BlackRock Virginia Municipal Bond Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21053

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

 

Registrant’s

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

Date of fiscal year end: 08/31/2019

Date of reporting period: 02/28/2019


Item 1 – Report to Stockholders


FEBRUARY 28, 2019

 

SEMI-ANNUAL REPORT (UNAUDITED)

  LOGO

 

BlackRock Maryland Municipal Bond Trust (BZM)

BlackRock Massachusetts Tax-Exempt Trust (MHE)

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

BlackRock New 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)

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended February 28, 2019, concerns about a variety of political risks and a modest slowdown in global growth led to modest positive returns for the U.S. equity and bond markets. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities.

Volatility in the U.S. equity market spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed income securities delivered modest positive returns with relatively low volatility. In fixed income markets, short-term U.S. Treasury interest rates rose the fastest, while longer-term rates declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

The U.S. Federal Reserve (the “Fed”) increased short-term interest rates four times during the reporting period. At its most recent meeting in late January, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates.

Although fears of recession drove equity volatility higher at the end of 2018, we continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.

In addition, trade frictions look more baked into asset prices than a year ago, but markets may be overlooking European political risks. As Brexit moves forward, the U.K. and the European Union may face significant obstacles. Most recently, Britain’s Parliament voted to extend the deadline for the separation, as policy makers continue to seek the least disruptive ways to disentangle Europe’s second-largest economy from the European Union. Consequently, we are cautious on European equities, as European unity remains tenuous with a history of flare-ups. We continue to prefer to take risk in U.S. and emerging market equities. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 28, 2019
     6-month   12-month

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

  (3.04)%   4.68%

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

  (8.86)   5.58

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

  (3.58)   (6.04)

Emerging market equities
(MSCI Emerging Markets Index)

  0.33   (9.89)

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

  1.10   2.04

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

  2.57   4.02

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

  1.99   3.17

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

  2.21   4.03

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

  2.00   4.31
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Municipal Market Overview

     4  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Trust Summaries

     6  

Financial Statements:

  

Schedules of Investments

     20  

Statements of Assets and Liabilities

     53  

Statements of Operations

     55  

Statements of Changes in Net Assets

     57  

Statements of Cash Flows

     61  

Financial Highlights

     63  

Notes to Financial Statements

     70  

Trustee and Officer Information

     80  

Additional Information

     81  

Glossary of Terms Used in this Report

     83  

 

 

          3  


Municipal Market Overview  For the Reporting Period Ended February 28, 2019

 

Municipal Market Conditions

Municipal bonds experienced positive performance during the period, despite challenged total returns during most of 2018 as interest rates moved higher on the back of continued Fed policy normalization, fiscal stimulus, strong economic growth, and increased U.S. Treasury issuance. Performance turned stronger late in the year, with interest rates rallying as the Fed began to indicate a pivot from forecast based to data driven policy and the potential for a slower pace of future rate hikes. During the period, demand for the asset class remained firm, although it displayed some bouts of volatility. Broadly, investors favored the tax-exempt income, diversification, quality, and value of municipal bonds given that tax reform ultimately lowered the top individual tax rate just 2.6% while eliminating deductions. During the 12 months ended February 28, 2019, municipal bond funds experienced net inflows of approximately $14.4 billion (based on data from the Investment Company Institute).

 

 

For the same 12-month period, total new issuance underwhelmed from a historical perspective at $323 billion (below the $389 billion issued in the prior 12-month period), a direct result of the elimination of advanced refundings through the 2017 Tax Cuts and Jobs Act. This shift transitioned the market from an existing net positive supply environment to a much more favorable net negative supply environment in which reinvestment income (coupons, calls, and maturities) largely outstripped gross issuance and provided a powerful technical tailwind.

  S&P Municipal Bond Index
  Total Returns as of February 28, 2019
    6 months: 2.21%
  12 months: 4.03%
 

A Closer Look at Yields

 

LOGO

From February 28, 2018 to February 28, 2019, yields on AAA-rated 30-year municipal bonds decreased by eight basis points (“bps”) from 3.06% to 2.98%, while ten-year rates decreased by 37 bps from 2.47% to 2.10% and five-year rates decreased by 30 bps from 1.97% to 1.67% (as measured by Thomson Municipal Market Data). The municipal yield curve flattened modestly over the 12-month period with the spread between two- and 30-year maturities flattening by 14 bps, led by 43 bps of flattening between two- and ten-year maturities. Notably, the municipal yield curve remains nearly 2.5 times steeper than the U.S. Treasury curve.

During the same time period, on a relative basis, tax-exempt municipal bonds strongly outperformed U.S. Treasuries, driven by the front and intermediate portions of the yield curve. The relative positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income, incremental yield, and tax shelter in an environment where opportunities became increasingly scarce. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized problems among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — continue to exhibit improved credit fundamentals. However, several states with the largest unfunded pension liabilities are faced with elevated borrowing costs and difficult budgetary decisions. Across the country on the local level, property values support credit stability. Standard & Poor’s decision to remove its “negative” outlook on New Mexico underscores the improvement in state finances as it was the only remaining state with the designation. Revenue bonds continue to drive performance as investors continue to seek higher yield bonds in the tobacco sector. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of February 28, 2019 and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (“AMT”). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the AMT. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

 

4    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


The Benefits and Risks of Leveraging

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

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

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

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

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

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

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), then the TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      5  


Trust Summary  as of February 28, 2019    BlackRock Maryland Municipal Bond Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  BZM

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2019 ($13.92)(a)

  4.09%

Tax Equivalent Yield(b)

  7.65%

Current Monthly Distribution per Common Share(c)

  $0.0474

Current Annualized Distribution per Common Share(c)

  $0.5688

Economic Leverage as of February 28, 2019(d)

  38%

 

  (a) 

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 46.55%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c) 

The distribution rate is not constant and is subject to change.

 
  (d) 

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BZM(a)(b)

    1.70      1.13

Lipper Other States Municipal Debt Funds(c)

    2.86        1.95  

 

  (a)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b)

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Maryland municipal bonds finished slightly ahead of the national index. Scarcity of issuance was an important driver of positive relative returns, although the state’s BBB rated and high yield issues underperformed somewhat. Demand for Maryland’s debt remained robust due to the state and local tax cap instituted in the 2017 federal tax reform bill.

The Trust benefited from its positions in the health care and education sectors. Positions in higher-quality AA and A rated bonds, which outperformed the lower-rated categories, were a further plus. Conversely, the Trust’s allocations to high-yield issues (those with ratings of BB and below) detracted.

Positions in bonds with maturities between three and ten years, which significantly outperformed longer-term issues during the period, were notable contributors to performance.

The Trust’s holdings in securities with shorter call dates also outperformed, reflecting the high demand for their relatively shorter duration in the latter part of the period. (Duration is a measure of interest rate sensitivity.)

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

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

 

 

6    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock Maryland Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     02/28/19      08/31/18      Change      High      Low  

Market Price

  $ 13.92      $ 14.04        (0.85 )%     $ 14.60      $ 12.61  

Net Asset Value

    14.69        14.90        (1.41      14.90        14.41  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

  02/28/19     08/31/18  

Health

    33     29

County/City/Special District/School District

    19       16  

Education

    16       19  

Transportation

    14       13  

Utilities

    9       13  

Housing

    7       8  

Corporate

    1       1  

State

    1        

Tobacco

    (a)      1  

 

  (a) 

Representing less than 1% of the Fund’s total investments.

 

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    10

2020

    3  

2021

    8  

2022

    22  

2023

    2  

 

  (c)

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

Credit Rating

 

02/28/19

    08/31/18  

AAA/Aaa

    8     7

AA/Aa

    28       29  

A

    30       30  

BBB/Baa

    13       15  

BB/Ba

    4       4  

B/B

    5       5  

N/R

    12       10  

 

  (b)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
 

 

 

TRUST SUMMARY      7  


Trust Summary  as of February 28, 2019    BlackRock Massachusetts Tax-Exempt Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  MHE

Initial Offering Date

  July 23, 1993

Yield on Closing Market Price as of February 28, 2019 ($12.28)(a)

  4.30%

Tax Equivalent Yield(b)

  7.95%

Current Monthly Distribution per Common Share(c)

  $0.044

Current Annualized Distribution per Common Share(c)

  $0.528

Economic Leverage as of February 28, 2019(d)

  40%

 

  (a) 

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 45.9%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c) 

The distribution rate is not constant and is subject to change.

 
  (d) 

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MHE(a)(b)

    1.40      1.46

Lipper Other States Municipal Debt Funds(c)

    2.86        1.95  

 

  (a)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b)

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Massachusetts municipal bonds finished slightly ahead of the national index. Scarcity of issuance was an important driver of positive relative returns, although the state’s BBB rated issues underperformed somewhat. Demand for Massachusetts debt remained robust due to the state and local tax cap instituted in the 2017 federal tax reform bill.

The Trust benefited from its positions in the tax-backed state and education sectors. In the latter sector, positions in BBB rated issues were notable contributors. Positions in higher-quality AA and A rated bonds, which outperformed the lower-rated categories, were a further plus. Conversely, the Trust’s allocation to high-yield issues (those with ratings of BB and below) with above-average duration detracted. (Duration is a measure of interest-rate sensitivity.)

Bonds with maturities of three to ten years significantly outpaced longer-term issues. In this environment, the Trust’s positions in pre-refunded bonds outperformed due to their short-dated maturities. Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

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

 

 

8    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock Massachusetts Tax-Exempt Trust

 

Market Price and Net Asset Value Per Share Summary

 

      02/28/19     08/31/18      Change      High      Low  

Market Price

   $ 12.28     $ 12.38        (0.81 )%     $ 12.83      $ 11.09  

Net Asset Value

     13.23       13.33        (0.75      13.33        12.85  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

02/28/19

   

08/31/18

 

Education

    40     41

State

    24       21  

Transportation

    15       15  

Health

    15       15  

Housing

    4       5  

County/City/Special District/School District

    2       2  

Tobacco

    (a)       1  

 

  (a) 

Representing less than 1% of the Fund’s total investments.

 

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    13

2020

    12  

2021

    8  

2022

    14  

2023

    1  

 

  (c)

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (b)

 

Credit Rating

 

02/28/19

    08/31/18  

AAA/Aaa

    6     7

AA/Aa

    62       60  

A

    10       11  

BBB/Baa

    16       15  

BB/Ba

    (a)       1  

N/R

    6       6  

 

  (b)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
 

 

 

TRUST SUMMARY      9  


Trust Summary  as of February 28, 2019    BlackRock MuniHoldings New York Quality Fund, Inc.

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  MHN

Initial Offering Date

  September 19, 1997

Yield on Closing Market Price as of February 28, 2019 ($12.51)(a)

  4.27%

Tax Equivalent Yield(b)

  8.48%

Current Monthly Distribution per Common Share(c)

  $0.0445

Current Annualized Distribution per Common Share(c)

  $0.5340

Economic Leverage as of February 28, 2019(d)

  40%

 

  (a) 

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 49.62%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c) 

The distribution rate is not constant and is subject to change.

 
  (d) 

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MHN(a)(b)

    3.54      2.43

Lipper New York Municipal Debt Funds(c)

    5.06        1.85  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

New York municipal bonds performed in line with the national indexes. While New York continued to benefit from a broad and diverse economic base, a tax revenue shortfall — possibly driven by changes stemming from the federal Tax Cuts and Jobs Act — had an adverse impact on investor sentiment. In addition to making revenue forecasting more of a challenge, the tax-law changes made New York’s tax structure less competitive relative to lower-tax states. The state’s municipal market was also affected by above-average new-issue supply.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices. However, the increasing cost of leverage — which was a result of the Fed’s interest rate hikes — reduced some of the contribution.

The Trust’s holdings in housing issues performed well due to the sector’s sensitivity to interest-rate movements. Positions in the transportation, tax-backed and education sectors also made positive contributions to performance.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

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

 

 

10    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock MuniHoldings New York Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     

02/28/19

    08/31/18      Change      High      Low  

Market Price

   $ 12.51     $ 12.35        1.30    $ 12.56      $ 11.63  

Net Asset Value

     14.30       14.27        0.21        14.31        13.80  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

 

02/28/19

   

08/31/18

 

Transportation

    26     26

County/City/Special District/School District

    17       16  

Education

    16       16  

State

    14       19  

Utilities

    13       12  

Health

    6       6  

Housing

    5       2  

Corporate

    2       2  

Tobacco

    1       1  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    6

2020

    7  

2021

    14  

2022

    10  

2023

    10  

 

  (c)

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

Credit Rating  

02/28/19

   

08/31/18

 

AAA/Aaa

    8     19

AA/Aa

    57       48  

A

    23       23  

BBB/Baa

    7       5  

N/R(b)

    5       5  

 

  (a)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (b)

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 3% and 4%, respectively, of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      11  


Trust Summary  as of February 28, 2019    BlackRock New York Municipal Bond Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  BQH

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2019 ($13.60)(a)

  4.06%

Tax Equivalent Yield(b)

  8.06%

Current Monthly Distribution per Common Share(c)

  $0.0460

Current Annualized Distribution per Common Share(c)

  $0.5520

Economic Leverage as of February 28, 2019(d)

  41%

 

  (a)

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b)

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 49.62%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c)

The monthly distribution per Common Share, declared on March 1, 2019, was increased to $0.048 per share. The current yield on closing market price, tax equivalent yield, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 
  (d)

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BQH(a)(b)

    6.77      2.07

Lipper New York Municipal Debt Funds(c)

    5.06        1.85  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

New York municipal bonds performed in line with the national indexes. While New York continued to benefit from a broad and diverse economic base, a tax revenue shortfall — possibly driven by changes stemming from the federal Tax Cuts and Jobs Act — had an adverse impact on investor sentiment. In addition to making revenue forecasting more of a challenge, the tax-law changes made New York’s tax structure less competitive relative to lower-tax states. The state’s municipal market was also affected by above-average new-issue supply.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices. However, the rising cost of leverage — which was a result of the Fed’s interest rate increases — reduced some of the benefit.

At the sector level, positions in education, project finance and utilities issues helped performance. The Trust benefited from its positions in higher-quality bonds, as its holdings in the AA and A rated categories performed well relative to lower-rated securities.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

Positions in longer-dated maturities, while producing positive absolute returns, underperformed shorter-maturity issues.

 

 

12    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock New York Municipal Bond Trust

 

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

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

Market Price and Net Asset Value Per Share Summary

 

     

02/28/19

    08/31/18      Change      High      Low  

Market Price

   $ 13.60     $ 13.01        4.53    $ 13.60      $ 12.31  

Net Asset Value

     15.38       15.39        (0.06      15.40        14.86  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector

  02/28/19    

08/31/18

 

County/City/Special District/School District

    24     23

Education

    20       22  

Transportation

    17       17  

Utilities

    12       11  

Health

    9       10  

State

    8       7  

Housing

    5       3  

Tobacco

    3       3  

Corporate

    2       4  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    6

2020

    7  

2021

    19  

2022

    14  

2023

    10  

 

  (c) 

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

Credit Rating

 

02/28/19

    08/31/18  

AAA/Aaa

    8     10

AA/Aa

    51       41  

A

    21       27  

BBB/Baa

    6       9  

BB/Ba

    2       2  

B/B

    2       1  

N/R(b)

    10       10  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (b)

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 3% and 4%, respectively, of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      13  


Trust Summary  as of February 28, 2019    BlackRock New York Municipal Income Quality Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  BSE

Initial Offering Date

  October 31, 2002

Yield on Closing Market Price as of February 28, 2019 ($12.59)(a)

  3.86%

Tax Equivalent Yield(b)

  7.66%

Current Monthly Distribution per Common Share(c)

  $0.0405

Current Annualized Distribution per Common Share(c)

  $0.4860

Economic Leverage as of February 28, 2019(d)

  40%

 

  (a)

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b)

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 49.62%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c)

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (d)

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BSE(a)(b)

    1.50      2.34

Lipper New York Municipal Debt Funds(c)

    5.06        1.85  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

New York municipal bonds performed in line with the national indexes. While New York continued to benefit from a broad and diverse economic base, a tax revenue shortfall — possibly driven by changes stemming from the federal Tax Cuts and Jobs Act — had an adverse impact on investor sentiment. In addition to making revenue forecasting more of a challenge, the tax-law changes made New York’s tax structure less competitive relative to lower-tax states. The state’s municipal market was also affected by above-average new-issue supply.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices. However, the rising cost of leverage — which was a result of the Fed’s interest rate increases — reduced some of the benefit.

At the sector level, positions in education, local tax-backed and utilities issues helped performance. The Trust benefited from its higher-quality mandate, as its holdings in the AA and A rated categories performed well relative to lower-rated securities.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

Positions in longer-dated maturities, while producing positive absolute returns, underperformed shorter-maturity issues.

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

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

 

 

14    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock New York Municipal Income Quality Trust

 

Market Price and Net Asset Value Per Share Summary

 

      02/28/19     08/31/18      Change      High      Low  

Market Price

   $ 12.59     $ 12.65        (0.47 )%     $ 12.84      $ 11.84  

Net Asset Value

     14.40       14.35        0.35        14.41        13.89  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector   02/28/19     08/31/18  

Education

    22     23

County/City/Special District/School District

    20       18  

Transportation

    17       16  

Utilities

    17       16  

State

    12       16  

Health

    7       7  

Housing

    4       3  

Tobacco

    1       1  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    4

2020

    3  

2021

    23  

2022

    9  

2023

    14  

 

  (c) 

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

Credit Rating  

02/28/19

    08/31/18  

AAA/Aaa

    12     17

AA/Aa

    57       50  

A

    26       27  

BBB/Baa

    2       2  

N/R(b)

    3       4  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (b) 

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      15  


Trust Summary  as of February 28, 2019    BlackRock New York Municipal Income Trust II

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  BFY

Initial Offering Date

  July 30, 2002

Yield on Closing Market Price as of February 28, 2019 ($13.10)(a)

  4.49%

Tax Equivalent Yield(b)

  8.91%

Current Monthly Distribution per Common Share(c)

  $0.0490

Current Annualized Distribution per Common Share(c)

  $0.5880

Economic Leverage as of February 28, 2019(d)

  41%

 

  (a)

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b)

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 49.62%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c)

The distribution rate is not constant and is subject to change.

 
  (d)

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
     Market Price      NAV  

BFY(a)(b)

    4.98      2.06

Lipper New York Municipal Debt Funds(c)

    5.06        1.85  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

New York municipal bonds performed in line with the national indexes. While New York continued to benefit from a broad and diverse economic base, a tax revenue shortfall — possibly driven by changes stemming from the federal Tax Cuts and Jobs Act — had an adverse impact on investor sentiment. In addition to making revenue forecasting more of a challenge, the tax-law changes made New York’s tax structure less competitive relative to lower-tax states. The state’s municipal market was also affected by above-average new-issue supply.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices. However, the rising cost of leverage — which was a result of the Fed’s interest rate increases — reduced some of the benefit.

At the sector level, positions in tax-backed, utilities and transportation issues helped performance. The Trust benefited from its positions in higher-quality bonds, as its holdings in the AA and A rated categories performed well relative to lower-rated securities.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

Positions in longer-dated maturities, while producing positive absolute returns, underperformed shorter-maturity issues.

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

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

 

 

16    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock New York Municipal Income Trust II

 

Market Price and Net Asset Value Per Share Summary

 

     

02/28/19

    08/31/18      Change      High      Low  

Market Price

   $ 13.10     $ 12.77        2.58    $ 13.15      $ 12.15  

Net Asset Value

     14.93       14.97        (0.27      14.97        14.46  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector  

02/28/19

   

08/31/18

 

County/City/Special District/School District

    23     19

Transportation

    20       20  

Education

    15       17  

State

    11       13  

Utilities

    11       11  

Health

    8       8  

Housing

    6       5  

Tobacco

    3       3  

Corporate

    3       4  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    9

2020

    5  

2021

    21  

2022

    6  

2023

    12  

 

  (c)

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

Credit Rating  

02/28/19

   

08/31/18

 

AAA/Aaa

    9     17

AA/Aa

    49       42  

A

    26       28  

BBB/Baa

    5       6  

BB/Ba

    2       3  

B

    2       1  

N/R(b)

    7       3  

 

  (a)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (b)

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2019 and August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      17  


Trust Summary  as of February 28, 2019    BlackRock Virginia Municipal Bond Trust

 

Trust Overview

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

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

Trust Information

 

Symbol on NYSE

  BHV

Initial Offering Date

  April 30, 2002

Yield on Closing Market Price as of February 28, 2019 ($16.20)(a)

  3.96%

Tax Equivalent Yield(b)

  7.41%

Current Monthly Distribution per Common Share(c)

  $0.0535

Current Annualized Distribution per Common Share(c)

  $0.6420

Economic Leverage as of February 28, 2019(d)

  42%

 

  (a)

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 
  (b)

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 46.55%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 
  (c)

The distribution rate is not constant and is subject to change.

