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 811-10331

 

Name of Fund: BlackRock California Municipal Income Trust (BFZ)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock California Municipal Income 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: 07/31/2012

 

Date of reporting period: 01/31/2012

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

January 31, 2012


 

 

 

Semi-Annual Report (Unaudited)

 

 

 

BlackRock California Municipal Income Trust (BFZ)

 

 

 

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

 

 

BlackRock Investment Quality Municipal Income Trust (RFA)

 

 

 

BlackRock Municipal Income Investment Trust (BBF)

 

 

 

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)

 

 

 

BlackRock New Jersey Municipal Income Trust (BNJ)

 

 

 

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)

 

 

 

BlackRock New York Municipal Income Trust (BNY)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

Table of Contents


 

 

 

 

 

 

Page

 

 

 

 

 

Dear Shareholder

 

3

 

Semi-Annual Report:

 

 

 

Municipal Market Overview

 

4

 

Trust Summaries

 

5

 

The Benefits and Risks of Leveraging

 

13

 

Derivative Financial Instruments

 

13

 

Financial Statements:

 

 

 

Schedules of Investments

 

14

 

Statements of Assets and Liabilities

 

40

 

Statements of Operations

 

42

 

Statements of Changes in Net Assets

 

44

 

Statements of Cash Flows

 

46

 

Financial Highlights

 

47

 

Notes to Financial Statements

 

55

 

Officers and Trustees

 

63

 

Additional Information

 

64

 


 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Dear Shareholder

Early in 2011, global financial market action was dominated by political revolutions in the Middle East and North Africa, soaring prices of oil and other commodities, and natural disasters in Japan resulting in global supply chain disruptions. But corporate earnings were strong and the global economic recovery appeared to be on track. Investors demonstrated steadfast confidence as risk assets, including equities, commodities and high yield bonds, charged forward. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5th, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded, resulting in highly correlated asset prices. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors came back from the sidelines and risk assets rallied through the month. Eventually, a lack of definitive details about Europe’s rescue plan raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw political instability in Greece, unsustainable yields on Italian bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated investors, but confidence was easily tempered by sobering news flow. Sentiment improved in the New Year as investors saw bright spots in global economic data, particularly from the United States, China and Germany. International and emerging markets rebounded strongly through January. US stocks rallied on solid improvement in the domestic labor market and indications from the Federal Reserve that interest rates would remain low through 2014. Nonetheless, investors maintained caution as US corporate earnings began to weaken and a European recession appeared inevitable.

US equities and high yield bonds recovered their late-summer losses and posted positive returns for both the 6- and 12-month periods ended January 31, 2012. International markets, however, experienced some significant downturns in 2011 and remained in negative territory despite a strong rebound at the end of the period. Fixed income securities benefited from declining yields and delivered positive returns for the 6- and 12-month periods. US Treasury bonds outperformed other fixed income classes despite their quality rating downgrade, while municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain unresolved. For investors, the risks are daunting. BlackRock remains committed to helping you keep your financial goals on track in this challenging environment.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

(PHOTO OF ROB KAPITO)

“BlackRock remains committed to helping you keep your financial goals on track in this challenging environment.”

 

Rob Kapito
President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2012

 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities

 

2.71

%

 

4.22

%

 

(S&P 500® Index)

 

 

 

 

 

 

 

US small cap equities

 

0.22

 

 

2.86

 

 

(Russell 2000® Index)

 

 

 

 

 

 

 

International equities

 

(10.42

)

 

(9.59

)

 

(MSCI Europe, Australasia,

 

 

 

 

 

 

 

Far East Index)

 

 

 

 

 

 

 

Emerging market

 

(9.56

)

 

(6.64

)

 

equities (MSCI Emerging

 

 

 

 

 

 

 

Markets Index)

 

 

 

 

 

 

 

3-month Treasury

 

0.02

 

 

0.09

 

 

bill (BofA Merrill Lynch

 

 

 

 

 

 

 

3-Month Treasury

 

 

 

 

 

 

 

Bill Index)

 

 

 

 

 

 

 

US Treasury securities

 

10.81

 

 

18.49

 

 

(BofA Merrill Lynch 10-

 

 

 

 

 

 

 

Year US Treasury Index)

 

 

 

 

 

 

 

US investment grade

 

4.25

 

 

8.66

 

 

bonds (Barclays

 

 

 

 

 

 

 

Capital US Aggregate

 

 

 

 

 

 

 

Bond Index)

 

 

 

 

 

 

 

Tax-exempt municipal

 

7.25

 

 

14.40

 

 

bonds (S&P Municipal

 

 

 

 

 

 

 

Bond Index)

 

 

 

 

 

 

 

US high yield bonds

 

1.84

 

 

5.81

 

 

(Barclays Capital US

 

 

 

 

 

 

 

Corporate High Yield 2%

 

 

 

 

 

 

 

Issuer Capped Index)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

Municipal Market Overview

 

 

For the 12-Month Period Ended January 31, 2012

One year ago, the municipal bond market was steadily recovering from a difficult fourth quarter of 2010 that brought severe losses amid a steepening US Treasury yield curve and a flood of inflated headlines about municipal finance troubles. Retail investors had lost confidence in municipals and retreated from the market. Political uncertainty surrounding the midterm elections and tax policies exacerbated the situation. These conditions combined with seasonal illiquidity weakened willful market participation from the trading community. December 2010 brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the Build America Bond program was retired. This supply-demand imbalance led to wider quality spreads and higher yields for municipal bonds heading into 2011.

(LINE GRAPH)

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in the first half of 2011. From the middle of November 2010, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June 2011. However, weak demand was counterbalanced by lower supply in 2011. According to Thomson Reuters, new issuance was down 32% in 2011 as compared to the prior year. While these technical factors were improving, municipalities were struggling to balance their budgets, although the late-2010 predictions for widespread municipal defaults did not materialize. Other concerns that resonated at the beginning of the year, such as rising interest rates, weakening credits and higher rates of inflation, abated as these scenarios also did not come to fruition.

On August 5th, 2011, Standard & Poor’s (“S&P”) downgraded the US government’s credit rating from AAA to AA+. While this led to the downgrade of approximately 11,000 municipal issues directly tied to the US debt rating, this represented a very small fraction of the municipal market and said nothing about the individual municipal credits themselves. In fact, demand for municipal bonds increased as severe volatility in US equities drove investors to more stable asset classes. The municipal market benefited from an exuberant Treasury market and continued muted new issuance. As supply remained constrained, demand from both traditional and non-traditional buyers was strong, pushing long-term municipal bond yields lower and sparking a curve-flattening trend that continued through year end. Ultimately, 2011 was one of the strongest performance years in municipal market history. The S&P Municipal Bond Index returned 10.62% in 2011, making municipal bonds a top-performing fixed income asset class for the year.

Supply and demand technicals continued to be favorable in January 2012. Overall, the municipal yield curve flattened during the period from January 31, 2011 to January 31, 2012. As measured by Thomson Municipal Market Data, yields declined by 161 basis points (“bps”) to 3.17% on AAA-rated 30-year municipal bonds and by 163 bps to 1.68% on 10-year bonds, while yields on 5-year issues fell 117 bps to 0.68%. While the entire municipal curve flattened over the 12-month time period, the spread between 2- and 30-year maturities tightened by 120 bps, and in the 2- to 10-year range, the spread tightened by 124 bps.

The fundamental picture for municipalities continues to improve. Austerity has been the general theme across the country, while a small number of states continue to rely on a “kick-the-can” approach to close their budget shortfalls, with aggressive revenue projections and accounting gimmicks. The market’s technical factors are also improving as demand outpaces supply in what is historically a light issuance period. It has been over a year since the first highly publicized interview about the fiscal problems plaguing state and local governments. Thus far, the prophecy of widespread defaults across the municipal market has not materialized. In 2011, there were fewer municipal defaults than seen in 2010. Throughout 2011 monetary defaults in the S&P Municipal Bond Index totaled roughly $805 million, representing less than 0.48% of the index. BlackRock maintains the view that municipal bond defaults will remain in the periphery and the overall market is fundamentally sound. We continue to recognize that careful credit research and security selection remain imperative amid uncertainty in this economic environment.

