UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21180
Name of Fund: BlackRock Insured Municipal Income Investment Trust (BAF)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Donald C. Burke, Chief Executive Officer, BlackRock Insured Municipal Income Investment Trust,
800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2008
Date of reporting period: 09/01/2008 – 11/30/2008
| Item 1 – | Schedule of Investments |
| BlackRock Insured Municipal Income Investment Trust | ||
| Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) |
| Par | ||||||||
| State | Municipal Bonds | (000) | Value | |||||
| California - 1.4% | Los Angeles County, California, Metropolitan Transportation Authority, Sales | |||||||
| Tax Revenue Refunding Bonds, Proposition C, VRDN, | ||||||||
| Second Senior Series A, 7%, 7/01/20 (a)(b)(c) | $ | 1,500 | $ | 1,500,000 | ||||
| Florida - 108.9% | Brevard County, Florida, Health Facilities Authority, Healthcare Facilities | |||||||
| Revenue Bonds (Health First Inc. Project), 5%, 4/01/36 | 1,750 | 1,061,025 | ||||||
| Broward County, Florida, School Board, COP, Series A, 5.25%, 7/01/33 (d) | 2,200 | 2,002,264 | ||||||
| Colonial Country Club Community Development District, Florida, Special | ||||||||
| Assessment Revenue Bonds, 6.40%, 5/01/33 | 3,730 | 2,960,613 | ||||||
| Florida State Board of Education, Lottery Revenue Bonds, Series C, | ||||||||
| 5%, 1/01/22 (a) | 8,640 | 8,224,675 | ||||||
| Gainesville, Florida, Utilities System Revenue Bonds, Series A, | ||||||||
| 5%, 10/01/13 (d)(e) | 2,500 | 2,758,050 | ||||||
| Highlands County, Florida, Health Facilities Authority, Hospital Revenue | ||||||||
| Bonds (Adventist Health System), Series A, 6%, 11/15/11 (e) | 5,000 | 5,558,550 | ||||||
| Hillsborough County, Florida, Aviation Authority, Revenue Refunding Bonds, | ||||||||
| Series D, 5.50%, 10/01/26 (f) | 1,295 | 1,277,530 | ||||||
| Hillsborough County, Florida, IDA, PCR, Refunding (Tampa Electric Company | ||||||||
| Project), Series B, 5.15%, 9/01/25 | 500 | 495,185 | ||||||
| Hillsborough County, Florida, School Board, COP, Refunding, Series A, | ||||||||
| 5%, 7/01/25 (a) | 7,580 | 7,234,125 | ||||||
| Jacksonville, Florida, Excise Taxes Revenue Bonds, Series B, | ||||||||
| 5%, 10/01/26 (g) | 8,000 | 6,795,360 | ||||||
| Jacksonville, Florida, Health Facilities Authority, Hospital Revenue Bonds | ||||||||
| (Baptist Medical Center Project), 5%, 8/15/37 (d) | 1,000 | 857,700 | ||||||
| Lake County, Florida, School Board, COP, Series A, 5%, 7/01/28 (g) | 3,500 | 3,012,975 | ||||||
| Miami-Dade County, Florida, School Board, COP, Refunding, Series B, 5.25%, | ||||||||
| 5/01/28 (f) | 1,600 | 1,484,112 | ||||||
| Miami-Dade County, Florida, School Board, COP, Refunding, Series B, 5.25%, | ||||||||
| 5/01/30 (f) | 1,500 | 1,377,105 | ||||||
| Miami-Dade County, Florida, Special Obligation Revenue Bonds, | ||||||||
| Sub-Series A, 5.26%, 10/01/39 (a)(h) | 10,000 | 1,160,300 | ||||||
| Miami-Dade County, Florida, Special Obligation Revenue Bonds, | ||||||||
| Sub-Series A, 5.26%, 10/01/40 (a)(h) | 10,000 | 1,082,100 | ||||||
| Miami-Dade County, Florida, Special Obligation Revenue Bonds, | ||||||||
| Sub-Series B, 5.617%, 10/01/31 (a)(h) | 26,935 | 5,664,431 | ||||||
| Miami, Florida, Special Obligation Revenue Bonds (Street and Sidewalk | ||||||||
| Improvement Program), 5.25%, 1/01/28 (a) | 5,535 | 5,043,160 | ||||||
|
||||||||
| Portfolio Abbreviations | ||||||||
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the list below.