 
  (d)

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance

Returns for the six months ended February 28, 2019 were as follows:

 

    Returns Based On  
    

Market Price

    

NAV

 

BHV(a)(b)

    0.05      1.04

Lipper Other States Municipal Debt Funds(c)

    2.86        1.95  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

The Trust’s premium to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s absolute performance based on NAV:

After performing poorly in September and October, municipal bonds recovered to post a positive total return for the full six-month period. The initial downturn was largely brought about by concerns that the Fed would raise interest rates aggressively in 2019. However, subsequent signs of slowing growth prompted investors to adjust their expectations in favor of more accommodative Fed policy, sparking a rally across the bond market from early November onward.

Virginia municipal bonds finished slightly ahead of the national index. Scarcity of issuance was an important driver of positive relative returns, although the state’s BBB rated and high yield issues underperformed somewhat. Demand for Virginia’s debt remained robust due to the state and local tax cap instituted in the 2017 federal tax reform bill.

The Trust benefited from its positions in the tax-backed local and pre-refunded/escrow sectors. Conversely, its exposure to the tobacco sector was a modest detractor due to the Food and Drug Administration’s announcement of its intention to ban menthol cigarettes, which could lead to a larger-than-expected decline in consumption and reduced payments in accordance to the Master Settlement Agreement. After initially selling off on the news, tobacco issues regained much of the lost ground by the close of the period. The Trust maintained its position in the sector due to its above-average yields.

Bonds with maturities of three to ten years significantly outpaced longer-term issues. In this environment, the Trust’s positions in pre-refunded bonds outperformed due to their short-dated maturities. The Trust’s allocation to zero-coupon bonds in this part of the yield curve was also a notable outperformer. Positions in higher-quality AA and A rated bonds, which outperformed the lower-rated categories, were a further plus.

Portfolio income, enhanced by leverage, was a key contributor to absolute returns. The use of leverage further aided results by augmenting the effect of rising bond prices.

The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy had a small, negative effect on returns.

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

 

 

18    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Trust Summary  as of February 28, 2019 (continued)    BlackRock Virginia Municipal Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

     

02/28/19

    08/31/18      Change      High      Low  

Market Price

   $ 16.20     $ 16.56        (2.17 )%     $ 19.75      $ 13.67  

Net Asset Value

     14.79       14.97        (1.20      14.97        14.48  

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

 

LOGO

Overview of the Trust’s Total Investments*

 

SECTOR ALLOCATION

 

Sector  

02/28/19

    08/31/18  

Health

    26     28

Transportation

    25       33  

County/City/Special District/School District

    19       16  

Education

    13       12  

Housing

    8       6  

Utilities

    4        

Tobacco

    3       3  

State

    2       1  

Corporate

          1  

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

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2019

    13

2020

    16  

2021

    6  

2022

    10  

2023

    6  

 

  (c)

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 
  *

Excludes short-term securities.

 

CREDIT QUALITY ALLOCATION (a)

 

Credit Rating  

02/28/19

   

08/31/18

 

AAA/Aaa

    10     7

AA/Aa

    42       39  

A

    7       11  

BBB/Baa

    4       4  

BB/Ba

    2       2  

B

    3       3  

N/R

    32       34 (b) 

 

  (a)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (b)

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of August 31, 2018, the market value of unrated securities deemed by the investment adviser to be investment grade represents 9% of the Trust’s total investments.

 
 

 

 

TRUST SUMMARY      19  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 140.0%

 

Maryland — 138.5%

 

Corporate — 1.9%  

Maryland EDC, Refunding RB:

   

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

  $ 320     $ 329,059  

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

    250       250,810  
   

 

 

 
      579,869  
County/City/Special District/School District — 24.4%  

City of Baltimore Maryland, Refunding RB:

   

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

    750       808,027  

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

    250       262,885  

County of Anne Arundel Maryland, GOL, 5.00%, 10/01/43

    1,745       2,005,930  

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

    500       553,265  

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

    250       250,798  

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

    250       250,470  

County of Howard Maryland, Tax Allocation Bonds:

   

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

    250       254,247  

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

    500       501,170  

County of Prince George’s Maryland:

   

Special Obligation, Remarketing, National Harbor Project, 5.20%, 07/01/34

    1,347       1,351,553  

Tax Allocation Bonds, Westphalia Town Center Project, 5.25%, 07/01/48(a)

    300       305,289  

Washington Suburban Sanitary Commission, GO, Consolidated Public Improvement Bonds, Second Series, 4.00%, 06/01/41

    875       910,289  
   

 

 

 
      7,453,923  
Education — 25.8%  

County of Anne Arundel Maryland, Refunding RB, Maryland Economic Development, Anne Arundel Community College Project, 3.25%, 09/01/28

    360       369,036  

Maryland EDC, Refunding RB:

   

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

    500       520,745  

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

    1,350       1,503,819  

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

    500       528,815  

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

    1,000       1,036,470  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

   

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

    100       102,169  

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

    1,000       1,080,950  

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

    10       10,390  

LifeBridge Health Issue, 5.00%, 07/01/34

    510       581,058  

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

    900       976,671  

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

    500       540,200  

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

    610       626,299  
   

 

 

 
      7,876,622  
Health — 50.5%  

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

    250       257,740  

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

    500       518,460  

County of Montgomery Maryland, RB, Trinity Health Credit Group:

   

5.00%, 12/01/45

    750       836,932  

4.00%, 12/01/44

    750       760,403  
Security   Par
(000)
    Value  
Health (continued)  

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

  $ 1,000     $ 1,075,440  

Maryland Health & Higher Educational Facilities Authority, RB:

   

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

    1,000       1,067,480  

Medstar Health Issue, Series A, 5.00%, 05/15/42

    160       175,941  

Trinity Health Credit Group, Series 2017, 5.00%, 12/01/46

    250       281,645  

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

    300       304,761  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

   

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

    1,000       1,010,720  

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

    1,000       1,080,450  

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

    500       545,395  

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

    1,250       1,260,700  

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

    500       511,455  

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

    1,000       1,087,010  

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

    1,000       1,075,680  

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

    700       757,743  

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

    200       222,948  

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

    500       507,815  

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

    1,000       1,011,280  

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

    1,000       1,075,970  
   

 

 

 
      15,425,968  
Housing — 11.3%  

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

   

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

    500       549,665  

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

    550       583,765  

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

    500       503,080  

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

    1,220       1,227,088  

Maryland Community Development Administration, RB, M/F Housing, 3.70%, 07/01/35

    500       504,510  

Maryland Community Development Administration, Refunding RB, S/F Housing, Series A, 4.10%, 09/01/38

    100       102,741  
   

 

 

 
      3,470,849  
Transportation — 15.1%  

Maryland EDC, RB(b):

   

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

    500       525,140  

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

    500       525,140  

Maryland EDC, Refunding RB, Transportation Facilities Project, Series A, 5.00%, 06/01/35

    100       112,681  

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

    1,000       1,004,900  

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

    1,925       1,978,226  

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

    445       483,947  
   

 

 

 
      4,630,034  
Utilities — 9.5%  

City of Baltimore Maryland, RB:

   

Sub-Water Projects, Series A, 5.00%, 07/01/41

    100       112,297  

Sub-Water Projects, Series A, 5.00%, 07/01/46

    495       554,702  

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

    1,000       1,117,220  

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

    1,000       1,112,400  
   

 

 

 
      2,896,619  
   

 

 

 

Total Municipal Bonds in Maryland

 

    42,333,884  
   

 

 

 
 

 

 

20    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Maryland Municipal Bond Trust (BZM)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Puerto Rico — 1.5%  
State — 0.9%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

  $ 3     $ 2,996  

4.75%, 07/01/53

    71       65,197  

5.00%, 07/01/58

    211       200,039  
   

 

 

 
      268,232  
Tobacco — 0.6%  

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

    200       202,088  
   

 

 

 

Total Municipal Bonds — 140.0%
(Cost — $41,783,390)

 

    42,804,204  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(c)

 

Maryland — 10.2%

 

County/City/Special District/School District — 5.6%  

State of Maryland Stadium Authority, RB, Construction and Revitalization Program, 5.00%, 05/01/42

    1,500       1,700,730  
   

 

 

 
Utilities — 4.6%  

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

    1,269       1,422,988  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts in Maryland

 

    3,123,718  
   

 

 

 
Washington — 7.6%  
Transportation — 7.6%  

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

    2,045       2,321,007  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 17.8%
(Cost — $5,418,696)

 

    5,444,725  
   

 

 

 

Total Long-Term Investments — 157.8%
(Cost — $47,202,086)

 

    48,248,929  
   

 

 

 
         
Shares
    Value  
Short-Term Securities — 2.8%  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 1.55%(d)(e)

    840,471     $ 840,555  
   

 

 

 

Total Short-Term Securities — 2.8%
(Cost — $840,555)

 

    840,555  
   

 

 

 

Total Investments — 160.6%
(Cost — $48,042,641)

 

    49,089,484  

Other Assets Less Liabilities — 1.4%

 

    423,319  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (9.8)%

 

    (3,009,354

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (52.2)%

 

    (15,938,872
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 30,564,577  
   

 

 

 

 

(a) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(d) 

Annualized 7-day yield as of period end.

 
(e) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     273,831        566,640        840,471      $ 840,555      $ 8,333      $ 138      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     5          06/19/19        $ 610        $ 3,150  

Long U.S. Treasury Bond

     15          06/19/19          2,167          24,688  

5-Year U.S. Treasury Note

     4          06/28/19          458          1,369  
                 

 

 

 
                  $ 29,207  
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 29,207      $      $ 29,207  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (45,538    $      $ (45,538
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 24,598      $      $ 24,598  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 2,925,152  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 48,248,929        $        $ 48,248,929  

Short-Term Securities

     840,555                            840,555  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 840,555        $ 48,248,929        $             —        $ 49,089,484  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

22    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Maryland Municipal Bond Trust (BZM)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 29,207        $             —        $             —        $ 29,207  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

                 

TOB Trust Certificates

   $             —        $ (2,999,064      $             —        $ (2,999,064

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (18,999,064      $        $ (18,999,064
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 152.9%

 

Massachusetts — 151.3%

 

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

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

  $ 1,000     $ 1,105,950  
   

 

 

 
Education — 59.2%  

Massachusetts Development Finance Agency, RB:

   

Emerson College Issue, Series A, 5.00%, 01/01/47

    1,000       1,079,940  

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

    500       550,615  

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

    250       267,485  

Merrimack College, 5.00%, 07/01/47

    550       588,924  

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

    500       532,875  

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

    1,000       1,064,070  

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

    200       214,786  

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

    1,950       2,111,733  

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

    500       540,010  

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

    650       863,928  

Massachusetts Development Finance Agency, Refunding RB:

   

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

    1,500       1,767,285  

Emerson College, 5.00%, 01/01/41

    500       533,100  

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

    200       205,596  

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

    250       274,250  

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

    150       158,673  

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

    1,000       1,043,680  

Series A, 5.00%, 07/01/44

    250       275,018  

Suffolk University, 4.00%, 07/01/39

    500       501,435  

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

    1,675       1,751,229  

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

    1,000       1,117,790  

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

    195       195,846  

Massachusetts Health & Educational Facilities Authority, RB, Berklee College of Music, Inc., Series A, 5.00%, 10/01/37

    70       70,187  

Massachusetts Health & Educational Facilities Authority, Refunding RB:

   

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

    500       548,525  

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

    500       512,235  

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

    1,000       1,252,740  

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

    500       547,360  
   

 

 

 
      18,569,315  
Health — 22.6%  

Massachusetts Development Finance Agency, Refunding RB:

   

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

    500       500,840  

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

    500       511,810  

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

    550       506,170  

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

    995       1,067,864  

Partners Healthcare, Series L, 5.00%, 07/01/36

    5       5,321  

Wellesley College Issue, Series L, 4.00%, 07/01/44

    250       260,447  

Western New England University, 5.00%, 09/01/43

    500       547,980  

Massachusetts Health & Educational Facilities Authority, RB:

   

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

    1,000       1,023,320  

Children’s Hospital, Series M, 5.25%, 12/01/19(a)

    600       615,750  

Children’s Hospital, Series M, 5.50%, 12/01/19(a)

    500       514,045  

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

    500       504,785  
Security   Par
(000)
    Value  
Health (continued)  

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

  $ 1,000     $ 1,040,320  
   

 

 

 
      7,098,652  
Housing — 6.4%  

Massachusetts Housing Finance Agency, RB, M/F Housing, Series A:

   

3.80%, 12/01/43

    500       494,340  

(FHA), 5.25%, 12/01/35

    185       191,871  

Massachusetts Housing Finance Agency, Refunding RB, AMT:

   

Series A, 4.50%, 12/01/47

    500       510,040  

Series C, 5.00%, 12/01/30

    160       160,776  

Series C, 5.35%, 12/01/42

    645       648,296  
   

 

 

 
      2,005,323  
State — 34.5%  

Commonwealth of Massachusetts, GO:

   

Series C, 5.00%, 07/01/45

    1,000       1,113,970  

Series G, 4.00%, 09/01/42

    1,000       1,031,100  

Massachusetts Bay Transportation Authority, Refunding RB:

   

Senior Series A, 5.25%, 07/01/29

    730       931,152  

Sub-Series A-2, 5.00%, 07/01/45

    2,240       2,531,290  

Massachusetts School Building Authority, RB:

   

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

    500       549,825  

Series B, 5.00%, 10/15/41

    1,000       1,067,320  

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

    2,500       2,515,725  

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

    825       1,078,225  
   

 

 

 
      10,818,607  
Transportation — 25.1%  

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

    1,000       1,106,520  

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

    500       537,045  

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

   

5.00%, 01/01/32

    1,120       1,147,608  

5.00%, 01/01/37

    1,000       1,023,730  

Massachusetts Port Authority, RB, AMT:

   

Series A, 5.00%, 07/01/42

    1,000       1,073,330  

Series B, 5.00%, 07/01/45

    1,750       1,910,440  

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

    1,000       1,066,460  
   

 

 

 
      7,865,133  
   

 

 

 

Total Municipal Bonds in Massachusetts

 

    47,462,980  
   

 

 

 

Puerto Rico — 1.6%

 

State — 0.9%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    3       2,996  

4.75%, 07/01/53

    75       68,871  

5.00%, 07/01/58

    223       211,415  
   

 

 

 
      283,282  
Tobacco — 0.7%  

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

    215       217,244  
   

 

 

 

Total Municipal Bonds in Puerto Rico

 

    500,526  
   

 

 

 

Total Municipal Bonds — 152.9%
(Cost — $45,749,967)

 

    47,963,506  
   

 

 

 
 

 

 

24    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts(c) — 12.1%

 

Massachusetts — 12.1%

 

Education — 7.2%  

Massachusetts School Building Authority, RB, Senior Series B, 5.00%, 11/15/46(d)

  $ 2,000     $ 2,255,680  
   

 

 

 
Health — 1.4%  

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

    430       450,032  
   

 

 

 
State — 3.5%  

Commonwealth of Massachusetts, GO, Series A, 5.00%, 03/01/46

    1,001       1,104,492  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 12.1%
(Cost — $3,802,894)

 

    3,810,204  
   

 

 

 

Total Long-Term Investments — 165.0%
(Cost — $49,552,861)

 

    51,773,710  
   

 

 

 

Total Investments — 165.0%
(Cost — $49,552,861)

 

    51,773,710  

Other Assets Less Liabilities — 1.6%

 

    513,922  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (7.9)%

 

    (2,479,406

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (58.7)%

 

    (18,429,431
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 31,378,795  
   

 

 

 

 

(a) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(b) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(d) 

All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on November 15, 2024, is $1,551,389. See Note 4 of the Notes to Financial Statements for details.

 
 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class*

     427,577        (427,577           $      $ 5,202      $ 146      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  *

No longer held by the Trust as of period end.

 
  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     6          06/19/19        $ 732        $ 3,802  

Long U.S. Treasury Bond

     14          06/19/19          2,023          23,042  

5-Year U.S. Treasury Note

     3          06/28/19          344          1,026  
                 

 

 

 
                  $ 27,870  
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Massachusetts Tax-Exempt Trust (MHE)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

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

Assets — Derivative Financial Instruments

                    

Futures Contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 27,870      $      $ 27,870  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures, contracts if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (46,837    $      $ (46,837
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 23,838      $      $ 23,838  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 2,786,684  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 51,773,710        $             —        $ 51,773,710  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 27,870        $        $        $ 27,870  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each state.

 
  (b) 

Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

                 

TOB Trust Certificates

   $             —        $ (2,465,858      $             —        $ (2,465,858

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (20,965,858      $        $ (20,965,858
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

26    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 141.9%

 

New York — 141.6%

 

Corporate — 2.5%  

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

  $ 820     $ 876,678  

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

    8,445       10,352,641  
   

 

 

 
      11,229,319  
County/City/Special District/School District — 25.6%  

City of New York, GO, Refunding:

   

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

    490       536,653  

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

    2,000       2,237,000  

Series E, 5.50%, 08/01/25

    2,710       3,132,245  

Series E, 5.00%, 08/01/30

    2,000       2,219,660  

City of New York, GO:

   

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

    2,350       2,511,610  

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

    4,175       4,487,875  

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

    945       1,058,249  

Sub-Series F-1, 5.00%, 04/01/43

    4,550       5,175,307  

City of New York Convention Center Development Corp., RB, CAB, Sub Lien, Hotel Unit Fee, Series B (AGM)(a):

   

0.00%, 11/15/55

    2,485       546,153  

0.00%, 11/15/56

    3,765       789,257  

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

   

5.00%, 11/15/40

    6,150       6,951,160  

5.00%, 11/15/45

    12,215       13,679,701  

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

   

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

    1,380       633,351  

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

    800       802,656  

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

    3,500       3,509,520  

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

    6,150       6,166,113  

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

    2,200       2,204,070  

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

    9,500       9,544,080  

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

   

Future Tax Secured, Sub-Series A-3, 4.00%, 08/01/43

    2,790       2,889,659  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/39

    2,730       3,097,403  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/43

    2,510       2,820,437  

Series A-2, 5.00%, 08/01/38

    3,440       3,935,050  

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

    2,100       2,368,548  

County of Nassau New York, GO, Series A, 5.00%, 01/15/31

    1,400       1,612,898  

County of Nassau New York, GO, Refunding, Series C, 5.00%, 10/01/31

    1,980       2,293,513  

County of Nassau New York, GOL, General Improvement Bonds, Series B (AGM), 5.00%, 07/01/45

    1,815       2,051,966  

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

   

5.00%, 02/15/39

    2,285       2,591,784  

5.00%, 02/15/42

    5,975       6,738,366  

4.00%, 02/15/44

    1,155       1,196,788  

New York Convention Center Development Corp., RB, Hotel Unit Fee Secured, Series B(a):

   

0.00%, 11/15/42

    2,185       814,087  

0.00%, 11/15/47

    5,600       1,652,280  

0.00%, 11/15/48

    2,665       751,050  

Subordinate Lien, 0.00%, 11/15/32

    565       348,848  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

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

   

4, 5.00%, 11/15/31

  $ 1,710     $ 1,837,925  

4, 5.00%, 11/15/44

    4,000       4,262,360  

7 Class 1, 4.00%, 09/15/35

    885       923,940  

7 Class 2, 5.00%, 09/15/43

    3,430       3,685,638  

5.75%, 11/15/51

    1,755       1,917,215  
   

 

 

 
      113,974,415  
Education — 24.0%  

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

   

5.00%, 12/01/30

    250       277,470  

5.00%, 12/01/32

    100       109,676  

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

    4,975       5,211,263  

Build NYC Resource Corp., Refunding RB:

   

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

    450       500,769  

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

    525       533,558  

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

    505       562,651  

City of Albany New York Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A, 4.00%, 12/01/34

    110       112,252  

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

   

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

    1,775       2,014,465  

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

    750       845,167  

Carnegie Hall, 4.75%, 12/01/39

    3,150       3,207,487  

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

    2,840       3,142,488  

City of New York Trust for Cultural Resources, Refunding RB, Carnegie Hall, Series A, 5.00%, 12/01/39