 

 

 

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


 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock California Municipal Income Trust


 

Trust Overview

BlackRock California Municipal Income Trust’s (BFZ) (the “Trust”) investment objective is to provide current income exempt from regular US federal income and California income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and California income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal obligations that are investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

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


 

Performance

For the six months ended January 31, 2012, the Trust returned 21.17% based on market price and 17.19% based on net asset value (“NAV”). For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of 21.02% based on market price and 14.53% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s slightly long duration (sensitivity to interest rate movements) had a positive impact on performance as interest rates generally declined amid the investor flight-to-quality in the US Treasury market. Increased exposure to inverse floating rate instruments (tender option bonds) while the municipal yield curve was historically steep boosted the Trust’s income accrual. The Trust’s holdings of higher quality essential service revenue bonds contributed positively, as did holdings of select general obligation bonds and school district credits with stronger underlying fundamentals. Additionally, purchases of zero-coupon bonds deemed undervalued added to the Trust’s total return.

 

 

 

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.


 

Trust Information


 

 

Symbol on New York Stock Exchange (“NYSE”)

BFZ

Initial Offering Date

July 27, 2001

Yield on Closing Market Price as of January 31, 2012 ($15.45)1

5.88%

Tax Equivalent Yield2

9.05%

Current Monthly Distribution per Common Share3

$0.0757

Current Annualized Distribution per Common Share3

$0.9084

Economic Leverage as of January 31, 20124

39%


 

 

 

 

1

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

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

The Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0777 per share. The Yield on Closing Market Price, 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.

 

 

 

 

4

Represents Auction Market Preferred Shares (“AMPS”) and tender option bond trusts (“TOBs”) as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.45

 

$

13.16

 

 

17.40

%

$

15.45

 

$

12.95

 

Net Asset Value

 

$

15.76

 

$

13.88

 

 

13.54

%

$

15.76

 

$

13.88

 

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

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

County/City/Special District/School District

 

 

 

37

%

 

 

 

39

%

 

Utilities

 

 

 

29

 

 

 

 

29

 

 

Health

 

 

 

12

 

 

 

 

11

 

 

Education

 

 

 

9

 

 

 

 

7

 

 

Transportation

 

 

 

6

 

 

 

 

7

 

 

State

 

 

 

6

 

 

 

 

5

 

 

Housing

 

 

 

1

 

 

 

 

2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

 

 

10

%

 

 

 

11

%

 

AA/Aa

 

 

 

70

 

 

 

 

67

 

 

A

 

 

 

20

 

 

 

 

20

 

 

BBB/Ba

 

 

 

6

 

 

 

2

 

 


 

 

 

 

5

Using the higher of Standard and Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

 

 

 

 

6

Amount rounds to less than 1%.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

5




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock Florida Municipal 2020 Term Trust


 

Trust Overview


BlackRock Florida Municipal 2020 Term Trust’s (BFO) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax and Florida intangible personal property tax and to return $15.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2020. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives. Effective January 1, 2007, the Florida intangible personal property tax was repealed.


 

 

 

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


 

Performance


For the six months ended January 31, 2012, the Trust returned 13.28% based on market price and 7.94% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 16.44% based on market price and 11.33% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. During the period, municipal bond prices generally rose as the yield curve flattened and credit spreads tightened. Given these market conditions, the Trust’s exposure to intermediate and longer maturity bonds and lower-quality investment grade bonds had a significant positive impact on the Trust’s performance for the period. The Trust is scheduled to mature on or about December 31, 2020 and thus holds securities that will mature close to that date. The Trust’s shorter maturity profile was a disadvantage as compared to its Lipper category peers that typically hold longer-dated issues, which exhibited greater price appreciation in the declining interest rate environment.


 

 

 

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.


 

 

Trust Information

 

 

Symbol on NYSE

BFO

Initial Offering Date

September 30, 2003

Termination Date (on or about)

December 31, 2020

Yield on Closing Market Price as of January 31, 2012 ($15.41)1

4.36%

Tax Equivalent Yield2

6.71%

Current Monthly Distribution per Common Share3

$0.056

Current Annualized Distribution per Common Share3

$0.672

Economic Leverage as of January 31, 20124

33%


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.


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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.41

 

$

13.91

 

 

10.78

%

$

15.44

 

$

13.79

 

Net Asset Value

 

$

15.77

 

$

14.94

 

 

5.56

%

$

15.77

 

$

14.94

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

44

%

 

46

%

 

Utilities

 

15

 

 

18

 

 

State

 

14

 

 

11

 

 

Corporate

 

8

 

 

6

 

 

Health

 

8

 

 

12

 

 

Transportation

 

8

 

 

4

 

 

Housing

 

2

 

 

2

 

 

Education

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

7

%

 

7

%

 

AA/Aa

 

48

 

 

40

 

 

A

 

20

 

 

23

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

1

 

 

1

 

 

Not Rated6

 

12

 

 

17

 

 


 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2012 and July 31, 2011, the market value of these securities was $6,284,191, representing 5%, and $10,771,005, representing 8%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock Investment Quality Municipal Income Trust


 

Trust Overview


BlackRock Investment Quality Municipal Income Trust’s (RFA) (the “Trust”) investment objective is to provide high current income exempt from regular federal income tax and to provide an exemption from Florida intangible personal property taxes consistent with preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds rated investment grade at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008 allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

 

 

 

 

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


 

On February 10, 2012, the Board of Trustees of the Trust approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of the Trust’s assets is expected to occur by the end of the third quarter of 2012.


 

Performance


For the six months ended January 31, 2012, the Trust returned 24.27% based on market price and 16.68% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 21.10% based on market price and 13.67% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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.


 

 

 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE Amex

 

 

RFA

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of January 31, 2012 ($14.00)1

 

 

6.00%

 

Tax Equivalent Yield2

 

 

9.23%

 

Current Monthly Distribution per Common Share3

 

 

$0.07

 

Current Annualized Distribution per Common Share3

 

 

$0.84

 

Economic Leverage as of January 31, 20124

 

 

39%

 


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

14.00

 

$

11.65

 

 

20.17

%

$

14.00

 

$

11.49

 

Net Asset Value

 

$

13.28

 

$

11.77

 

 

12.83

%

$

13.28

 

$

11.77

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

21

%

 

19

%

 

Transportation

 

18

 

 

20

 

 

Health

 

18

 

 

17

 

 

Utilities

 

17

 

 

20

 

 

State

 

10

 

 

8

 

 

Education

 

7

 

 

7

 

 

Housing

 

6

 

 

6

 

 

Corporate

 

2

 

 

2

 

 

Tobacco

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

11

%

 

8

%

 

AA/Aa

 

58

 

 

57

 

 

A

 

23

 

 

25

 

 

BBB/Baa

 

7

 

 

8

 

 

BB/Ba

 

 

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

5

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

7




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock Municipal Income Investment Trust


 

Trust Overview


BlackRock Municipal Income Investment Trust’s (BBF) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008 allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.


 

 

 

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


 

Performance


For the six months ended January 31, 2012, the Trust returned 21.49% based on market price and 17.04% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 21.10% based on market price and 13.67% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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.


