UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
Washington,D.C.20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-07660

Name of Fund: The Massachusetts Health & Education Tax-Exempt Trust (MHE)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, The
Massachusetts Health & Education Tax-Exempt Trust, 55 East 52^nd Street, New York, NY
10055

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

Date of fiscal year end: 08/31/2011

Date of reporting period: 08/31/2011

Item 1 – Report to Stockholders

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Annual Report

BlackRock Maryland Municipal Bond Trust (BZM)

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)

The Massachusetts Health & Education Tax-Exempt Trust (MHE)

Not FDIC Insured • No Bank Guarantee • May Lose Value

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2 ANNUAL REPORT AUGUST 31, 2011

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Dear Shareholder

Market volatility has been extraordinary in recent months. Government debt and deficit issues in both
the US and Europe have taken a toll on investor sentiment while weaker-than-expected US economic
data raised concerns of another recession. Political instability and concerns that central banks have
nearly exhausted their stimulus measures have further compounded investor uncertainty.Although
markets remain volatile and conditions are highly uncertain, BlackRock remains focused on finding
opportunities in this environment.

The pages that follow reflect your fund’s reporting period ended August 31, 2011.Accordingly, the
following discussion is intended to provide you with additional perspective on the performance of
your investments during that period.

One year ago, the global economy appeared to solidly be in recovery mode and investors were opti-
mistic given the anticipated second round of quantitative easing from the US Federal Reserve (the
“Fed”). Stock markets rallied despite the ongoing sovereign debt crisis in Europe and inflationary
pressures looming over emerging markets. Fixed income markets, however, saw yields move sharply
upward (pushing prices down) especially on the long end of the historically steep yield curve.While
high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter.
The tax-exempt municipal market faced additional headwinds as it became evident that the Build
America Bond program would not be extended and municipal finance troubles abounded.

The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa
region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted indus-
trial supply chains and concerns mounted over US debt and deficit issues. Equities generally performed
well early in the year, however, as investors chose to focus on the continuing stream of strong corporate
earnings and positive economic data. Credit markets were surprisingly resilient in this environment and
yields regained relative stability in 2011.The tax-exempt market saw relief from its headwinds and
steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced
higher-quality assets as investors increased their risk tolerance.

However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging
economies, many of which were overheating, and the European debt crisis continued to escalate.
Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer
to defaulting on its debt.This development rekindled fears about the broader debt crisis and its further
contagion among peripheral European countries. Concurrently, it became evident that the pace of global
economic growth had slowed as higher oil prices and supply chain disruptions finally showed up in
economic data. By mid-summer, confidence in policymakers was tarnished as the prolonged US debt
ceiling debate revealed the degree of polarization in Washington, DC.The downgrade of the US govern-
ment’s credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme
volatility persisted as Europe’s debt and banking crisis deepened and US economic data continued
to weaken. Investors fled from riskier assets, pushing stock and high yield bond indices into negative
territory for the six-month period ended August 31, while lower-risk investments including US Treasuries,
municipal securities and investment grade corporate bonds posted gains.Twelve-month returns on all
asset classes remained positive. Continued low short-term interest rates kept yields on money market
securities near their all-time lows.

“BlackRock remains focused
on managing risk and finding
opportunities in all market
environments.”

Rob Kapito
President, BlackRock Advisors, LLC

 

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

THIS PAGE NOT PART OF YOUR FUND REPORT 3

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Municipal Market Overview

As of August 31, 2011

At the outset of the 12-month period, investor concerns were focused on the possibility of deflation and a double-dip recessionin the US economy thus
leading to a flatter municipal yield curve at that time as compared to August 31, 2011. Rates moved lower (and prices higher) across the curve through
September 2010, reaching historic lows in August when the yield on 5-year issues touched 1.06%, the 10-year reached 2.18% and the 30-year closed at
3.67%. However, the market took a turn in October amid a “perfect storm” of events that ultimately resulted in the worst quarterly performance for munici-
pals since the Fed tightening cycle of 1994. Treasury yields lost support due to concerns over the US deficit and municipal valuations suffered a quick and
severe setback as it became evident that the Build America Bond (“BAB”) program would expire at the end of 2010. The program had opened the taxable
market to municipal issuers, successfully alleviating supply pressure in the traditional tax-exempt marketplace and bringing down yields in that space.

Towards the end of the fourth quarter 2010, news about municipal finance troubles mounted and damaged confidence among retail investors. From mid-
November through year end, weekly outflows from municipal mutual funds averaged over $2.5 billion. Political uncertainty surrounding the midterm elections
and tax policies along with the expiration of the BAB program exacerbated the situation. These conditions combined with seasonal illiquidity sapped willful
market participation from the trading community. December brought declining demand with no comparable reduction in supply as issuers rushed their deals
to market before the BAB program was retired. This supply-demand imbalance led to wider quality spreads and higher yields.

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in 2011. From mid-
November, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June. Weak demand has been counterbal-
anced by lower supply in 2011. According to Thomson Reuters, year-to-date through August, new issuance was down 38% compared tothe same period
last year. Issuers have been reluctant to bring new deals to the market due to higher interest rates, fiscal policy changes anda reduced need for municipal
borrowing. In this positive technical environment, the S&P/Investortools Main Municipal Bond Index gained 4.22% for the secondquarter of 2011, its best
second-quarter performance since 1992, and municipals outperformed most other fixed income asset classes for the quarter.

On August 5, S&P downgraded the US credit rating from AAA to AA+, leading to the downgrade of 11,000 municipal issues directly linked to the US govern-
ment debt rating. Nevertheless, the municipal market posted solid gains for the month of August, aided primarily by an exuberant Treasury market, severe
volatility in US equities and continued supply constraint in the primary municipal market. For the month of August, the curve flattened due to outperfor-
mance in the long-end driven by demand from both traditional and non-traditional buyers.

Overall, the municipal yield curve steepened during the period from August 31, 2010, to August 31, 2011. As measured by ThomsonMunicipal Market
Data, yields on AAA quality-rated 30-year municipals rose 22 basis points (“bps”) to 3.89%, while yields for 5-year maturitiesrallied by 17 bps to .89%,
and 10-year maturities increased by 7 bps to 2.25%. With the exception of the 2- to 5-year range, the yield spread between maturities increased over the
past year, with the greatest increase seen in the 5- to 30-year range, where the spread widened by 39 bps, while overall the slope between 2- and 30-year
maturities increased by 27 bps to 3.59%.

The fundamental picture for municipalities is improving as most states began their new fiscal year with a balanced budget. Austerity is the general theme
across the country, while a small number of states continue to rely on the “kick the can” approach, using aggressive revenue projections and accounting
gimmicks to close their shortfalls. As long as economic growth stays positive, tax receipts for states should continue to rise and lead to better credit funda-
mentals. BlackRock maintains a constructive view of the municipal market, recognizing that careful credit research and security selection remain imperative
amid uncertainty in the economic environment.

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

4 ANNUAL REPORT AUGUST 31, 2011

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Trust Summary as of August 31, 2011 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 federal income
taxes and Maryland personal income taxes. The Trust seeks to achieve its investment objectives by investing primarily in municipal bonds exempt from
federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Maryland personal income taxes. The Trust
invests, under normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality 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.

Performance

For the 12 months ended August 31, 2011, the Trust returned 0.83% based on market price and 2.45% based on net asset value (“NAV”). For the same
period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of (1.60)% based on market price and 1.97% based
on NAV. All returns reflect reinvestment of dividends. The Trust's premium to NAV, which narrowed during the period, accounts for the difference between per-
formance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust benefited from its higher
coupon bond holdings, which performed well in the rising interest rate environment. In addition, the Trust sought investments with valuations that remain
attractive relative to their level of credit risk. However, the Trust’s overall long duration stance (greater sensitivity to interest rates) detracted from performance
as the municipal market saw long-term interest rates rise and the yield curve steepen due to municipal credit concerns and the expiration of the BAB pro-
gram. During the period, we reduced some of the Trust’s most concentrated holdings and held the cash proceeds in reserve to enable the Trust to improve
its portfolio diversification when opportunities arise in the market. The Trust’s increased cash position did not have a material impact on performance. US
Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents Auction Market Preferred Shares (“AMPS”) and tender option bond trusts (“TOBs”) as a percentage of total managed assets, which is the total assets of the Trust, includ-
ing any assets attributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

⁵ Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service
(“Moody’s”) ratings.
⁶ The investment advisor has deemed certain of these non-rated securities to be of
investment grade quality. As of August 31, 2011, the market value of these securities
was $1,031,990, representing 2% of the Trust's long-term investments.

ANNUAL REPORT AUGUST 31, 2011 5

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Trust Summary as of August 31, 2011 BlackRock MuniHoldings New York Quality Fund, Inc.

Trust Overview

Effective November 9, 2010 BlackRock MuniHoldings New York Insured Fund, Inc. changed its name to BlackRock MuniHoldings New York Quality Fund, Inc.
BlackRock MuniHoldings New York Quality Fund, Inc.’s (MHN) (the “Trust”) investment objective is to provide shareholders with current income exempt from
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 nor-
mal market conditions, at least 80% of its assets in investment grade New York municipal obligations exempt from federal income taxes (except that the
interest may be subject to the 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, however, 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.

Performance

Effective November 9, 2010, the Trust’s investment policy was changed by the removal of the insurance investment policy that required at least 80% of its
assets to be invested in insured municipal securities. Accordingly, the Trust was moved from the Lipper Single-State Insured Municipal Debt Funds category
into the Lipper New York Municipal Debt Funds category. For the 12 months ended August 31, 2011, the Trust returned (1.80)% based on market price and
1.85% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average returnof (1.32)% based on
market price and 1.46% based on NAV, while the closed-end Lipper Single-State Insured Municipal Debt Funds category posted an average return of
(1.03)% based on market price and 2.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a dis-
count by period end, which accounts for the difference between performance based on price and performance based on NAV. The folowing discussion
relates to performance based on NAV. The Trust’s positive performance was derived mostly from its holdings in higher-yielding sectors including housing,
health and corporate/industrial development bonds. In addition to providing incremental income, these holdings experienced price appreciation due to
spread compression in those sectors during the period. The Trust also benefited from its exposure to lower-quality bonds, which offered higher embedded
yields and benefited from spread compression during the period. The Trust was most heavily invested in tax-backed credits, which returned moderately posi-
tive performance. Detracting from performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues for the period. Over
the period, the Trust maintained a slightly long duration bias and greater exposure to the long end of the yield curve. Although this positioning was favorable
as the period drew to a close, it detracted from performance on the whole for the year. US Treasury financial futures contracts used to hedge interest rate
risk in the portfolio had a negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents Variable Rate Demand Preferred Shares (“VRDP Shares”) and TOBs as a percentage of total managed assets, which is thetotal assets of the Trust, including any assets
attributable to VRDP Shares and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

⁵ Using the higher of S&P’s or Moody’s ratings.
⁶ The investment advisor has deemed certain of these non-rated securities to be of
investment grade quality. As of August 31, 2011 and August 31, 2010, the market
value of these securities was $4,172,122 and $3,941,088, each representing 1%,
respectively, of the Trust's long-term investments.

6 ANNUAL REPORT AUGUST 31, 2011

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Trust Summary as of August 31, 2011 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 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 federal income
taxes (except that the interest may subject to the federal alternative minimum tax) and New Jersey gross income taxes. Under normal market conditions, the
Trust invests at least 80% of its assets in municipal bonds that are investment grade quality 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.

Performance

For the 12 months ended August 31, 2011, the Trust returned (6.68)% based on market price and 2.46% based on NAV. For the same period, the closed-
end Lipper New Jersey Municipal Debt Funds category posted an average return of (3.48)% based on market price and 1.29% based on NAV. All returns
reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between perform-
ance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Contributing positively to the Trust’s
performance was its exposure to spread sectors, including housing, health and corporate-backed bonds, which provided a relatively high degree of incre-
mental income in the low interest rate environment. The Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with
lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011.
Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds withlonger-dated maturities
detracted from performance as the municipal yield curve steepened over the 12-month period. US Treasury financial futures contracts used to hedge inter-
est rate risk in the portfolio had a negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assetsattributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

⁵ Using the higher of S&P’s or Moody’s ratings.
⁶ The investment advisor has deemed certain of these non-rated securities to be of
investment grade quality. As of August 31, 2011 and August 31, 2010, the market
value of these securities was $987,040 and $1,013,550, each representing 2%,
respectively, of the Trust's long-term investments.

ANNUAL REPORT AUGUST 31, 2011 7

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Trust Summary as of August 31, 2011 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 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 federal income taxes (except that the interest may be subject to the 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 assets in municipal bonds that are investment grade quality 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.

Performance

For the 12 months ended August 31, 2011, the Trust returned 0.50% based on market price and 1.81% based on NAV. For the same period, the closed-
end Lipper New York Municipal Debt Funds category posted an average return of (1.32)% based on market price and 1.46% based onNAV. All returns
reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between perform-
ance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s positive performance was
derived mostly from its holdings in higher-yielding sectors including housing, health and corporate/industrial development bonds. In addition to providing
incremental income, these holdings experienced price appreciation due to spread compression in those sectors during the period.The Trust also benefited
from its exposure to lower-quality bonds, which offered higher embedded yields and benefited from spread compression during the period. The Trust was
most heavily invested in tax-backed credits, which returned moderately positive performance. Detracting from performance was the Trust’s allocation to
Puerto Rico credits, which underperformed New York issues for the period. A large exposure to the very short end of the yield curve and high-quality, pre-
refunded bonds also had a negative impact. Over the period, the Trust maintained a slightly long duration bias and greater exposure to the long end of the
yield curve. Although this positioning was favorable as the period drew to a close, it detracted from performance on the wholefor the year. US Treasury
financial futures contracts used to hedge interest rate risk in the portfolio had a negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assetsattributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

8 ANNUAL REPORT AUGUST 31, 2011

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Trust Summary as of August 31, 2011 BlackRock New York Municipal Income Quality Trust

Trust Overview

Effective November 9, 2010 BlackRock New York Insured Municipal Income Trust changed its name to BlackRock New York Municipal Income Quality Trust.