    1,850       1,890,052  

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

    5,535       5,767,415  

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

    1,000       1,073,230  

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

    1,685       2,002,488  

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

    1,000       1,067,100  

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

   

5.00%, 07/01/43

    570       649,469  

5.00%, 07/01/48

    855       971,827  

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

   

5.00%, 07/01/42

    985       1,118,320  

4.00%, 07/01/46

    1,865       1,923,356  

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

   

5.00%, 07/01/40

    685       773,577  

5.00%, 07/01/43

    2,480       2,794,538  

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A:

   

5.00%, 07/01/23(b)

    1,240       1,416,030  

4.00%, 07/01/39

    350       362,485  
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

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

   

5.00%, 12/01/29

  $ 1,135     $ 1,227,877  

5.00%, 12/01/36

    1,100       1,184,810  

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

   

5.00%, 07/01/37

    715       747,125  

5.00%, 07/01/42

    445       462,084  

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

   

6.00%, 09/01/34

    300       326,364  

5.38%, 09/01/41

    125       133,384  

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

   

5.25%, 01/01/21

    700       745,626  

5.50%, 01/01/21

    500       534,830  

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

    500       519,805  

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

    750       828,983  

State of New York Dormitory Authority, RB:

   

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

    1,770       1,906,927  

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

    175       188,815  

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

    1,375       1,499,190  

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

    3,265       3,432,984  

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

    1,000       1,011,480  

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

    3,500       4,536,875  

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

    400       404,496  

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

    3,000       3,271,950  

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

    1,345       1,360,669  

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

    750       780,015  

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

    1,500       1,556,010  

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

    1,500       1,597,575  

State of New York Dormitory Authority, Refunding RB:

   

3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 05/15/29

    1,000       1,094,820  

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

    900       1,033,263  

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

    510       528,916  

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

    1,520       1,718,436  

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

    1,000       1,039,210  

Fordham University, 5.00%, 07/01/44

    1,900       2,091,197  

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

    1,030       1,154,300  

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

    3,000       3,295,260  

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

    4,180       4,570,161  

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

    750       808,470  

Series E, 5.25%, 03/15/33

    2,250       2,620,755  

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

    2,005       2,267,996  

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

    4,755       5,379,094  

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

    6,435       7,273,867  

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

    1,490       1,615,085  

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

    1,540       1,737,305  

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

    860       984,089  
Security   Par
(000)
    Value  
Education (continued)  

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

  $ 1,030     $ 1,153,765  
   

 

 

 
      106,950,996  
Health — 9.5%  

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

    1,800       1,850,058  

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

    500       527,085  

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

    4,950       4,968,612  

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

   

4.00%, 12/01/41

    500       502,885  

5.00%, 12/01/46

    800       876,336  

Series A, 5.00%, 12/01/37

    1,180       1,275,179  

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

    5,925       6,325,707  

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

    460       500,011  

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

    1,340       1,407,603  

State of New York Dormitory Authority, RB:

   

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

    2,680       2,826,623  

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

    1,800       1,904,364  

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

    1,825       1,836,516  

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

    1,000       1,040,390  

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

    685       712,667  

State of New York Dormitory Authority, Refunding RB:

   

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

    2,200       2,490,884  

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

    2,000       2,144,540  

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

    7,375       7,946,931  

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

    2,645       2,973,694  
   

 

 

 
      42,110,085  
Housing — 5.9%  

City of New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

   

5.25%, 07/01/32

    6,505       7,165,908  

5.00%, 07/01/33

    1,375       1,496,096  

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

    1,075       1,114,055  

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

    2,000       2,005,240  

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

   

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

    845       854,481  

Green Bonds, Series H, 4.15%, 11/01/43

    1,375       1,436,930  

Green Bonds, Series H, 4.20%, 11/01/48

    905       941,761  

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

    1,000       1,014,620  
 

 

 

28    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing (continued)  

State of New York HFA, Refunding RB, Series C (Fannie Mae) (SONYMA), 3.85%, 11/01/39(c)

  $ 2,270     $ 2,274,563  

State of New York Mortgage Agency, Refunding RB:

   

S/F Housing, Series 194, AMT, 3.80%, 04/01/28

    3,140       3,230,620  

S/F, Series 213, 4.20%, 10/01/43

    1,910       1,965,657  

Series 190, 3.80%, 10/01/40

    2,880       2,890,973  
   

 

 

 
      26,390,904  
State — 17.9%  

City of New York Transitional Finance Authority, BARB, Series S-3, 5.25%, 07/15/36

    1,600       1,906,720  

City of New York Transitional Finance Authority Building Aid Revenue, Refunding RB, Series S-3, 4.00%, 07/15/38

    5,045       5,304,616  

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

   

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

    950       1,059,487  

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

    1,690       1,902,619  

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

    1,455       1,648,486  

Future Tax Secured Subordinate Bonds, SubSeries A-1, 5.00%, 08/01/40

    860       989,327  

Future Tax Secured, Sub-Series F-1, 5.00%, 05/01/42

    8,825       9,961,042  

Metropolitan Transportation Authority, Refunding RB:

   

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

    2,500       2,560,225  

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

    4,000       4,509,720  

Green Bond, Climate Bond Certified, Sub-Series B-3 (AGM), 4.00%, 11/15/46

    855       881,573  

Green Bond, Series A1, 5.00%, 11/15/37

    1,500       1,681,470  

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

    2,070       2,255,845  

State of New York Dormitory Authority, RB:

   

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

    2,725       3,111,541  

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

    4,500       4,970,025  

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

    3,000       3,238,200  

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

    4,600       4,955,442  

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

    1,465       1,667,595  

Group C, Sales Tax, Series A, 5.00%, 03/15/41

    7,125       8,064,075  

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

    250       253,905  

Series A, 5.00%, 03/15/36

    1,180       1,353,755  

Series A, 5.00%, 02/15/42

    7,500       8,436,450  

Series B, 5.00%, 03/15/37

    1,500       1,700,535  

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

    495       543,555  

State of New York Dormitory Authority, Refunding RB:

   

Group 3, Series E, 5.00%, 03/15/41

    2,800       3,225,852  

Series C, 5.00%, 03/15/38

    1,000       1,157,260  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/32

    2,000       2,223,480  
   

 

 

 
      79,562,800  
Tobacco — 2.4%  

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

   

Series A, 5.00%, 06/01/41

    400       421,564  

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

    765       775,144  

Series B, 5.00%, 06/01/45

    2,010       2,047,748  

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

    1,875       1,846,106  

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

   

5.25%, 05/15/34

    1,495       1,578,227  

5.25%, 05/15/40

    1,500       1,572,045  
Security   Par
(000)
    Value  
Tobacco (continued)  

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

  $ 2,440     $ 2,288,573  
   

 

 

 
      10,529,407  
Transportation — 36.9%  

Buffalo & Fort Erie Public Bridge Authority, RB:

   

5.00%, 01/01/47

    750       835,170  

Toll Bridge System, 5.00%, 01/01/42

    1,565       1,748,841  

Metropolitan Transportation Authority, RB:

   

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

    3,500       3,972,535  

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

    1,000       1,091,320  

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

    3,000       3,415,020  

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

    1,620       1,887,300  

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

    1,620       1,887,300  

Series B, 5.25%, 11/15/44

    1,000       1,113,340  

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

    440       483,076  

Series E, 5.00%, 11/15/38

    8,750       9,521,487  

Series E, 5.00%, 11/15/43

    1,000       1,085,890  

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

    1,000       1,153,730  

Metropolitan Transportation Authority, Refunding RB:

   

Green Bond, SubSeries B-1, 5.00%, 11/15/51

    2,360       2,642,988  

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

    2,500       2,688,250  

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

    1,830       2,012,799  

Green Bonds, Series A-1, 5.25%, 11/15/57

    1,505       1,668,097  

Series C-1, 5.00%, 11/15/36

    1,845       2,060,736  

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

    1,560       1,712,724  

Series D, 5.00%, 11/15/30

    885       967,677  

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

    5,410       5,869,742  

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

    11,500       12,492,335  

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

   

5.00%, 07/01/41

    1,805       1,919,202  

5.00%, 07/01/46

    12,525       13,254,080  

5.25%, 01/01/50

    965       1,030,533  

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

    1,250       1,261,312  

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

    355       359,647  

Niagara Frontier Transportation Authority, Refunding ARB, Buffalo Niagara International Airport, AMT:

   

5.00%, 04/01/34

    100       115,163  

5.00%, 04/01/35

    90       103,106  

5.00%, 04/01/36

    95       108,318  

5.00%, 04/01/37

    55       62,395  

5.00%, 04/01/38

    55       62,097  

5.00%, 04/01/39

    80       89,986  

Port Authority of New York & New Jersey, ARB:

   

Consolidated, 163rd Series, 5.00%, 07/15/35

    2,500       2,603,975  

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

    1,500       1,540,155  

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

    16,205       16,814,470  

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

   

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

    1,000       1,110,800  

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

    1,390       1,561,026  

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

    285       288,095  

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

    750       819,053  

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

    1,400       1,583,372  

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

    2,375       2,653,231  

Consolidated, 211th Series, 4.00%, 09/01/43

    5,000       5,205,800  
 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Transportation (continued)  

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

   

5.00%, 01/01/41

  $ 1,770     $ 1,972,559  

5.25%, 01/01/56

    1,080       1,204,654  

State of New York Thruway Authority, Refunding RB:

   

General, Series I (AGM), 5.00%, 01/01/37

    3,770       4,016,784  

General, Series I (AGM), 5.00%, 01/01/42

    4,270       4,530,299  

General, Series J, 5.00%, 01/01/41

    5,000       5,450,300  

General, Series K, 5.00%, 01/01/29

    1,750       2,009,542  

General, Series K, 5.00%, 01/01/31

    1,000       1,141,270  

Series L, 5.00%, 01/01/33

    410       486,104  

Series L, 5.00%, 01/01/34

    710       837,424  

Series L, 5.00%, 01/01/35

    810       951,515  

Triborough Bridge & Tunnel Authority, RB, Series B:

   

5.00%, 11/15/40

    940       1,063,676  

5.00%, 11/15/45

    820       924,156  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    7,670       4,845,292  

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

    1,000       1,099,760  

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

    5,000       5,649,350  

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

    1,280       1,468,198  

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

    3,000       3,344,040  

MTA Bridge and Tunnels, Series C, 5.00%, 11/15/37

    870       1,024,034  

Series B, 5.00%, 11/15/38

    8,225       9,457,187  
   

 

 

 
      164,332,317  
Utilities — 16.9%  

City of New York Municipal Water Finance Authority, RB, Water & Sewer System, 2nd General Resolution, Fiscal 2017, Series DD, 5.25%, 06/15/47

    3,850       4,422,803  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    2,250       2,533,860  

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

   

Fiscal 2010, Series FF, 5.00%, 06/15/31

    1,500       1,560,180  

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

    1,000       1,040,120  

Fiscal 2011, Series GG, 5.00%, 06/15/21(b)

    2,070       2,230,342  

City of New York Water & Sewer System, RB, Series DD-1, 4.00%, 06/15/49

    1,135       1,171,547  

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

   

2nd Generation Resolution, Fiscal 2018, Series FF, 5.00%, 06/15/40

    2,000       2,311,840  

Series EE, 5.00%, 06/15/40

    4,290       4,927,451  

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

    1,065       1,195,473  

Long Island Power Authority, RB:

   

5.00%, 09/01/37

    3,175       3,661,474  

5.00%, 09/01/35

    1,000       1,167,350  

General, 5.00%, 09/01/47

    905       1,012,686  

General, 5.00%, 09/01/36

    825       946,184  

General, Electric Systems, 5.00%, 09/01/42

    280       314,910  

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

    2,375       2,546,641  

Long Island Power Authority, Refunding RB:

   

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

    475       531,060  

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

    660       733,749  

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

    1,000       1,003,180  

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

    1,500       1,510,635  
Security   Par
(000)
    Value  
Utilities (continued)  

State of New York Environmental Facilities Corp., RB, Series B:

   

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

  $ 3,170     $ 3,582,512  

Subordinated SRF Bonds, 5.00%, 06/15/48

    1,120       1,286,947  

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

   

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

    3,200       3,412,416  

Series A, 5.00%, 06/15/40

    1,545       1,755,166  

Series A, 5.00%, 06/15/45

    7,935       8,965,360  

Subordinated SRF Bonds, 4.00%, 06/15/46

    1,000       1,034,370  

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

    2,580       2,785,704  

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

    15,490       17,336,408  
   

 

 

 
      74,980,368  
   

 

 

 

Total Municipal Bonds in New York

 

    630,060,611  
   

 

 

 

Guam — 0.3%

 

Utilities — 0.3%  

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

    1,175       1,236,688  
   

 

 

 

Total Municipal Bonds — 141.9%
(Cost — $603,843,167)

 

    631,297,299  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

New York — 23.7%

   
County/City/Special District/School District — 3.1%  

City of New York, GO, Sub-Series I-1, 5.00%, 03/01/36

    2,500       2,789,413  

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

    1,650       1,779,767  

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

   

5.75%, 02/15/21(b)

    3,714       3,994,585  

5.75%, 02/15/47(e)

    2,285       2,457,347  

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

    2,610       2,825,986  
   

 

 

 
      13,847,098  
Education — 2.7%  

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

    1,981       2,208,760  

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

   

5.25%, 07/01/19(b)

    5,000       5,061,075  

5.00%, 07/01/35

    4,448       4,744,125  
   

 

 

 
      12,013,960  
Housing — 1.9%  

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.25%, 11/01/43

    3,630       3,734,925  

State of New York HFA, RB, M/F Affordable Housing, Green Bond, Climate Bond Certified, Series I, 4.05%, 11/01/48

    4,543       4,591,117  
   

 

 

 
      8,326,042  
State — 6.8%  

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

   

5.00%, 10/15/31

    7,380       8,484,196  

4.00%, 10/15/32

    6,000       6,537,660  

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

    5,000       5,006,500  
 

 

 

30    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
State (continued)  

State of New York Dormitory Authority, RB:

   

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

  $ 2,000     $ 2,385,350  

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

    2,500       2,641,587  

State of New York Dormitory Authority, Refunding RB, Series A, 5.00%, 03/15/40(e)

    2,950       3,400,694  

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

    1,471       1,642,350  
   

 

 

 
      30,098,337  
Transportation — 5.3%  

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

   

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

    3,405       3,885,559  

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

    8,005       8,590,097  

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

    10,000       11,219,100  
   

 

 

 
      23,694,756  
Utilities — 3.9%  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2011, Series HH, 5.00%, 06/15/32

    7,151       7,617,440  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    2,400       2,425,056  

City of New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2018, 5.00%, 06/15/38(e)

    1,151       1,321,474  

Utility Debt Securitization Authority, Refunding RB, Restructuring:

   

Series A, 5.00%, 12/15/35

    3,000       3,463,215  

Series B, 4.00%, 12/15/35

    2,600       2,770,807  
   

 

 

 
      17,597,992  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 23.7%
(Cost — $102,986,422)

 

    105,578,185  
   

 

 

 

Total Long-Term Investments — 165.6%
(Cost — $706,829,589)

 

    736,875,484  
   

 

 

 
         
Shares
    Value  
Short-Term Securities — 0.5%            

BlackRock Liquidity Funds New York Money Fund Portfolio, 1.53%(f)(g)

    2,334,849     $ 2,334,849  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost — $2,334,849)

 

    2,334,849  
   

 

 

 

Total Investments — 166.1%
(Cost — $709,164,438)

 

    739,210,333  

Other Assets Less Liabilities — 1.2%

 

    5,056,608  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (12.6)%

 

    (55,946,198

VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (54.7)%

 

    (243,254,940
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 445,065,803  
   

 

 

 

 

(a) 

Zero-coupon bond.

(b) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

When-issued security.

(d) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(e) 

All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between August 15, 2020 to September 15, 2026, is $5,827,650. See Note 4 of the Notes to Financial Statements for details.

(f) 

Annualized 7-day yield as of period end.

 
(g) 

During the six months ended February 28, 2019, investments in issuers considered to be affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds New York Money Fund Portfolio

            2,334,849        2,334,849      $ 2,334,849      $ 11,748      $      $  

BlackRock Liquidity Funds, MuniCash, Institutional Class*

     2,683,498        (2,683,498                    4,507        49        (49
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 2,334,849      $ 16,255      $ 49      $ (49
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  *

No longer held by the Trust as of period end.

 
  (a) 

Includes net capital gain distributions, if applicable.

 

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

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     82          06/19/19        $ 10,004        $ 52,097  

Long U.S. Treasury Bond

     211          06/19/19          30,483          347,277  

5-Year U.S. Treasury Note

     64          06/28/19          7,332          21,900  
                 

 

 

 
                  $ 421,274  
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 421,274      $      $ 421,274  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (951,147    $      $ (951,147
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation on:                                                 

Futures contracts

   $      $      $      $      $ 371,123      $      $ 371,123  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 42,921,262  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 736,875,484        $             —        $ 736,875,484  

Short-Term Securities

     2,334,849                            2,334,849  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,334,849        $ 736,875,484        $        $ 739,210,333  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

32    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

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

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 421,274        $             —        $             —        $ 421,274  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

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

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

                 

TOB Trust Certificates

   $             —        $ (55,694,616      $             —        $ (55,694,616

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (299,294,616      $        $ (299,294,616
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 133.9%

 

New York — 132.5%

 

Corporate — 4.8%  

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

  $ 100     $ 106,289  

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

    690       737,693  

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

    475       582,298  

Niagara Area Development Corp., Refunding RB, Covanta Project, Series A, AMT, 4.75%, 11/01/42(a)

    640       632,787  
   

 

 

 
      2,059,067  
County/City/Special District/School District — 31.6%  

City of New York, GO, Refunding, Series E, 5.50%, 08/01/25

    150       173,372  

City of New York, GO:

   

Series D, 5.38%, 06/01/32

    15       15,042  

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

    5       5,018  

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

    245       274,361  

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

    115       115,338  

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

    20       20,053  

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

    500       109,890  

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

   

5.00%, 11/15/40

    1,110       1,254,600  

5.00%, 11/15/45

    670       750,340  

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

   

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

    500       196,230  

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

    950       321,527  

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

    325       329,105  

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

    100       100,332  

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

    175       177,364  

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

    175       175,812  

City of New York New York, GO, Sub-Series G-1, 5.00%, 04/01/29

    250       272,535  

City of New York New York Industrial Development Agency, RB, CAB, PILOT, Yankee Stadium Project, Series A (AGC)(c):

   

0.00%, 03/01/41

    4,155       1,716,804  

0.00%, 03/01/43

    2,000       746,840  

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

   

Future Tax Secured, Sub-Series A-3, 4.00%, 08/01/43

    265       274,466  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/39

    255       289,318  

Series A-2, 5.00%, 08/01/38

    110       125,830  

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

    200       225,576  

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

   

5.00%, 02/15/39

    275       311,922  

5.00%, 02/15/42

    255       287,579  

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

    450       488,241  

New York Liberty Development Corp., Refunding RB:

   

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

    1,350       1,393,794  

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

    285       295,343  

3 World Trade Center Project, Class 1, 5.00%, 11/15/44(a)

    415       432,069  

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

    120       127,070  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

4 World Trade Center Project, 5.00%, 11/15/31

  $ 750     $ 806,107  

7 World Trade Center Project, Class 1, 4.00%, 09/15/35

    320       334,080  

7 World Trade Center Project, Class 2, 5.00%, 09/15/43

    500       537,265  

7 World Trade Center Project, Class 3, 5.00%, 03/15/44

    520       554,320  

World Trade Center Project, 5.75%, 11/15/51

    340       371,426  
   

 

 

 
      13,608,969  
Education — 32.7%  

Amherst Development Corp., Refunding RB:

   

Daemen College Project, 5.00%, 10/01/43

    85       90,936  

Daemen College Project, 5.00%, 10/01/48

    65       69,274  

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

    140       146,649  

Build NYC Resource Corp., RB(a):

   

Inwood Academy for Leadership Charter School Project, Series A, 5.50%, 05/01/48(a)

    150       154,005  

New Dawn Charter School Project, 5.75%, 02/01/49

    145       145,729  

Build NYC Resource Corp., Refunding RB:

   

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

    250       281,197  

Ethical Culture Fieldston School Project, 5.00%, 06/01/32

    450       513,153  

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

    310       346,673  

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

   

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

    110       124,840  

Carnegie Hall, 4.75%, 12/01/39

    400       407,300  

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

   