| COP | Certificates of Participation | PCR | Pollution Control Revenue Bonds | |
| GO | General Obligation Bonds | VRDN | Variable Rate Demand Notes | |
| IDA | Industrial Development Authority |
1
| BlackRock Insured Municipal Income Investment Trust | ||
| Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) |
| Par | ||||||||
| State | Municipal Bonds | (000) | Value | |||||
| Orange County, Florida, Educational Facilities Authority, Educational | ||||||||
| Facilities Revenue Bonds (Rollins College Project), 5.25%, 12/01/27 (g) | $ | 1,335 | $ | 1,235,182 | ||||
| Orange County, Florida, Health Facilities Authority, Hospital | ||||||||
| Revenue Refunding Bonds (Orlando Regional Healthcare), Series B, | ||||||||
| 5.25%, 12/01/29 (d) | 1,500 | 1,351,755 | ||||||
| Orange County, Florida, Sales Tax Revenue Refunding Bonds, Series B, | ||||||||
| 5.125%, 1/01/32 (a)(i) | 7,975 | 7,200,548 | ||||||
| Orange County, Florida, School Board, COP, Series A, 5%, 8/01/27 (a) | 2,000 | 1,742,500 | ||||||
| Orange County, Florida, Tourist Development, Tax Revenue Refunding Bonds, | ||||||||
| 5%, 10/01/29 (g) | 1,600 | 1,324,800 | ||||||
| Orlando, Florida, Senior Tourist Development Tax Revenue Bonds (6th Cent | ||||||||
| Contract Payments), Series A, 5.25%, 11/01/38 (f) | 2,200 | 1,938,640 | ||||||
| Orlando-Orange County Expressway Authority, Florida, Expressway Revenue | ||||||||
| Bonds, Series A, 5%, 7/01/32 (d) | 2,500 | 2,272,875 | ||||||
| Palm Bay, Florida, Utility System Improvement Revenue Bonds, | ||||||||
| 5.47%, 10/01/28 (a)(h)(i) | 4,015 | 1,086,017 | ||||||
| Palm Bay, Florida, Utility System Improvement Revenue Bonds, | ||||||||
| 5.48%, 10/01/31 (a)(h)(i) | 5,570 | 1,163,239 | ||||||
| Pasco County, Florida, School Board, COP, Series A, 5%, 8/01/27 (a)(i) | 5,815 | 5,066,319 | ||||||
| Pinellas County, Florida, Health Facilities Authority Revenue Bonds (BayCare | ||||||||
| Health System Inc.), 5.50%, 5/15/13 (e) | 5,000 | 5,586,100 | ||||||
| Polk County, Florida, Utility System Revenue Bonds, 5%, 10/01/29 (a)(i) | 5,000 | 4,266,550 | ||||||
| Saint Johns County, Florida, Ponte Vedra Utility System Revenue Bonds, 5%, | ||||||||
| 10/01/37 (d) | 2,600 | 2,270,840 | ||||||
| Sarasota County, Florida, Utilities System Revenue Refunding Bonds, Series C, | ||||||||
| 5.25%, 10/01/22 (a)(i) | 2,845 | 2,839,253 | ||||||
| Sunrise, Florida, Utility System Revenue Refunding Bonds, | ||||||||
| 5%, 10/01/28 (g) | 5,000 | 4,299,550 | ||||||
| Tohopekaliga, Florida, Water Authority, Utility System Revenue Bonds, Series | ||||||||
| B, 5%, 10/01/23 (d) | 1,000 | 967,370 | ||||||
| Village Center Community Development District, Florida, Recreational | ||||||||
| Revenue Bonds, Series A, 5%, 11/01/32 (a) | 10,000 | 7,828,000 | ||||||
| Village Community Development District Number 5, Florida, Special | ||||||||
| Assessment Bonds, Series A, 6.50%, 5/01/33 | 3,350 | 3,158,782 | ||||||
| 113,647,580 | ||||||||
| Illinois - 4.0% | Chicago, Illinois, Transit Authority, Capital Grant Receipts Revenue Bonds | |||||||
| (Federal Transit Administration Section 5309 Formula Funds), Series A, 6%, | ||||||||
| 6/01/26 (f) | 1,300 | 1,330,420 | ||||||