BlackRock New York Municipal Income Quality Trust’s (BSE) (the “Trust”) investment objective is to provide current income exempt from 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 assets in municipal obligations exempt from federal income taxes (including the 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. 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.

Performance

Effective November 9, 2010, the Trust’s investment policy was changed by the removal of the insurance investment policy that required at least 80% of its
assets to be invested in insured municipal securities. Accordingly, the Trust was moved from the Lipper Single-State Insured Municipal Debt Funds category
into the Lipper New York Municipal Debt Funds category. For the 12 months ended August 31, 2011, the Trust returned (3.20)% based on market price and
1.94% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average returnof (1.32)% based on
market price and 1.46% based on NAV, while the closed-end Lipper Single-State Insured Municipal Debt Funds category posted an average return of
(1.03)% based on market price and 2.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a dis-
count by period end, which accounts for the difference between performance based on price and performance based on NAV. The folowing discussion
relates to performance based on NAV. The Trust’s positive performance was derived mostly from its holdings in higher-yielding sectors including health and
corporate/industrial development bonds. In addition to providing incremental income, these holdings experienced price appreciation due to spread com-
pression in those sectors during the period. The Trust was most heavily invested in tax-backed credits and the education sector, both of which returned mod-
erately positive performance. Detracting from performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues for the
period. Over the period, the Trust maintained a slightly long duration bias and greater exposure to the long end of the yield curve. Although this positioning
was favorable as the period drew to a close, it detracted from performance on the whole for the year. US Treasury financial futures contracts used to hedge
interest rate risk in the portfolio had a negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assetsattributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

⁵ Using the higher of S&P’s or Moody’s ratings.
⁶ The investment advisor has deemed certain of these non-rated securities to be of
investment grade quality. As of August 31, 2011 and August 31, 2010, the market
value of these securities was $8,358,790 and $9,329,772, each representing 6%,
respectively, of the Trust’s long-term investments.

ANNUAL REPORT AUGUST 31, 2011 9

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Trust Summary as of August 31, 2011 BlackRock New York Municipal Income Trust

Trust Overview

BlackRock New York Municipal Income Trust II’s (BFY) (the “Trust”) investment objective is to provide current income exempt from regular 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 federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New YorkState and New York City
personal income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds that areinvestment grade quality 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.

Performance

For the 12 months ended August 31, 2011, the Trust returned (0.37)% based on market price and 2.56% based on NAV. For the same period, the closed-
end Lipper New York Municipal Debt Funds category posted an average return of (1.32)% based on market price and 1.46% based onNAV. All returns
reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between per-
formance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s positive performance
was derived mostly from its holdings in higher-yielding sectors including housing, health care and corporate/industrial development bonds. In addition to
providing incremental income, these holdings experienced price appreciation due to spread compression in those sectors during the period. The Trust also
benefited from its exposure to lower-quality bonds, which offered higher embedded yields and benefited from spread compression during the period. The
Trust was most heavily invested in tax-backed credits and the education sector, both of which returned moderately positive performance. Detracting from
performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues for the period. Over the period, the Trust maintained
a slightly long duration bias and greater exposure to the long end of the yield curve. Although this positioning was favorableas the period drew to a close,
it detracted from performance on the whole for the year. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a
negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

 

10 ANNUAL REPORT AUGUST 31, 2011

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Trust Summary as of August 31, 2011 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 federal income tax
and Virginia personal income taxes. The Trust seeks to achieve its investment objectives by investing primarily in municipal bonds exempt from federal
income taxes (except that the interest may be subject to the federal alternative minimum tax) and Virginia personal income taxes. The Trust invests, under
normal market conditions, at least 80% of its assets in municipal bonds that are investment grade quality 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.

Performance

For the 12 months ended August 31, 2011, the Trust returned 0.89% based on market price and 1.98% based on NAV. For the same period, the closed-
end Lipper Other States Municipal Debt Funds category posted an average return of (1.60)% based on market price and 1.97% based on NAV. All returns
reflect reinvestment of dividends. The Trust's premium to NAV, which narrowed during the period, accounts for the difference between performance based
on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust benefited from its higher coupon bond
holdings, which performed well in the rising interest rate environment. In addition, the Trust sought investments with valuations that remain attractive rela-
tive to their level of credit risk. However, the Trust’s overall long duration stance (greater sensitivity to interest rates) detracted from performance as the
municipal market saw long-term interest rates rise and the yield curve steepen due to municipal credit concerns and the expiration of the BAB program.
US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a negative impact on performance.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assetsattributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

⁵ Using the higher of S&P’s or Moody’s ratings.
⁶ The investment advisor has deemed certain of these non-rated securities to be of
investment grade quality. As of August 31, 2011 and August 31, 2010, the market
value of these securities was $2,649,194 and $2,770,588, each representing 7%,
respectively, of the Trust's long-term investments.

ANNUAL REPORT AUGUST 31, 2011 11

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Trust Summary as of August 31, 2011 The Massachusetts Health & Education Tax-Exempt Trust

Trust Overview

The Massachusetts Health & Education Tax-Exempt Trust’s (MHE) (the “Trust”) investment objective is to provide as high a level of current income exempt from
both regular 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 tax-exempt obligations (including bonds, notes and capital lease obligations) issued on behalf of
Massachusetts not-for-profit health and education institutions (“Massachusetts Health & Education Obligations”). The Trust invests, under normal market condi-
tions, at least 80% of its assets in Massachusetts Health & Education Obligations and at least 80% of its assets in obligations that are rated investment grade
at the time of investment. Under normal market conditions, the Trust invests its assets so that at least 80% of the income generated by the Trust is exempt from
federal income taxes, including 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.

Performance

For the 12 months ended August 31, 2011, the Trust returned 0.16% based on market price and 2.78% based on NAV. For the same period, the closed-
end Lipper Other States Municipal Debt Funds category posted an average return of (1.60)% based on market price and 1.97% basedon NAV. All returns
reflect reinvestment of dividends. The Trust's premium to NAV, which narrowed during the period, accounts for the difference between performance based on
price and performance based on NAV. The following discussion relates to performance based on NAV. Contributing positively to the Trust’s performance was
its exposure to spread sectors, including education, health and housing bonds, which provided a relatively high degree of incremental income in the low
interest rate environment. Conversely, exposure to pre-refunded bonds in the 2- to 3-year maturity range hindered performance as nominal interest rates on
those issues remained quite low.

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

¹ Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market prce. Past performance does not guarantee future results.
² Tax equivalent yield assumes the maximum federal tax rate of 35%.
³ The distribution rate is not constant and is subject to change.
⁴ Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assetsattributable to AMPS and TOBs, 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 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

The following charts show the sector and credit quality allocations of the Trust’s long-term investments:

 

⁵ Using the higher of S&P’s or Moody’s ratings.
⁶ The investment advisor has deemed certain of these non-rated securities to be of
investment grade quality. As of August 31, 2011 and August 31, 2010, the market
value of these securities was $855,291, representing 2%, and $2,061,578,
representing 4%, respectively, of the Trust’s long-term investments.

12 ANNUAL REPORT AUGUST 31, 2011

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The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV of
their common shares (“Common Shares”). However, these objectives can-
not be achieved in all interest rate environments.

To leverage, the Trusts issue AMPS or VRDP Shares (collectively, “Preferred
Shares”), which pay dividends at prevailing short-term interest rates, and
invest the proceeds in long-term municipal bonds. In general, the concept
of leveraging is based on the premise that the financing cost of assets to
be obtained from leverage, which will be based on short-term interest
rates, will normally be lower than the income earned by each Trust on its
longer-term portfolio investments. To the extent that the total assets of each
Trust (including the assets obtained from leverage) are invested in higher-
yielding portfolio investments, each Trust’s shareholders will benefit from
the incremental net income.

To illustrate these concepts, assume a Trust’s Common Shares capitaliza-
tion is $100 million and it issues Preferred Shares for an additional $50
million, creating a total value of $150 million available for investment in
long-term municipal bonds. If prevailing short-term interest rates are 3%
and long-term interest rates are 6%, the yield curve has a strongly positive
slope. In this case, the Trust pays dividends on the $50 million of Preferred
Shares based on the lower short-term interest rates. At the same time,
the securities purchased by the Trust with assets received from Preferred
Shares issuance earn income based on long-term interest rates. In this
case, the dividends paid to holders of Preferred Shares (“Preferred
Shareholders”) are significantly lower than the income earned on the
Trust’s long-term investments, and therefore the Common Shareholders
are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-
term and long-term interest rates, the incremental net income pickup will
be reduced or eliminated completely. Furthermore, if prevailing short-term
interest rates rise above long-term interest rates, the yield curve has a
negative slope. In this case, the Trust pays higher short-term interest rates
whereas the Trust’s total portfolio earns income based on lower long-term
interest rates.

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
redemption value of the Trusts’ Preferred Shares does not fluctuate in rela-
tion to interest rates. As a result, changes in interest rates can influence
the Trusts’ NAV positively or negatively in addition to the impact on Trust
performance from leverage from Preferred Shares discussed above.

The Trusts may also leverage their assets through the use of TOBs, as
described in Note 1 of the Notes to Financial Statements. TOB investments
generally will provide the Trusts with economic benefits in periods of declin-
ing short-term interest rates, but expose the Trusts to risks during periods of
rising short-term interest rates similar to those associated with Preferred
Shares issued by the Trusts, as described above. Additionally, fluctuations in
the market value of municipal bonds deposited into the TOB trust may
adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income to
the Trusts and Common Shareholders, but as described above, it also
creates risks as short- or long-term interest rates fluctuate. Leverage also
will generally cause greater changes in the Trusts’ NAVs, market prices and
dividend rates than comparable portfolios without leverage. If the income
derived from securities purchased with assets received from leverage
exceeds the cost of leverage, the Trusts’ net income will be greater than if
leverage had not been used. Conversely, if the income from the securities
purchased is not sufficient to cover the cost of leverage, each Trust’s net
income will be less than if leverage had not been used, and therefore the
amount available for distribution to Common Shareholders will be reduced.
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 a Trust to incur losses. The use of leverage
may limit each Trust’s ability to invest in certain types of securities or use
certain types of hedging strategies, such as in the case of certain restric-
tions imposed by ratings agencies that rate the Preferred Shares issued
by the Trusts. Each Trust will incur expenses in connection with the use of
leverage, all of which are borne by Common Shareholders and may reduce
income to the Common Shares.

Under the Investment Company Act of 1940, the Trusts are permitted to
issue Preferred Shares in an amount of up to 50% of their total managed
assets at the time of issuance. Under normal circumstances, each Trust
anticipates that the total economic leverage from Preferred Shares and/or
TOBs will not exceed 50% of its total managed assets at the time such
leverage is incurred. As of August 31, 2011, the Trusts had economic
leverage from Preferred Shares and/or TOBs as a percentage of their total
managed assets as follows:

 

ANNUAL REPORT AUGUST 31, 2011 13

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Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including
financial futures contracts, as specified in Note 2 of the Notes to Financial
Statements, which may constitute forms of economic leverage. Such deriva-
tive financial instruments are used to obtain exposure to a market without
owning or taking physical custody of securities or to hedge market and/or
interest rate risks. Derivative financial instruments 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 trans-
action or illiquidity of the derivative financial instrument. The Trusts’ ability
to use a derivative financial instrument successfully depends on the
investment advisor’s ability to predict pertinent market movements accu-
rately, which cannot be assured. The use of derivative financial instruments
may result in losses greater than if they had not been used, may require a
Trust to sell or purchase portfolio investments at inopportune times or for
distressed values, may limit the amount of appreciation a Trust can realize
on an investment, may result in lower dividends paid to shareholders or
may cause a Trust to hold an investment that it might otherwise sell. The
Trusts’ investments in these instruments are discussed in detail in the
Notes to Financial Statements.

14 ANNUAL REPORT AUGUST 31, 2011

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BlackRock Maryland Municipal Bond Trust (BZM)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

 

ANNUAL REPORT AUGUST 31, 2011 15

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 BlackRock Maryland Municipal Bond Trust (BZM)
Schedule of Investments (concluded)
(Percentages shown are based on Net Assets)

 

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) US 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 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 govern-
ments, or their respective agencies or authorities. The security is subject to remarket-
ing prior to its stated maturity.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(d) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(e) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

 

(f) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine such sec-
tor sub-classifications for reporting ease.
• Financial futures contracts sold as of August 31, 2011 were as follows:

 

• Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivative financial instruments. These inputs are categorized in
three broad levels for financial statement purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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 categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative
financial instrument and does not necessarily correspond to the Trust’s perceived
risk of investing in those securities. For information about the Trust’s policy regarding
valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments and derivative financial instruments:

¹ See above Schedule of Investments for values in each sector.

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

See Notes to Financial Statements.