Series A, 5.13%, 09/01/40

    610       635,614  

Series B, 4.00%, 08/01/35

    110       114,517  

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 06/01/19(b)

    250       252,665  

Counties of Buffalo & Erie New York Industrial Land Development Corp., Refunding RB, The Charter School for Applied Technologies Project, Series A, 5.00%, 06/01/35

    55       58,969  

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 05/01/39

    60       64,354  

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

   

5.00%, 07/01/43

    55       62,668  

5.00%, 07/01/48

    80       90,931  

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

   

5.00%, 07/01/42

    100       113,535  

4.00%, 07/01/46

    185       190,789  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project(b):

   

5.00%, 07/01/21

    110       118,422  

5.00%, 07/01/21

    390       420,787  

Series A, 5.00%, 07/01/21

    500       539,470  

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 07/01/23(b)

    120       137,035  

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 03/01/20(b)

    200       206,074  

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

    100       106,966  

Geneva Development Corp., Refunding RB, Hobart & William Smith Colleges, 5.25%, 09/01/44

    160       179,078  

State of New York Dormitory Authority, RB:

   

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

    300       323,208  

New York University, Series 1 (AMBAC) (BHAC), 5.50%, 07/01/31

    245       303,626  

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

    500       545,325  
 

 

 

34    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

State University Dormitory Facilities, Series A, 5.00%, 07/01/19(b)

  $ 150     $ 151,686  

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

    750       810,960  

Touro College & University System, Series A, 5.25%, 01/01/34

    250       270,695  

Touro College & University System, Series A, 5.50%, 01/01/39

    500       541,100  

University of Rochester, Series A, 5.13%, 07/01/19(b)

    185       187,155  

University of Rochester, Series A, 5.75%, 07/01/19(b)

    150       152,049  

University of Rochester, Series A, 5.13%, 07/01/39

    30       30,317  

University of Rochester, Series A, 5.75%, 07/01/39

    25       25,327  

State of New York Dormitory Authority, Refunding RB:

   

Brooklyn Law School, 5.75%, 07/01/33

    125       126,316  

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

    150       155,882  

Fordham University, 5.00%, 07/01/44

    340       374,214  

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

    345       386,635  

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

    445       486,536  

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

    1,750       1,908,637  

Series B, 5.00%, 02/15/37

    370       425,900  

Skidmore College, Series A, 5.00%, 07/01/28

    250       266,967  

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

    350       396,245  

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

    350       395,626  

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

   

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

    105       118,461  

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

    100       112,016  
   

 

 

 
      14,066,513  
Health — 14.8%  

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

    500       555,995  

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

    100       100,376  

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A (AGM), 5.75%, 07/01/30

    350       370,604  

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

    120       120,085  

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

   

4.00%, 12/01/41

    100       100,577  

5.00%, 12/01/46

    160       175,267  

Series A, 5.00%, 12/01/37

    370       399,844  

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

    275       293,598  

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

    80       86,958  

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

   

Remarketing, Series A, 5.00%, 11/01/30

    1,030       1,081,963  

Series B, 6.00%, 11/01/20(b)

    175       187,518  

Series B, 6.00%, 11/01/30

    25       26,547  

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 01/01/34

    500       523,865  

State of New York Dormitory Authority, RB(b):

   

New York State Association for Retarded Children, Inc., Series B (AMBAC), 6.00%, 07/01/19

    185       187,646  
Security   Par
(000)
    Value  
Health (continued)  

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

  $ 220     $ 232,036  

State of New York Dormitory Authority, Refunding RB:

   

Miriam Osborn Memorial Home Association, 5.00%, 07/01/29

    290       292,683  

Mount Sinai Hospital, Series A, 5.00%, 07/01/26

    315       327,647  

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

    1,000       1,072,270  

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 05/01/33

    250       251,298  
   

 

 

 
      6,386,777  
Housing — 6.5%  

City of New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

   

5.25%, 07/01/32

    735       809,676  

5.00%, 07/01/33

    250       272,017  

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

    500       518,165  

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

    135       146,729  

State of New York HFA, RB:

   

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

    165       168,081  

M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 02/15/39

    480       481,651  

State of New York Mortgage Agency, Refunding RB, S/F, Series 213, 4.20%, 10/01/43

    405       416,802  
   

 

 

 
      2,813,121  
State — 7.7%  

City of New York Transitional Finance Authority Building Aid Revenue, Refunding RB, Series S-3, 4.00%, 07/15/38

    1,240       1,303,810  

State of New York, GO, Series A, 5.00%, 02/15/39

    250       250,620  

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

   

General Purpose, 5.00%, 02/15/42

    500       562,430  

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

    140       159,361  

Group C, State Sales Tax, 4.00%, 03/15/45

    310       320,270  

5.00%, 03/15/36

    110       126,198  

State of New York Dormitory Authority, Refunding RB, Group 3, Series E, 5.00%, 03/15/41

    265       305,304  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/30

    250       278,652  
   

 

 

 
      3,306,645  
Tobacco — 4.8%  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 06/01/41(a)

    200       205,334  

Counties of New York Tobacco Trust VI, Refunding RB:

   

Settlement Pass-Through Turbo, Series C, 4.00%, 06/01/51

    400       339,644  

Tobacco Settlement Pass-Through, Series A-2B, 5.00%, 06/01/51

    340       344,508  

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

    75       73,844  

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

    170       178,165  

TSASC, Inc., Refunding RB, Tobacco Settlement Bonds, Series B:

   

5.00%, 06/01/45

    255       245,792  

Subordinate, 5.00%, 06/01/48

    275       263,555  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Tobacco (continued)  

Westchester New York Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C:

   

4.00%, 06/01/42

  $ 245     $ 229,795  

5.13%, 06/01/51

    200       201,522  
   

 

 

 
      2,082,159  
Transportation — 19.1%  

Buffalo & Fort Erie Public Bridge Authority, RB, 5.00%, 01/01/47

    120       133,627  

County of Albany Airport Authority, Refunding RB, AMT, Series B:

   

4.00%, 12/15/34

    235       242,802  

4.00%, 12/15/35

    120       123,136  

Metropolitan Transportation Authority, RB, Series D, 5.25%, 11/15/21(b)

    220       241,538  

Metropolitan Transportation Authority, Refunding RB:

   

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

    200       215,060  

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

    780       856,362  

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

    670       780,550  

Series F, 5.00%, 11/15/30

    500       546,710  

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

   

5.00%, 07/01/46

    145       153,440  

5.25%, 01/01/50

    20       21,358  

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

    150       151,358  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    690       715,475  

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

    500       528,290  

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

   

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

    150       168,456  

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

    250       282,745  

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

    225       251,359  

Port Authority of New York & New Jersey, Refunding RB, 178th Series, AMT, 5.00%, 12/01/32

    270       300,556  

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

   

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

    1,000       1,090,760  

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

    440       468,802  

Series I (AGM), 5.00%, 01/01/42

    140       148,534  

Series J, 5.00%, 01/01/41

    250       272,515  

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

    140       158,420  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    275       315,433  

Series B, 5.00%, 11/15/38

    50       57,491  
   

 

 

 
      8,224,777  
Utilities — 10.5%  

City of New York Municipal Water Finance Authority, RB, Water & Sewer System, 2nd General Resolution, Fiscal 2017, Series DD, 5.25%, 06/15/47

    120       137,854  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    250       281,540  

Long Island Power Authority, RB:

   

5.00%, 09/01/38

    625       718,087  

General, 5.00%, 09/01/47

    110       123,089  

General, 5.00%, 09/01/36

    80       91,751  

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

    225       241,261  

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

    500       609,560  
Security   Par
(000)
    Value  
Utilities (continued)  

Long Island Power Authority, Refunding RB, Electric System:

   

Series A, 5.50%, 04/01/19(b)

  $ 100     $ 100,299  

Series B, 5.00%, 09/01/46

    75       83,380  

State of New York Environmental Facilities Corp., RB, Subordinated SRF Bonds, Series B, 5.00%, 06/15/48

    210       241,303  

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

    600       647,838  

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

    1,115       1,247,908  
   

 

 

 
      4,523,870  
   

 

 

 

Total Municipal Bonds in New York

 

    57,071,898  
   

 

 

 

Puerto Rico — 1.4%

 

State — 0.9%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    4       3,995  

4.75%, 07/01/53

    105       96,418  

5.00%, 07/01/58

    312       295,792  
   

 

 

 
      396,205  
Tobacco — 0.5%  

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

    225       227,349  
   

 

 

 

Total Municipal Bonds in Puerto Rico

 

    623,554  
   

 

 

 

Total Municipal Bonds — 133.9%
(Cost — $53,829,399)

 

    57,695,452  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

New York — 33.1%

 

County/City/Special District/School District — 9.8%  

City of New York, GO, Sub-Series I-1, 5.00%, 03/01/36

    250       278,941  

City of New York New York, GO, Sub-Series-D1, Series D, 5.00%, 12/01/43(e)

    1,010       1,156,238  

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

    825       889,883  

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

   

5.75%, 02/15/21(b)

    433       466,035  

5.75%, 02/15/47(e)

    267       286,691  

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

    1,050       1,136,891  
   

 

 

 
      4,214,679  
Housing — 1.5%  

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.25%, 11/01/43

    640       658,499  
   

 

 

 
State — 4.3%  

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

    255       293,153  

State of New York Urban Development Corp., RB, State Personal Income Tax, General Purpose, Series A, 4.00%, 03/15/47

    1,497       1,550,581  
   

 

 

 
      1,843,734  
Transportation — 7.9%  

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

    630       683,409  

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

   

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

    360       410,808  

Consolidated, 210th Series, 5.00%, 09/01/48

    960       1,102,310  
 

 

 

36    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Transportation (continued)  

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

  $ 600     $ 644,265  

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

    500       560,955  
   

 

 

 
      3,401,747  
Utilities — 9.6%  

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

   

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

    990       1,054,799  

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

    1,500       1,608,170  

Utility Debt Securitization Authority, Refunding RB, Restructuring:

   

Series A, 5.00%, 12/15/35

    1,000       1,154,405  

Series B, 4.00%, 12/15/35

    280       298,395  
   

 

 

 
      4,115,769  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 33.1%
(Cost — $13,843,394)

 

    14,234,428  
   

 

 

 

Total Long-Term Investments — 167.0%
(Cost — $67,672,793)

 

    71,929,880  
   

 

 

 
Security       
Shares
    Value  

Short-Term Securities — 0.9%

   

BlackRock Liquidity Funds New York Money Fund Portfolio,
1.53%(f)(g)

    371,313     $ 371,313  
   

 

 

 

Total Short-Term Securities — 0.9%
(Cost — $371,313)

 

    371,313  
   

 

 

 

Total Investments — 167.9%
(Cost — $68,044,106)

 

    72,301,193  

Other Assets Less Liabilities — 1.5%

 

    665,011  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (18.3)%

 

    (7,890,438

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

 

    (22,001,295
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 43,074,471  
   

 

 

 

 

(a) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

Zero-coupon bond.

(d) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(e) 

All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between August 15, 2020 to December 1, 2026, is $901,634. See Note 4 of the Notes to Financial Statements for details.

(f) 

Annualized 7-day yield as of period end.

 
(g) 

During the six months ended February 28, 2019, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds New York Money Fund Portfolio

            371,313        371,313      $ 371,313      $ 1,063      $      $  

BlackRock Liquidity Funds, MuniCash, Institutional Class*

     343,324        (343,324                    720                
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 371,313      $ 1,783      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  *

No longer held by the Trust as of period end.

 
  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     5          06/19/19        $ 610        $ 3,150  

Long U.S. Treasury Bond

     23          06/19/19          3,323          37,855  

5-Year U.S. Treasury Note

     7          06/28/19          802          2,395  
                 

 

 

 
                  $ 43,400  
                 

 

 

 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Bond Trust (BQH)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
    

Other

Contracts

     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 43,400      $      $ 43,400  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (86,064    $      $ (86,064
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 38,246      $      $ 38,246  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 4,134,352  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 71,929,880        $             —        $ 71,929,880  

Short-Term Securities

     371,313                            371,313  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 371,313        $ 71,929,880        $        $ 72,301,193  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 43,400        $        $        $ 43,400  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 43,400        $        $        $ 43,400  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $             —        $ (7,857,402      $             —        $ (7,857,402

VRDP Shares at Liquidation Value

              (22,100,000                 (22,100,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (29,957,402      $        $ (29,957,402
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

38    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 121.1%

 

New York — 121.1%

 

Corporate — 0.5%  

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

  $ 355     $ 435,191  
   

 

 

 
County/City/Special District/School District — 21.5%  

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

   

5.50%, 08/01/25

    725       837,962  

5.00%, 08/01/30

    1,000       1,109,830  

City of New York, GO:

   

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

    200       213,754  

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

    440       492,730  

Sub-Series F-1, 5.00%, 04/01/43

    930       1,057,810  

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

    1,000       219,780  

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

   

5.00%, 11/15/40

    1,335       1,508,910  

5.00%, 11/15/45

    1,250       1,399,887  

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

   

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

    1,000       458,950  

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

    150       150,498  

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

   

Future Tax Secured Subordinate Bond, Series C-3, 5.00%, 05/01/41

    775       887,290  

Future Tax Secured, Sub-Series A-3, 4.00%, 08/01/43

    570       590,360  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/39

    555       629,692  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/43

    845       949,510  

Series A-2, 5.00%, 08/01/38

    930       1,063,836  

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

    425       479,349  

County of Nassau New York, GO, Refunding, Series C, 5.00%, 10/01/31

    475       550,212  

County of Nassau New York, GOL, General Improvement Bonds, Series B (AGM), 5.00%, 07/01/45

    500       565,280  

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

    240       268,219  

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

   

5.75%, 02/15/21(b)

    615       664,225  

5.75%, 02/15/47

    385       412,712  

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

   

5.00%, 02/15/39

    595       674,885  

5.00%, 02/15/42

    745       840,181  

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

   

4, 5.00%, 11/15/31

    1,000       1,074,810  

4, 5.00%, 11/15/44

    1,250       1,331,988  

7 Class 1, 4.00%, 09/15/35

    1,100       1,148,400  

5.75%, 11/15/51

    545       595,374  
   

 

 

 
      20,176,434  
Education — 33.5%  

Build NYC Resource Corp., Refunding RB:

   

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

    250       281,198  

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

    300       340,806  

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

    350       396,098  

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

    135       150,412  

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

    690       771,627  

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

   

5.00%, 12/01/33

    175       191,634  

4.00%, 12/01/34

    130       132,661  
Security   Par
(000)
    Value  
Education (continued)  

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

   

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

  $ 440     $ 499,360  

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

    500       563,445  

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

    410       453,669  

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

   

Series A, 5.13%, 09/01/40

    1,645       1,714,074  

Series B, 4.00%, 08/01/35

    230       239,444  

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

    200       214,646  

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

    565       671,457  

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

   

5.00%, 07/01/43

    115       131,033  

5.00%, 07/01/48

    175       198,912  

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

   

5.00%, 07/01/42

    195       221,393  

4.00%, 07/01/46

    375       386,734  

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

    1,500       1,586,295  

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

    500       539,470  

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 07/01/23(b)

    400       456,784  

County of Nassau New York, GO, Refunding, Series C, 5.00%, 10/01/29

    500       589,515  

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

   

5.00%, 07/01/37

    180       188,087  

5.00%, 07/01/42

    115       119,415  

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

    500       544,650  

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

    250       267,415  

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

    1,000       1,039,610  

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

   

5.00%, 07/01/39

    1,000       1,105,310  

5.00%, 07/01/44

    500       548,765  

State of New York Dormitory Authority, RB:

   

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

    300       323,208  

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

    600       600,780  

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

    500       539,470  

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

    350       368,008  

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

    500       546,670  

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

    550       570,097  

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

    600       622,404  

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

    1,000       1,065,050  

State University Of New York Dormitory Facilities, Series A, 5.00%, 07/01/43

    415       474,652  

State of New York Dormitory Authority, Refunding RB:

   

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

    2,960       3,346,428  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

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

  $ 250     $ 259,803  

Fordham University, 5.00%, 07/01/44

    640       704,403  

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

    1,380       1,546,538  

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

    745       814,538  

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

    500       551,615  

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

    1,500       1,698,195  

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

    600       678,216  

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

    450       487,777  

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

    545       625,355  

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

    255       291,654  

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

   

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

    310       349,742  

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

    310       349,224  

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

    100       112,016  
   

 

 

 
      31,469,762  
Health — 11.3%  

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

    500       555,995  

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

    500       527,245  

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

    550       552,068  

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

   

4.00%, 12/01/41

    200       201,154  

5.00%, 12/01/46

    320       350,534  

Series A, 5.00%, 12/01/37

    850       918,561  

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

    725       774,032  

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

    150       163,047  

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

    895       940,153  

State of New York Dormitory Authority, RB:

   

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

    250       264,495  

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

    500       520,195  

State of New York Dormitory Authority, Refunding RB, North Shore-Long Island Jewish Obligated Group, Series A:

   

5.00%, 05/01/21(b)

    1500       1,608,405  

5.25%, 05/01/21(b)

    1,840       1,982,692  

5.00%, 05/01/43

    1,140       1,242,440  
   

 

 

 
      10,601,016  
Housing — 4.9%  

City of New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

   

5.25%, 07/01/32

    915       1,007,964  

5.00%, 07/01/33

    400       435,228  

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

    500       518,165  
Security   Par
(000)
    Value  
Housing (continued)  

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

  $ 750     $ 832,673  

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

    445       483,662  

State of New York HFA, RB:

   

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

    330       336,161  

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

    110       111,234  

State of New York Mortgage Agency, Refunding RB, S/F, Series 213, 4.20%, 10/01/43

    880       905,643  
   

 

 

 
      4,630,730  
State — 13.2%  

City of New York Transitional Finance Authority Building Aid Revenue, Refunding RB, Series S-3, 4.00%, 07/15/38

    1,160       1,219,694  

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

   

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

    540       553,009  

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

    750       845,572  

State of New York Dormitory Authority, RB:

   

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

    560       639,436  

Bid Group 3, Series A, 5.00%, 03/15/39

    760       875,847  

Bid Group 3, Series A, 5.00%, 03/15/43

    265       302,399  

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

    1,000       1,079,400  

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

    1,400       1,508,178  

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

    90       102,446  

Group C, State Sales Tax, Series A, 4.00%, 03/15/45

    670       692,197  

Series A, 5.00%, 03/15/36

    440       504,790  

Series A, 5.00%, 02/15/42

    500       562,430  

State of New York Dormitory Authority, Refunding RB:

   

Group 3, Series E, 5.00%, 03/15/41

    570       656,691  

Series A, 5.25%, 03/15/39

    1,000       1,184,790  

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

   

5.00%, 03/15/30

    500       557,305  

5.00%, 03/15/32

    1,000       1,111,740  
   

 

 

 
      12,395,924  
Tobacco — 2.3%            

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

   

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

    270       273,580  

Series B, 5.00%, 06/01/45

    300       305,634  

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

    290       303,929  

TSASC, Inc., Refunding RB, Series A, 5.00%, 06/01/41

    910       964,118  

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

    285       267,313  
   

 

 

 
      2,114,574  
Transportation — 17.3%  

Buffalo & Fort Erie Public Bridge Authority, RB, 5.00%, 01/01/47

    265       295,093  

Metropolitan Transportation Authority, RB:

   

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

    575       627,509  

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

    270       314,550  

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

    440       483,076  

Series E, 5.00%, 11/15/38

    650       707,310  

Metropolitan Transportation Authority, Refunding RB:

   

Green Bond, SubSeries B-1, 5.00%, 11/15/51

    480       537,557  

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

    500       537,650  

Series C-1, 5.00%, 11/15/36

    1,020       1,139,269  
 

 

 

40    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Transportation (continued)  

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

  $ 1,560     $ 1,712,724  

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

    750       873,750  

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

    1,345       1,459,298  

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

    245       275,145  

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

   

5.00%, 01/01/41

    365       406,771  

5.25%, 01/01/56

    210       234,238  

State of New York Thruway Authority, Refunding RB:

   

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

    250       272,690  

General, Series I (AGM), 5.00%, 01/01/37

    1,325       1,411,734  

General, Series I (AGM), 5.00%, 01/01/42

    425       450,908  

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

    750       852,892  

Series L, 5.00%, 01/01/33

    90       106,706  

Series L, 5.00%, 01/01/34

    140       165,126  

Series L, 5.00%, 01/01/35

    170       199,701  

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

    280       316,840  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    635       401,142  