 

 

Trust Information

 

 

Symbol on NYSE

BBF

Initial Offering Date

July 27, 2001

Yield on Closing Market Price as of January 31, 2012 ($14.99)1

6.03%

Tax Equivalent Yield2

9.28%

Current Monthly Distribution per Common Share3

$0.075375

Current Annualized Distribution per Common Share3

$0.904500

Economic Leverage as of January 31, 20124

39%


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents Variable Rate Demand Preferred Shares (“VRDP Shares”) and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

14.99

 

$

12.74

 

 

17.66

%

$

15.00

 

$

12.20

 

Net Asset Value

 

$

15.19

 

$

13.40

 

 

13.36

%

$

15.19

 

$

13.40

 


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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

26

%

 

19

%

 

Utilities

 

18

 

 

18

 

 

Transportation

 

18

 

 

16

 

 

Health

 

17

 

 

21

 

 

State

 

11

 

 

9

 

 

Education

 

7

 

 

7

 

 

Corporate

 

1

 

 

8

 

 

Tobacco

 

1

 

 

1

 

 

Housing

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AAA/Aaa

 

9

%

 

10

%

 

AA/Aa

 

60

 

 

55

 

 

A

 

23

 

 

26

 

 

BBB/Baa

 

7

 

 

7

 

 

BB/Ba

 

6

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

Amount rounds to less than 1%.


 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock New Jersey Investment Quality Municipal Trust Inc.


 

Trust Overview


BlackRock New Jersey Investment Quality Municipal Trust Inc.’s (RNJ) (the “Trust”) investment objective is to provide high current income exempt from regular federal income tax and New Jersey gross income tax consistent with preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in a portfolio of investment grade New Jersey municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in securities rated investment grade 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.


 

On February 10, 2012, the Board of Trustees of the Trust approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of the Trust’s assets is expected to occur by the end of the third quarter of 2012.


 

Performance


For the six months ended January 31, 2012, the Trust returned 19.86% based on market price and 16.19% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 20.36% based on market price and 13.24% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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.


 

 

Trust Information

 

 

Symbol on NYSE Amex

RNJ

Initial Offering Date

May 28, 1993

Yield on Closing Market Price as of January 31, 2012 ($13.97)1

5.63%

Tax Equivalent Yield2

8.66%

Current Monthly Distribution per Common Share3

$0.0655

Current Annualized Distribution per Common Share3

$0.7860

Economic Leverage as of January 31, 20124

35%


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

13.97

 

$

12.02

 

 

16.22

%

$

13.97

 

$

11.85

 

Net Asset Value

 

$

13.88

 

$

12.32

 

 

12.66

%

$

13.88

 

$

12.32

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

State

 

26

%

 

17

%

 

Education

 

17

 

 

19

 

 

County/City/Special District/School District

 

17

 

 

13

 

 

Transportation

 

15

 

 

18

 

 

Health

 

11

 

 

11

 

 

Housing

 

7

 

 

9

 

 

Corporate

 

7

 

 

10

 

 

Utilities

 

 

 

2

 

 

Tobacco

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AA/Aa

 

44

%

 

39

%

 

A

 

41

 

 

42

 

 

BBB/Baa

 

5

 

 

10

 

 

BB/Ba

 

1

 

 

 

 

B

 

5

 

 

5

 

 

Not Rated6

 

4

 

 

4

 

 


 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2012 and July 31, 2011, the market value of these securities was $511,455, representing 2%, and $884,636, representing 4%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

9




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock New Jersey Municipal Income Trust


 

Trust Overview


BlackRock New Jersey Municipal Income Trust’s (BNJ) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New Jersey gross income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.


 

 

 

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


 

Performance


For the six months ended January 31, 2012, the Trust returned 22.66% based on market price and 15.51% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 20.36% based on market price and 13.24% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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.


 

 

 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

BNJ

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of January 31, 2012 ($16.75)1

 

 

5.67%

 

Tax Equivalent Yield2

 

 

8.72%

 

Current Monthly Distribution per Common Share3

 

 

$0.0791

 

Current Annualized Distribution per Common Share3

 

 

$0.9492

 

Economic Leverage as of January 31, 20124

 

 

36%

 


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

16.75

 

$

14.10

 

 

18.79

%

$

16.79

 

$

13.34

 

Net Asset Value

 

$

15.74

 

$

14.07

 

 

11.87

%

$

15.74

 

$

14.07

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

State

 

23

%

 

22

%

 

County/City/Special District/School District

 

19

 

 

12

 

 

Transportation

 

16

 

 

18

 

 

Health

 

14

 

 

15

 

 

Education

 

12

 

 

11

 

 

Housing

 

10

 

 

13

 

 

Corporate

 

5

 

 

7

 

 

Utilities

 

1

 

 

1

 

 

Tobacco

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12


7/31/11

 

AAA/Aaa

 

7

%

 

5

%

 

AA/Aa

 

36

 

 

33

 

 

A

 

32

 

 

33

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

4

 

 

5

 

 

B

 

3

 

 

3

 

 

Not Rated6

 

6

 

 

9

 

 


 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2012 and July 31, 2011, the market value of these securities was $8,545,602, representing 5%, and $13,046,133, representing 8%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

10

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock New York Investment Quality Municipal Trust Inc.

 

 

 

 

Trust Overview

 


BlackRock New York Investment Quality Municipal Trust Inc.’s (RNY) (the “Trust”) investment objective is to provide high current income exempt from regular federal, New York State and New York City income tax consistent with the preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in securities rated investment grade 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.

On February 10, 2012, the Board of Trustees of the Trust approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of the Trust’s assets is expected to occur by the end of the third quarter of 2012.

 

Performance


For the six months ended January 31, 2012, the Trust returned 16.73% based on market price and 13.47% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return 17.53% based on market price and 11.32% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. Additionally, the Trust benefited from its long duration bias (greater sensitivity to interest rate movements) as overall interest rates declined. The Trust’s heavy exposures to health care and education, which were among the better performing sectors for the period, had a positive impact on performance.


 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on 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.


 

 

Trust Information

 

 

Symbol on NYSE Amex

RNY

Initial Offering Date

May 28, 1993

Yield on Closing Market Price as of January 31, 2012 ($15.27)1

5.74%

Tax Equivalent Yield2

8.83%

Current Monthly Distribution per Common Share3

$0.073

Current Annualized Distribution per Common Share3

$0.876

Economic Leverage as of January 31, 20124

37%


 

 

 

 

1

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

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

 

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.27

 

$

13.49

 

 

13.19

%

$

15.35

 

$

13.43

 

Net Asset Value

 

$

15.13

 

$

13.75

 

 

10.04

%

$

15.13

 

$

13.75

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

24

%

 

25

%

 

Health

 

15

 

 

14

 

 

State

 

14

 

 

9

 

 

Utilities

 

13

 

 

16

 

 

Corporate

 

11

 

 

11

 

 

Education

 

10

 

 

13

 

 

Transportation

 

7

 

 

3

 

 

Housing

 

6

 

 

7

 

 

Tobacco

 

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AAA/Aaa

 

13

%

 

17

%

 

AA/Aa

 

31

 

 

26

 

 

A

 

35

 

 

28

 

 

BBB/Baa

 

9

 

 

14

 

 

BB/Ba

 

5

 

 

6

 

 

B

 

 

 

4

 

 

Not Rated

 

7

 

 

5

6

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011, the market value of these securities was $1,312,653, representing 2% of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

11




 

 

 

 

Trust Summary as of January 31, 2012

BlackRock New York Municipal Income Trust


 

Trust Overview


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

 

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

 

 

Performance


For the six months ended January 31, 2012, the Trust returned 17.48% based on market price and 11.54% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 17.53% based on market price and 11.32% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. Additionally, the Trust benefited from its long duration bias (greater sensitivity to interest rate movements) as overall interest rates declined. The Trust’s heavy exposures to education and transportation, which were among the better performing sectors for the period, had a positive impact on performance.


 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on 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.