16 ANNUAL REPORT AUGUST 31, 2011

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 BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 17

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BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

18 ANNUAL REPORT AUGUST 31, 2011

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BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 19

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BlackRock MuniHoldings New York Quality Fund, Inc. (MHN)
Schedule of Investments (concluded)
(Percentages shown are based on Net Assets)

 

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) Variable rate security. Rate shown is as of report date.
(b) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(c) US 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) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(e) Variable rate security. Rate shown is as of report date and maturity shown is the
date the principal owed can be recovered through demand.
(f) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

(g) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine such sec-
tor sub-classifications for reporting ease.

• Fair Value Measurements — Various inputs are used in determining the fair value
of investments. These inputs are categorized in three broad levels for financial
statement purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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)

The categorization of a value determined for investments is based on the pricing
transparency of the investment and does not necessarily correspond to the Trust’s
perceived risk of investing in those securities. For information about the Trust’s policy
regarding valuation of investments and other significant accounting policies, please
refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments:

¹ See above Schedule of Investments for values in each sector.

See Notes to Financial Statements.

20 ANNUAL REPORT AUGUST 31, 2011

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 BlackRock New Jersey Municipal Bond Trust (BLJ)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 21

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BlackRock New Jersey Municipal Bond Trust (BLJ)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) Variable rate security. Rate shown is as of report date.
(b) Issuer filed for bankruptcy and/or is in default of interest payments.
(c) Non-income producing security.
(d) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(f) Security 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 govern-
ments, or their respective agencies or authorities. The security is subject to remarket-
ing prior to its stated maturity.
(g) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details of
municipal bonds transferred to TOBs.

See Notes to Financial Statements.

22 ANNUAL REPORT AUGUST 31, 2011

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BlackRock New Jersey Municipal Bond Trust (BLJ)
Schedule of Investments (concluded)

(h) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

 

(i) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine sector
subclassifications for reporting ease.
• Financial futures contracts sold as of August 31, 2011 were as follows:

 

• Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivative financial instruments. These inputs are categorized in
three broad levels for financial statement purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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 categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative
financial instrument and does not necessarily correspond to the Trust’s perceived
risk of investing in those securities. For information about the Trust’s policy regarding
valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 23

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 BlackRock New York Municipal Bond Trust (BQH)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

24 ANNUAL REPORT AUGUST 31, 2011

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BlackRock New York Municipal Bond Trust (BQH)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 25

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BlackRock New York Municipal Bond Trust (BQH)
Schedule of Investments (concluded)
(Percentages shown are based on Net Assets)

 

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) Variable rate security. Rate shown is as of report date.
(b) US 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) When-issued security. Unsettled when-issued transactions were as follows:

 

(d) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(e) Issuer filed for bankruptcy and/or is in default of interest payments.
(f) Non-income producing security.
(g) Represents a step-up bond that pays an initial coupon rate for the first period and
then a higher coupon rate for the following periods. Rate shown is as of report date.
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(i) Security 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 govern-
ments, or their respective agencies or authorities. The security is subject to remarket-
ing prior to its stated maturity.
(j) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(k) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

(l) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/or as defined by Trust’s management. These
definitions may not apply for purposes of this report, which may combine such sec-
tor sub-classifications for reporting ease.
• Fair Value Measurements — Various inputs are used in determining the fair value of
investments. These inputs are categorized in three broad levels for financial state-
ment purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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)

The categorization of a value determined for investments is based on the pricing
transparency of the investment and does not necessarily correspond to the Trust’s
perceived risk of investing in those securities. For information about the Trust’s policy
regarding valuation of investments and other significant accounting policies, please
refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments:

 

See Notes to Financial Statements.

26 ANNUAL REPORT AUGUST 31, 2011

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 BlackRock New York Municipal Income Quality Trust (BSE)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 27

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BlackRock New York Municipal Income Quality Trust (BSE)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

28 ANNUAL REPORT AUGUST 31, 2011

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BlackRock New York Municipal Income Quality Trust (BSE)
Schedule of Investments (concluded)

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) When-issued security. Unsettled when-issued transactions were as follows:

 

(b) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(c) US 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) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(e) Variable rate security. Rate shown is as of report date and maturity shown is the
date the principal owed can be recovered through demand.
(f) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

(g) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine such sec-
tor sub-classifications for reporting ease.

• Fair Value Measurements — Various inputs are used in determining the fair value of
investments. These inputs are categorized in three broad levels for financial state-
ment purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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)
The categorization of a value determined for investments is based on the pricing
transparency of the investment and does not necessarily correspond to the Trust’s
perceived risk of investing in those securities. For information about the Trust’s policy
regarding valuation of investments and other significant accounting policies, please
refer to Note 1 of the Notes to Financial Statements.
The following table summarizes the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments:

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 29

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BlackRock New York Municipal Income Trust II (BFY)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

30 ANNUAL REPORT AUGUST 31, 2011

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BlackRock New York Municipal Income Trust II (BFY)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 31

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 BlackRock New York Municipal Income Trust II (BFY)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

 

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) Variable rate security. Rate shown is as of report date.
(b) US 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) When-issued security. Unsettled when-issued transactions were as follows:

 

(d) Represents a zero-coupon bond. Rate shown reflects the current yield as of
report date.
(e) Issuer filed for bankruptcy and/or is in default of interest payments.
(f) Non-income producing security.
(g) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(h) Security 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 govern-
ments, or their respective agencies or authorities. The security is subject to remarket-
ing prior to its stated maturity.
(i) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(j) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

(k) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine sector
sub-classifications for reporting ease.

See Notes to Financial Statements.

32 ANNUAL REPORT AUGUST 31, 2011

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BlackRock New York Municipal Income Trust II (BFY)
Schedule of Investments (concluded)

• Fair Value Measurements — Various inputs are used in determining the fair value of
investments. These inputs are categorized in three broad levels for financial statement
purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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)

The categorization of a value determined for investments is based on the pricing
transparency of the investment and does not necessarily correspond to the Trust’s
perceived risk of investing in those securities. For information about the Trust’s policy
regarding valuation of investments and other significant accounting policies, please
refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments:

 

See Notes to Financial  

ANNUAL REPORT AUGUST 31, 2011 33

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BlackRock Virginia Municipal Bond Trust (BHV)
Schedule of Investments August 31, 2011
 (Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

34 ANNUAL REPORT AUGUST 31, 2011

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BlackRock Virginia Municipal Bond Trust (BHV)
Schedule of Investments (concluded)
(Percentages shown are based on Net Assets)

 

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) Variable rate security. Rate shown is as of report date.
(b) US government securities, held in escrow, are used to pay interest on this security
well as to retire the bond in full at the date indicated, typically at a premium to par
(c) Security is collateralized by Municipal or US Treasury obligations.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(e) Security 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 govern-
ments, or their respective agencies or authorities. The security is subject to remarket
ing prior to its stated maturity.
(f) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(g) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

 

(h) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes and/or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine sector
sub-classifications for reporting ease.
• Financial futures contracts sold as of August 31, 2011 were as follows:

 

• Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivative financial instruments. These inputs are categorized 
three broad levels for financial statement purposes as follows:
• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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 categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative
financial instrument and does not necessarily correspond to the Trust’s perceived
risk of investing in those securities. For information about the Trust’s policy regarding
valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

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 The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Schedule of Investments August 31, 2011
(Percentages shown are based on Net Assets)

 

 

See Notes to Financial Statements.

36 ANNUAL REPORT AUGUST 31, 2011

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The Massachusetts Health & Education Tax-Exempt Trust (MHE)
Schedule of Investments (concluded)
(Percentages shown are based on Net Assets)

* The cost and unrealized appreciation (depreciation) of investments as of
August 31, 2011, as computed for federal income tax purposes, were as follows:

 

(a) US 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) Securities represent bonds transferred to a TOB in exchange for which the Trust
acquired residual interest certificates. These securities serve as collateral in a
financing transaction. See Note 1 of the Notes to Financial Statements for details
of municipal bonds transferred to TOBs.
(c) Variable rate security. Rate shown is as of report date and maturity shown is the
date the principal owed can be recovered through demand.
(d) Investments in companies considered to be an affiliate of the Trust during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

 

(e) Represents the current yield as of report date.

• For Trust compliance purposes, the Trust’s sector classifications refer to any one or
more of the sector sub-classifications used by one or more widely recognized mar-
ket indexes or rating group indexes, and/ or as defined by Trust management. These
definitions may not apply for purposes of this report, which may combine such sec-
tor sub-classifications for reporting ease.

• Financial futures contracts sold as of August 31, 2011 were as follows:

 

• Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivative financial instruments. These inputs are categorized in
three broad levels for financial statement purposes as follows:

• Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
• 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 categorization of a value determined for investments and derivative financial
instruments is based on the pricing transparency of the investment and derivative
financial instrument and does not necessarily correspond to the Trust’s perceived
risk of investing in those securities. For information about the Trust’s policy regarding
valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 37

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See Notes to Financial Statements.

38 ANNUAL REPORT AUGUST 31, 2011

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See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 39

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See Notes to Financial Statements.

40 ANNUAL REPORT AUGUST 31, 2011

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See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 41

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See Notes to Financial Statements.

42 ANNUAL REPORT AUGUST 31, 2011

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See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 43

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See Notes to Financial Statements.

44 ANNUAL REPORT AUGUST 31, 2011

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See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 45

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See Notes to Financial Statements.

46 ANNUAL REPORT AUGUST 31, 2011

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¹ Based on average Common Shares outstanding.
² Amount is less than $(0.01) per share.
³ Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
⁴ Do not reflect the effect of dividends to AMPS Shareholders.
⁵ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 47

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¹ Based on average Common Shares outstanding.
² Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
³ Do not reflect the effect of dividends to AMPS Shareholders.
⁴ Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notesto Financial Statements for details of municipal
bonds transferred to TOBs and VRDP Shares, respectively.

See Notes to Financial Statements.

48 ANNUAL REPORT AUGUST 31, 2011

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¹ Based on average Common Shares outstanding.
² Amount is less than $(0.01) per share.
³ Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
⁴ Do not reflect the effect of dividends to AMPS Shareholders.
⁵ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 49

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¹ Based on average Common Shares outstanding.
² Amount is less than $(0.01) per share.
³ Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
⁴ Do not reflect the effect of dividends to AMPS Shareholders.
⁵ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

50 ANNUAL REPORT AUGUST 31, 2011

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¹ Based on average Common Shares outstanding.
² Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
³ Do not reflect the effect of dividends to AMPS Shareholders.
⁴ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 51

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¹ Based on average Common Shares outstanding.
² Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
³ Do not reflect the effect of dividends to AMPS Shareholders.
⁴ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

52 ANNUAL REPORT AUGUST 31, 2011

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¹ Based on average Common Shares outstanding.
² Amount is less than $(0.01) per share.
³ Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
⁴ Do not reflect the effect of dividends to AMPS Shareholders.
⁵ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 53

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¹Based on average Common Shares outstanding.
² Amount is less than $(0.01) per share.
³ Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,
total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
⁴ Aggregate total investment return.
⁵ Do not reflect the effect of dividends to AMPS Shareholders.
⁶ Annualized.
⁷ Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

See Notes to Financial Statements.

54 ANNUAL REPORT AUGUST 31, 2011

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Notes to Financial Statements

1. Organization and Significant Accounting Policies:
BlackRock Maryland Municipal Bond Trust (“BZM”), BlackRock
MuniHoldings New York Quality Fund, Inc. (“MHN”) (formerly MuniHoldings
New York Insured Fund, Inc.), BlackRock New Jersey Municipal Bond Trust
(“BLJ”), BlackRock New York Municipal Bond Trust (“BQH”), BlackRock
New York Municipal Income Quality Trust (“BSE”) (formerly BlackRock
New York Insured Municipal Income Trust), BlackRock Virginia Municipal
Bond Trust (“BHV”) (collectively the “Bond Trusts”), BlackRock New York
Municipal Income Trust II (“BFY”) and The Massachusetts Health &
Education Tax-Exempt Trust (“MHE”) (all, collectively the “Trusts”) are
registered under the Investment Company Act of 1940, as amended
(the “1940 Act”), as non-diversified, closed-end management investment
companies. The Trusts are organized as a Delaware statutory trusts except
MHN and MHE, which are organized as a Maryland corporation and a
Massachusetts business trust, respectively. The Trusts’ financial statements
are prepared in conformity with accounting principles generally accepted in
the United States of America (“US GAAP”), which may require management
to make estimates and assumptions that affect the reported amounts and
disclosures in the financial statements. Actual results could differ from
those estimates. The Board of Trustees and the Board of Directors of the
Trusts are referred to throughout this report as the “Board of Trustees” or
the “Board.” The Trusts determine and make available for publication the
NAV of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by
the Trusts:

Valuation: US 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 fair value
their financial instruments at market value using independent dealers or
pricing services under policies approved by each Trust’s Board. 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. Financial futures contracts
traded on exchanges are valued at their last sale price. Investments in
open-end registered investment companies are valued at NAV each
business day. Short-term securities with remaining maturities of 60 days
or less may be valued at amortized cost, which approximates fair value.

In the event that application of these methods of valuation results in a
price for an investment which is deemed not to be representative of the
market value of such investment or if a price is not available, the invest-
ment will be valued in accordance with a policy approved by the Board
as reflecting fair value (“Fair Value Assets”). When determining the price
for Fair Value Assets, the investment advisor and/or the sub-advisor seeks
to determine the price that each Trust might reasonably expect to receive
from the current sale of that asset in an arm’s-length transaction. Fair value
determinations shall be based upon all available factors that the invest-
ment advisor and/or sub-advisor deems relevant. The pricing of all Fair
Value Assets is subsequently reported to the Board or a committee thereof.