| Illinois State Toll Highway Authority Revenue Bonds, Series B, | ||||||||
| 5.50%, 1/01/33 | 3,000 | 2,876,280 | ||||||
| 4,206,700 | ||||||||
| Minnesota - 5.3% | Minneapolis, Minnesota, Health Care System, Revenue Refunding Bonds | |||||||
| (Fairview Health Services), Series B, 6.50%, 11/15/38 (f) | 5,680 | 5,498,183 | ||||||
| Nevada - 2.0% | Clark County, Nevada, Water Reclamation District, Limited Tax, GO, | |||||||
| 6%, 7/01/38 | 2,000 | 2,036,340 |
2
| BlackRock Insured Municipal Income Investment Trust | ||
| Schedule of Investments November 30, 2008 (Unaudited) | (Percentages shown are based on Net Assets) |
| Par | ||||||||
| State | Municipal Bonds | (000) | Value | |||||
| North Carolina - | Charlotte-Mecklenburg Hospital Authority, North Carolina, Health Care | |||||||
| 4.3% | System Revenue Bonds (Carolinas Healthcare System), VRDN, Series J, 1.75%, | |||||||
| 1/15/46 (b)(c)(d) | $ | 4,500 | $ | 4,500,000 | ||||
| Texas - 2.9% | Harris County, Texas, Health Facilities Development Corporation, Hospital | |||||||
| Revenue Refunding Bonds (Memorial Hermann Healthcare System), Series B, | ||||||||
| 7.125%, 12/01/31 | 500 | 491,950 | ||||||
| North Texas Tollway Authority, System Revenue Refunding Bonds, | ||||||||
| First Tier, Series K-1, 5.75%, 1/01/38 (f) | 1,500 | 1,407,540 | ||||||
| Tarrant County, Texas, Cultural Education Facilities Financing Corporation, | ||||||||
| Revenue Refunding Bonds (CHRISTUS Health), Series A, | ||||||||
| 6.50%, 7/01/37 (f) | 1,200 | 1,130,388 | ||||||
| 3,029,878 | ||||||||
| Total Municipal Bonds - 128.8% | 134,418,681 | |||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts (j) | ||||||||
| Florida - 36.3% | Florida State Board of Education, GO (Public Education Capital Outlay), | |||||||
| Series A, 5%, 6/01/27 (d) | 9,000 | 8,602,200 | ||||||
| Jacksonville, Florida, Sales Tax Revenue Bonds, 5%, 10/01/27 (a) | 3,930 | 3,754,211 | ||||||
| Jacksonville, Florida, Transit Revenue Bonds, 5%, 10/01/31 (a) | 9,500 | 8,621,085 | ||||||
| Palm Beach County, Florida, School Board, COP, Refunding, Series D, | ||||||||
| 5%, 8/01/28 (d) | 9,190 | 8,363,359 | ||||||
| Pinellas County, Florida, Sewer Revenue Bonds, 5%, 10/01/32 (d) | 9,500 | 8,568,495 | ||||||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts - 36.3% | 37,909,350 | |||||||
| Total Long-Term Investments (Cost - $191,647,951) - 165.1% | 172,328,031 | |||||||
| Short-Term Securities | Shares | |||||||
| CMA Florida Municipal Money Fund, 0.84% (k)(l) | 303,147 | 303,147 | ||||||
| Total Short-Term Securities (Cost - $303,147) - 0.3% | 303,147 | |||||||
| Total Investments (Cost - $191,951,098*) - 165.4% | 172,631,178 | |||||||
| Other Assets Less Liabilities - 1.5% | 1,568,194 | |||||||
| Liability for Trust Certificates, Including Interest Expense and | ||||||||
| Fees Payable - (24.4)% | (25,459,325 | ) | ||||||
| Preferred Shares, at Redemption Value - (42.5)% | (44,386,730 | ) | ||||||
| Net Assets Applicable to Common Shares - 100.0% | $ | 104,353,317 |
| * |
The cost and unrealized appreciation (depreciation) of investments as of November 30, 2008, as computed for federal income tax purposes, were as follows: |
| Aggregate cost | $ | 166,616,783 | ||||