 

 

Trust Information

 

 

 

Symbol on NYSE

BNY

Initial Offering Date

July 27, 2001

Yield on Closing Market Price as of January 31, 2012 ($16.12)1

6.14%

Tax Equivalent Yield2

9.45%

Current Monthly Distribution per Common Share3

$0.0825

Current Annualized Distribution per Common Share3

$0.9900

Economic Leverage as of January 31, 20124

38%


 

 

 

 

1

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

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

16.12

 

$

14.20

 

 

13.52

%

$

16.15

 

$

13.99

 

Net Asset Value

 

$

14.95

 

$

13.87

 

 

7.79

%

$

14.95

 

$

13.87

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

18

%

 

18

%

 

Transportation

 

17

 

 

17

 

 

Education

 

16

 

 

17

 

 

Utilities

 

12

 

 

10

 

 

Corporate

 

10

 

 

11

 

 

Housing

 

9

 

 

10

 

 

Health

 

8

 

 

6

 

 

State

 

7

 

 

7

 

 

Tobacco

 

3

 

 

4

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AAA/Aaa

 

11

%

 

11

%

 

AA/Aa

 

37

 

 

33

 

 

A

 

29

 

 

27

 

 

BBB/Baa

 

16

 

 

20

 

 

BB/Ba

 

1

 

 

2

 

 

B

 

 

 

3

 

 

Not Rated6

 

6

 

 

4

 

 


 

 

 

 

5

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2012 and July 31, 2011, the market value of these securities was $2,501,000, representing 1%, and $11,121,550 representing 4%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

12

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

The Benefits and Risks of Leveraging

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

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

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

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

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ Preferred Shares does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares discussed above.

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

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets. In addition, each Trust voluntarily limits its economic leverage to 50% of its total managed assets for Trusts with AMPS or 45% for Trusts with VRDPs. As of January 31, 2012, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

 

 

 

 

Percent of
Economic
Leverage

 

BFZ

 

39

%

 

BFO

 

33

%

 

RFA

 

39

%

 

BBF

 

39

%

 

RNJ

 

35

%

 

BNJ

 

36

%

 

RNY

 

37

%

 

BNY

 

38

%

 

 

 

 

 

 

 

 

Derivative Financial Instruments

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

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

13




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California — 95.2%

 

 

 

 

 

 

 

Corporate — 0.2%

 

 

 

 

 

 

 

City of Chula Vista California, Refunding RB, San Diego
Gas & Electric, Series A, 5.88%, 2/15/34

 

$

680

 

$

786,957

 

County/City/Special District/School District — 34.4%

 

 

 

 

 

 

 

Butte-Glenn Community College District, GO, Election of
2002, Series C, 5.50%, 8/01/30

 

 

8,425

 

 

9,935,518

 

California State Public Works Board, RB, Various Capital
Projects, Sub-Series I-1, 6.63%, 11/01/34

 

 

8,000

 

 

9,386,960

 

Cerritos Community College District, GO, Election of 2004,
Series C, 5.25%, 8/01/31

 

 

3,000

 

 

3,439,500

 

City of Los Angeles, RB, Series A, 5.00%, 6/01/39

 

 

2,000

 

 

2,196,540

 

City of San Jose California, RB, Convention Center
Expansion & Renovation Project:

 

 

 

 

 

 

 

6.13%, 5/01/31

 

 

500

 

 

562,900

 

6.50%, 5/01/36

 

 

1,210

 

 

1,364,009

 

6.50%, 5/01/42

 

 

2,225

 

 

2,497,585

 

County of Kern California, COP, Capital Improvements
Projects, Series A (AGC), 6.00%, 8/01/35

 

 

2,000

 

 

2,318,820

 

Desert Community College District, GO, CAB, Election of
2004, Series C (AGM), 5.90%, 8/01/46 (a)

 

 

4,230

 

 

602,394

 

Escondido Union High School District, GO, CAB (AGC),
6.09%, 8/01/36 (a)

 

 

5,280

 

 

1,498,939

 

Evergreen Elementary School District, GO, Election of
2006, Series B (AGC), 5.13%, 8/01/33

 

 

2,500

 

 

2,785,125

 

Grossmont Healthcare District, GO, Election of 2006,
Series B, 6.13%, 7/15/40

 

 

2,000

 

 

2,377,800

 

Long Beach Unified School District California, GO,
Refunding, Election of 2008, Series A, 5.75%,
8/01/33

 

 

4,135

 

 

4,887,570

 

Los Alamitos Unified School District California, GO,
School Facilities Improvement District No. 1, 5.50%,
8/01/33

 

 

5,735

 

 

6,575,751

 

Los Angeles Municipal Improvement Corp., Refunding
RB, Real Property, Series B (AGC), 5.50%, 4/01/30

 

 

4,975

 

 

5,641,053

 

Modesto Irrigation District, COP, Capital Improvements,
Series A:

 

 

 

 

 

 

 

5.75%, 10/01/29

 

 

3,000

 

 

3,414,240

 

5.75%, 10/01/34

 

 

180

 

 

200,041

 

Norwalk-La Mirada Unified School District California,
GO, CAB, Election of 2002, Series E (AGC), 5.53%,
8/01/38 (a)

 

 

7,500

 

 

1,790,025

 

Oak Grove School District California, GO, Election of
2008, Series A, 5.50%, 8/01/33

 

 

6,000

 

 

6,952,740

 

Orange County Sanitation District, COP (NPFGC), 5.00%,
2/01/33

 

 

3,600

 

 

3,704,832

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California (continued)

 

 

 

 

 

 

 

County/City/Special District/School District
(concluded)

 

 

 

 

 

 

 

Orange County Water District, COP, Refunding, 5.25%,
8/15/34

 

$

2,000

 

$

2,289,980

 

Pico Rivera Public Financing Authority, RB, 5.75%,
9/01/39

 

 

2,000

 

 

2,196,740

 

Pittsburg Unified School District, GO, Election 2006,
Series B (FSA), 5.50%, 8/01/34

 

 

2,000

 

 

2,263,020

 

San Bernardino Community College District, GO, Election
Of 2008, Series B, 6.33%, 8/01/44 (a)

 

 

5,000

 

 

857,350

 

San Diego Community College District California, GO,
Election of 2002, 5.25%, 8/01/33

 

 

1,500

 

 

1,721,910

 

San Diego Regional Building Authority California, RB,
County Operations Center & Annex, Series A, 5.38%,
2/01/36

 

 

6,500

 

 

7,240,220

 

San Jose Financing Authority, Refunding RB, Civic Center
Project, Series B (AMBAC), 5.00%, 6/01/37

 

 

6,000

 

 

6,025,860

 

San Leandro Unified School District California, GO,
Election of 2010, Series A, 5.75%, 8/01/41

 

 

3,060

 

 

3,550,640

 

Santa Ana Unified School District, GO, Election of 2008,
Series A:

 

 

 

 

 

 

 

5.50%, 8/01/30

 

 

6,455

 

 

7,259,616

 

5.13%, 8/01/33

 

 

10,000

 

 

10,895,000

 

Santa Clara County Financing Authority, Refunding LRB,
Series L, 5.25%, 5/15/36

 

 

21,000

 

 

22,945,650

 

Santa Cruz County Redevelopment Agency California,
Tax Allocation Bonds, Live Oak/Soquel Community
Improvement, Series A:

 

 

 

 

 

 

 

6.63%, 9/01/29

 

 

1,000

 

 

1,165,940

 

7.00%, 9/01/36

 

 

1,700

 

 

1,996,667

 

Snowline Joint Unified School District, COP, Refunding,
Refining Project (AGC), 5.75%, 9/01/38

 

 

2,250

 

 

2,560,455

 

Torrance Unified School District California, GO, Election
of 2008, Measure Z, 6.00%, 8/01/33

 

 

4,000

 

 

4,756,240

 

Tustin Unified School District, GO, Election of 2008,
Series B, 5.25%, 8/01/31

 

 

3,445

 

 

4,056,660

 

West Contra Costa Unified School District, GO, Election
of 2010, Series A (AGM), 5.25%, 8/01/32

 

 

3,000

 

 

3,447,360

 

Westminster Redevelopment Agency California, Tax
Allocation Bonds, Subordinate, Commercial
Redevelopment Project No. 1 (AGC), 6.25%,
11/01/39

 

 

7,750

 

 

9,294,110

 

William S. Hart Union High School District, GO, CAB,
Series B (AGM) (a):

 

 

 

 

 

 

 

6.28%, 8/01/34

 

 

11,150

 

 

3,354,701

 

6.32%, 8/01/35

 

 

9,800

 

 

2,776,144

 

 

 

 

 

 

 

172,786,605

 


 

 

Portfolio Abbreviations


To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:


 

 

ACA

American Capital Access Corp.