Zero-Coupon Bonds: The Trusts may invest in zero-coupon bonds, which
are normally issued at a significant discount from face value and do not
provide for periodic interest payments. Zero-coupon bonds may experience
greater volatility in market value than similar maturity debt obligations
which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities:
The 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. The Trusts 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, the Trusts may be required to pay more at settlement
than the security is worth. In addition, the Trusts are not entitled to any of
the interest earned prior to settlement. When purchasing a security on a
delayed delivery basis, the Trusts assume 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, the Trusts’ maximum amount of loss is the
unrealized appreciation of unsettled when-issued transactions, which is
shown in the Schedules of Investments.

Municipal Bonds Transferred to TOBs: The Trusts leverage their assets
through the use of TOBs. A TOB is established by a third party sponsor
forming a special purpose entity, into which one or more funds, or an agent
on behalf of the funds, transfers municipal bonds. Other funds managed by
the investment advisor may also contribute municipal bonds to a TOB into
which a Trust has contributed bonds. A TOB typically issues two classes of
beneficial interests: short-term floating rate certificates, which are sold to
third party investors, and residual certificates (“TOB Residuals”), which are
generally issued to the participating funds that made the transfer. The TOB
Residuals held by a Trust include the right of a Trust (1) to cause the hold-
ers of a proportional share of the short-term floating rate certificates to
tender their certificates at par, including during instances of a rise in short-
term interest rates, and (2) to transfer, within seven days, a corresponding
share of the municipal bonds from the TOB to a Trust. The TOB may also be
terminated without the consent of a Trust upon the occurrence of certain
events as defined in the TOB agreements. Such termination events may
include the bankruptcy or default of the municipal bond, a substantial
downgrade in credit quality of the municipal bond, the inability of the
TOB to obtain quarterly or annual renewal of the liquidity support agree-
ment, a substantial decline in market value of the municipal bond or the
inability to remarket the short-term floating rate certificates to third party
investors. During the year ended August 31, 2011, no TOBs that the Trusts
participated in were terminated without the consent of the Trusts.

The cash received by the TOB from the sale of the short-term floating rate
certificates, less transaction expenses, is paid to a Trust in exchange for
TOB trust certificates. The Trusts typically invest the cash in additional
municipal bonds. Each Trust’s transfer of the municipal bonds to a TOB
is accounted for as a secured borrowing, therefore the municipal bonds
deposited into a TOB are presented in the Trusts’ Schedules of Investments
and the TOB trust certificates are shown in other liabilities in the
Statements of Assets and Liabilities.

ANNUAL REPORT AUGUST 31, 2011 55

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Notes to Financial Statements (continued)

Interest income, including amortization and accretion of premiums and
discounts, from the underlying municipal bonds is recorded by the Trusts
on an accrual basis. Interest expense incurred on the secured borrowing
and other expenses related to remarketing, administration and trustee
services to a TOB are shown as interest expense, fees and amortization of
offering costs in the Statements of Operations. The short-term floating rate
certificates have interest rates that generally reset weekly and their holders
have the option to tender certificates to the TOB for redemption at par at
each reset date. At August 31, 2011, the aggregate value of the underlying
municipal bonds transferred to TOBs, the related liability for TOB trust
certificates and the range of interest rates on the liability for TOB trust
certificates were as follows:

 

For the year ended August 31, 2011, the Trusts’ average TOB trust certifi-
cates outstanding and the daily weighted average interest rate, including
fees, were as follows:

 

Should short-term interest rates rise, the Trusts’ investments in TOBs
may adversely affect the Trusts’ net investment income and dividends to
Common Shareholders. Also, fluctuations in the market values of municipal
bonds deposited into the TOB may adversely affect the Trusts’ NAV
per share.

Segregation and Collateralization: In cases in which the 1940 Act and
the interpretive positions of the Securities and Exchange Commission
(“SEC”) require that the Trusts either deliver collateral or segregate assets
in connection with certain investments (e.g., financial futures contracts),
the Trusts will, consistent with SEC rules and/or certain interpretive letters
issued by the SEC, segregate collateral or designate on their books and
records cash or liquid securities having a market value at least equal to
the amount that would otherwise be required to be physically segregated.
Furthermore, based on requirements and agreements with certain
exchanges and third party broker-dealers, each party to such transactions
has requirements to deliver/deposit securities as collateral for certain
investments.

Investment Transactions and Investment Income: For financial reporting
purposes, investment transactions are recorded on the dates the transac-
tions are entered into (the trade dates). Realized gains and losses on
investment transactions are determined on the identified cost basis.
Dividend income is recorded on the ex-dividend dates. Interest income,
including amortization and accretion of premiums and discounts on debt
securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are
declared and paid monthly. Distributions of capital gains are recorded on
the ex-dividend dates. The amount and timing of dividends and distribu-
tions are determined in accordance with federal income tax regulations,
which may differ from US GAAP. Dividends and distributions to AMPS and
VRDP Shareholders are accrued and determined as described in Note 7.

Income Taxes: 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 its taxable
income to its shareholders. Therefore, no federal income tax provision
is required.

Each Trust files US federal and various state and local tax returns. No
income tax returns are currently under examination. The statute of limita-
tions on the Trusts’ US federal tax returns remains open for each of the
four years ended August 31, 2011 (three years ended August 31, 2011
and the period ended August 31, 2008 for MHE). The statutes of limita-
tions on each Trust’s state and local tax returns may remain open for an
additional year depending upon the jurisdiction. Management does not
believe there are any uncertain tax positions that require recognition of a
tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting
Standards Board issued amended guidance to improve disclosure about
fair value measurements which will require the following disclosures for
fair value measurements categorized as Level 3: quantitative information
about the unobservable inputs and assumptions used in the fair value
measurement, a description of the valuation policies and procedures and
a narrative description of the sensitivity of the fair value measurement to
changes in unobservable inputs and the interrelationships between those
unobservable inputs. In addition, the amounts and reasons for all transfers
in and out of Level 1 and Level 2 will be required to be disclosed. The
amended guidance is effective for financial statements for fiscal years
beginning after December 15, 2011 and interim periods within those fiscal
years. Management is evaluating the impact of this guidance on the Trusts’
financial statements and disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent
Investment Plan: Under the deferred compensation plan approved by each
Trust’s Board, 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 approximately 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.

56 ANNUAL REPORT AUGUST 31, 2011

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Notes to Financial Statements (continued)

The deferred compensation plan is not funded and obligations thereunder
represent general unsecured claims against the general assets of each
Trust. Each Trust may, however, elect to invest in common shares of certain
other BlackRock Closed-End Funds selected by the Independent Trustees
in order to match its deferred compensation obligations. Investments to
cover each Trust’s deferred compensation liability, if any, are included in
other assets in the Statements of Assets and Liabilities. Dividends and
distributions from the BlackRock Closed-End Fund investments under the
plan are included in income — affiliated in the Statements of Operations.

Offering Costs: MHN incurred costs in connection with its issuance of VRDP
Shares, which were recorded as a deferred charge and will be amortized
over the 30-year life of the VRDP Shares with the exception of upfront fees
paid to the liquidity provider which are amortized over the life of the liquid-
ity agreement. Amortization of these costs is included in interest expense,
fees and amortization of offering costs in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other
operating expenses shared by several funds are pro rated among those
funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodians whereby fees may be
reduced by credits earned on uninvested cash balances, which, if applica-
ble, are shown as fees paid indirectly in the Statements of Operations. The
custodians impose fees on overdrawn cash balances, which can be offset
by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:
The Trusts engage in various portfolio investment strategies using derivative
contracts both to increase the returns of the Trusts and to economically

hedge, or protect, their exposure to certain risks such as interest rate risk.
These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavor-
able change in the market rates or values of the underlying instrument or
if the counterparty does not perform under the contract. Counterparty risk
related to exchange-traded financial futures contracts is deemed to be
minimal due to the protection against defaults provided by the exchange
on which these contracts trade.

Financial Futures Contracts: The Trusts purchase or sell financial futures
contracts and options on financial futures contracts to gain exposure to,
or economically hedge against, changes in interest rates (interest rate risk).
Financial futures contracts are agreements between the Trusts and counter-
party to buy or sell a specific quantity of an underlying instrument at a
specified price and at a specified date. Depending on the terms of the
particular contract, futures contracts are settled either through physical
delivery of the underlying instrument on the settlement date or by payment
of a cash settlement amount on the settlement date. 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 value of the contract. Such receipts
or payments are known as margin variation and are recorded by the Trusts
as unrealized appreciation or depreciation. When the contract is closed,
the Trusts record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time
it was closed. The use of financial futures contracts involves the risk of an
imperfect correlation in the movements in the price of financial futures
contracts, interest rates and the underlying assets.

 

 

 

ANNUAL REPORT AUGUST 31, 2011 57

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Notes to Financial Statements (continued)

3. Investment Advisory Agreement and Other Transactions
with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC
(“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”).
Due to the ownership structure, PNC is an affiliate for 1940 Act purposes,
but Barclays is not.

Each Trust entered into an Investment Advisory Agreement with BlackRock
Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect,
wholly owned subsidiary of BlackRock, to provide investment advisory and
administration services. The Manager is responsible for the management
of each Trust’s portfolio and provides the necessary personnel, facilities,
equipment and certain other services necessary to the operations of each
Trust. For such services, each Trust pays the Manager a monthly fee based
on a percentage of each Trust’s average weekly net assets except MHN
and MHE, which are based on average daily net assets at the following
annual rates:

 

Average weekly net assets and average daily net assets are the average
weekly or the average daily value of each Trust’s total assets minus the
sum of its accrued liabilities.

The Manager for MHN voluntarily agreed to waive its investment advisory
fee on the proceeds of Preferred Shares and TOBs that exceed 35% of total
assets minus the sum of its accrued liabilities. This amount is included in
fees waived by advisor in the Statements of Operations. For the year ended
August 31, 2011, the waiver was $464,328.

The Manager voluntarily agreed to waive a portion of the investment
advisory fees for certain other funds. With respect to BSE, the waiver, as a
percentage of its average weekly net assets was as follows: 0.05% through
October 2010. With respect to the Bond Trusts, the waiver, as a percentage
of average weekly net assets, is as follows, 0.10% through April 2011 and
0.05% through April 2012. With respect to BFY, the waiver, as a percentage
of its average weekly net assets is 0.05% through July 2012. For the year
ended August 31, 2011, the Manager waived the following amounts, which
are included in the fees waived by advisor in the Statements of Operations.

 

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, however
the Manager does not waive its investment advisory fees by the amount of
investment advisory fees paid in connection with each Trust’s investment in
other affiliated investment companies, if any. These amounts are shown as,
or included in, fees waived by advisor in the Statements of Operations.
For the year ended August 31, 2011, the amounts waived were as follows:

 

The Manager entered into sub-advisory agreements with BlackRock
Investment Management, LLC (“BIM”) for MHN and MHE and BlackRock
Financial Management, Inc. (“BFM”) for all other Trusts. BIM and BFM are
affiliates of the Manager. The Manager pays BIM and BFM, for services they
provide, a monthly fee that is a percentage of the investment advisory fees
paid by each Trust to the Manager.

For the period September 1, 2010 through December 31, 2010, each
Trust reimbursed the Manager for certain accounting services, which are
included in accounting services in the Statements of Operations. The
reimbursements were as follows:

 

Effective January 1, 2011, the Trusts no longer reimburse the Manager for
accounting services.

Certain officers and/or trustees of the Trusts are officers and/or trustees of
BlackRock or its affiliates. The Trusts reimburse the Manager for compensa-
tion paid to the Trusts’ Chief Compliance Officer.

4. Investments:
Purchases and sales of investments, excluding short-term securities, for the
year ended August 31, 2011, were as follows:

 

58 ANNUAL REPORT AUGUST 31, 2011

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Notes to Financial Statements (continued)

5. Income Tax Information:
Reclassifications: US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax
reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2011
attributable to amortization methods on fixed income securities, non-deductible expenses and the sale of bonds received from TOBs were reclassified to
the following accounts:

 

The tax character of distributions paid during the fiscal years ended August 31, 2011 and August 31, 2010 was as follows:

 

As of August 31, 2011, the tax components of accumulated net earnings (losses) were as follows:

* The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the tax deferral of losses on wash sales, the tax deferral of losses on straddles,
the difference between book and tax for premiums and discounts on fixed income securities, the realization for tax purposes of unrealized gains/losses on certain futures contracts,
the deferral of post-October capital losses for tax purposes and the treatment of residual interests in TOBs.

As of August 31, 2011, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates
as follows:

 

Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Trusts afterAugust 31, 2011 will not
be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.

6. Concentration, Market and Credit Risk:
Each Trust invests a substantial amount of its assets in issuers located
in a single state or limited number of states. Please see the Schedules of
Investments for concentrations in specific states.

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.

In the normal course of business, the Trusts invest in securities and enter
into transactions where risks exist due to fluctuations in the market (market
risk) or failure of the issuer of a security to meet all its obligations (issuer
credit risk). The value of securities held by the Trusts may decline in
response to certain events, including those directly involving the issuers
whose securities are owned by the Trusts; conditions affecting the general
economy; overall market changes; local, regional or global political, social
or economic instability; and currency and interest rate and price fluctua-
tions. Similar to issuer credit risk, the Trusts may be exposed to counter-
party credit risk, or the risk that an entity with which the Trusts have
unsettled or open transactions may fail to or be unable to perform on its
commitments. The Trusts manage counterparty credit risk by entering into
transactions only with counterparties that they believe 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

ANNUAL REPORT AUGUST 31, 2011 59

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Notes to Financial Statements (continued)

of the Trusts’ exposure to market, issuer and counterparty credit risks with
respect to these financial assets is generally approximated by their value
recorded in the Trusts’ Statements of Assets and Liabilities, less any collat-
eral held by the Trusts.