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

    1,000       1,102,010  

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

    370       424,401  

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

    810       907,192  
   

 

 

 
      16,215,282  
Utilities — 16.6%  

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

    1,000       1,082,670  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    1,000       1,126,160  

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

   

Series EE, 5.00%, 06/15/40

    700       804,013  

Water & Sewer System, 2nd General Resolution, Fiscal 2018, Series FF, 5.00%, 06/15/38

    1,000       1,164,380  

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

    250       280,628  

Long Island Power Authority, RB:

   

5.00%, 09/01/38

    625       718,087  

General, 5.00%, 09/01/47

    950       1,063,040  

General, Electric Systems, 5.00%, 09/01/42

    290       326,157  

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

    500       536,135  

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

    1,000       1,219,120  

Long Island Power Authority, Refunding RB:

   

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

    140       155,644  

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

    1,690       1,695,374  

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

    2,000       2,014,180  

State of New York Environmental Facilities Corp., RB, Series B:

   

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

    635       717,633  

Subordinated SRF Bonds, 5.00%, 06/15/48

    460       528,568  

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

    1,000       1,079,730  

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

    1,000       1,119,200  
   

 

 

 
      15,630,719  
   

 

 

 

Total Municipal Bonds — 121.1%
(Cost — $108,437,250)

 

    113,669,632  
   

 

 

 
Security   Par
(000)
    Value  

Municipal Bonds Transferred to Tender Option Bond Trusts(c)

 

New York — 43.4%

 

County/City/Special District/School District — 10.8%  

City of New York, GO:

   

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

  $ 1,000     $ 1,089,485  

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

    250       278,941  

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

    1,790       1,884,951  

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

    2,475       2,669,651  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012(d):

   

5.75%, 02/15/21(b)

    1,114       1,198,375  

5.75%, 02/15/47

    686       737,204  

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

    2,085       2,257,541  
   

 

 

 
      10,116,148  
Education — 2.3%  

State of New York Dormitory Authority, RB, State University Dormitory Facilities, New York University, Series A, 5.00%, 07/01/35

    1,999       2,132,191  
   

 

 

 
Housing — 1.5%  

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.25%, 11/01/43

    1,400       1,440,467  
   

 

 

 
State — 6.2%            

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

   

5.00%, 10/15/31

    990       1,138,124  

4.00%, 10/15/32

    1,500       1,634,415  

State of New York Dormitory Authority, RB:

   

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

    1,000       1,192,675  

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

    750       792,476  

State of New York Urban Development Corp., RB, State Personal Income Tax, General Purpose, Series A, 4.00%, 03/15/47

    1,003       1,038,889  
   

 

 

 
      5,796,579  
Transportation — 11.4%  

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

    3,495       3,791,289  

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

   

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

    735       838,733  

Consolidated, 210th Series, 5.00%, 09/01/48

    1,900       2,181,656  

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

    800       859,020  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

General, Series A, 5.00%, 11/15/46

    1,000       1,121,910  

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

    1,665       1,905,848  
   

 

 

 
      10,698,456  
Utilities — 11.2%  

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

   

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

    2,249       2,395,421  

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

    2,010       2,154,948  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 06/15/40

    405       409,228  

Utility Debt Securitization Authority, Refunding RB:

   

5.00%, 12/15/41

    3,719       4,157,181  

Restructuring, Series A, 5.00%, 12/15/35

    1,000       1,154,405  
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Utilities (continued)  

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

  $ 280     $ 298,395  
   

 

 

 
      10,569,578  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 43.4%
(Cost — $39,228,976)

 

    40,753,419  
   

 

 

 

Total Long-Term Investments — 164.5%
(Cost — $147,666,226)

 

    154,423,051  
   

 

 

 
     Shares         

Short-Term Securities — 0.7%

   

BlackRock Liquidity Funds New York Money Fund Portfolio,
1.53%(e)(f)

    669,182       669,182  
   

 

 

 

Total Short-Term Securities — 0.7%
(Cost — $669,182)

 

    669,182  
   

 

 

 

Total Investments — 165.2%
(Cost — $148,335,408)

 

    155,092,233  

Other Assets Less Liabilities — 1.7%

 

    1,609,426  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (23.9)%

 

    (22,415,804

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (43.0)%

 

    (40,393,238
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 93,892,617  
   

 

 

 

 

(a) 

Zero-coupon bond.

(b) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(d) 

All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires August 15, 2020, is $953,183. See Note 4 of the Notes to Financial Statements for details.

(e) 

Annualized 7-day yield as of period end.

 
(f) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds New York Money Fund Portfolio

            669,182        669,182      $ 669,182      $ 4,223      $      $  

BlackRock Liquidity Funds, MuniCash, Institutional Class*

     673,097        (673,097                    1,449                
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 669,182      $ 5,672      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  *

No longer held by the Trust as of period end.

 
  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
     Expiration
Date
     Notional
Amount (000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

           

10-Year U.S. Treasury Note

     21        06/19/19      $ 2,562      $ 13,288  

Long U.S. Treasury Bond

     42        06/19/19        6,068        69,126  

5-Year U.S. Treasury Note

     19        06/28/19        2,177        6,502  
           

 

 

 
            $ 88,916  
           

 

 

 

 

 

42    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Quality Trust (BSE)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 88,916      $      $ 88,916  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (178,708    $      $ (178,708
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 79,654      $      $ 79,654  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 9,417,574  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 154,423,051        $             —        $ 154,423,051  

Short-Term Securities

     669,182                            669,182  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 669,182        $ 154,423,051        $        $ 155,092,233  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 88,916        $        $        $ 88,916  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

                 

TOB Trust Certificates

   $             —        $ (22,320,197      $             —        $ (22,320,197

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ (62,820,197      $        $ (62,820,197
  

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 148.1%

   

New York — 144.0%

   
Corporate — 5.1%            

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

  $ 140     $ 148,805  

City of New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT:

   

5.00%, 07/01/22

    350       382,315  

5.00%, 07/01/28

    330       352,809  

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

    1,475       1,808,188  

Niagara Area Development Corp., Refunding RB, Covanta Project, Series A, AMT, 4.75%, 11/01/42(a)

    1,130       1,117,265  
   

 

 

 
      3,809,382  
County/City/Special District/School District — 36.3%  

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

   

5.50%, 08/01/25

    965       1,115,357  

5.00%, 08/01/30

    500       554,915  

City of New York, GO:

   

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

    5       5,018  

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

    690       772,690  

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

    120       120,353  

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

    15       15,040  

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

    1,000       219,780  

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

   

5.00%, 11/15/40

    1,445       1,633,240  

5.00%, 11/15/45

    2,340       2,620,589  

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

   

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

    1,750       686,805  

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

    500       169,225  

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

    500       506,315  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/35(c)

    500       281,940  

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

    100       100,332  

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

    400       405,404  

Yankee Stadium Project (NPFGC), 4.75%, 03/01/46

    400       400,268  

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

    500       502,320  

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

   

Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

    825       890,753  

Future Tax Secured Subordinate Bond, Series C-3, 5.00%, 05/01/41

    1,315       1,505,530  

Future Tax Secured, Sub-Series A-3, 4.00%, 08/01/43

    465       481,610  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/39

    460       521,907  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/43

    1,030       1,157,390  

Series A-2, 5.00%, 08/01/38

    195       223,062  

City of Syracuse New York, GO, Airport Terminal Security & Access, Series A, AMT (AGM), 4.75%, 11/01/31

    500       523,225  

County of Nassau New York, GOL, General Improvement Bonds, Series B (AGM), 5.00%, 07/01/45

    500       565,280  

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

    120       134,110  

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

   

5.75%, 02/15/21(b)

    960       1,036,838  

5.75%, 02/15/47

    590       632,468  

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

   

5.00%, 02/15/39

    475       538,774  

5.00%, 02/15/42

    790       890,930  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)            

New York Liberty Development Corp., Refunding RB:

   

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

  $ 1,400     $ 1,445,416  

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

    500       518,145  

3 World Trade Center Project, Class 1, 5.00%, 11/15/44(a)

    735       765,231  

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

    200       211,784  

4 World Trade Center Project, 5.00%, 11/15/31

    1,000       1,074,810  

4 World Trade Center Project, 5.00%, 11/15/44

    1,250       1,331,987  

7 World Trade Center Project, Class 2, 5.00%, 09/15/43

    1,000       1,074,530  

7 World Trade Center Project, Class 3, 5.00%, 03/15/44

    690       735,540  

World Trade Center Project, 5.75%, 11/15/51

    670       731,928  
   

 

 

 
      27,100,839  
Education — 25.1%            

Amherst Development Corp., Refunding RB:

   

Daemen College Project, 5.00%, 10/01/43

    155       165,824  

Daemen College Project, 5.00%, 10/01/48

    120       127,890  

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

    275       288,060  

Build NYC Resource Corp., RB, Inwood Academy for Leadership Charter School Project, Series A, 5.50%, 05/01/48(a)

    270       277,209  

Build NYC Resource Corp., Refunding RB, City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 06/01/38

    250       281,197  

New Dawn Charter School Project, 5.75%, 02/01/49(a)

    255       256,283  

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

   

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

    440       499,360  

Carnegie Hall, 4.75%, 12/01/39

    700       712,775  

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

   

Series A, 5.13%, 09/01/40

    1,000       1,041,990  

Series B, 4.00%, 08/01/35

    190       197,801  

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 06/01/19(b)

    500       505,330  

Counties of Buffalo & Erie New York Industrial Land Development Corp., Refunding RB, Series A:

   

Buffalo State College Foundation Housing Corp. Project, 5.38%, 10/01/41

    280       298,788  

The Charter School for Applied Technologies Project, 5.00%, 06/01/35

    100       107,217  

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 05/01/39

    125       134,071  

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

   

5.00%, 07/01/43

    95       108,245  

5.00%, 07/01/48

    145       164,813  

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

   

5.00%, 07/01/42

    165       187,333  

4.00%, 07/01/46

    310       319,700  

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

    1,000       1,078,940  

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 07/01/23(b)

    240       274,070  

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 03/01/20(b)

    350       360,629  
 

 

 

44    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)            

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

   

6.00%, 09/01/34

  $ 150     $ 163,182  

5.38%, 09/01/41

    650       693,595  

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

    450       481,347  

Geneva Development Corp., Refunding RB, Hobart & William Smith Colleges, 5.25%, 09/01/44

    400       447,696  

State of New York Dormitory Authority, RB:

   

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

    500       538,680  

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

    300       300,390  

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

    150       163,548  

State University Dormitory Facilities, Series A, 5.00%, 07/01/19(b)

    250       252,810  

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

    670       713,583  

Touro College & University System, Series A, 5.25%, 01/01/34

    1,200       1,299,336  

University of Rochester, Series A, 5.13%, 07/01/19(b)

    215       217,505  

University of Rochester, Series A, 5.13%, 07/01/39

    35       35,370  

State of New York Dormitory Authority, Refunding RB:

   

Brooklyn Law School, 5.75%, 07/01/33

    250       252,633  

Fordham University, 5.00%, 07/01/44

    640       704,403  

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

    685       767,666  

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

    600       656,004  

Skidmore College, Series A, 5.25%, 07/01/29

    200       215,082  

Skidmore College, Series A, 5.25%, 07/01/31

    300       322,554  

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

    1,220       1,381,199  

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

    700       791,252  

Teachers College, 5.50%, 03/01/19

    400       400,000  

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

   

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

    210       236,571  

Hofstra University Project, 4.00%, 07/01/37

    220       228,620  

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

    100       112,016  
   

 

 

 
      18,762,567  
Health — 12.7%            

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 07/01/40

    300       316,761  

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

    190       190,135  

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

   

4.00%, 12/01/41

    200       201,154  

5.00%, 12/01/46

    320       350,534  

Series A, 5.00%, 12/01/32

    180       195,791  

Series A, 5.00%, 12/01/37

    250       270,165  

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

    1,425       1,521,373  

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

    150       163,047  

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

   

Remarketing, Series A, 5.00%, 11/01/30

    895       940,153  

Series B, 6.00%, 11/01/20(b)

    130       139,299  

Series B, 6.00%, 11/01/30

    20       21,237  
Security   Par
(000)
    Value  
Health (continued)            

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 01/01/34

  $ 500     $ 523,865  

State of New York Dormitory Authority, RB, Series A(b):

   

New York State Association for Retarded Children, Inc., 6.00%, 07/01/19

    250       253,575  

New York University Hospitals Center, 5.75%, 07/01/20

    425       448,252  

State of New York Dormitory Authority, Refunding RB:

   

Miriam Osborn Memorial Home Association, 5.00%, 07/01/29

    130       131,203  

Mount Sinai Hospital, Series A, 5.00%, 07/01/26

    500       520,075  

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

    1,000       1,072,270  

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

    750       804,202  

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

    860       937,280  

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 05/01/33

    500       502,595  
   

 

 

 
      9,502,966  
Housing — 6.2%            

City of New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

   

5.25%, 07/01/32

    915       1,007,964  

5.00%, 07/01/33

    400       435,228  

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

    500       518,165  

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

    265       288,023  

State of New York HFA, RB:

   

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

    660       672,322  

M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 02/15/39

    940       943,234  

State of New York Mortgage Agency, Refunding RB, S/F, Series 213, 4.20%, 10/01/43

    715       735,835  
   

 

 

 
      4,600,771  
State — 14.1%            

City of New York Transitional Finance Authority Building Aid Revenue, Refunding RB, Series S-3, 4.00%, 07/15/38

    2,195       2,307,955  

City of New York Transitional Finance Authority Future Tax Secured, RB, Fiscal 2014, Sub-Series B-1, 5.00%, 11/01/36

    340       382,775  

State of New York, GO, Series A, 5.00%, 02/15/39

    500       501,240  

State of New York Dormitory Authority, RB:

   

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

    1,070       1,154,958  

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

    1,000       1,077,270  

General Purpose, Series C, 5.00%, 03/15/34

    1,000       1,059,720  

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

    250       284,573  

Group C, State Sales Tax, Series A, 4.00%, 03/15/45

    555       573,387  

Series A, 5.00%, 03/15/36

    545       625,251  

Series A, 5.00%, 02/15/42

    250       281,215  

State of New York Dormitory Authority, Refunding RB:

   

Group 3, Series E, 5.00%, 03/15/41

    470       541,482  

Series A, 5.25%, 03/15/39

    1,015       1,202,562  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/30

    500       557,305  
   

 

 

 
      10,549,693  
 

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Tobacco — 4.9%            

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 06/01/41(a)

  $ 400     $ 410,668  

Counties of New York Tobacco Trust VI, Refunding RB:

   

Settlement Pass-Through Turbo, Series C, 4.00%, 06/01/51

    750       636,832  

Tobacco Settlement Pass-Through, Series A-2B, 5.00%, 06/01/51

    600       607,956  

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

    250       246,147  

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

    230       241,047  

TSASC, Inc., Refunding RB, Tobacco Settlement Bonds, Series B:

   

5.00%, 06/01/45

    455       438,570  

Subordinate, 5.00%, 06/01/48

    495       474,398  

Westchester New York Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C:

   

4.00%, 06/01/42

    285       267,313  

5.13%, 06/01/51

    355       357,702  
   

 

 

 
      3,680,633  
Transportation — 25.4%            

Buffalo & Fort Erie Public Bridge Authority, RB, 5.00%, 01/01/47

    215       239,415  

Metropolitan Transportation Authority, RB:

   

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

    270       314,550  

Series E, 5.00%, 11/15/38

    1,000       1,088,170  

Metropolitan Transportation Authority, Refunding RB:

   

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

    750       845,572  

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

    500       537,650  

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

    250       274,973  

Series C-1, 5.00%, 11/15/36

    840       938,221  

Series F, 5.00%, 11/15/30

    1,500       1,640,130  

Series F, 5.00%, 11/15/35

    500       558,670  

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

    1,120       1,215,178  

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

    500       543,145  

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

   

5.00%, 07/01/46

    2,480       2,624,361  

5.25%, 01/01/50

    165       176,205  

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

    300       302,715  

New York Transportation Development Corp., Refunding ARB, American Airlines, Inc., AMT, 5.00%, 08/01/31

    920       953,966  

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

    1,000       1,056,580  

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

   

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

    480       485,213  

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

    430       469,590  

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

   

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

    1,530       1,630,154  

Series I (AGM), 5.00%, 01/01/42

    1,030       1,092,789  

Series J, 5.00%, 01/01/41

    500       545,030  

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

    240       271,577  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

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

    370       424,401  

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

    500       557,340  

Series B, 5.00%, 11/15/38

    210       241,460  
   

 

 

 
      19,027,055  
Security   Par
(000)
    Value  
Utilities — 14.2%            

City of New York Municipal Water Finance Authority, RB, Water & Sewer System, 2nd General Resolution, Fiscal 2017, Series DD, 5.25%, 06/15/47

  $ 245     $ 281,451  

City of New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 06/15/39

    1,500       1,689,240  

Long Island Power Authority, RB:

   

CAB, Electric Systems, Series A (AGM), 0.00%, 06/01/28(c)

    3,515       2,716,533  

General, 5.00%, 09/01/47

    200       223,798  

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

    1,000       1,219,120  

Long Island Power Authority, Refunding RB, Electric System:

   

Series A, 5.50%, 04/01/19(b)

    500       501,495  

Series B, 5.00%, 09/01/46

    125       138,968  

State of New York Environmental Facilities Corp., RB, Subordinated SRF Bonds, Series B, 5.00%, 06/15/48

    370       425,152  

State of New York Environmental Facilities Corp., Refunding RB, Revolving Funds, New York City Municipal Water, Series B, 5.00%, 06/15/36

    350       373,233  

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

    2,690       3,010,648  
   

 

 

 
      10,579,638  
   

 

 

 

Total Municipal Bonds in New York

 

    107,613,544  
   

 

 

 

Multi-State — 2.7%

   
Housing — 2.7%            

Centerline Equity Issuer Trust(a)(d):

   

Series A-4-2, 6.00%, 10/31/52

    1,000       1,006,440  

Series B-3-2, 6.30%, 10/31/52

    1,000       1,006,910  
   

 

 

 

Total Municipal Bonds in Multi-State

 

    2,013,350  
   

 

 

 

Puerto Rico — 1.4%

   
State — 0.9%            

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    7       6,991  

4.75%, 07/01/53

    185       169,880  

5.00%, 07/01/58

    544       515,739  
   

 

 

 
      692,610  
Tobacco — 0.5%            

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

    400       404,176  
   

 

 

 

Total Municipal Bonds in Puerto Rico

 

    1,096,786  
   

 

 

 

Total Municipal Bonds — 148.1%
(Cost — $104,879,869)

 

    110,723,680  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(e)

 

New York — 20.1%

 

County/City/Special District/School District — 5.4%  

City of New York, GO:

   

Series D, 5.00%, 12/01/43(f)

    1,150       1,316,508  

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

    500       557,883  

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

    1,995       2,164,127  
   

 

 

 
      4,038,518  
Education — 0.8%            

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

    510       568,923  
   

 

 

 
 

 

 

46    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Trust II (BFY)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing — 1.6%            

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.25%, 11/01/43

  $ 1,130     $ 1,162,663  
   

 

 

 
State — 3.7%            

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

   

5.00%, 10/15/31

    255       293,153  

4.00%, 10/15/32

    350       381,364  

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

    1,000       1,056,635  

State of New York Urban Development Corp., RB, State Personal Income Tax, General Purpose, Series A, 4.00%, 03/15/47

    1,003       1,038,889  
   

 

 

 
      2,770,041  
Transportation — 4.8%            

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

   

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

    735       838,733  

Consolidated, 210th Series, 5.00%, 09/01/48

    960       1,102,310  

Consolidated, Series 169th, 5.00%, 10/15/26

    1,000       1,073,540  

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

    500       560,955  
   

 

 

 
      3,575,538  
Utilities — 3.8%            

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

   

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

    1,500       1,598,180  

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

    1,005       1,077,474  

Utility Debt Securitization Authority, Refunding RB, Restructuring, Series B, 4.00%, 12/15/35

    190       202,482  
   

 

 

 
      2,878,136  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 20.1%
(Cost — $14,475,878)

 

    14,993,819  
   

 

 

 

Total Long-Term Investments — 168.2%
(Cost — $119,355,747)

 

    125,717,499  
   

 

 

 
Security       
Shares
    Value  

Short-Term Securities — 0.3%

   

BlackRock Liquidity Funds New York Money Fund Portfolio,
1.53%(g)(h)

    208,819     $ 208,819  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost — $208,819)

 

    208,819  
   

 

 

 

Total Investments — 168.5%
(Cost — $119,564,566)

 

    125,926,318  

Other Assets Less Liabilities — 1.6%

 

    1,207,880  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (10.8)%

 

    (8,091,586

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (59.3)%

 

    (44,298,879
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 74,743,733  
   

 

 

 

 

(a) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

Zero-coupon bond.