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

ARB

Airport Revenue Bonds

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

CIFG

CDC IXIS Financial Guaranty

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

FGIC

Financial Guaranty Insurance Co.

FHA

Federal Housing Administration

GARB

General Airport Revenue Bonds

GO

General Obligation Bonds

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDB

Industrial Development Board

ISD

Independent School District

LRB

Lease Revenue Bonds

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

Q-SBLF

Qualified School Bond Loan Fund

RB

Revenue Bonds

S/F

Single-Family

SONYMA

State of New York Mortgage Agency


See Notes to Financial Statements.

 

 

 

 

 

 

14

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California (continued)

 

 

 

 

 

 

 

Education — 2.8%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series B, 5.25%, 10/01/39

 

$

2,900

 

$

3,252,379

 

California Educational Facilities Authority, Refunding RB,
San Francisco University, 6.13%, 10/01/36

 

 

6,280

 

 

7,446,070

 

California Municipal Finance Authority, RB, Emerson
College, 5.75%, 1/01/33

 

 

2,500

 

 

2,756,075

 

University of California, RB, Series O, 5.38%, 5/15/34

 

 

460

 

 

526,493

 

 

 

 

 

 

 

13,981,017

 

Health — 18.6%

 

 

 

 

 

 

 

ABAG Finance Authority for Nonprofit Corps, Refunding
RB, Sharp Healthcare:

 

 

 

 

 

 

 

6.38%, 8/01/34

 

 

3,055

 

 

3,254,461

 

6.25%, 8/01/39

 

 

3,760

 

 

4,343,026

 

Series A, 6.00%, 8/01/30

 

 

2,275

 

 

2,743,559

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Adventist Health System West, Series A, 5.75%,
9/01/39

 

 

6,475

 

 

7,142,896

 

Catholic Healthcare West, Series J, 5.63%, 7/01/32

 

 

8,300

 

 

8,893,450

 

Children’s Hospital, Series A, 5.25%, 11/01/41

 

 

6,985

 

 

7,496,931

 

Providence Health, 6.50%, 10/01/18 (b)

 

 

25

 

 

33,718

 

Sutter Health, Series A, 5.25%, 11/15/46

 

 

7,000

 

 

7,295,680

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Catholic Healthcare West, Series A, 6.00%, 7/01/29

 

 

1,000

 

 

1,178,470

 

Catholic Healthcare West, Series A, 6.00%, 7/01/34

 

 

4,400

 

 

5,075,664

 

Catholic Healthcare West, Series A, 6.00%, 7/01/39

 

 

2,750

 

 

3,128,207

 

Providence Health, 6.50%, 10/01/38

 

 

4,090

 

 

4,811,067

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

6,015

 

 

6,929,521

 

California Statewide Communities Development Authority,
RB Series A:

 

 

 

 

 

 

 

Health Facility Memorial Health Services, 5.50%,
10/01/33

 

 

7,000

 

 

7,301,490

 

Kaiser Permanente, 5.50%, 11/01/32

 

 

11,090

 

 

11,219,198

 

California Statewide Communities Development Authority,
Refunding RB:

 

 

 

 

 

 

 

Kaiser, Series C, 5.25%, 8/01/31

 

 

2,050

 

 

2,158,896

 

Catholic Healthcare West, Series B, 5.50%, 7/01/30

 

 

2,980

 

 

3,228,830

 

Catholic Healthcare West, Series E, 5.50%, 7/01/31

 

 

4,255

 

 

4,601,655

 

Grossmont Healthcare District, GO, Election of 2006,
Series B, 6.00%, 7/15/34

 

 

2,275

 

 

2,707,250

 

 

 

 

 

 

 

93,543,969

 

State — 7.8%

 

 

 

 

 

 

 

California State Public Works Board, RB:

 

 

 

 

 

 

 

Department of Education, Riverside Campus Project,
Series B, 6.50%, 4/01/34

 

 

9,000

 

 

10,383,300

 

Various Capital Projects, Sub-Series I-1, 6.38%,
11/01/34

 

 

5,025

 

 

5,800,508

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

6.00%, 3/01/33

 

 

5,015

 

 

5,956,917

 

6.50%, 4/01/33

 

 

5,985

 

 

7,361,191

 

6.00%, 4/01/38

 

 

8,390

 

 

9,737,686

 

 

 

 

 

 

 

39,239,602

 

Transportation — 10.4%

 

 

 

 

 

 

 

City of San Jose California, RB, California Airport,
Series A-1, AMT:

 

 

 

 

 

 

 

5.75%, 3/01/34

 

 

2,265

 

 

2,502,553

 

6.25%, 3/01/34

 

 

2,650

 

 

3,056,616

 

County of Orange California, RB, Series B, 5.75%,
7/01/34

 

 

8,000

 

 

9,002,720

 

County of Sacramento California, RB, Airport System:

 

 

 

 

 

 

 

PFC/Grant, Sub-Series D, 6.00%, 7/01/35

 

 

3,000

 

 

3,349,080

 

Senior Series B, 5.75%, 7/01/39

 

 

1,850

 

 

2,041,457

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

Los Angeles Department of Airports, RB, Series A:

 

 

 

 

 

 

 

5.00%, 5/15/34

 

$

6,000

 

$

6,639,360

 

5.25%, 5/15/39

 

 

2,775

 

 

3,088,658

 

Los Angeles Department of Airports, Refunding RB,
Los Angeles International Airport:

 

 

 

 

 

 

 

Senior Series A, 5.00%, 5/15/35

 

 

2,945

 

 

3,284,971

 

Sub-Series C, 5.25%, 5/15/38

 

 

1,330

 

 

1,447,758

 

Los Angeles Harbor Department, RB, Series B, 5.25%,
8/01/34

 

 

5,530

 

 

6,284,568

 

San Francisco City & County Airports Commission, RB,
Series E, 6.00%, 5/01/39

 

 

6,750

 

 

7,821,900

 

San Joaquin County Transportation Authority, RB, Limited
Tax, Measure K, Series A, 6.00%, 3/01/36

 

 

2,880

 

 

3,458,362

 

 

 

 

 

 

 

51,978,003

 

Utilities — 21.0%

 

 

 

 

 

 

 

Anaheim Public Financing Authority, RB:

 

 

 

 

 

 

 

Anaheim Electric System Distribution, 5.25%,
10/01/39

 

 

1,500

 

 

1,673,100

 

Electric System Distribution Facilities, Series A,
5.38%, 10/01/36

 

 

7,690

 

 

8,857,573

 

California Infrastructure & Economic Development Bank,
RB, California Independent System Operator, Series A,
6.25%, 2/01/39

 

 

5,500

 

 

6,047,690

 

Calleguas-Las Virgines Public Financing Authority
California, RB, Calleguas Municipal Water District
Project, Series A (NPFGC), 5.13%, 7/01/32

 

 

5,280

 

 

5,704,459

 

City of Chula Vista California, San Diego Gas & Electric,
Refunding RB:

 

 

 

 

 

 

 

Series D, 5.88%, 1/01/34

 

 

2,500

 

 

2,893,225

 

Series E, 5.88%, 1/01/34

 

 

6,500

 

 

7,522,385

 

City of Los Angeles California, Refunding RB,
Sub-Series A, 5.00%, 6/01/32

 