As of August 31, 2011, BZM invested a significant portion of its assets in
securities in the County/City/Special District/School District sector. MHN
invested a significant portion of its assets in securities in the Transportation
and County/City/Special District/School District sectors. BLJ invested a
significant portion of its assets in securities in the Transportation and
State sectors. BQH invested a significant portion of its assets in securities
in the State and County/City/Special District/School District sectors. BSE
invested a significant portion of its assets in securities in the Education
and Transportation sectors. BFY invested a significant portion of its assets
in securities in the County/City/Special District/School District sector. MHE
invested a significant portion of its assets in securities in the Education
and Health sectors. Changes in economic conditions affecting the
County/City/Special District/School District, Education, Health, State and
Transportation sectors would have a greater impact on the Trusts and could
affect the value, income and/or liquidity of positions in such securities.

7. Capital Share Transactions:
Each Trust, except for MHN, is authorized to issue an unlimited number of
shares (200 million shares for MHN), all of which were initially classified as
Common Shares. The par value for the Trusts, except for MHN and MHE, is
$0.001 per share ($0.10 for MHN and $0.01 for MHE). Each Trust’s Board
is authorized, however, to reclassify any unissued Common Shares to
Preferred Shares without approval of Common Shareholders.

Common Shares

For the years shown, shares issued and outstanding increased by the
following amounts as a result of dividend reinvestment:

 

AMPS

The AMPS are redeemable at the option of BZM, BLJ, BQH, BSE, BFY, BHV
and MHE (collectively, the “AMPS Funds”), in whole or in part, on any
dividend payment date at their liquidation preference per share plus any
accumulated and unpaid dividends whether or not declared. The AMPS are
also subject to mandatory redemption at their liquidation preference plus
any accumulated and unpaid dividends, whether or not declared, if certain
requirements relating to the composition of the assets and liabilities of
the AMPS Funds, as set forth in the AMPS Funds’ Articles Supplementary/
Statement of Preferences/Certificate of Designation (the “Governing
Instrument”) are not satisfied.

From time to time in the future, each AMPS Fund may effect repurchases of
its AMPS at prices below their liquidation preference as agreed upon by the
Trust and seller. Each AMPS Fund also may redeem its AMPS from time to
time as provided in the applicable Governing Instrument. Each AMPS Fund
intends to effect such redemptions and/or repurchases to the extent nec-
essary to maintain applicable asset coverage requirements or for such
other reasons as the Board may determine.

The AMPS Funds had the following series of AMPS outstanding, effective
yields and reset frequency as of August 31, 2011:

 

Dividends on seven-day AMPS are cumulative at a rate which is reset every
seven days, based on the results of an auction. If the AMPS fail to clear
the auction on an auction date, each Trust is required to pay the maximum
applicable rate on the AMPS to holders of such shares for successive divi-
dend periods until such time as the shares are successfully auctioned. The
maximum applicable rate on all series of AMPS is the higher of 110% of
the AA commercial paper rate or 110% of 90% of the Kenny S&P 30-day
High Grade Index rate divided by 1.00 minus the marginal tax rate. The low,
high and average dividend rates on the AMPS for each Trust for the year
ended August 31, 2011 were as follows:

 

Since February 13, 2008, the AMPS of the Trusts failed to clear any of
their auctions. As a result, the AMPS dividend rates were reset to the
maximum applicable rate, which ranged from 0.11% to 0.50% for the
year ended August 31, 2011. A failed auction is not an event of default
for the Trusts but it has a negative impact on the liquidity of AMPS. A failed
auction occurs when there are more sellers of a Trust’s AMPS than buyers. A
successful auction for the Trusts’ AMPS may not occur for some time, if
ever, and even if liquidity does resume, AMPS Shareholders may not have
the ability to sell the AMPS at their liquidation preference.

60 ANNUAL REPORT AUGUST 31, 2011

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Notes to Financial Statements (continued)

The AMPS Funds pay commissions of 0.15% on the aggregate principal
amount of all shares that fail to clear their auctions and 0.25% on the
aggregate principal amount of all shares that successfully clear their
auctions. Certain broker dealers have individually agreed to reduce
commissions for failed auctions.

During the year ended August 31, 2011, MHN announced the following
redemptions of AMPS at a price of $25,000 per share plus any accrued
and unpaid dividends through the redemption date:

 

MHN financed the AMPS redemptions with the proceeds received from the
issuance of VRDP Shares.

AMPS issued and outstanding remained constant for the years ended
August 31, 2011 and August 31, 2010 for all other Trusts.

VRDP Shares

MHN has issued Series W-7 VRDP Shares, $100,000 liquidation value per
share, in a privately negotiated offering. The VRDP Shares were offered to
qualified institutional buyers as defined pursuant to Rule 144A under the
Securities Act of 1933 and include a liquidity feature that allows the VRDP
Shareholders to have their shares purchased by the liquidity provider in the
event of a failed remarketing. MHN is required to redeem the VRDP Shares
owned by the liquidity provider after six months of continuous, unsuccessful
remarketing. The VRDP Shares issued for the year ended August 31, 2011
were as follows:

 

MHN has entered into a fee agreement with the liquidity provider that
required an initial commitment and a per annum liquidity fee to be paid to
the liquidity provider. These fees are shown as liquidity fees in the
Statements of Operations.

Dividends on the VRDP Shares are payable monthly at a variable rate set
weekly by the remarketing agent. 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. For financial reporting pur-
poses, the liquidation value of VRDP Shares is recorded as a liability in the
Statements of Assets and Liabilities. Unpaid dividends are included in
interest expense and fees payable in the Statements of Assets and
Liabilities, and the dividends paid on the VRDP Shares are included as a
component of interest expense, fees and amortization of offering costs in
the Statements of Operations. Dividends paid to holders of VRDP Shares
are generally classified as tax-exempt income for tax-reporting purposes.

The short-term ratings on the VRDP Shares are directly related to the short-
term ratings of the liquidity provider. Changes in the credit quality of the
liquidity provider could cause a change in the short-term credit ratings of
the VRDP Shares. The liquidity provider may be terminated prior to the
scheduled termination date if the liquidity provider fails to maintain short-
term debt ratings in one of the two highest rating categories.

Subject to certain conditions, VRDP Shares may be redeemed, in whole
or in part, at any time at the option of MHN. The redemption price per
VRDP Share is equal to the liquidation value per share plus any outstand-
ing unpaid dividends. In the event of an optional redemption of VRDP
Shares prior to the initial termination date of the fee agreement, MHN
must pay the liquidity provider fees on such redeemed VRDP Shares
for the remaining term of the fee agreement up to the initial termination
date. MHN is required to redeem certain of its outstanding VRDP Shares
if it fails to maintain certain asset coverage and basic maintenance
amount requirements.

All of MHN’s VRDP Shares have successfully remarketed since
issuance, with an annualized dividend rate of 0.36% for the year
ended August 31, 2011.

Preferred Shares

MHN's Preferred Shares rank prior to MHN's Common Shares as to the
payment of dividends by MHN and distribution of assets upon dissolution
or liquidation of MHN. The 1940 Act prohibits the declaration of any divi-
dend on MHN's Common Shares or the repurchase of MHN's Common
Shares if MHN fails to maintain the asset coverage of at least 200% of the
liquidation preference of the outstanding Preferred Shares. In addition, pur-
suant to the Preferred Shares' governing instrument, MHN is restricted from
declaring and paying dividends on classes of shares ranking junior to or on
parity with the Preferred Shares or repurchasing such shares if MHN fails to
declare and pay dividends on the Preferred Shares, redeem any Preferred
Shares required to be redeemed under the Preferred Shares governing
instrument or comply with the basic maintenance amount requirement of
the rating agencies then rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to 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. However, the hold-
ers of Preferred Shares, voting as a separate class, are also entitled to
elect two Trustees for each Trust. In addition, the 1940 Act requires that
along with approval by shareholders that might otherwise be required, the
approval of the holders of a majority of any outstanding Preferred Shares,
voting separately as a class would be required 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.

ANNUAL REPORT AUGUST 31, 2011 61

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Notes to Financial Statements (concluded)

8. 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:

The Trusts will pay a net investment income dividend in the following
amounts per share on October 3, 2011 to Common Shareholders of
record on September 15, 2011:

 

The dividends declared on AMPS or VRDP Shares for the period
September 1, 2011 to September 30, 2011 were as follows:

 

The following Trusts issued VRDP Shares, $100,000 liquidation value
per share, in a private offering of VRDP Shares with qualified institutional
buyers, as defined in Rule 144A under the Securities Act of 1933 to
finance the AMPS redemption. The VRDP Shares issued were as follows:

 

Each of these Trusts entered into a separate Fee Agreement (the
“Agreements”) with a financial institution in relation to the refinancing of
AMPS. Pursuant to the terms of the Agreements, effective with the applica-
ble issue date listed in the table above, each Trust will pay a liquidity
fee to provide a liquidity feature in the event of a failed remarketing of
VRDP Shares.

The following Trusts announced the redemption of all of the outstanding
AMPS at the indicated liquidation preference per share plus any accrued
and unpaid dividends through the expected redemption date as follows:

 

62 ANNUAL REPORT AUGUST 31, 2011

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Report of Independent Registered Public Accounting Firm

To the Shareholders and Boards of Directors of
BlackRock MuniHoldings New York Quality Fund, Inc.
and to the Shareholders and Board of Trustees of:
BlackRock Maryland Municipal Bond Trust,
BlackRock New Jersey Municipal Bond Trust,
BlackRock New York Municipal Bond Trust,
BlackRock New York Municipal Income Quality Trust,
BlackRock New York Municipal Income Trust II,
BlackRock Virginia Municipal Bond Trust, and
The Massachusetts Health & Education Tax-Exempt Trust
(collectively, the “Trusts”):

We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of BlackRock Maryland Municipal
Bond Trust, BlackRock MuniHoldings New York Quality Fund, Inc. (formerly
BlackRock MuniHoldings New York Insured Fund, Inc.), BlackRock New
Jersey Municipal Bond Trust, BlackRock New York Municipal Bond Trust,
BlackRock New York Municipal Income Quality Trust (formerly BlackRock
New York Insured Municipal Income Trust), BlackRock New York Municipal
Income Trust II, BlackRock Virginia Municipal Bond Trust and The
Massachusetts Health & Education Tax-Exempt Trust, as of August 31,
2011, and the related statements of operations for the year then ended,
the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the periods pre-
sented. We have also audited the statement of cash flows of BlackRock
MuniHoldings New York Quality Fund, Inc. for the year ended August 31,
2011. These financial statements and financial highlights are the responsi-
bility of the Trusts’ management. Our responsibility is to express an opinion
on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements and financial highlights are free
of material misstatement. The Trusts are not required to have, nor were
we engaged to perform an audit of their internal control over financial
reporting. Our audits included consideration of internal control over finan-
cial reporting as a basis for designing audit procedures that are appropri-
ate in the circumstances, but not for the purpose of expressing an opinion
on the effectiveness of the Trusts’ internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining,
on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and signifi-
cant estimates made by management, as well as evaluating the overall
financial statement presentation. Our procedures include confirmation of
the securities owned as of August 31, 2011, by correspondence with the
custodians and brokers; where replies were not received from brokers, we
performed other auditing procedures.We believe that our audits provide a
reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial positions
of BlackRock Maryland Municipal Bond Trust, BlackRock MuniHoldings
New York Quality Fund, Inc., BlackRock New Jersey Municipal Bond Trust,
BlackRock New York Municipal Bond Trust, BlackRock New York Municipal
Income Quality Trust, BlackRock New York Municipal Income Trust II,
BlackRock Virginia Municipal Bond Trust and The Massachusetts Health &
Education Tax-Exempt Trust as of August 31, 2011, the results of their
operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended, the financial highlights
for each of the periods presented, and the cash flows of BlackRock
MuniHoldings New York Quality Fund, Inc. for the year ended August 31,
2011, in conformity with accounting principles generally accepted in the
United States of America.

Deloitte & Touche LLP
Boston, Massachusetts
October 28, 2011

Important Tax Information (Unaudited)

The following tables summarize the taxable per share distributions
paid by BZM, MHN, BLJ, BQH and BHV during the taxable year ended
August 31, 2011.

 

¹ Additionally, all ordinary income distributions are comprised of interest related divi-
dends and qualified short-term capital gains for non-US residents and are eligible for
exemption from US withholding tax for nonresident aliens and foreign corporations.

All of the other net investment income distributions paid by BZM, MHN, BLJ,
BQH, and BHV qualify as tax-exempt interest dividends for federal income
tax purposes.

All of the net investment income distributions paid by BSE, BFY, and MHE
during the taxable year ended August 31, 2011 qualify as tax-exempt
interest dividends for federal income tax purposes.

