer (principal executive officer) of   
   BlackRock Virginia Municipal Bond Trust   
Date: January 18, 2019   
By:    /s/ Neal J. Andrews                       
   Neal J. Andrews   
   Chief Financial Officer (principal financial officer) of   
   BlackRock Virginia Municipal Bond Trust   

Date: January 18, 2019