 

4,000

 

 

4,544,760

 

City of Petaluma California, Refunding RB, 6.00%,
5/01/36

 

 

5,625

 

 

6,727,725

 

Dublin-San Ramon Services District, Refunding RB,
6.00%, 8/01/41

 

 

2,425

 

 

2,873,140

 

East Bay Municipal Utility District, RB, Series A
(NPFGC), 5.00%, 6/01/32

 

 

2,000

 

 

2,300,680

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

Power System, Sub-Series A-1, 5.25%, 7/01/38

 

 

11,215

 

 

12,435,865

 

Series A, 5.38%, 7/01/34

 

 

3,050

 

 

3,493,195

 

Series A, 5.25%, 7/01/39

 

 

4,000

 

 

4,581,520

 

Series A, 5.00%, 7/01/41

 

 

4,740

 

 

5,272,729

 

Los Angeles Department of Water & Power, Refunding RB,
Power System, Sub-Series A-2, 5.00%, 7/01/30

 

 

2,200

 

 

2,293,742

 

San Diego County Water Authority, COP, Unrefunded,
Series A (NPFGC), 5.00%, 5/01/32

 

 

1,850

 

 

1,876,381

 

San Diego Public Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Senior Series A, 5.25%, 5/15/34

 

 

9,520

 

 

10,819,099

 

Series A, 5.25%, 8/01/38

 

 

3,255

 

 

3,619,593

 

San Francisco City & County Public Utilities
Commission, RB:

 

 

 

 

 

 

 

Local Water Main, Sub-Series C, 5.00%, 11/01/36

 

 

1,000

 

 

1,136,230

 

Series A (NPFGC), 5.00%, 11/01/32

 

 

4,000

 

 

4,058,720

 

WSIP Sub-Series A, 5.00%, 11/01/37

 

 

5,695

 

 

6,445,487

 

 

 

 

 

 

 

105,177,298

 

Total Municipal Bonds in California

 

 

 

 

 

477,493,451

 


See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

15




 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

Multi-State — 1.6%

 

 

 

 

 

 

 

Housing — 1.6%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust (c)(d):

 

 

 

 

 

 

 

7.20%, 11/15/14

 

$

3,500

 

$

3,822,735

 

5.75%, 5/15/15

 

 

500

 

 

536,840

 

6.00%, 5/15/15

 

 

1,500

 

 

1,625,625

 

6.00%, 5/15/19

 

 

1,000

 

 

1,122,920

 

6.30%, 5/15/19

 

 

1,000

 

 

1,126,270

 

Total Municipal Bonds in Multi-State

 

 

 

 

 

8,234,390

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.3%3

 

 

 

 

 

 

 

State — 1.3%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB,
Series C (a):

 

 

 

 

 

 

 

5.73%, 8/01/37

 

 

13,260

 

 

3,458,739

 

6.00%, 8/01/39

 

 

12,420

 

 

2,892,245

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

6,350,984

 

Total Municipal Bonds — 98.1%

 

 

 

 

 

492,078,825

 

 


Municipal Bonds Transferred to
Tender Option Bond Trusts (e)

 

 

 

 

 

 

 

California — 64.0%

 

 

 

 

 

 

 

County/City/Special District/School District — 25.8%

 

 

 

 

 

 

 

El Dorado Union High School District, GO, Election of
2008, 5.00%, 8/01/35

 

 

5,020

 

 

5,526,869

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

Election of 2001, Series A (AGM), 5.00%, 8/01/32

 

 

8,000

 

 

8,750,480

 

Election of 2003, Series F-1, 5.00%, 8/01/33

 

 

5,000

 

 

5,515,150

 

Election of 2008, Series A, 6.00%, 8/01/33

 

 

20,131

 

 

24,205,189

 

Election of 2008, Series C, 5.25%, 8/01/39

 

 

12,900

 

 

14,782,110

 

Los Angeles Unified School District California, GO,
Series I, 5.00%, 1/01/34

 

 

5,000

 

 

5,499,750

 

Mount San Antonio Community College District California,
GO, Election of 2001, Series C (AGM), 5.00%, 9/01/31

 

 

10,770

 

 

11,628,261

 

Ohlone Community College District, GO, Ohlone, Series B
(AGM), 5.00%, 8/01/30

 

 

12,499

 

 

13,387,850

 

San Bernardino Community College District California,
GO, Election of 2002, Series C (AGM), 5.00%,
8/01/31

 

 

2,000

 

 

2,217,220

 

San Diego Community College District California, GO:

 

 

 

 

 

 

 

Election of 2002, 5.25%, 8/01/33

 

 

10,484

 

 

12,035,515

 

Election of 2006 (AGM), 5.00%, 8/01/32

 

 

9,000

 

 

9,930,420

 

San Jose Unified School District Santa Clara County
California, GO, Election of 2002, Series D, 5.00%,
8/01/32

 

 

14,625

 

 

16,041,985

 

 

 

 

 

 

 

129,520,799

 

Education — 11.4%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/39

 

 

10,395

 

 

11,658,096

 

Grossmont Union High School District California, GO,
Election of 2004, 5.00%, 8/01/33

 

 

13,095

 

 

14,307,663

 

Mount Diablo California Uniform School District, GO,
Election of 2002, 5.00%, 6/01/31

 

 

4,000

 

 

4,190,240

 

San Mateo County Community College District, GO,
Election of 2005, Series B, 5.00%, 9/01/31

 

 

8,630

 

 

9,643,594

 

University of California, RB:

 

 

 

 

 

 

 

Limited Project, Series D (AGM), 5.00%, 5/15/41

 

 

2,600

 

 

2,774,200

 

Series O, 5.75%, 5/15/34

 

 

12,300

 

 

14,472,795

 

 

 

 

 

 

 

57,046,588

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)

 

 

Par
(000)

 

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Utilities — 26.8%

 

 

 

 

 

 

 

California State Department of Water Resources,
Refunding RB, Central Valley Project, Series AE,
5.00%, 12/01/29

 

$

7,000

 

$

8,150,030

 

City of Napa California, RB (AMBAC), 5.00%, 5/01/35

 

 

3,000

 

 

3,222,900

 

East Bay Municipal Utility District, RB, Sub-Series A
(NPFGC), 5.00%, 6/01/35

 

 

3,000

 

 

3,320,460

 

Eastern Municipal Water District, COP, Series H, 5.00%,
7/01/33

 

 

18,002

 

 

19,585,425

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

Power System, Sub-Series A-1 (AMBAC), 5.00%,
7/01/37

 

 

15,998

 

 

17,237,384

 

Water System, Sub-Series A-2 (AGM), 5.00%,
7/01/35

 

 

2,000

 

 

2,135,220

 

Metropolitan Water District of Southern California, RB,
Series A, 5.00%, 7/01/37

 

 

11,180

 

 

12,301,689

 

Orange County Sanitation District, COP, Series B (AGM),
5.00%, 2/01/37

 

 

14,700

 

 

15,843,219

 

Orange County Water District, COP, Refunding, 5.00%,
8/15/39

 

 

10,480

 

 

11,586,688

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/33

 

 

14,290

 

 

15,458,207

 

San Diego Public Facilities Financing Authority,
Refunding RB, Senior Series A, 5.25%, 5/15/39

 

 

12,457

 

 

13,976,831

 

San Francisco City & County Public Utilities Commission,
RB, Series A, 5.00%, 11/01/35

 

 

10,625

 

 

11,866,210

 

 

 

 

 

 

 

134,684,263

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 64.0%

 

 

 

 

 

321,251,650

 

 

 

 

 

 

 

 

 

Total Long-Term Investments
(Cost — $739,022,289) — 162.1%

 

 

 

 

 

813,330,475

 


 

 

 

 

 

 

 

 

 


Short-Term Securities

 

Shares

 

 

 

 

BIF California Municipal Money Fund, 0.00% (f)(g)

 

 

5,547,758

 

 

5,547,758

 

Total Short-Term Securities
(Cost — $5,547,758) — 1.1%

 

 

 

 

 

5,547,758

 

Total Investments (Cost — $744,570,047) — 163.2%

 

 

 

 

 

818,878,233

 

Other Assets Less Liabilities — 1.5%

 

 

 

 

 

7,623,578

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (30.6)%

 

 

 

 

 

(153,464,491

)

AMPS, at Redemption Value — (34.1)%

 

 

 

 

 

(171,327,859

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

501,709,461

 

 

 

 

 

 

 

 

 


 

 

(a)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(b)

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


See Notes to Financial Statements.