ANNUAL REPORT AUGUST 31, 2011 63

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Board of Directors or Trustees, as applicable (each, a “Board,” collec-
tively, the “Boards,” and the members of which are referred to as “Board
Members”) of BlackRock Maryland Municipal Bond Trust (“BZM”),
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”), and The Massachusetts Health &
Education Tax-Exempt Trust (MHE and together with BZM, MHN, BLJ, BQH,
BSE, BFY and BHV, each a “Fund,” and, collectively, the “Funds”) met on
April 14, 2011 and May 12–13, 2011 to consider the approval of each
Fund’s investment advisory agreement (each, an “Advisory Agreement”)
with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment
advisor. The Board of each Fund also considered the approval of the
sub-advisory agreement (each, a “Sub-Advisory Agreement”) between
the Manager and BlackRock Financial Management, Inc. or BlackRock
Investment Management, LLC, as applicable (the “Sub-Advisor”), with
respect to each Fund. The Manager and the Sub-Advisor are referred
to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory
Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested
persons” of such Fund as defined in the Investment Company Act of 1940
(the “1940 Act”) (the “Independent Board Members”). The Board Members
are responsible for the oversight of the operations of the Funds and per-
form the various duties imposed on the directors of investment companies
by the 1940 Act. The Independent Board Members have retained inde-
pendent legal counsel to assist them in connection with their duties. The
Chairman of the Board is an Independent Board Member. Each Board has
established five standing committees: an Audit Committee, a Governance
and Nominating Committee, a Compliance Committee, a Performance
Oversight Committee and an Executive Committee, each of which is
composed of Independent Board Members (except for the Executive
Committee, which also has one interested Board Member) and is chaired
by an Independent Board Member. The Boards of BZM, BLJ, BQH, BSE, BFY,
BHV and MHE also have established a Committee on Auction Market
Preferred Shares. In addition, the Board of MHN had established a
Committee on Auction Market Preferred Shares prior to the redemption
of all of MHN's outstanding auction market preferred shares. Further,
each Board established an ad hoc committee, the Joint Product Pricing
Committee, which consisted of Independent Board Members and the
directors/trustees of the boards of certain other BlackRock-managed
funds, who were not “interested persons” of their respective funds.

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continu-
ation of the Agreements on an annual basis. In connection with this
process, the Boards assessed, among other things, the nature, scope and
quality of the services provided to the Funds by BlackRock, its personnel
and its affiliates, including investment management, administrative and
shareholder services, oversight of fund accounting and custody, marketing
services, risk oversight, compliance program and assistance in meeting
applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, con-
sidered at each of their meetings, and from time to time as appropriate,
factors that are relevant to its annual consideration of the renewal of the
Agreements, including the services and support provided by BlackRock to
the Funds and their shareholders. Among the matters the Boards consid-
ered were: (a) investment performance for one-, three- and five-year peri-
ods, as applicable, against peer funds, and applicable benchmarks, if any,
as well as senior management’s and portfolio managers’ analysis of the
reasons for any over performance or underperformance against their peers
and/or benchmark, as applicable; (b) fees, including advisory and, with
respect to MHE, administration, and other amounts paid to BlackRock
and its affiliates by the Funds for services such as call center and fund
accounting; (c) Fund operating expenses and how BlackRock allocates
expenses to the Funds; (d) the resources devoted to, risk oversight of, and
compliance reports relating to, implementation of the Funds’ investment
objectives, policies and restrictions; (e) the Funds’ compliance with its
Code of Ethics and other compliance policies and procedures; (f) the
nature, cost and character of non-investment management services pro-
vided by BlackRock and its affiliates; (g) BlackRock’s and other service
providers’ internal controls and risk and compliance oversight mechanisms;
(h) BlackRock’s implementation of the proxy voting policies approved by
the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s
implementation of the Funds’ valuation and liquidity procedures; (k) an
analysis of contractual and actual management fee ratios for products with
similar investment objectives across the open-end fund, closed-end fund
and institutional account product channels, as applicable; (l) BlackRock’s
compensation methodology for its investment professionals and the incen-
tives it creates; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 14, 2011 meeting, the Boards
requested and received materials specifically relating to the Agreements.
The Boards are engaged in a process with BlackRock to review periodically
the nature and scope of the information provided to better assist their
deliberations. The materials provided in connection with the April meeting
included (a) information independently compiled and prepared by Lipper,
Inc. (“Lipper”) on Fund fees and expenses and the investment performance
of the Funds as compared with a peer group of funds as determined by
Lipper and, with respect to BZM, MHN, BQH, BSE, BFY, BHV and MHE a
customized peer group selected by BlackRock (collectively, “Peers”); (b)
information on the profitability of the Agreements to BlackRock and a dis-
cussion of fall-out benefits to BlackRock and its affiliates and significant
shareholders; (c) a general analysis provided by BlackRock concerning
investment management fees (a combination of the advisory fee and the
administration fee, if any) charged to other clients, such as institutional
clients and open-end funds, under similar investment mandates, as appli-
cable; (d) the impact of economies of scale; (e) a summary of aggregate
amounts paid by each Fund to BlackRock and (f) if applicable, a comp-
arison of management fees to similar BlackRock closed-end funds, as
classified by Lipper.

64 ANNUAL REPORT AUGUST 31, 2011

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

At an in-person meeting held on April 14, 2011, the Boards reviewed
materials relating to their consideration of the Agreements. As a result of
the discussions that occurred during the April 14, 2011 meeting, and as a
culmination of the Boards’ year-long deliberative process, the Boards pre-
sented BlackRock with questions and requests for additional information.
BlackRock responded to these requests with additional written information
in advance of the May 12 — 13, 2011 Board meeting.

At an in-person meeting held on May 12 — 13, 2011, each Board, includ-
ing the Independent Board Members, unanimously approved the continua-
tion of the Advisory Agreement between the Manager and its Fund and the
Sub-Advisory Agreement between the Manager and the Sub-Advisor with
respect to its Fund, each for a one-year term ending June 30, 2012. In
approving the continuation of the Agreements, the Boards considered:
(a) the nature, extent and quality of the services provided by BlackRock;
(b) the investment performance of the Funds and BlackRock; (c) the
advisory fee and the cost of the services and profits to be realized by
BlackRock and its affiliates from their relationship with the Funds; (d)
economies of scale; (e) fall-out benefits to BlackRock as a result of its
relationship with the Funds; and (f) other factors deemed relevant by the
Board Members.

The Boards also considered other matters they deemed important to the
approval process, such as services related to the valuation and pricing
of Fund portfolio holdings, direct and indirect benefits to BlackRock and
its affiliates and significant shareholders from their relationship with Funds
and advice from independent legal counsel with respect to the review
process and materials submitted for the Boards’ review. The Boards noted
the willingness of BlackRock personnel to engage in open, candid discus-
sions with the Boards. The Boards did not identify any particular informa-
tion as controlling, and each Board Member may have attributed different
weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock:
The Boards, including the Independent Board Members, reviewed the
nature, extent and quality of services provided by BlackRock, including
the investment advisory services and the resulting performance of the
Funds. Throughout the year, the Boards compared Fund performance to
the performance of a comparable group of closed-end funds and/or
the performance of a relevant benchmark, if any. The Boards met with
BlackRock’s senior management personnel responsible for investment
operations, including the senior investment officers. Each Board also
reviewed the materials provided by its Fund’s portfolio management team
discussing Fund performance and the Fund’s investment objective, strate-
gies and outlook.

The Boards considered, among other factors, the number, education and
experience of BlackRock’s investment personnel generally and their Funds’
portfolio management teams, investments by portfolio managers in the
funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s
use of technology, BlackRock’s commitment to compliance, BlackRock’s
credit analysis capabilities, BlackRock’s risk analysis capabilities and
BlackRock’s approach to training and retaining portfolio managers and
other research, advisory and management personnel. The Boards engaged
in a review of BlackRock’s compensation structure with respect to their
Funds’ portfolio management teams and BlackRock’s ability to attract and
retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the
administrative and non-investment advisory services provided to the Funds.
BlackRock and its affiliates provide the Funds with certain services (in
addition to any such services provided to the Funds by third parties) and
officers and other personnel as are necessary for the operations of the
Funds. In addition to investment advisory services, BlackRock and its affili-
ates provide the Funds with other services, including (i) preparing disclo-
sure documents, such as the prospectus and the statement of additional
information in connection with the initial public offering and periodic share-
holder reports; (ii) preparing communications with analysts to support sec-
ondary market trading of the Funds; (iii) assisting with daily accounting
and pricing; (iv) preparing periodic filings with regulators and stock
exchanges; (v) overseeing and coordinating the activities of other service
providers; (vi) organizing Board meetings and preparing the materials for
such Board meetings; (vii) providing legal and compliance support; and
(viii) performing other administrative functions necessary for the operation
of the Funds, such as tax reporting, fulfilling regulatory filing requirements
and call center services. The Boards reviewed the structure and duties of
BlackRock’s fund administration, accounting, legal and compliance depart-
ments and considered BlackRock’s policies and procedures for assuring
compliance with applicable laws and regulations.

B. The Investment Performance of the Fund and BlackRock: The Boards,
including the Independent Board Members, also reviewed and considered
the performance history of their Funds. In preparation for the April 14,
2011 meeting, the Boards worked with BlackRock and Lipper to develop
a template for, and was provided with reports independently prepared by
Lipper, which included a comprehensive analysis of each Fund’s perform-
ance. The Boards also reviewed a narrative and statistical analysis of the
Lipper data that was prepared by BlackRock, which analyzed various fac-
tors that affect Lipper’s rankings. In connection with their review, each
Board received and reviewed information regarding the investment perform-
ance of its Fund as compared to funds in that Fund’s applicable Lipper
category and, with respect to BZM, MHN, BQH, BSE, BFY, BHV and MHE a
customized peer group selected by BlackRock. The Boards were provided
with a description of the methodology used by Lipper to select peer funds.
The Boards and each Board’s Performance Oversight Committee regularly
review, and meet with Fund management to discuss, the performance of
the Funds throughout the year.

The Board of each of BZM, MHN, BQH, BSE, BFY, BHV and MHE noted
that, in general, its respective Fund performed better than its Peers in that
the Fund’s performance was at or above the median of its Customized
Lipper Peer Group Composite in each of the one-, three- and five-year
periods reported.

The Board of BLJ noted that, in general, its Fund performed better than its
Peers in that the Fund’s performance was at or above the median of its
Lipper Performance Composite in each of the one-, three- and five-year
periods reported.

ANNUAL REPORT AUGUST 31, 2011 65

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Boards noted that BlackRock has made changes to the organization of
the overall fixed income group management structure designed to result in
a strengthened leadership team.

C. Consideration of the Advisory/Management Fees and the Cost of the
Services and Profits to be Realized by BlackRock and its Affiliates from
their Relationship with the Fund: Each Board, including the Independent
Board Members, reviewed its Fund’s contractual management fee ratio
compared with the other funds in its Lipper category. It also compared
the Fund’s total expense ratio, as well as actual management fee ratio,
to those of other funds in its Lipper category. The Boards considered the
services provided and the fees charged by BlackRock to other types of
clients with similar investment mandates, including separately managed
institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s finan-
cial condition and profitability with respect to the services it provided the
Funds. The Boards were also provided with a profitability analysis that
detailed the revenues earned and the expenses incurred by BlackRock for
services provided to the Funds. The Boards reviewed BlackRock’s profitabil-
ity with respect to the Funds and other funds the Boards currently oversee
for the year ended December 31, 2010 compared to available aggregate
profitability data provided for the years ended December 31, 2009, and
December 31, 2008. The Boards reviewed BlackRock’s profitability with
respect to other fund complexes managed by the Manager and/or its affili-
ates. The Boards reviewed BlackRock’s assumptions and methodology of
allocating expenses in the profitability analysis, noting the inherent limita-
tions in allocating costs among various advisory products. The Boards rec-
ognized that profitability may be affected by numerous factors including,
among other things, fee waivers and expense reimbursements by the
Manager, the types of funds managed, expense allocations and business
mix, and the difficulty of comparing profitability as a result of those factors.

The Boards noted that, in general, individual fund or product line profitabil-
ity of other advisors is not publicly available. The Boards considered
BlackRock’s overall operating margin, in general, compared to the operating
margin for leading investment management firms whose operations include
advising closed-end funds, among other product types. That data indicates
that operating margins for BlackRock, in general and with respect to its
registered funds, are generally consistent with margins earned by similarly
situated publicly traded competitors. In addition, the Boards considered,
among other things, certain third party data comparing BlackRock’s operat-
ing margin with that of other publicly-traded asset management firms. That
third party data indicates that larger asset bases do not, in themselves,
translate to higher profit margins.

In addition, the Boards considered the cost of the services provided to the
Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to
the management of the Funds and the other funds advised by BlackRock
and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s
methodology in allocating its costs to the management of the Funds. The
Boards also considered whether BlackRock has the financial resources
necessary to attract and retain high quality investment management per-
sonnel to perform its obligations under the Agreements and to continue to
provide the high quality of services that is expected by the Boards.

The Board of each of BZM and BQH noted that its respective Fund’s con-
tractual management fee ratio (a combination of the advisory fee and the
administration fee, if any) was above the median contractual management
fee ratio paid by the Fund’s Peers, in each case before taking into account
any expense reimbursements or fee waivers. The Board of each of BZM and
BQH also noted, however, that its respective Fund’s contractual manage-
ment fee ratio was reasonable relative to the median contractual manage-
ment fee ratio paid by the Fund’s peers.

The Board of each of MHN, BSE, BFY and MHE noted that its respective
Fund’s contractual management fee ratio (a combination of the advisory
fee and the administration fee, if any) was lower than or equal to the
median contractual management fee ratio paid by the Fund’s Peers, in
each case before taking into account any expense reimbursements or fee
waivers.

The Board of each of BLJ and BHV noted that its respective Fund’s contrac-
tual management fee ratio (a combination of the advisory fee and the
administration fee, if any) was above the median contractual management
fee ratio paid by the Fund’s Peers, in each case before taking into account
any expense reimbursements or fee waivers. The Board of each of BLJ and
BHV also noted, however, that its respective Fund’s actual management fee
ratio, after giving effect to any expense reimbursements or fee waivers by
BlackRock, was lower than or equal to the median actual management fee
ratio paid by the Fund’s Peers, after giving effect to any expense reimburse-
ments or fee waivers.