(d) 

Represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

(e) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(f) 

All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on December 1, 2026, is $604,549. See Note 4 of the Notes to Financial Statements for details.

(g)

Annualized 7-day yield as of period end.

 
(h) 

During the six months ended February 28, 2019, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds New York Money Fund Portfolio

            208,819        208,819      $ 208,819      $ 1,461      $      $  

BlackRock Liquidity Funds, MuniCash, Institutional Class*

     129,237        (129,237                    901        13        (13
           

 

 

    

 

 

    

 

 

    

 

 

 
            $ 208,819      $ 2,362      $ 13      $ (13
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  *

No longer held by the Trust as of period end.

 
  (a) 

Includes net capital gain distributions, if applicable.

 

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

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Trust II (BFY)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

                 

10-Year U.S. Treasury Note

     14          06/19/19        $ 1,708        $ 8,871  

Long U.S. Treasury Bond

     35          06/19/19          5,056          57,605  

5-Year U.S. Treasury Note

     11          06/28/19          1,260          3,764  
                 

 

 

 
                  $ 70,240  
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 70,240      $      $ 70,240  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (138,706    $      $ (138,706
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Futures contracts

   $      $      $      $      $ 62,351      $      $ 62,351  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 6,982,922  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

                 

Long-Term Investments(a)

   $        $ 125,717,499        $             —        $ 125,717,499  

Short-Term Securities

     208,819                            208,819  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 208,819        $ 125,717,499        $        $ 125,926,318  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

48    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock New York Municipal Income Trust II (BFY)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(b)

                 

Assets:

                 

Interest rate contracts

   $ 70,240        $             —        $             —        $ 70,240  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 70,240        $        $        $ 70,240  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

        Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

     $             —        $ (8,058,575      $             —        $ (8,058,575

VRDP Shares at Liquidation Value

                (44,400,000                 (44,400,000
    

 

 

      

 

 

      

 

 

      

 

 

 
     $        $ (52,458,575      $        $ (52,458,575
    

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (unaudited)

February 28, 2019

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 127.3%

 

Virginia — 118.3%

 

County/City/Special District/School District — 32.5%  

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

  $ 250     $ 257,773  

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

    250       255,250  

City of Norfolk Virginia, GO:

   

Capital Improvement, 5.00%, 08/01/41

    500       577,785  

Refunding, 5.00%, 08/01/23(b)

    465       529,263  

Refunding, 5.00%, 08/01/23(b)

    35       39,917  

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

   

5.00%, 07/15/20

    500       522,635  

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

    1,000       1,074,320  

County of Fairfax Virginia EDA, RB:

   

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

    775       892,676  

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

    1,000       1,035,750  

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

    1,500       1,526,355  

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

    500       497,010  

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

    245       246,384  

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

    250       265,450  
   

 

 

 
      7,720,568  
Education — 21.6%  

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

    355       369,860  

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

    100       102,720  

Virginia College Building Authority, Refunding RB:

   

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

    1,000       1,029,610  

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

    400       410,880  

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

    500       572,450  

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

    1,000       1,213,450  

Virginia Small Business Financing Authority, RB:

   

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

    400       408,072  

Roanoke College, 5.75%, 04/01/41

    500       517,270  

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

    500       506,115  
   

 

 

 
      5,130,427  
Health — 30.3%  

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

    1,000       1,120,120  

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

    500       521,810  

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

    450       491,881  

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A, 5.00%, 07/01/42

    500       510,550  

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

    145       148,477  

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

    500       504,110  

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

    690       731,662  
Security   Par
(000)
    Value  
Health (continued)  

Roanoke Virginia EDA, Refunding RB:

   

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

  $ 795     $ 863,863  

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

    5       5,217  

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

    495       511,048  

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

    250       252,795  

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

   

5.00%, 01/01/44

    1,000       1,090,150  

Series A, 5.00%, 01/01/44

    400       429,664  
   

 

 

 
      7,181,347  
Housing — 12.9%  

Virginia HDA, RB, M/F Housing:

   

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

    750       781,350  

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

    1,000       1,008,830  

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

    500       501,645  

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

    250       274,598  

Series E, 2.50%, 12/01/22

    500       502,275  
   

 

 

 
      3,068,698  
State — 1.8%  

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

    405       427,279  
   

 

 

 
Tobacco — 3.7%  

Tobacco Settlement Financing Corp., Refunding RB, Senior:

   

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

    500       494,925  

Series B-1, 5.00%, 06/01/47

    410       390,558  
   

 

 

 
      885,483  
Transportation — 7.8%  

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

    410       431,377  

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

    500       522,325  

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

    820       895,350  
   

 

 

 
      1,849,052  
Utilities — 7.7%  

County of Fairfax Virginia Water Authority, Refunding RB, 5.00%, 04/01/44

    540       619,143  

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

    1,065       1,206,059  
   

 

 

 
      1,825,202  
   

 

 

 

Total Municipal Bonds in Virginia

 

    28,088,056  
   

 

 

 

District of Columbia — 7.5%

 

Transportation — 7.5%  

Metropolitan Washington Airports Authority, Refunding RB:

   

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

    290       294,527  

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

    460       467,139  

Series B, 5.00%, 10/01/29

    1,000       1,018,330  
   

 

 

 

Total Municipal Bonds in District of Columbia

 

    1,779,996  
   

 

 

 

Puerto Rico — 1.5%

 

State — 0.9%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured, Series A-1:

   

4.50%, 07/01/34

    2       1,997  

4.75%, 07/01/53

    59       54,178  

5.00%, 07/01/58

    174       164,961  
   

 

 

 
      221,136  
 

 

 

50    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Tobacco — 0.6%  

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

  $ 140     $ 141,462  
   

 

 

 

Total Municipal Bonds in Puerto Rico

 

    362,598  
   

 

 

 

Total Municipal Bonds — 127.3%
(Cost — $28,967,282)

 

    30,230,650  
   

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(e)

 

Virginia — 34.6%

 

Health — 13.9%  

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

    2,000       2,261,250  

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

    1,000       1,035,203  
   

 

 

 
    3,296,453  
Transportation — 20.7%  

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

    4,308       4,925,692  
   

 

 

 

Washington — 7.2%

 

Transportation — 7.2%  

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

    1,503       1,706,623  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 41.8%
(Cost — $9,879,325)

 

    9,928,768  
   

 

 

 

Total Long-Term Investments — 169.1%
(Cost — $38,846,607)

 

    40,159,418  
   

 

 

 
Security       
Shares
    Value  

Short-Term Securities — 0.5%

 

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

    109,973     $ 109,984  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost — $109,984)

 

    109,984  
   

 

 

 

Total Investments — 169.6%
(Cost — $38,956,591)

 

    40,269,402  

Other Assets Less Liabilities — 1.8%

 

    431,370  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (22.8)%

 

    (5,415,532

VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (48.6)%

 

    (11,539,802
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 23,745,438  
   

 

 

 

 

(a) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b) 

U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

(c) 

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

(d) 

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

(e) 

Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

(f) 

All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on October 1, 2024, is $1,051,389. See Note 4 of the Notes to Financial Statements for details.

(g) 

Annualized 7-day yield as of period end.

 
(h) 

During the six months ended February 28, 2019, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
08/31/18
     Net
Activity
     Shares
Held at
02/28/19
     Value at
02/28/19
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     13,073        96,900        109,973      $ 109,984      $ 4,284      $ 134      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
     Expiration
Date
     Notional
Amount (000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts:

           

10-Year U.S. Treasury Note

     5        06/19/19      $ 610      $ 3,150  

Long U.S. Treasury Bond

     10        06/19/19        1,445        16,459  

5-Year U.S. Treasury Note

     1        06/28/19        115        342  
           

 

 

 
            $ 19,951  
           

 

 

 

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (unaudited) (continued)

February 28, 2019

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

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

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 19,951      $      $ 19,951  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

For the six months ended February 28, 2019, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (45,375    $      $ (45,375
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ 18,341      $      $ 18,341  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — short

   $ 1,869,684  

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

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

                 

Investments:

 

Long-Term Investments(a)

   $        $ 40,159,418        $        $ 40,159,418  

Short-Term Securities

     109,984                            109,984  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 109,984        $ 40,159,418        $        $ 40,269,402  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets:

 

Interest rate contracts

   $ 19,951        $        $             —        $ 19,951  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

 

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

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

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

VRDP Shares at Liquidation Value

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

 

 

      

 

 

      

 

 

      

 

 

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

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended February 28, 2019, there were no transfers between levels.

See notes to financial statements.

 

 

52    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities  (unaudited)

February 28, 2019

 

     BZM      MHE      MHN      BQH  

ASSETS

          

Investments at value — unaffiliated(a)

  $ 48,248,929      $ 51,773,710      $ 736,875,484      $ 71,929,880  

Investments at value — affiliated(b)

    840,555               2,334,849        371,313  

Cash

    22,391               25,111         

Cash pledged for futures contracts

    48,350        46,050        747,850        70,350  

Receivables:

 

Interest — unaffiliated

    501,371        614,348        8,512,270        775,496  

Variation margin on futures contracts

    8,125        7,787        127,653        11,977  

Dividends — affiliated

    1,352        677        1431        102  

Prepaid expenses

    20,920        18,387        12,918        41,652  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    49,691,993        52,460,959        748,637,566        73,200,770  
 

 

 

    

 

 

    

 

 

    

 

 

 

ACCRUED LIABILITIES

 

Bank overdraft

           317               9,249  

Payables:

          

Income dividend distributions — Common Shares

    98,648        104,325        1,385,375        128,805  

Other accrued expenses

    45,288        48,407        165,902        53,451  

Investment advisory fees

    22,706        19,992        288,029        30,761  

Trustees’ and Officer’s fees

    12,548        286        261,319        12,300  

Interest expense and fees

    10,290        13,548        251,582        33,036  

Investments purchased

                  2,270,000         
 

 

 

    

 

 

    

 

 

    

 

 

 

Total accrued liabilities

    189,480        186,875        4,622,207        267,602  
 

 

 

    

 

 

    

 

 

    

 

 

 

OTHER LIABILITIES

          

TOB Trust Certificates

    2,999,064        2,465,858        55,694,616        7,857,402  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering
costs(c)(d)

    15,938,872        18,429,431        243,254,940        22,001,295  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total other liabilities

    18,937,936        20,895,289        298,949,556        29,858,697  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    19,127,416        21,082,164        303,571,763        30,126,299  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 30,564,577      $ 31,378,795      $ 445,065,803      $ 43,074,471  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

          

Paid-in capital(e)(f)(g)

  $ 29,490,692      $ 29,301,354      $ 433,321,244      $ 39,693,455  

Accumulated earnings

    1,073,885        2,077,441        11,744,559        3,381,016  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 30,564,577      $ 31,378,795      $ 445,065,803      $ 43,074,471  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value per Common Share

  $ 14.69      $ 13.23      $ 14.30      $ 15.38  
 

 

 

    

 

 

    

 

 

    

 

 

 

(a) Investments at cost — unaffiliated

  $ 47,202,086      $ 49,552,861      $ 706,829,589      $ 67,672,793  

(b) Investments at cost — affiliated

  $ 840,555      $      $ 2,334,849      $ 371,313  

(c) Preferred Shares outstanding:

          

Par value $ 0.001 per share

    160                      221  

Par value $0.01 per share

           185                

Par value $0.10 per share

                  2,436         

(d) Preferred Shares authorized

    unlimited        unlimited        14,956        unlimited  

(e) Par value per Common Shares

  $ 0.001      $ 0.010      $ 0.1000      $ 0.001  

(f)  Common Shares outstanding

    2,081,183        2,371,023        31,132,023        2,800,105  

(g) Common Shares authorized

    unlimited        unlimited        199,985,044        unlimited  

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      53  


Statements of Assets and Liabilities  (unaudited) (continued)

February 28, 2019

 

     BSE      BFY      BHV  

ASSETS

       

Investments at value — unaffiliated(a)

  $ 154,423,051      $ 125,717,499      $ 40,159,418  

Investments at value — affiliated(b)

    669,182        208,819        109,984  

Cash

                  15,305  

Cash pledged for futures contracts

    147,300        115,400        32,950  

Receivables:

       

Interest — unaffiliated

    1,818,330        1,407,762        513,383  

Variation margin on futures contracts

    25,191        19,665        5,586  

Dividends — affiliated

    386        149        455  

Prepaid expenses

    43,214        51,759        11,283  
 

 

 

    

 

 

    

 

 

 

Total assets

    157,126,654        127,521,053        40,848,364  
 

 

 

    

 

 

    

 

 

 

ACCRUED LIABILITIES

       

Bank overdraft

    13,643        14,360         

Payables:

       

Income dividend distributions — Common Shares

    264,046        245,241        85,874  

Other accrued expenses

    69,254        59,218        36,097  

Investment advisory fees

    66,184        53,582        16,206  

Trustees’ and Officer’s fees

    11,868        14,454        9,415  

Interest expense and fees

    95,607        33,011        19,096  
 

 

 

    

 

 

    

 

 

 

Total accrued liabilities

    520,602        419,866        166,688  
 

 

 

    

 

 

    

 

 

 

OTHER LIABILITIES

       

TOB Trust Certificates

    22,320,197        8,058,575        5,396,436  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs(c)(d)

    40,393,238        44,298,879        11,539,802  
 

 

 

    

 

 

    

 

 

 

Total other liabilities

    62,713,435        52,357,454        16,936,238  
 

 

 

    

 

 

    

 

 

 

Total liabilities

    63,234,037        52,777,320        17,102,926  
 

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 93,892,617      $ 74,743,733      $ 23,745,438  
 

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

       

Paid-in capital(e)(f)(g)

  $ 89,254,965      $ 69,885,673      $ 22,911,686  

Accumulated earnings

    4,637,652        4,858,060        833,752  
 

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 93,892,617      $ 74,743,733      $ 23,745,438  
 

 

 

    

 

 

    

 

 

 

Net asset value per Common Share

  $ 14.40      $ 14.93      $ 14.79  
 

 

 

    

 

 

    

 

 

 

(a) Investments at cost — unaffiliated

  $ 147,666,226      $ 119,355,747      $ 38,846,607  

(b) Investments at cost — affiliated

  $ 669,182      $ 208,819      $ 109,984  

(c) Preferred Shares outstanding:

       

Par value $ 0.001 per share

    405        444        116  

(d) Preferred Shares authorized

    unlimited        unlimited        unlimited  

(e) Par value per Common Shares

  $ 0.001      $ 0.001      $ 0.001  

(f)  Common Shares outstanding

    6,519,660        5,004,922        1,605,124  

(g) Common Shares authorized

    unlimited        unlimited        unlimited  

See notes to financial statements.

 

 

54    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Operations  (unaudited)

Six Months Ended February 28, 2019

 

     BZM     MHE     MHN     BQH  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 954,442     $ 1,037,938     $ 14,445,361     $ 1,432,612  

Dividends — affiliated

    8,333       5,202       16,255       1,783  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    962,775       1,043,140       14,461,616       1,434,395  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    159,136       129,173       2,023,178       230,209  

Liquidity fees

    58,582             12,303        

Professional

    22,594       21,015       47,066       23,787  

Rating agency

    15,507       15,510       21,592       21,463  

Accounting services

    9,650       9,713       55,362       11,183  

Transfer agent

    7,712       8,284       15,765       7,892  

Remarketing fees on Preferred Shares

    5,631             12,080        

Printing

    2,708       2,713       5,661       2,924  

Trustees and Officer

    1,436       943       32,527       1,526  

Custodian

    944       652       4,822       929  

Registration

    487       555       5,989       4,692  

Miscellaneous

    7,839       6,608       14,140       7,596  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    292,226       195,166       2,250,485       312,201  

Interest expense, fees and amortization of offering costs(a)

    176,724       248,671       3,567,944       344,760  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    468,950       443,837       5,818,429       656,961  

Less fees waived and/or reimbursed by the Manager

    (12,760     (347     (185,663     (35,467
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    456,190       443,490       5,632,766       621,494  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    506,585       599,650       8,828,850       812,901  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (113,900     74,462       (3,241,760     (118,964

Investments — affiliated

    81       95       49        

Futures contracts

    (45,538     (46,837     (951,147     (86,064

Capital gain distributions from investment companies — affiliated

    57       51              
 

 

 

   

 

 

   

 

 

   

 

 

 
    (159,300     27,771       (4,192,858     (205,028
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (82,902     (255,895     4,012,366       122,147  

Investments — affiliated

                (49      

Futures contracts

    24,598       23,838       371,123       38,246  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (58,304     (232,057     4,383,440       160,393  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (217,604     (204,286     190,582       (44,635
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 288,981     $ 395,364     $ 9,019,432     $ 768,266  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Related to TOB Trusts and/or VRDP Shares.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      55  


Statements of Operations  (unaudited) (continued)

Six Months Ended February 28, 2019

 

     BSE     BFY     BHV  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 2,940,359     $ 2,599,974     $ 844,986  

Dividends — affiliated

    5,672       2,362       4,284  
 

 

 

   

 

 

   

 

 

 

Total investment income

    2,946,031       2,602,336       849,270  
 

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    421,818       342,909       130,770  

Liquidity fees

                42,472  

Professional

    27,307       24,398       16,956  

Rating agency

    21,474       21,476       15,506  

Accounting services

    18,853       12,712       5,973  

Transfer agent

    9,093       8,561       7,617  

Remarketing fees on Preferred Shares

                4,083  

Printing

    3,225       3,136       2,677  

Trustees and Officer

    4,928       4,252       1,245  

Custodian

    1,427       1,244       667  

Registration

    4,692       1,172       375  

Miscellaneous

    8,244       7,610       7,057  
 

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    521,061       427,470       235,398  

Interest expense, fees and amortization of offering costs(a)

    729,224       621,194       156,524  
 

 

 

   

 

 

   

 

 

 

Total expenses

    1,250,285       1,048,664       391,922  

Less fees waived and/or reimbursed by the Manager

    (97     (69     (26,430
 

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1,250,188       1,048,595       365,492  
 

 

 

   

 

 

   

 

 

 

Net investment income

    1,695,843       1,553,741       483,778  
 

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    (432,200     (322,781     106,311  

Investments — affiliated

          13       113  

Futures contracts

    (178,708     (138,706     (45,375

Capital gain distributions from investment companies — affiliated

                21  
 

 

 

   

 

 

   

 

 

 
    (610,908     (461,474     61,070  
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

     

Investments — unaffiliated

    780,367       134,667       (284,060

Investments — affiliated

          (13      

Futures contracts

    79,654       62,351       18,341  
 

 

 

   

 

 

   

 

 

 
    860,021       197,005       (265,719
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    249,113       (264,469     (204,649
 

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 1,944,956     $ 1,289,272     $ 279,129  
 

 

 

   

 

 

   

 

 

 

 

(a) 

Related to TOB Trusts and/or VRDP Shares.

See notes to financial statements.