 

 

 

 

 

 

16

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock California Municipal Income Trust (BFZ)


 

 

(c)

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

 

 

(d)

Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

 

(e)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(f)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF California Municipal
Money Fund

 

 

2,720,243

 

 

2,827,515

 

 

5,547,758

 

$

163

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

(g)

Represents the current yield as of report date.

 

 

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

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

60

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March
2012

 

$

7,935,000

 

$

(105,114

)


 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

813,330,475

 

 

 

$

813,330,475

 

Short-Term
Securities

 

$

5,547,758

 

 

 

 

 

 

5,547,758

 

Total

 

$

5,547,758

 

$

813,330,475

 

 

 

$

818,878,233

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(105,114

)

 

 

 

 

$

(105,114

)


 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

17




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida — 143.5%

 

 

 

 

 

 

 

Corporate — 11.1%

 

 

 

 

 

 

 

County of Escambia Florida, Refunding RB, Environment,
Series A, AMT, 5.75%, 11/01/27

 

$

4,000

 

$

4,088,000

 

Hillsborough County IDA, Refunding RB, Tampa
Electric Co. Project:

 

 

 

 

 

 

 

5.50%, 10/01/23

 

 

1,955

 

 

2,008,059

 

Series A, 5.65%, 5/15/18

 

 

1,000

 

 

1,162,310

 

Palm Beach County Solid Waste Authority, Refunding RB,
5.00%, 10/01/20

 

 

2,000

 

 

2,460,360

 

 

 

 

 

 

 

9,718,729

 

County/City/Special District/School District — 64.4%

 

 

 

 

 

 

 

Broward County School Board Florida, COP, Refunding,
Series A, 5.00%, 7/01/20

 

 

2,000

 

 

2,317,280

 

Broward County School Board Florida, COP, Series A
(AGM), 5.25%, 7/01/22

 

 

2,500

 

 

2,825,275

 

County of Hillsborough Florida, RB (AMBAC), 5.00%,
11/01/20

 

 

5,545

 

 

6,285,480

 

County of Miami-Dade Florida, RB, Sub-Series B
(NPFGC), 5.63%, 10/01/32 (a)

 

 

7,560

 

 

2,296,123

 

County of Miami-Dade Florida, Refunding RB,
Sub-Series A (NPFGC) (a):

 

 

 

 

 

 

 

5.33%, 10/01/19

 

 

5,365

 

 

3,617,351

 

5.31%, 10/01/20

 

 

10,000

 

 

6,377,200

 

County of Orange Florida, Refunding RB, Series A
(NPFGC), 5.13%, 1/01/22

 

 

2,200

 

 

2,279,288

 

Florida State Board of Education, GO, Refunding,
Capital Outlay, Series B, 5.00%, 6/01/20

 

 

485

 

 

603,854

 

Hillsborough County School Board, COP (NPFGC),
5.00%, 7/01/27

 

 

1,000

 

 

1,027,090

 

Miami-Dade County Educational Facilities Authority
Florida, RB, University of Miami, Series A (AMBAC),
5.00%, 4/01/14 (b)

 

 

1,000

 

 

1,096,160

 

Miami-Dade County School Board, COP, Refunding,
Series B (AGC), 5.25%, 5/01/21

 

 

4,000

 

 

4,631,920

 

Northern Palm Beach County Improvement District,
Special Assessment Bonds, Refunding, Water Control &
Improvement District No. 43, Series B (ACA):

 

 

 

 

 

 

 

4.50%, 8/01/22

 

 

1,000

 

 

915,050

 

5.00%, 8/01/31

 

 

1,000

 

 

893,350

 

Palm Beach County School District, COP, Refunding,
Series D (AGM), 5.00%, 8/01/28

 

 

6,500

 

 

6,612,450

 

Sterling Hill Community Development District, Special
Assessment Bonds, Series A, 6.10%, 5/01/23

 

 

3,705

 

 

3,428,829

 

Stevens Plantation Improvement Project Dependent
Special District, RB, 6.38%, 5/01/13

 

 

2,425

 

 

1,888,954

 

Tolomato Community Development District, Special
Assessment Bonds, 6.38%, 5/01/17

 

 

1,150

 

 

490,452

 

Village Center Community Development District, RB:

 

 

 

 

 

 

 

(NPFGC), 5.25%, 10/01/23

 

 

5,000

 

 

5,102,100

 

Sub-Series B, 6.35%, 1/01/18

 

 

2,000

 

 

2,031,860

 

Village Community Development District No. 5 Florida,
Special Assessment Bonds, Series A, 6.00%, 5/01/22

 

 

1,075

 

 

1,101,821

 

Watergrass Community Development District, Special
Assessment Bonds, Series B, 5.13%, 11/01/14

 

 

980

 

 

683,148

 

 

 

 

 

 

 

56,505,035

 

Education — 1.6%

 

 

 

 

 

 

 

Florida State Board of Governors, Refunding RB,
University of Central Florida, Series A, 5.00%, 7/01/18

 

 

500

 

 

593,210

 

Orange County Educational Facilities Authority, RB,
Rollins College Project (AMBAC), 5.25%, 12/01/22

 

 

725

 

 

826,906

 

 

 

 

 

 

 

1,420,116

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

Health — 12.0%

 

 

 

 

 

 

 

Highlands County Health Facilities Authority, Refunding
RB, Hospital, Adventist Health, Series I, 5.00%,
11/15/20

 

$

2,155

 

$

2,575,139

 

Hillsborough County IDA, RB, H. Lee Moffitt Cancer
Center Project, Series A, 5.25%, 7/01/22

 

 

1,500

 

 

1,654,905

 

Marion County Hospital District Florida, Refunding RB,
Health System, Munroe Regional, 5.00%, 10/01/22

 

 

1,500

 

 

1,605,915

 

Orange County Health Facilities Authority, RB, Hospital,
Adventist Health System, 5.63%, 11/15/12 (b)

 

 

3,000

 

 

3,150,510

 

Palm Beach County Health Facilities Authority, Refunding
RB, Bethesda Healthcare System Project, Series A
(AGM), 5.00%, 7/01/20

 

 

1,285

 

 

1,531,746

 

 

 

 

 

 

 

10,518,215

 

Housing — 2.5%

 

 

 

 

 

 

 

Florida Housing Finance Corp., RB, Homeowner Mortgage,
Series 2, AMT (Ginnie Mae), 4.70%, 7/01/22

 

 

980

 

 

1,013,055

 

Jacksonville Housing Finance Authority, Refunding RB,
Series A-1, AMT (Ginnie Mae), 5.63%, 10/01/39

 

 

505

 

 

547,531

 

Manatee County Housing Finance Authority, RB, Series A,
AMT (Fannie Mae), 5.90%, 9/01/40

 

 

575

 

 

645,570

 

 

 

 

 

 

 

2,206,156

 

State — 19.0%

 

 

 

 

 

 

 

Florida Municipal Loan Council, RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC), 5.23%, 4/01/20 (a)

 

 

4,000

 

 

2,893,000

 

Series D (AGM), 5.00%, 10/01/19

 

 

1,050

 

 

1,257,984

 

Series D (AGM), 4.00%, 10/01/20

 

 

1,105

 

 

1,244,142

 

Series D (AGM), 4.00%, 10/01/21

 