D. Economies of Scale: Each Board, including the Independent Board
Members, considered the extent to which economies of scale might be
realized as the assets of its Fund increase. Each Board also considered the
extent to which its Fund benefits from such economies and whether there
should be changes in the advisory fee rate or structure in order to enable
the Fund to participate in these economies of scale, for example through
the use of breakpoints in the advisory fee based upon the asset level of
the Fund. Based on the ad hoc Joint Product Pricing Committees’ and the
Boards’ review and consideration of this issue, the Boards concluded that
closed-end funds are typically priced at scale at a fund’s inception; there-
fore, the implementation of breakpoints was not necessary.

The Boards noted that most closed-end funds do not have fund level
breakpoints because closed-end funds generally do not experience sub-
stantial growth after the initial public offering. The Boards noted that only
one closed-end fund in the Fund Complex has breakpoints in its advisory
fee structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards,
including the Independent Board Members, also took into account other
ancillary or “fall-out” benefits that BlackRock or its affiliates and significant
shareholders may derive from their respective relationships with the Funds,
both tangible and intangible, such as BlackRock’s ability to leverage its
investment professionals who manage other portfolios and risk manage-
ment personnel, an increase in BlackRock’s profile in the investment advi-
sory community, and the engagement of BlackRock’s affiliates as service
providers to the Funds, including securities lending services. The Boards
also considered BlackRock’s overall operations and its efforts to expand

66 ANNUAL REPORT AUGUST 31, 2011

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

the scale of, and improve the quality of, its operations. The Boards also
noted that BlackRock may use and benefit from third party research
obtained by soft dollars generated by certain registered fund transactions
to assist in managing all or a number of its other client accounts. The
Boards further noted that BlackRock’s funds may invest in affiliated ETFs
without any offset against the management fees payable by the funds to
BlackRock.

In connection with its consideration of the Agreements, the Boards also
received information regarding BlackRock’s brokerage and soft dollar prac-
tices. The Boards received reports from BlackRock which included informa-
tion on brokerage commissions and trade execution practices throughout
the year.

The Boards noted the competitive nature of the closed-end fund market-
place and that shareholders are able to sell their Fund shares in the sec-
ondary market if they believe that the Fund’s fees and expenses are too
high or if they are dissatisfied with the performance of the Fund.

Conclusion

Each Board, including the Independent Board Members, unanimously
approved the continuation of the Advisory Agreement between the Manager
and its Fund for a one-year term ending June 30, 2012 and the Sub-
Advisory Agreement between the Manager and the Sub-Advisor, with
respect to its Fund, for a one-year term ending June 30, 2012. As part
of its approval, the Boards considered the detailed review of BlackRock’s
fee structure, as it applies to the Funds, conducted by the ad hoc Joint
Product Pricing Committee. Based upon their evaluations of all of the
aforementioned factors in their totality, the Boards, including the
Independent Board Members, were satisfied that the terms of the
Agreements were fair and reasonable and in the best interest of the
Funds and their shareholders. In arriving at their decision to approve the
Agreements, the Boards did not identify any single factor or group of fac-
tors as all-important or controlling, but considered all factors together,
and different Board Members may have attributed different weights to the
various factors considered. The Independent Board Members were also
assisted by the advice of independent legal counsel in making these deter-
minations. The contractual fee arrangements for the Funds reflect the
results of several years of review by the Board Members and predecessor
Board Members, and discussions between such Board Members (and
predecessor Board Members) and BlackRock. As a result, the Board
Members’ conclusions may be based in part on their consideration of
these arrangements in prior years.

ANNUAL REPORT AUGUST 31, 2011 67

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Automatic Dividend Reinvestment Plans

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment
Plan”), Common Shareholders are automatically enrolled to have all
distributions of dividends and capital gains reinvested by BNY Mellon
Shareowner Services for MHN and MHE and Computershare Trust Company,
N.A. for BZM, BLJ, BQH, BSE, BFY and BHV (individually, the “Reinvestment
Plan Agent” or together, the “Reinvestment Plan Agents”) in the respective
Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not
participate in the Reinvestment Plan will receive all distributions in cash
paid by check and mailed directly to the shareholders of record (or if the
shares are held in street name or other nominee name, then to the nomi-
nee) by the Reinvestment Plan Agent, which serves as agent for the share-
holders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain
distribution, the Reinvestment Plan Agents will acquire shares for the part-
icipants’ accounts, depending upon the following circumstances, either (i)
through receipt of unissued but authorized shares from the Trust (“newly
issued shares”) or (ii) by purchase of outstanding shares on the open
market or on the Trust’s primary exchange (“open-market purchases”).
If, on the dividend payment date, the net asset value per share (“NAV”) is
equal to or less than the market price per share plus estimated brokerage
commissions (such condition often referred to as a “market premium”), the
Reinvestment Plan Agent will invest the dividend amount in newly issued
shares on behalf of the participants. The number of newly issued shares to
be credited to each participant’s account will be determined by dividing
the dollar amount of the dividend by the NAV on the date the shares are
issued. However, if the NAV is less than 95% of the market price on the
dividend payment date, the dollar amount of the dividend will be divided
by 95% of the market price on the dividend payment date. If, on the divi-
dend payment date, the NAV is greater than the market price per share
plus estimated brokerage commissions (such condition often referred to as
a “market discount”), the Reinvestment Plan Agent will invest the dividend
amount in shares acquired on behalf of the participants in open-market
purchases. If the Reinvestment Plan Agents are unable to invest the full
dividend amount in open-market purchases, or if the market discount
shifts to a market premium during the purchase period, the Reinvestment
Plan Agents will invest any un-invested portion in newly issued shares.
Investments in newly issued shares made in this manner would be made
pursuant to the same process described above and the date of issue for
such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be
terminated or resumed at any time without penalty by notice if received
and processed by the Reinvestment Plan Agent prior to the dividend record
date. Additionally, the Reinvestment Plan Agent seeks to process notices
received after the record date but prior to the payable date and such
notices often will become effective by the payable date. Where late notices
are not processed by the applicable payable date, such termination or
resumption will be effective with respect to any subsequently declared
dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment
of dividends and distributions will be paid by each Trust. However, each
participant will pay a pro rata share of brokerage commissions incurred
with respect to the Reinvestment Plan Agent’s open-market purchases
in connection with the reinvestment of dividends and distributions. The
automatic reinvestment of dividends and distributions will not relieve
participants of any federal income tax that may be payable on such
dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan.
There is no direct service charge to participants in the Reinvestment Plan;
however, each Trust reserves the right to amend the Reinvestment Plan to
include a service charge payable by the participants. Participants that
request a sale of shares through Computershare Trust Company, N.A. are
subject to a $2.50 sales fee and a $0.15 per share sold brokerage com-
mission. Participants that request a sale of shares through BNY Mellon
Shareowner Services are subject to a $0.02 per share sold brokerage
commission. All correspondence concerning the Reinvestment Plan should
be directed to the respective Reinvestment Plan Agent: BNY Mellon
Shareowner Services, P.0. Box 358035, Pittsburgh, PA 15252-8035,
Telephone: (866) 216-0242 for shareholders of MHN and MHE or
Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI
02940-3078, Telephone: (800) 699-1BFM or overnight correspondence
should be directed to the Reinvestment Plan Agent at 250 Royall Street,
Canton, MA 02021 for shareholders of BZM, BLJ, BQH, BSE, BFY and BHV.

68 ANNUAL REPORT AUGUST 31, 2011

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ANNUAL REPORT AUGUST 31, 2011 69

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70 ANNUAL REPORT AUGUST 31, 2011

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Effective April 14, 2011, Michael J. Castellano became Trustee of the Trusts and Member of the Audit Committee.
Effective July 28, 2011, Richard S. Davis resigned as Trustee of the Trusts, and Paul L. Audet became Trustee of the Trusts.

ANNUAL REPORT AUGUST 31, 2011 71

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Additional Information

Proxy Results

The Annual Meeting of Shareholders was held on July 28, 2011 for shareholders of record on May 31, 2011, to elect trustee nominees for each Trust.
There were no broker non-votes with regard to any of the Trusts.

Approved the Class I Trustees as follows:

 

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of
Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi,
Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.
¹ Voted on by holders of Preferred Shares only.

Approved the Trustees as follows:

 

72 ANNUAL REPORT AUGUST 31, 2011

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Additional Information (continued)

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

The Trusts’ dividend policy is to distribute all or a portion of their net invest-
ment income to their shareholders on a monthly basis. In order to provide
shareholders with a more stable level of dividend 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 dividends 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 dis-
closed in the Statements of Assets and Liabilities, which comprises part of
the financial information included in this report.

General Information

On July 29, 2010, the Manager announced that a derivative complaint had
been filed by shareholders of BSE and BQH on July 27, 2010 in the
Supreme Court of the State of New York, New York County. The complaint
names the Manager, BlackRock, Inc. and certain of the trustees, officers
and portfolio managers of BSE and BQH as defendants. The complaint
alleges, among other things, that the parties named in the complaint
breached fiduciary duties owed to BSE and BQH and their Common
Shareholders by redeeming auction-market preferred shares, auction rate
preferred securities, auction preferred shares and auction rate securities
(collectively, “AMPS”) at their liquidation preference. The complaint seeks
unspecified damages for losses purportedly suffered by BSE and BQH as
a result of the prior redemptions and injunctive relief preventing BSE and
BQH from redeeming AMPS at their liquidation preference in the future.
The Manager, BlackRock, Inc. and the other parties named in the complaint
believe that the claims asserted in the complaint are without merit and
intend to vigorously defend themselves in the litigation.

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.

Other than the revisions discussed in the Board Approvals on page 74,
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 sharehold-
ers 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 and other informa-
tion regarding the Trusts may be found on BlackRock’s website, which can
be accessed at http://www.blackrock.com. This reference to BlackRock’s
website is intended to allow investors public access to information regard-
ing the Trusts and does not, and is not intended to, incorporate BlackRock’s
website into this report.

Electronic Delivery
Electronic copies of most financial reports are available on the Trusts’ web
sites or shareholders can sign up for e-mail notifications of quarterly state
ments, annual and semi-annual reports by enrolling in the Trusts’ electronic
delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks
or Brokerages:

Please contact your financial advisor to enroll. Please note that not all
investment advisors, banks or brokerages may offer this service.

Householding
The Trusts will mail only one copy of shareholder documents, including
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 (800) 441-7762.

Availability of Quarterly Schedule of Investments
Each Trust files its 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, DC. Information on how to access documents on the SEC’s
website without charge may be obtained by calling (800) SEC-0330. Each
Trust’s Forms N-Q may also be obtained upon request and without charge
by calling (800) 441-7762.

ANNUAL REPORT AUGUST 31, 2011 73

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Additional Information (continued)

General Information (concluded)

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
(1) without charge, upon request, by calling (800) 441-7762;
(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) 441-7762 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. Investors and others are advised to periodically
check the website for updated performance information and the release of
other material information about the Trusts.

Board Approvals

On September 1, 2010, the Boards of MHN and BSE (the “Insured Trusts”)
approved changes to certain investment policies of the Insured Trusts.

Historically, under normal market conditions, each Insured Trust had
been required to invest at least 80% of its assets in municipal bonds
either (i) insured under an insurance policy purchased by the Insured
Trust or (ii) insured under an insurance policy obtained by the issuer of
the municipal bond or any other party. In September 2008, the Insured
Trusts adopted an amended investment policy of purchasing only munici-
pal bonds insured by insurance providers with claims-paying abilities
rated investment grade at the time of investment (the “Insurance
Investment Policy”).

Following the onset of the credit and liquidity crises, the claims-paying
ability rating of most of the municipal bond insurance providers has been
lowered by the rating agencies. These downgrades have called into question
the long-term viability of the municipal bond insurance market, which has
the potential to severely limit the ability of the Manager to manage the
Insured Trusts under the Insurance Investment Policy.

As a result, on September 1, 2010, the Manager recommended, and the
Boards of the Insured Trusts approved, the removal of the Insurance
Investment Policy. As a result of this investment policy change, the Insured
Trusts will not be required to dispose of assets currently held within the
Insured Trusts. The Insured Trusts will maintain, and have no current inten-
tion to amend, their investment policy of, under normal market conditions,
generally investing in municipal obligations rated investment grade at the
time of investment.

As each Insured Trust increases the amount of its assets that are invested
in municipal obligations that are not insured, each Insured Trust’s share-
holders will be exposed to the risk of the failure of such securities’ issuers
to pay interest and repay principal and will not have the benefit of
protection provided under municipal bond insurance policies. As a result,
shareholders will be more dependent on the analytical ability of the
Manager to evaluate the credit quality of issuers of municipal obligations
in which each Insured Trust invests. The Boards of the Insured Trusts believe
that the removal of the Insurance Investment Policy is in the best interests
of each Insured Trust and its shareholders because it believes that the
potential benefits from increased flexibility outweigh the potential increase
in risk from the lack of insurance policies provided by weakened insurance
providers. Of course, the new investment policy cannot assure that each
Insured Trust will achieve its investment objective.

As disclosed in each Insured Trust’s prospectus, each Insured Trust is
required to provide shareholders 60 days notice of a change to the
Insurance Investment Policy. Accordingly, a notice describing the changes
discussed above was mailed to shareholders of record as of September 1,
2010. The new investment policy took effect on November 9, 2010. The
Manager has been gradually repositioning each Insured Trust’s portfolio
over time, and during such period, each Insured Trust may continue to
hold a substantial portion of its assets in insured municipal bonds. At this
time, the repositioning of each Insured Trust’s portfolio is still taking place,
and the Insured Trusts will continue to be subject to risks associated with
investing a substantial portion of their assets in insured municipal bonds
until the repositioning is complete. No action is required by shareholders
of the Insured Trusts in connection with this change.