 

 

56    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    BZM           MHE  
     Six Months Ended
02/28/19
(unaudited)
   

Year Ended

08/31/18

           Six Months Ended
02/28/19
(unaudited)
   

Year Ended

08/31/18

 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

 

     

OPERATIONS

 

     

Net investment income

  $ 506,585     $ 1,138,627       $ 599,650     $ 1,313,939  

Net realized gain (loss)

    (159,300     268,008         27,771       112,606  

Net change in unrealized appreciation (depreciation)

    (58,304     (1,024,723       (232,057     (1,577,609
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    288,981       381,912         395,364       (151,064
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

 

     

Decrease in net assets resulting from distributions to Common Shareholders

    (732,202     (1,267,374       (625,962     (1,379,587
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Reinvestment of common distributions

                        24,680  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

 

     

Total decrease in net assets applicable to Common Shareholders

    (443,221     (885,462       (230,598     (1,505,971

Beginning of period

    31,007,798       31,893,260         31,609,393       33,115,364  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 30,564,577     $ 31,007,798       $ 31,378,795     $ 31,609,393  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      57  


Statements of Changes in Net Assets  (continued)

 

    MHN           BQH  
     Six Months Ended
02/28/19
(unaudited)
   

Year Ended

08/31/18

           Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

 

     

OPERATIONS

 

     

Net investment income

  $ 8,828,850     $ 18,810,840       $ 812,901     $ 1,682,937  

Net realized gain (loss)

    (4,192,858     2,573,809         (205,028     214,610  

Net change in unrealized appreciation (depreciation)

    4,383,440       (22,601,872       160,393       (2,161,887
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    9,019,432       (1,217,223       768,266       (264,340
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

 

     

Decrease in net assets resulting from distributions to Common Shareholders

    (8,322,430     (19,231,620       (778,578     (1,764,066
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

 

     

Total increase (decrease) in net assets applicable to Common Shareholders

    697,002       (20,448,843       (10,312     (2,028,406

Beginning of period

    444,368,801       464,817,644         43,084,783       45,113,189  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 445,065,803     $ 444,368,801       $ 43,074,471     $ 43,084,783  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

58    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets  (continued)

 

    BSE           BFY  
     Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
           Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

 

     

OPERATIONS

 

     

Net investment income

  $ 1,695,843     $ 3,598,429       $ 1,553,741     $ 3,202,983  

Net realized gain (loss)

    (610,908     332,262         (461,474     410,552  

Net change in unrealized appreciation (depreciation)

    860,021       (4,807,235       197,005       (4,024,445
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    1,944,956       (876,544       1,289,272       (410,910
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

 

     

Decrease in net assets resulting from distributions to Common Shareholders

    (1,584,277     (3,667,309       (1,476,637     (3,303,232
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

     

Reinvestment of common distributions

                        4,281  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

 

     

Total increase (decrease) in net assets applicable to Common Shareholders

    360,679       (4,543,853       (187,365     (3,709,861

Beginning of period

    93,531,938       98,075,791         74,931,098       78,640,959  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 93,892,617     $ 93,531,938       $ 74,743,733     $ 74,931,098  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      59  


Statements of Changes in Net Assets  (continued)

 

    BHV  
     Six Months Ended
02/28/19
(unaudited)
    Year Ended
08/31/18
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

 

OPERATIONS

 

Net investment income

  $ 483,778     $ 1,104,663  

Net realized gain

    61,070       260,327  

Net change in unrealized appreciation (depreciation)

    (265,719     (1,376,380
 

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    279,129       (11,390
 

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)(b)

 

Decrease in net assets resulting from distributions to Common Shareholders

    (560,854     (1,245,984
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Reinvestment of common distributions

    21,271       47,740  
 

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS(b)

 

Total decrease in net assets applicable to Common Shareholders

    (260,454     (1,209,634

Beginning of period

    24,005,892       25,215,526  
 

 

 

   

 

 

 

End of period

  $ 23,745,438     $ 24,005,892  
 

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) 

Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 11 for this prior year information.

See notes to financial statements.

 

 

60    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Statements of Cash Flows  (unaudited)

Six Months Ended February 28, 2019

 

     BZM     MHE     MHN     BQH  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 288,981     $ 395,364     $ 9,019,432     $ 768,266  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments and principal paydowns

    3,827,976       1,816,289       140,403,884       12,040,928  

Purchases of long-term investments

    (3,454,013     (1,639,174     (133,785,423     (13,392,460

Net proceeds from sales (purchases) of short-term securities

    (566,616     427,715       348,917       (27,955

Amortization of premium and accretion of discount on investments and other fees

    136,053       158,870       2,321,172       154,364  

Net realized gain (loss) on investments

    113,819       (74,557     3,241,711       118,964  

Net unrealized (appreciation) depreciation on investments

    82,902       255,895       (4,012,317     (122,147
(Increase) Decrease in Assets:  

Receivables:

 

Interest — unaffiliated

    17,362       4,497       (41,266     (8,105

Dividends — affiliated

    (973     100       2,075       348  

Variation margin on futures contracts

    (8,125     (7,787     (127,653     (11,977

Prepaid expenses

    (8,028     (7,957     16,895       2,161  
Increase (Decrease) in Liabilities:  

Payables:

 

Investment advisory fees

    (2,576     (2,008     (31,377     (2,539

Interest expense and fees

    1,833       3,012       1,300       9,373  

Trustees’ and Officer’s fees

    311       (196     4,787       110  

Variation margin on futures contracts

    (844     (846     (10,680     (929

Other accrued expenses

    (22,670     (20,238     (53,857     (24,076
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) operating activities

    405,392       1,308,979       17,297,600       (495,674
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

 

Proceeds from TOB Trust Certificates

    361,957             6,808,188       1,822,006  

Repayments of TOB Trust Certificates

          (670,000     (15,375,904     (524,896

Cash dividends paid to Common Shareholders

    (732,202     (625,950     (8,322,430     (778,578

Increase in bank overdraft

          317             9,249  

Amortization of deferred offering costs

    1,506       1,654       7,657       2,893  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by (used for) financing activities

    (368,739     (1,293,979     (16,882,489     530,674  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

 

Net increase in restricted and unrestricted cash and foreign currency

  $ 36,653     $ 15,000     $ 415,111     $ 35,000  

Restricted and unrestricted cash and foreign currency at beginning of period

    34,088       31,050       357,850       35,350  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 70,741     $ 46,050     $ 772,961     $ 70,350  
 

 

 

   

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the period for interest expense

  $ 173,385     $ 244,005     $ 3,558,987     $ 332,494  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

 

Cash

  $ 22,391     $     $ 25,111     $  

Cash pledged:

       

Futures contracts

    48,350       46,050       747,850       70,350  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 70,741     $ 46,050     $ 772,961     $ 70,350  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

 

Cash

  $ 738     $     $     $  

Cash pledged:

 

Futures contracts

    33,350       31,050       357,850       35,350  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 34,088     $ 31,050     $ 357,850     $ 35,350  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      61  


Statements of Cash Flows  (unaudited) (continued)

Six Months Ended February 28, 2019

 

     BSE     BFY     BHV  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 1,944,956     $ 1,289,272     $ 279,129  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

     

Proceeds from sales of long-term investments and principal paydowns

    21,865,310       23,435,196       5,603,465  

Purchases of long-term investments

    (22,911,173     (24,072,777     (5,478,604

Net proceeds from sales (purchases) of short-term securities

    3,983       (79,569     (96,797

Amortization of premium and accretion of discount on investments and other fees

    527,675       235,964       84,583  

Net realized gain (loss) on investments

    432,200       322,768       (106,424

Net unrealized (appreciation) depreciation on investments

    (780,367     (134,654     284,060  
(Increase) Decrease in Assets:  

Receivables:

 

Interest — unaffiliated

    (38,164     (33,058     26,226  

Dividends — affiliated

    312       795       (381

Variation margin on futures contracts

    (25,191     (19,665     (5,586

Prepaid expenses

    17,293       13,711       (8,179
Increase (Decrease) in Liabilities:  

Payables:

     

Investment advisory fees

    (6,168     (5,420     (1,899

Interest expense and fees

    22,533       7,707       4,113  

Trustees’ and Officer’s fees

    615       729       289  

Variation margin on futures contracts

    (2,820     (1,992     (321

Other accrued expenses

    (28,344     (26,133     (16,734
 

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    1,022,650       932,874       566,940  
 

 

 

   

 

 

   

 

 

 

CASH USED FOR FINANCING ACTIVITIES

     

Proceeds from TOB Trust Certificates

    1,367,994       1,807,994       867,746  

Repayments of TOB Trust Certificates

    (750,000     (1,224,730     (845,917

Cash dividends paid to Common Shareholders

    (1,584,277     (1,476,637     (554,745

Increase in bank overdraft

    13,534       14,360       –—  

Amortization of deferred offering costs

    3,099       3,139       1,281  
 

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (949,650     (875,874     (531,635
 

 

 

   

 

 

   

 

 

 

CASH

 

Net increase in restricted and unrestricted cash and foreign currency

  $ 73,000     $ 57,000     $ 35,305  

Restricted and unrestricted cash and foreign currency at beginning of period

    74,300       58,400       12,950  
 

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of period

  $ 147,300     $ 115,400     $ 48,255  
 

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the period for interest expense

  $ 703,592     $ 610,348     $ 151,130  
 

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

 

Capital shares issued in reinvestment of distributions paid to Common Shareholders

  $     $     $ 21,271  
 

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF
ASSETS AND LIABILITIES

 

Cash

  $     $     $ 15,305  

Cash pledged:

     

Futures contracts

    147,300       115,400       32,950  
 

 

 

   

 

 

   

 

 

 
  $ 147,300     $ 115,400     $ 48,255  
 

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF PERIOD TO THE
STATEMENTS OF ASSETS AND LIABILITIES

 

Cash

  $     $     $  

Cash pledged:

     

Futures contracts

    74,300       58,400       12,950  
 

 

 

   

 

 

   

 

 

 
  $ 74,300     $ 58,400     $ 12,950  
 

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

62    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights

(For a share outstanding throughout each period)

 

    BZM  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.90       $ 15.32      $ 15.97      $ 14.96      $ 15.20      $ 13.33  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.24         0.55        0.59        0.61        0.63        0.70  

Net realized and unrealized gain (loss)

    (0.10       (0.36      (0.67      1.02        (0.19      1.90  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.14         0.19        (0.08      1.63        0.44        2.60  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders(b)

                 

From net investment income

    (0.28       (0.57      (0.57      (0.62      (0.68      (0.73

From net realized gain

    (0.07       (0.04                            
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions to Common Shareholders

    (0.35       (0.61      (0.57      (0.62      (0.68      (0.73
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.69       $ 14.90      $ 15.32      $ 15.97      $ 14.96      $ 15.20  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.92       $ 14.04      $ 14.29      $ 16.06      $ 14.44      $ 14.59  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

               

Based on net asset value

    1.13 %(d)        1.67      (0.31 )%       11.15      3.07      20.39
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    1.70 %(d)        2.71      (7.53 )%       15.80      3.64      21.68
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    3.11 %(e)(f)        2.75      2.35      2.10      1.96      2.00
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    3.03 %(e)(f)        2.67      2.27      2.02      1.88      1.92
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and fees, and amortization of offering costs(g)(h)

    1.85 %(e)(f)        1.78      1.75      1.83      1.41      1.34
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.36 %(e)(f)        3.63      3.87      3.98      4.19      4.88
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 30,565       $ 31,008      $ 31,893      $ 33,202      $ 31,073      $ 31,535  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 16,000       $ 16,000      $ 16,000      $ 16,000      $ 16,000      $ 16,000  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 291,029       $ 293,799      $ 299,333      $ 307,510      $ 294,207      $ 297,091  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 2,999       $ 2,637      $ 2,134      $ 1,500      $ 1,500      $ 1,500  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    7       16      12      11      18      15
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Excludes 0.01% of expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(h) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           1.43             1.38             1.31             1.39             1.33             1.34        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      63  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MHE  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 13.33       $ 13.98      $ 14.69      $ 13.89      $ 14.02      $ 12.34  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.25         0.55        0.62        0.65        0.68        0.69  

Net realized and unrealized gain (loss)

    (0.09       (0.62      (0.69      0.83        (0.10      1.74  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.16         (0.07      (0.07      1.48        0.58        2.43  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.26       (0.58      (0.64      (0.68      (0.71      (0.75
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 13.23       $ 13.33      $ 13.98      $ 14.69      $ 13.89      $ 14.02  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.28       $ 12.38      $ 14.00      $ 15.32      $ 13.26      $ 13.75  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.46 %(d)        (0.41 )%       (0.34 )%       11.01      4.25      20.47
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    1.40 %(d)        (7.64 )%       (4.30 )%       21.27      1.47      22.42
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.89 %(e)        2.50      2.17      1.77      1.71      1.78
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.88 %(e)        2.50      2.17      1.77      1.71      1.78
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and fees, and amortization of offering costs(f)(g)

    1.27 %(e)        1.20      1.18      1.15      1.15      1.16
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.90 %(e)        4.08      4.44      4.53      4.82      5.22
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 31,379       $ 31,609      $ 33,115      $ 34,772      $ 32,864      $ 33,139  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 18,500       $ 18,500      $ 18,500      $ 18,500      $ 18,500      $ 18,500  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 269,615       $ 270,862      $ 279,002      $ 287,959      $ 277,646      $ 279,130  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 2,466       $ 3,136      $ 1,421      $ 751      $      $  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    3       17      18      30      8      14
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(g) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           1.27             1.20             1.18             1.15             1.15             1.16        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

64    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    MHN  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.27       $ 14.93      $ 15.69      $ 14.81      $ 14.98      $ 13.14  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.28         0.60        0.69        0.75        0.80        0.83  

Net realized and unrealized gain (loss)

    0.02         (0.64      (0.75      0.91        (0.15      1.88  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.30         (0.04      (0.06      1.66        0.65        2.71  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.27       (0.62      (0.70      (0.78      (0.82      (0.87
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.30       $ 14.27      $ 14.93      $ 15.69      $ 14.81      $ 14.98  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.51       $ 12.35      $ 14.36      $ 15.04      $ 13.65      $ 13.64  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    2.43 %(d)        0.22      0.04      11.63      4.88      21.74
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    3.54 %(d)        (9.82 )%       0.37      16.10      6.16      15.15
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.68 %(e)        2.45      2.13      1.68      1.58      1.66
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.59 %(e)        2.36      2.05      1.62      1.52      1.59
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, and amortization of offering costs(f)(g)

    0.95 %(e)        0.94      0.96      0.95      0.95      1.22
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.06 %(e)        4.15      4.65      4.91      5.35      5.86
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 445,066       $ 444,369      $ 464,818      $ 488,318      $ 461,159      $ 466,412  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 243,600       $ 243,600      $ 243,600      $ 243,600      $ 243,600      $ 243,600  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 282,704       $ 282,417      $ 290,812      $ 300,459      $ 289,310      $ 291,466  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 55,695       $ 64,262      $ 70,007      $ 76,443      $ 53,308      $ 51,890  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    18       15      17      13      19      16
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(g) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           0.94             0.94             0.95             0.94             0.94             0.95        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      65  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BQH  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 15.39       $ 16.11      $ 16.99      $ 15.75      $ 15.77      $ 13.32  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.29         0.60        0.67        0.71        0.74        0.79  

Net realized and unrealized gain (loss)

    (0.02       (0.69      (0.84      1.27        0.03        2.46  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.27         (0.09      (0.17      1.98        0.77        3.25  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.28       (0.63      (0.71      (0.74      (0.79      (0.80
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 15.38       $ 15.39      $ 16.11      $ 16.99      $ 15.75      $ 15.77  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.60       $ 13.01      $ 14.55      $ 15.70      $ 13.66      $ 13.86  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    2.07 %(d)        (0.03 )%       (0.47 )%       13.22      5.57      25.66
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    6.77 %(d)        (6.44 )%       (2.73 )%       20.63      4.18      18.16
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    3.12 %(e)        2.78      2.44      2.10      2.08      2.23
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.95 %(e)        2.61      2.28      2.07      2.07      2.23
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(f)(g)

    1.32 %(e)        1.26      1.24      1.48      1.91      2.02
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.87 %(e)        3.84      4.21      4.31      4.68      5.45
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 43,074       $ 43,085      $ 45,113      $ 47,581      $ 44,111      $ 44,158  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 22,100       $ 22,100      $ 22,100      $ 22,100      $ 22,100      $ 22,100  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 294,907       $ 294,954      $ 304,132      $ 315,300      $ 299,597      $ 299,812  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 7,857       $ 6,560      $ 6,521      $ 6,381      $ 5,070      $ 4,900  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    16       11      17      13      22      18
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(g) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           1.32             1.26             1.24             1.41             1.41             1.46        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

66    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BSE  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.35       $ 15.04      $ 15.84      $ 14.81      $ 14.92      $ 12.92  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.26         0.55        0.63        0.68        0.70        0.72  

Net realized and unrealized gain (loss)

    0.03         (0.68      (0.80      1.03        (0.08      2.05  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.29         (0.13      (0.17      1.71        0.62        2.77  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.24       (0.56      (0.63      (0.68      (0.73      (0.77
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.40       $ 14.35      $ 15.04      $ 15.84      $ 14.81      $ 14.92  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 12.59       $ 12.65      $ 13.55      $ 14.84      $ 12.99      $ 13.16  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    2.34 %(d)        (0.33 )%       (0.55 )%       12.22      4.88      22.65
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    1.50 %(d)        (2.47 )%       (4.36 )%       19.87      4.29      15.99
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.73 %(e)        2.41      2.10      1.76      1.70      1.75
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    2.73 %(e)        2.41      2.09      1.75      1.70      1.75
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, and amortization of offering costs(f)(g)

    1.14 %(e)        1.10      1.10      1.17      1.51      1.55
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.70 %(e)        3.77      4.23      4.40      4.72      5.18
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 93,893       $ 93,532      $ 98,076      $ 103,296      $ 96,587      $ 97,276  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 40,500       $ 40,500      $ 40,500      $ 40,500      $ 40,500      $ 40,500  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 331,834       $ 330,943      $ 342,162      $ 355,052      $ 338,486      $ 340,188  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 22,320       $ 21,702      $ 20,604      $ 21,873      $ 18,091      $ 17,431  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    14       16      13      8      20      24
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(g) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           1.14             1.10             1.10             1.12             1.09             1.09        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      67  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BFY  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.97       $ 15.71      $ 16.58      $ 15.57      $ 15.66      $ 13.36  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.31         0.64        0.71        0.78        0.82        0.84  

Net realized and unrealized gain (loss)

    (0.05       (0.72      (0.82      1.06        (0.07      2.30  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.26         (0.08      (0.11      1.84        0.75        3.14  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.30       (0.66      (0.76      (0.83      (0.84      (0.84
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.93       $ 14.97      $ 15.71      $ 16.58      $ 15.57      $ 15.66  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.10       $ 12.77      $ 15.51      $ 17.01      $ 14.16      $ 14.02  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    2.06 %(d)        (0.08 )%       (0.37 )%       12.24      5.33      24.75
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    4.98 %(d)        (13.66 )%       (4.13 )%       26.61      7.00      18.80
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    2.87 %(e)        2.57      2.21      1.86      1.83      1.96
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.87 %(e)        2.56      2.21      1.85      1.83      1.95
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, and amortization of offering costs(f)(g)

    1.17 %(e)        1.13      1.12      1.23      1.69      1.78
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.25 %(e)        4.20      4.60      4.83      5.25      5.76
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 74,744       $ 74,931      $ 78,641      $ 82,927      $ 77,854      $ 78,304  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 44,400       $ 44,400      $ 44,400      $ 44,400      $ 44,400      $ 44,400  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 268,342       $ 268,764      $ 277,119      $ 286,771      $ 275,347      $ 276,360  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end period (000)

  $ 8,059       $ 7,475      $ 7,817      $ 8,061      $ 5,895      $ 5,725  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    18       12      14      17      20      21
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d) 

Aggregate total return.

(e)

Annualized.

(f)

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(g)

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           1.17             1.13             1.12             1.16             1.13             1.15        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

68    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

 

    BHV  
    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
          2018      2017      2016      2015      2014  
               

Net asset value, beginning of period

  $ 14.97       $ 15.75      $ 16.56      $ 15.90      $ 15.95      $ 14.03  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.30         0.69        0.78        0.81        0.81        0.83  

Net realized and unrealized gain (loss)

    (0.13       (0.69      (0.83      0.66        (0.01      1.95  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.17                (0.05      1.47        0.80        2.78  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.35       (0.78      (0.76      (0.81      (0.85      (0.86
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.79       $ 14.97      $ 15.75      $ 16.56      $ 15.90      $ 15.95  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 16.20       $ 16.56      $ 18.68      $ 19.14      $ 16.70      $ 16.35  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

                 

Based on net asset value

    1.04 %(d)        (0.20 )%       (0.44 )%       9.05      5.02      20.31
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    0.05 %(d)        (6.91 )%       2.17      20.00      7.61      16.06
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

                 

Total expenses

    3.35 %(e)(f)        2.94      2.46      2.16      1.98      2.01
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and paid indirectly

    3.13 %(e)(f)        2.72      2.25      1.95      1.77      1.96
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees and amortization of offering costs(g)(h)

    1.79 %(e)(f)        1.70      1.61      1.70      1.30      1.38
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    4.14 %(e)(f)        4.51      4.95      5.00      5.08      5.52
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                 

Net assets applicable to Common Shareholders, end of period (000)

  $ 23,745       $ 24,006      $ 25,216      $ 26,462      $ 25,336      $ 25,373  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 11,600       $ 11,600      $ 11,600      $ 11,600      $ 11,600      $ 11,600  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 304,702       $ 306,947      $ 317,375      $ 328,121      $ 318,414      $ 318,733  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 5,396       $ 5,396      $ 4,360      $ 3,860      $ 3,019      $ 3,019  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    10       26      10      6      9      11
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Based on average Common Shares outstanding.