| Gross unrealized appreciation | $ | 1,551,367 | ||||
| Gross unrealized depreciation | (20,756,970 | ) | ||||
| Net unrealized depreciation | $ | (19,205,603 | ) |
| (a) |
MBIA Insured. |
| (b) |
Variable rate security. Rate shown is as of report date. Maturity shown is the final maturity date. |
| (c) |
Security may have a maturity of more than one year at the time of issuance, but has variable rate and demand features that qualify it as a short-term security. |
| (d) |
FSA Insured. |
3
| BlackRock Insured Municipal Income Investment Trust |
| Schedule of Investments November 30, 2008 (Unaudited) |
| (e) |
U.S. government securities, held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par. |
| (f) |
Assured Guaranty Insured. |
| (g) |
AMBAC Insured. |
| (h) |
Represents a zero-coupon bond. Rate shown reflects the effective yield at the time of purchase. |
| (i) |
FGIC Insured. |
| (j) |
Securities represent bonds transferred to a tender option bond trust in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. |
| (k) |
Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
| Net | |||||
| Affiliate | Activity | Income | |||
| CMA Florida Municipal Money Fund | (3,975,598) | $ 27,706 |
| (l) |
Represents the current yield as of report date. |
Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:
Level 1 - price quotations in active markets/exchanges for identical securities
Level 2 - other observable inputs (including, but not limited to: quoted prices for 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 circumstance, to the extent observable inputs are not available (including the Trust's own assumption used in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust's policy regarding valuation of investments and other significant accounting policies, please refer to the Trust's most recent financial statements as contained in its annual report.
The following table summarizes the inputs used as of November 30, 2008 in determining the fair valuation of the Trusts' investments:
| Valuation | Investments in | ||||
| Inputs | Securities | ||||
| Level 1 | $ | 303,147 | |||
| Level 2 | 172,328,031 | ||||
| Level 3 | - | ||||
| Total | $ | 172,631,178 | |||
4
| Item 2 – | Controls and Procedures | |
| 2(a) – | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. | |
| 2(b) – | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | |
| Item 3 – | Exhibits | |
| Certifications – Attached hereto | ||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. | ||
| BlackRock Insured Municipal Income Investment Trust | ||
| By: | /s/ Donald C. Burke |
|
| Donald C. Burke | ||
| Chief Executive Officer of | ||
| BlackRock Insured Municipal Income Investment Trust | ||
| Date: | January 20, 2009 | |
| 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/ Donald C. Burke |
|
| Donald C. Burke | ||
| Chief Executive Officer (principal executive officer) of | ||
| BlackRock Insured Municipal Income Investment Trust | ||
| Date: | January 20, 2009 | |
| By: | /s/ Neal J. Andrews |
|
| Neal J. Andrews | ||
| Chief Financial Officer (principal financial officer) of | ||
| BlackRock Insured Municipal Income Investment Trust | ||
| Date: | January 20, 2009 | |