In connection with this change in non-fundamental policy, each of the
Insured Trusts underwent a name change to reflect its new portfolio
characteristics.

Each Insured Trust continues to trade on the NYSE under its current
ticker symbol.

The approved changes did not alter any Insured Trust’s investment
objective.

74 ANNUAL REPORT AUGUST 31, 2011

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Additional Information (concluded)

Section 19(a) Notices
These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources
for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regula-
tions. Each Trust will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income
tax purposes.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and for-
mer fund investors and individual clients (collectively, “Clients”) and to
safeguarding their non-public personal information. The following infor-
mation 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 applica-
tions, 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 pro-
cedures relating to the proper storage and disposal of such information.

ANNUAL REPORT AUGUST 31, 2011 75

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This report is transmitted to shareholders only. 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 the short-term dividend rates of the Preferred Shares, including AMPS, which are currently set at the
maximum reset rate as a result of failed auctions, may reduce the Common Shares’ yield. Statements and other information herein
are as dated and are subject to change.

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Item 2 – Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end
of the period covered by this report, applicable to the registrant’s principal executive officer,
principal financial officer, principal accounting officer or controller, or persons performing
similar functions. During the period covered by this report, there have been no amendments
to or waivers granted under the code of ethics. A copy of the code of ethics is available
without charge at www.blackrock.com.

Item 3 – Audit Committee Financial Expert – The registrant’s board of directors (the “board of
directors”), has determined that (i) the registrant has the following audit committee financial
experts serving on its audit committee and (ii) each audit committee financial expert is
independent:

Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards
qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles,
financial statements and internal control over financial reporting as well as audit committee
functions. Prof. Kester has been involved in providing valuation and other financial
consulting services to corporate clients since 1978. Prof. Kester’s financial consulting
services present a breadth and level of complexity of accounting issues that are generally
comparable to the breadth and complexity of issues that can reasonably be expected to be
raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles,
financial statements and internal control over financial reporting as well as audit committee
functions. Ms. Robards has been President of Robards & Company, a financial advisory
firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years
where she was responsible for evaluating and assessing the performance of companies based
on their financial results. Ms. Robards has over 30 years of experience analyzing financial
statements. She also is a member of the audit committee of one publicly held company and
a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial
expert will not be deemed an “expert” for any purpose, including without limitation for the
purposes of Section 11 of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation or identification as an
audit committee financial expert does not impose on such person any duties, obligations, or
liabilities greater than the duties, obligations, and liabilities imposed on such person as a
member of the audit committee and board of directors in the absence of such designation or
identification. The designation or identification of a person as an audit committee financial
expert does not affect the duties, obligations, or liability of any other member of the audit
committee or board of directors.

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Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the
last two fiscal years for the services rendered to the Fund:

 

The following table presents fees billed by D&T that were required to be approved by the
registrant’s audit committee (the “Committee”) for services that relate directly to the
operations or financial reporting of the Fund and that are rendered on behalf of BlackRock
Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled
by, or under common control with BlackRock (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another investment
adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

(e)(1) Audit Committee Pre-Approval Policies and Procedures:
The Committee has adopted policies and procedures with regard to the pre-approval
of services. Audit, audit-related and tax compliance services provided to the registrant on
an annual basis require specific pre-approval by the Committee. The Committee also must
approve other non-audit services provided to the registrant and those non-audit services
provided to the Investment Adviser and Fund Service Providers that relate directly to the
operations and the financial reporting of the registrant. Certain of these non-audit services
that the Committee believes are a) consistent with the SEC’s auditor independence rules and
b) routine and recurring services that will not impair the independence of the independent
accountants may be approved by the Committee without consideration on a specific case-
by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months
from the date of the pre-approval, unless the Committee provides for a different period. Tax
or other non-audit services provided to the registrant which have a direct impact on the
operations or financial reporting of the registrant will only be deemed pre-approved
provided that any individual project does not exceed $10,000 attributable to the registrant or
$50,000 per project. For this purpose, multiple projects will be aggregated to determine if
they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific
pre-approval by the Committee, as will any other services not subject to general pre-
approval (e.g., unanticipated but permissible services). The Committee is informed of each

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service approved subject to general pre-approval at the next regularly scheduled in-person
board meeting. At this meeting, an analysis of such services is presented to the Committee
for ratification. The Committee may delegate to the Committee Chairman the authority to
approve the provision of and fees for any specific engagement of permitted non-audit
services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by
the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01
of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees paid to the accountant for services rendered by the
accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

Additionally, SAS No. 70 fees for the current and previous fiscal years of $3,030,000 and
$2,950,000, respectively, were billed by D&T to the Investment Adviser.

(h) The Committee has considered and determined that the provision of non-audit services
that were rendered to the Investment Adviser, and the Fund Service Providers that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible
with maintaining the principal accountant’s independence.

Item 5 – Audit Committee of Listed Registrants

(a) The following individuals are members of the registrant’s separately-designated
standing audit committee established in accordance with Section 3(a)(58)(A) of the
Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano
Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards

(b) Not Applicable

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 – The board of directors has delegated the voting of proxies for the
Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s
proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies

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related to Fund securities in the best interests of the Fund and its stockholders. From time to
time, a vote may present a conflict between the interests of the Fund’s stockholders, on the
one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the
Investment Adviser, on the other. In such event, provided that the Investment Adviser’s
Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight
Committee”) is aware of the real or potential conflict or material non-routine matter and if
the Oversight Committee does not reasonably believe it is able to follow its general voting
guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote
impartially, the Oversight Committee may retain an independent fiduciary to advise the
Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s
clients. If the Investment Adviser determines not to retain an independent fiduciary, or does
not desire to follow the advice of such independent fiduciary, the Oversight Committee shall
determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio
Management Group and/or the Investment Adviser’s Legal and Compliance Department
and concluding that the vote cast is in its client’s best interest notwithstanding the conflict.
A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit
99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities
during the most recent 12-month period ended June 30 is available without charge, (i) at
www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of August 31,
2011.

(a)(1) The Fund is managed by a team of investment professionals comprised of Robert
Sneeden, Director at BlackRock, Theodore R. Jaeckel, Jr., CFA, Managing Director
at BlackRock and Walter O’Connor, Managing Director at BlackRock. Each is a
member of BlackRock’s municipal tax-exempt management group. Each is jointly
responsible for the day-to-day management of the registrant’s portfolio, which
includes setting the registrant’s overall investment strategy, overseeing the
management of the registrant and/or selection of its investments. Messrs. Sneeden,
Jaeckel and O’Connor have been members of the registrant’s portfolio management
team since 2005, 2006 and 2006, respectively.

 

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(a)(2) As of August 31, 2011:

 

(iv) Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture
and compliance procedures and systems designed to protect against potential incentives that
may favor one account over another. BlackRock has adopted policies and procedures that
address the allocation of investment opportunities, execution of portfolio transactions,
personal trading by employees and other potential conflicts of interest that are designed to
ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock
furnishes investment management and advisory services to numerous clients in addition to
the Fund, and BlackRock may, consistent with applicable law, make investment
recommendations to other clients or accounts (including accounts which are hedge funds or
have performance or higher fees paid to BlackRock, or in which portfolio managers have a
personal interest in the receipt of such fees), which may be the same as or different from
those made to the Fund. In addition, BlackRock, its affiliates and significant shareholders
and any officer, director, shareholder or employee may or may not have an interest in the
securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or
any of its affiliates or significant shareholders, or any officer, director, shareholder,
employee or any member of their families may take different actions than those
recommended to the Fund by BlackRock with respect to the same securities. Moreover,
BlackRock may refrain from rendering any advice or services concerning securities of
companies of which any of BlackRock’s (or its affiliates’ or significant shareholders’)
officers, directors or employees are directors or officers, or companies as to which
BlackRock or any of its affiliates or significant shareholders or the officers, directors and
employees of any of them has any substantial economic interest or possesses material non-
public information. Certain portfolio managers also may manage accounts whose
investment strategies may at times be opposed to the strategy utilized for a fund. It should
also be noted that a portfolio manager may be managing certain hedge fund and/or long
only accounts, or may be part of a team managing certain hedge fund and/or long only
accounts, subject to incentive fees. Such portfolio managers may therefore be entitled to
receive a portion of any incentive fees earned on such accounts. Additional portfolio
managers may in the future manage other such accounts or funds and may be entitled to
receive incentive fees.

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As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client
fairly. When BlackRock purchases or sells securities for more than one account, the trades
must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to
allocate investments in a fair and equitable manner among client accounts, with no account
receiving preferential treatment. To this end, BlackRock has adopted policies that are
intended to ensure reasonable efficiency in client transactions and provide BlackRock with
sufficient flexibility to allocate investments in a manner that is consistent with the
particular investment discipline and client base, as appropriate.

(a)(3) As of August 31, 2011:

Portfolio Manager Compensation Overview

BlackRock’s financial arrangements with its portfolio managers, its competitive
compensation and its career path emphasis at all levels reflect the value senior management
places on key resources. Compensation may include a variety of components and may vary
from year to year based on a number of factors. The principal components of compensation
include a base salary, a performance-based discretionary bonus, participation in various
benefits programs and one or more of the incentive compensation programs established by
BlackRock.

Base compensation. Generally, portfolio managers receive base compensation based on
their position with BlackRock.

Discretionary Incentive Compensation. Discretionary incentive compensation is a
function of several components: the performance of BlackRock, Inc., the performance
of the portfolio manager’s group within BlackRock, the investment performance,
including risk-adjusted returns, of the firm’s assets under management or supervision by
that portfolio manager relative to predetermined benchmarks, and the individual’s
performance and contribution to the overall performance of these portfolios and
BlackRock. In most cases, these benchmarks are the same as the benchmark or
benchmarks against which the performance of the Fund or other accounts managed by
the portfolio managers are measured. BlackRock’s Chief Investment Officers
determine the benchmarks against which the performance of funds and other accounts
managed by each portfolio manager is compared and the period of time over which
performance is evaluated. With respect to the portfolio managers, such benchmarks
include a combination of market-based indices (e.g., Barclays Capital Municipal Bond
Index), certain customized indices and certain fund industry peer groups.

Among other things, BlackRock’s Chief Investment Officers make a subjective
determination with respect to each portfolio manager’s compensation based on the
performance of the Funds and other accounts managed by each portfolio manager relative to
the various benchmarks.

Performance of fixed income funds is measured on both a pre-tax and after-tax basis over
various time periods including 1-, 3- and 5-year periods, as applicable. With respect to the
performance of the other listed Index and Multi-Asset Funds, performance is measured on,
among other things, a pre-tax basis over various time periods including 1-, 3- and 5-year
periods, as applicable.

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Distribution of Discretionary Incentive Compensation

Discretionary incentive compensation is distributed to portfolio managers in a combination
of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of
years. For some portfolio managers, discretionary incentive compensation is also
distributed in deferred cash awards that notionally track the returns of select BlackRock
investment products they manage and that vest ratably over a number of years. The
BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc.
common stock. Typically, the cash bonus, when combined with base salary, represents
more than 60% of total compensation for the portfolio managers. Paying a portion of
annual bonuses in stock puts compensation earned by a portfolio manager for a given year
“at risk” based on BlackRock’s ability to sustain and improve its performance over future
periods. Providing a portion of annual bonuses in deferred cash awards that notionally track
the BlackRock investment products they manage provides direct alignment with investment
product results.

Long-Term Incentive Plan Awards — From time to time long-term incentive equity
awards are granted to certain key employees to aid in retention, align their interests with
long-term shareholder interests and motivate performance. Equity awards are generally
granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in
BlackRock, Inc. common stock. Messrs. Jaeckel and O’Connor have each received long-
term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to
eligible BlackRock employees may be voluntarily deferred into an account that tracks the
performance of certain of the firm’s investment products. Each participant in the deferred
compensation program is permitted to allocate his deferred amounts among various
BlackRock investment options. Messrs. Jaeckel, O’Connor and Sneeden have each
participated in the deferred compensation program.

Other compensation benefits. In addition to base compensation and discretionary
incentive compensation, portfolio managers may be eligible to receive or participate in one
or more of the following incentive savings plans. BlackRock, Inc. has created a variety of
incentive savings plans in which BlackRock, Inc. employees are eligible to participate,
including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock
Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP
include a company match equal to 50% of the first 8% of eligible pay contributed to the plan
capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible
compensation. The RSP offers a range of investment options, including registered
investment companies and collective investment funds managed by the firm. BlackRock
contributions follow the investment direction set by participants for their own contributions
or, absent participant investment direction, are invested into an index target date fund that
corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP
allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market
value of the stock on the purchase date. Annual participation in the ESPP is limited to the
purchase of 1,000 shares or a dollar value of $25,000. Each portfolio manager is eligible to
participate in these plans.

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(a)(4) Beneficial Ownership of Securities – As of August 31, 2011.

 

(b) Not Applicable

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers – Not Applicable due to no such purchases during the period covered
by this report.

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material
changes to these procedures.

Item 11 – Controls and Procedures

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

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

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

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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.

The Massachusetts Health & Education Tax-Exempt Trust

By: /S/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
The Massachusetts Health & Education Tax-Exempt Trust

Date: November 4, 2011

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
The Massachusetts Health & Education Tax-Exempt Trust

Date: November 4, 2011

By: /S/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
The Massachusetts Health & Education Tax-Exempt Trust

Date: November 4, 2011

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