(b)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d)

Aggregate total return.

(e)

Annualized.

(f) 

Excludes 0.01% of expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

(h) 

The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees were as follows:

 

    Six Months Ended
02/28/19
(unaudited)
          Year Ended August 31,  
    2018           2017           2016           2015           2014        

Expense ratios

           1.39             1.32             1.22             1.30             1.23             1.38        
 

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

   

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      69  


Notes to Financial Statements  (unaudited)

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Maryland Municipal Bond Trust

  BZM    Delaware    Non-diversified

BlackRock Massachusetts Tax-Exempt Trust

  MHE    Massachusetts    Non-diversified

BlackRock MuniHoldings New York Quality Fund, Inc.

  MHN    Maryland    Non-diversified

BlackRock New York Municipal Bond Trust

  BQH    Delaware    Diversified

BlackRock New York Municipal Income Quality Trust

  BSE    Delaware    Non-diversified

BlackRock New York Municipal Income Trust II

  BFY    Delaware    Non-diversified

BlackRock Virginia Municipal Bond Trust

  BHV    Delaware    Non-diversified

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (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 date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts) or certain borrowings (e.g., TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Distributions to Preferred Shareholders are accrued and determined as described in Note 10.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance to the Trusts.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management continues to evaluate the impact of this guidance to the Trusts.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

 

 

70    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

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

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

   

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

   

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

   

Futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

 

   

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

 

   

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

 

   

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

4.

SECURITIES AND OTHER INVESTMENTS

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

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A fund

 

 

NOTES TO FINANCIAL STATEMENTS      71  


Notes to Financial Statements  (unaudited) (continued)

 

may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain funds leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.

The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event, as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the funds) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. MHE’s management believes that the Trust’s restrictions on borrowings do not apply to the Trust’s TOB Trust transactions. Each Trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a fund. A fund typically invests the cash received in additional municipal bonds.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a fund’s payable to the holder of the TOB Trust’s Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Trust on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:

 

     Interest
Expense
     Liquidity
Fees
     Other
Expenses
     Total  

BZM

  $ 23,569      $ 6,772      $ 1,839      $ 32,180  

MHE

    20,351        4,862        1,623        26,836  

MHN

    474,981        131,128        43,471        649,580  

BQH

    54,905        15,061        4,957        74,923  

BSE

    173,634        50,927        13,944        238,505  

BFY

    60,357        17,720        4,570        82,647  

BHV

    42,760        11,567        3,679        58,006  

 

 

72    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

For the six months ended February 28, 2019, the following table is a summary of each Trust’s TOB Trusts:

 

     Underlying
Municipal Bonds
Transferred to
TOB Trusts
 (a)
     Liability for
TOB Trust
Certificates
  (b)
     Range of
Interest
Rates on
TOB Trust
Certificates
at Period
End
     Average
TOB Trust
Certificates
Outstanding
     Daily Weighted
Average Rate
of Interest and
Other Expenses
on TOB Trusts
 

BZM

  $ 5,444,725      $ 2,999,064        1.78% - 1.78    $ 2,975,133        2.18

MHE

    3,810,204        2,465,858        1.78 - 1.79        2,565,802        2.11  

MHN

    105,578,185        55,694,616        1.77 - 1.90        59,894,998        2.19  

BQH

    14,234,428        7,857,402        1.76 - 1.79        6,926,077        2.18  

BSE

    40,753,419        22,320,197        1.76 - 1.90        21,839,926        2.20  

BFY

    14,993,819        8,058,575        1.76 - 1.83        7,634,454        2.18  

BHV

    9,928,768        5,396,436        1.77 - 1.78        5,396,389        2.17  

 

  (a) 

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the funds, as TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.

 
  (b) 

TOB Trusts may be structured on a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Trust invests in a TOB Trust on a recourse basis, the Trust enters into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple Trusts participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a fund at February 28, 2019, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedule of Investments including the maximum potential amounts owed by a fund at February 28, 2019.

 

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except for MHE and MHN, pays the Manager a monthly fee at an annual rate equal to a percentage of each Trust’s average weekly managed assets. For such services, MHE and MHN each pays the Manager a monthly fee at an annual rate equal to a percentage of each Trust’s average daily net assets. The Trusts pay their respective fees based on the following annual rates:

 

     BZM      MHE      MHN      BQH      BSE      BFY      BHV  

Investment advisory fee

    0.65      0.50      0.55      0.65      0.55      0.55      0.65

 

 

NOTES TO FINANCIAL STATEMENTS      73  


Notes to Financial Statements  (unaudited) (continued)

 

For purposes of calculating these fees, “net assets” mean the total assets of each Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). It is understood that the liquidation preference of any outstanding preferred stock (other than accumulated dividends) and TOB Trusts is not considered a liability in determining a Trust’s NAV. For purposes of calculating these fees, “managed assets” mean the total assets of each Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

Expense Limitations, Waivers, Reimbursements, and Recoupments: With respect to BZM, BQH and BHV, the Manager voluntarily agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of each Trust’s business (“expense limitation”). The expense limitations as a percentage of average weekly managed assets are as follows:

 

     BZM      BQH      BHV  

Fee waived

    0.05      0.10      0.13

This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2019 the waivers were as follows:

 

     BZM      BQH      BHV  

Amounts waived

  $ 12,241      $ 35,417      $ 26,154  

The Manager, for MHN, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOB Trusts that exceed 35% of total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). The voluntary waiver may be reduced or discontinued at any time without notice. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2019 the waiver was $185,327.

With respect to each Trust, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation described below will be reduced by the amount of the affiliated money market fund waiver. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2019, the waivers were as follows:

 

     BZM      MHE      MHN      BQH      BSE      BFY      BHV  

Amounts waived

  $ 519      $ 347      $ 336      $ 50      $ 97      $ 69      $ 276  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2019. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the six months ended February 28, 2019, there were no fees waived by the Manager pursuant to this arrangement.

Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

 

7.

PURCHASES AND SALES

For the six months ended February 28, 2019, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BZM      MHE      MHN      BQH      BSE      BFY      BHV  

Purchases

  $ 3,454,013      $ 1,639,174      $ 136,055,423      $ 12,752,460      $ 22,911,173      $ 22,942,777      $ 3,969,337  

Sales

    3,827,976        1,628,411        140,063,884        11,538,553        21,865,310        22,932,821        5,603,465  

 

8.

INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2018. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of February 28, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

 

 

74    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

As of August 31, 2018, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires August 31,   MHE      MHN      BQH      BSE      BFY      BHV  

No expiration date(a)

  $ 292,185      $ 14,172,767      $ 945,719      $ 1,469,732      $ 1,278,852      $ 520,919  

2019

    74        673,531                      255,001        51,866  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $ 292,259      $ 14,846,298      $ 945,719      $ 1,469,732      $ 1,533,853      $ 572,785  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Must be utilized prior to losses subject to expiration.

 

As of February 28, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     BZM     MHE     MHN     BQH     BSE     BFY     BHV  

Tax cost

  $ 45,041,031     $ 47,078,097     $ 653,508,311     $ 60,223,880     $ 126,145,781     $ 111,490,161     $ 33,602,346  

Gross unrealized appreciation

  $ 1,139,078     $ 2,370,830     $ 31,417,102     $ 4,447,984     $ 6,984,621     $ 6,679,239     $ 1,370,283  

Gross unrealized depreciation

    (60,482     (113,205     (988,422     (184,673     (269,450     (231,417     (79,712
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 1,078,596     $ 2,257,625     $ 30,428,680     $ 4,263,311     $ 6,715,171     $ 6,447,822     $ 1,290,571  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

9.

PRINCIPAL RISKS

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

A Trust structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

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

The U.S. Security and Exchange Commission (“SEC”) and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and the Trusts, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

 

 

NOTES TO FINANCIAL STATEMENTS      75  


Notes to Financial Statements  (unaudited) (continued)

 

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: Each Trust invests a substantial amount of its assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, BZM and BHV invested a significant portion of their assets in the health sector, MHE and BSE invested a significant portion of its assets in the education sector, MHN invested a significant portion of its assets in the transportation sector, and BQH and BFY invested a significant portion of their assets in the county, city, special district, school district sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates. The Federal Reserve has begun to raise the Federal Funds rate, and each increase results in more pronounced interest rate risk in the current market environment.

 

10.

CAPITAL SHARE TRANSACTIONS

Each Trust, except for MHN, is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. MHN is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Trust’s Common Shares is $0.001, except for MHE and MHN, which is $0.01 and $0.10, respectively. The par value for each Trust’s Preferred Shares outstanding is $0.001, except for MHE and MHN, which is $0.01 and $0.10 respectively. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Common Shares

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

 

     MHE      BFY      BHV  

Six months ended February 28, 2019

                  1,360  

Year ended August 31, 2018

    1,800        273        2,965  

For the six months ended February 28, 2019 and for the year ended August 31, 2018, shares issued and outstanding remained constant for BZM, MHN, BQH and BSE.

On November 15, 2018, the Board of Trustees authorized each Trust to participate in an open market share repurchase program (the “Repurchase Program”). Under the Repurchase Program each Trust may repurchase up to 5% of its outstanding common shares through November 30, 2019, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the six months ended February 28, 2019, the Trusts did not repurchase any shares.

Preferred Shares

A Trust’s Preferred Shares rank prior to its Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of the Trust. The 1940 Act prohibits the declaration of any dividend on Common Shares or the repurchase of Common Shares if the Trust fails to maintain asset coverage of at least 200% of the liquidation preference of the Trust’s outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with its Preferred Shares or repurchasing such shares if the Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.

Holders of Preferred Shares have voting rights equal to the voting rights of holders of Common Shares (one vote per share) and vote together with holders of Common Shares (one vote per share) as a single class on certain matters. Holders of Preferred Shares, voting as a separate class, are also entitled to (i) elect two members of the Board, (ii) elect the full Board if dividends on the Preferred Shares are not paid for a period of two years and (iii) a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

 

 

76    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

VRDP Shares

BZM, MHE, MHN, BQH, BSE, BFY and BHV (for purposes of this section, a “VRDP Trust”) have issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended (the “Securities Act”). The VRDP Shares include a liquidity feature and may be subject to a special rate period. As of period end, the VRDP Shares outstanding were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Maturity
Date
 

BZM

    06/14/12        160      $ 16,000,000        07/01/42  

MHE

    06/14/12        185        18,500,000        07/01/42  

MHN

    06/30/11        2,436        243,600,000        07/01/41  

BQH

    09/15/11        221        22,100,000        10/01/41  

BSE

    09/15/11        405        40,500,000        10/01/41  

BFY

    09/15/11        444        44,400,000        10/01/41  

BHV

    06/14/12        116        11,600,000        07/01/42  

Redemption Terms: A VRDP Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, a VRDP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, a VRDP Trust is required to redeem certain of its outstanding VRDP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of a VRDP Trust. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Liquidity Feature: VRDP Shares are subject to a fee agreement between the VRDP Trust and the liquidity provider that requires a per annum liquidity fee and, in some cases, an upfront or initial commitment fee, payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations. The fee agreement is set to expire, unless renewed or terminated in advance, as follows:

 

     BZM      MHE      MHN      BQH      BSE      BFY      BHV  

Expiration Date

    07/04/19        07/04/19        04/15/20        10/21/19        10/21/19        10/21/19        07/04/19  

In the event a fee agreement is not renewed or is terminated in advance, and the VRDP Trust does not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, a VRDP Trust is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the VRDP Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance that a VRDP Trust will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: A VRDP Trust may incur remarketing fees on the aggregate principal amount of all its VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), a VRDP Trust may incur nominal or no remarketing fees.

Ratings: As of period end, the VRDP Shares were assigned the following long-term ratings:

 

     Moody’s      Fitch  

BZM

    Aa2        AAA  

BHV

    Aa2        AAA  

BQH

    Aa2        AAA  

BSE

    Aa2        AAA  

MHE

    Aa3        AAA  

MHN

    Aa2        AAA  

BFY

    Aa2        AAA  

Any short-term ratings on VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s and Fitch. 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. As of period end, the short-term ratings of the liquidity provider and the VRDP Shares were within the two highest rating categories as follows:

 

     Moody’s      Fitch  

BZM

    P1        F1  

BHV

    P1        F1  

 

 

NOTES TO FINANCIAL STATEMENTS      77  


Notes to Financial Statements  (unaudited) (continued)

 

Special Rate Period: A VRDP Trust may commence a “special rate period” with respect to its VRDP Shares, during which the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. During a special rate period, short-term ratings on VRDP Shares are withdrawn. The following VRDP Trusts have commenced or are set to commence a special rate period:

 

     Commencement
Date
     Expiration Date
as of period
ended 02/28/19
 

MHE

    06/14/12        06/19/19  

MHN

    04/17/14        04/15/20  

BQH

    10/22/15        04/17/19  

BSE

    10/22/15        04/17/19  

BFY

    10/22/15        04/17/19  

Prior to the expiration date, the VRDP Trust and the VRDP Shares holder may mutually agree to extend the special rate period. If a special rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special rate period and will be remarketed and available for purchase by qualified institutional investors.

During the special rate period: (i) the liquidity and fee agreements remain in effect, (ii) VRDP Shares remain subject to mandatory redemption by the VRDP Trust on the maturity date, (iii) VRDP Shares will not be remarketed or subject to optional or mandatory tender events, (iv) the VRDP Trust is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period, (v) the VRDP Trust will pay dividends monthly based on the sum of the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares and (vi) the VRDP Trust will pay nominal or no fees to the liquidity provider and remarketing agent.

If a VRDP Trust redeems its VRDP Shares prior to end of the special rate period and the VRDP Shares have long-term ratings above A1/A+ and its equivalent by all ratings agencies then rating the VRDP Shares, then such redemption may be subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.

Dividends: Except during the Special Rate Period, dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term rating. 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 the six months ended February 28, 2019, the annualized dividend rate for the VRDP Shares were as follows:

 

     BZM      MHE      MHN      BQH      BSE      BFY      BHV  

Rate

    0.78      1.55      1.53      1.55      1.55      1.55      0.78

For the six months ended February 28, 2019, VRDP Shares issued and outstanding of each Trust remained constant.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP Shares, with the exception of any upfront fees paid by a VRDP Trust to the liquidity provider which, if any, were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Financial Reporting: The VRDP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP Shares are included in interest expense, fees and amortization of offering costs in the Statements of Operations:

 

     Dividends
Accrued
     Deferred
Offering
Costs
Amortization
 

BZM

  $ 143,038      $ 1,506  

MHE

    220,181        1,654  

MHN

    2,910,707        7,657  

BQH

    266,944        2,893  

BSE

    487,620        3,099  

BFY

    535,408        3,139  

BHV

    97,237        1,281  

 

 

78    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (unaudited) (continued)

 

 

11.

REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Trusts have adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statements of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended August 31, 2018 were classified as follows:

 

     Net
Investment
Income
     Net Realized
Gain
 

BZM

  $ 1,184,330      $ 83,044  

MHE

    1,379,587         

MHN

    19,231,620         

BQH

    1,764,066         

BSE

    3,667,309         

BFY

    3,303,232         

BHV

    1,245,984         

Undistributed net investment income as of August 31, 2018 is as follows:

 

     Undistributed Net
Investment Income
 

BZM

  $ 221,233  

MHE

    130,411  

MHN

    1,076,098  

BQH

    335,187  

BSE

    141,169  

BFY

    614,961  

BHV

    157,423  

 

12.

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:

 

     Common Dividend
Per Share
   

 

    Preferred Shares (c)  
     Paid (a)      Declared (b)            Shares      Series      Declared  

BZM

  $ 0.0474      $ 0.0474         VRDP        W-7      $ 24,004  

MHE

    0.0440        0.0440         VRDP        W-7        39,068  

MHN

    0.0445        0.0445         VRDP        W-7        516,499  

BQH

    0.0480        0.0480         VRDP        W-7        48,072  

BSE

    0.0405        0.0405         VRDP        W-7        88,096  

BFY

    0.0490        0.0490         VRDP        W-7        96,579  

BHV

    0.0535        0.0535               VRDP        W-7        17,403  

 

  (a)

Net investment income paid on April 1, 2019 to Common Shareholders of record on March 15, 2019.

 
  (b) 

Net investment income dividend declared on April 1, 2019, payable to Common Shareholders of record on April 15, 2019.

 
  (c) 

Dividends declared for period March 1, 2019 to March 31, 2019.

 

 

 

NOTES TO FINANCIAL STATEMENTS      79  


Trustee and Officer Information

 

Richard E. Cavanagh, Co-Chair of the Board and Trustee

Karen P. Robards, Co-Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Henry Gabbay, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective January 1, 2019, Richard E. Cavanagh and Karen P. Robards were appointed as a Co-Chair of the Board. Prior to January 1, 2019, Mr. Cavanagh served as Chair of the Board and Ms. Robards served as Vice Chair of the Board. In addition, effective January 1, 2019, Henry Gabbay was appointed as a Trustee of each Trust.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

VRDP Tender and Paying Agent

The Bank of New York Mellon

New York, NY 10289

VRDP Remarketing Agent

Merrill Lynch, Pierce, Fenner & Smith Incorporated(a)

New York, NY 10036

Citigroup Global Markets, Inc.(b)

New York, NY 10179

Barclays Capital, Inc.(c)

New York, NY 10019

VRDP Liquidity Providers

Bank of America, N.A.(a)

New York, NY 10036

Citibank, N.A.(b)

New York, NY 10179

Barclays Bank PLC.(c)

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

For MHN.

(b) 

For BZM, MHE and BHV.

(c) 

For BQH, BSE and BFY.

 

 

80    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Additional Information

 

Trust Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

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

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

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

 

 

ADDITIONAL INFORMATION      81  


Additional Information  (continued)

 

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

82    2019 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS


Glossary of Terms Used in this Report

 

Portfolio Abbreviations
AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
BARB    Building Aid Revenue Bonds
BHAC    Berkshire Hathaway Assurance Corp.
BOCES    Board of Cooperative Educational Services
CAB    Capital Appreciation Bonds
CIFG    CIFG Assurance North America, Inc.
EDA    Economic Development Authority
EDC    Economic Development Corp.
ERB    Education Revenue Bonds
FHA    Federal Housing Administration
GO    General Obligation Bonds
HDA    Housing Development Authority
HFA    Housing Finance Agency
HRB    Housing Revenue Bonds
IDA    Industrial Development Authority
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
PILOT    Payment in Lieu of Taxes
RB    Revenue Bonds
S/F    Single-Family
SONYMA    State of New York Mortgage Agency
Syncora    Syncora Guarantee
 

 

 

GLOSSARY OF TERMS USED IN THIS REPORT      83  


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

 

CEF-STMUNI-8-2/19-SAR    LOGO


Item 2  –  Code of Ethics – Not Applicable to this semi-annual report

Item 3  –  Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4  –  Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5  –  Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

Item 6  –  Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

Item 8  –  Portfolio Managers of Closed-End Management Investment Companies

 

  (a)

Not Applicable to this semi-annual report.

 

  (b)

As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

Period                                    

  

(a) Total

Number of  

Shares

Purchased

  

(b) Average

Price Paid per  

Share

  

(c) Total Number of

Shares Purchased as Part  

of Publicly Announced

Plans or Programs

  

(d) Maximum Number of

Shares that May Yet Be

Purchased Under the Plans  

or Programs1

September 1 – 30, 2018

   N/A    N/A    N/A    N/A

October 1 – 31, 2018

   N/A    N/A    N/A    N/A

November 1- 30, 2018

   N/A    N/A    N/A    N/A

December 1 – 31, 2018

   0    $0    0    80,222

January 1 – 31, 2019

   0    $0    0    80,222

February 1 – 28, 2019

   0    $0    0    80,222

Total:

   0    $0    0    80,222

1The Fund announced an open market share repurchase program on November 15, 2018 pursuant to which the Fund was authorized to repurchase, through November 30, 2019, up to 5% of its common shares based on common shares outstanding on November 30, 2018, in open market transactions, subject to certain conditions.

 

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)

 

2


under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

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

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

 

Item 13 –

Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

 

3


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

BlackRock Virginia Municipal Bond Trust

 

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

Date: May 3, 2019

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

 

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

Date: May 3, 2019

 

By:       /s/ Neal J. Andrews                    
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Virginia Municipal Bond Trust

Date: May 3, 2019

 

4