 

500

 

 

562,530

 

Florida State Board of Education, GO, Public Education,
Series J (AMBAC), 5.00%, 6/01/24

 

 

6,150

 

 

6,519,492

 

Florida State Board of Education, GO, Refunding, Public
Education, Series I, 5.00%, 6/01/18

 

 

500

 

 

532,715

 

Florida State Department of Environmental Protection,
Refunding RB, Series A, 5.00%, 7/01/20

 

 

3,000

 

 

3,640,860

 

 

 

 

 

 

 

16,650,723

 

Transportation — 11.2%

 

 

 

 

 

 

 

Broward County Florida Port Facilities Revenue,
Refunding RB, Series B, AMT, 5.00%, 9/01/20

 

 

2,500

 

 

2,794,950

 

County of Lee Florida, Refunding RB, Series B (AMBAC):

 

 

 

 

 

 

 

5.00%, 10/01/20

 

 

2,250

 

 

2,419,335

 

5.00%, 10/01/22

 

 

3,000

 

 

3,200,850

 

Greater Orlando Aviation Authority, Refunding RB,
Series C, 5.00%, 10/01/20

 

 

1,130

 

 

1,378,080

 

 

 

 

 

 

 

9,793,215

 

Utilities — 21.7%

 

 

 

 

 

 

 

City of Deltona Florida, RB (NPFGC), 5.00%, 10/01/23

 

 

1,095

 

 

1,138,647

 

City of Lakeland Florida, Refunding RB, 5.00%,
10/01/12 (b)

 

 

1,000

 

 

1,031,960

 

City of Marco Island Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.25%, 10/01/13 (b)

 

 

1,000

 

 

1,081,180

 

5.00%, 10/01/22

 

 

2,000

 

 

2,134,280

 

5.00%, 10/01/23

 

 

1,375

 

 

1,456,001

 

County of Miami-Dade Florida, Refunding RB, System,
Series B (AGM), 5.25%, 10/01/19

 

 

4,000

 

 

4,961,360

 

Tohopekaliga Water Authority, RB, Series B (AGM):

 

 

 

 

 

 

 

5.00%, 10/01/22

 

 

1,975

 

 

2,111,018

 

5.00%, 10/01/23

 

 

1,180

 

 

1,260,240

 

Tohopekaliga Water Authority, Refunding RB, Series A
(AGM), 5.00%, 10/01/21

 

 

3,630

 

 

3,876,840

 

 

 

 

 

 

 

19,051,526

 

Total Municipal Bonds in Florida

 

 

 

 

 

125,863,715

 


See Notes to Financial Statements.

 

 

 

 

 

 

18

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 1.9%

 

 

 

 

 

 

 

State — 1.9%

 

 

 

 

 

 

 

Commonwealth of Puerto Rico, GO, Public Improvement
(AGM), 5.50%, 7/01/19

 

$

1,000

 

$

1,181,870

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax
Revenue, Series C, 5.00%, 8/01/22

 

 

415

 

 

500,262

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,682,132

 

 

 

 

 

 

 

 

 

US Virgin Islands — 1.1%

 

 

 

 

 

 

 

Corporate — 1.1%

 

 

 

 

 

 

 

Virgin Islands Public Finance Authority, Refunding RB,
Senior Secured, Hovensa Coker Project, AMT, 6.50%,
7/01/21

 

 

1,000

 

 

1,000,220

 

Total Municipal Bonds — 146.5%

 

 

 

 

 

128,546,067

 

 


Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

Florida — 0.9%

 

 

 

 

 

 

 

Housing — 0.9%

 

 

 

 

 

 

 

Lee County Housing Finance Authority, RB, Multi-County
Program, Series A-2, AMT (Ginnie Mae), 6.00%,
9/01/40

 

 

720

 

 

769,586

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 0.9%

 

 

 

 

 

769,586

 

Total Long-Term Investments
(Cost — $124,823,952) — 147.4%

 

 

 

 

 

129,315,653

 

 

 


Short-Term Securities

 

Shares

 

 

 

 

BIF Florida Municipal Money Fund, 0.00% (d)(e)

 

 

774,142

 

 

774,142

 

Total Short-Term Securities
(Cost — $774,142) — 0.9%

 

 

 

 

 

774,142

 

Total Investments (Cost — $125,598,094) — 148.3%

 

 

 

 

 

130,089,795

 

Other Assets Less Liabilities — 1.1%

 

 

 

 

 

1,000,415

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (0.5)%

 

 

 

 

 

(480,453

)

AMPS, at Redemption Value — (48.9)%

 

 

 

 

 

(42,900,310

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

87,709,447

 

 

 

 

 

 

 

 

 


 

 

(a)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(b)

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

 

 

(c)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(d)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BIF Florida Municipal
Money Fund

 

 

1,843,816

 

 

(1,069,674

)

 

774,142

 

 

 


 

 

(e)

Represents the current yield as of report date.


 

 

 

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

 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

129,315,653

 

 

 

$

129,315,653

 

Short-Term
Securities

 

$

774,142

 

 

 

 

 

 

774,142

 

Total

 

$

774,142

 

$

129,315,653

 

 

 

$

130,089,795

 


 

 

1

See above Schedule of Investments for values in each sector.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

19




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Investment Quality Municipal Income Trust (RFA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma Industrial Development Board, RB, International
Paper Co., Series A, 5.38%, 12/01/35

 

$

40

 

$

41,815

 

Alaska — 0.3%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp., RB, Series A,
5.00%, 6/01/46

 

 

50

 

 

36,804

 

California — 8.3%

 

 

 

 

 

 

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Series A, 5.00%, 11/15/40 (a)

 

 

25

 

 

26,860

 

Sutter Health, Series B, 6.00%, 8/15/42

 

 

120

 

 

138,245

 

California Health Facilities Financing Authority,
Refunding RB, Catholic Healthcare West, Series A,
6.00%, 7/01/39

 

 

130

 

 

147,879

 

California State Educational Facilities Authority, RB,
University of Southern California, Series A, 5.25%,
10/01/38

 

 

200

 

 

224,942

 

Los Angeles Department of Water & Power, RB, Power
System, Sub-Series A-1, 5.25%, 7/01/38

 

 

200

 

 

221,772

 

San Diego Regional Building Authority California, RB,
County Operations Center & Annex, Series A, 5.38%,
2/01/36

 

 

240

 

 

267,331

 

State of California, GO, Various Purpose, 6.00%,
3/01/33

 

 

185

 

 

219,747

 

 

 

 

 

 

 

1,246,776

 

Colorado — 1.1%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, Refunding RB,
Catholic Healthcare, Series A, 5.50%, 7/01/34

 

 

155

 

 

171,570

 

Delaware — 1.2%

 

 

 

 

 

 

 

County of Sussex Delaware, RB, NRG Energy, Inc.,
Indian River Project, 6.00%, 10/01/40

 

 

175

 

 

181,429

 

Florida — 6.8%

 

 

 

 

 

 

 

County of Lee Florida, Refunding ARB, Series A, AMT,
5.38%, 10/01/32

 

 

150

 

 

162,018

 

Manatee County Housing Finance Authority, RB,
Series A, AMT (Ginnie Mae), 5.90%, 9/01/40

 

 

145

 

 

162,796

 

Orange County Health Facilities Authority, RB, 5.00%,
1/01/29

 

 

115

 

 

126,328

 

Village Center Community Development District, RB,
Series A (NPFGC), 5.00%, 11/01/32

 

 

450

 

 

438,620

 

Village Community Development District No. 9, RB,
5.25%, 5/01/31 (a)

 

 

130

 

 

131,427

 

 

 

 

 

 

 

1,021,189

 

Illinois — 11.1%

 

 

 

 

 

 

 

City of Chicago Illinois, Board of Education, GO,
Series A, 5.50%, 12/01/39

 

 

200

 

 

226,616

 

City of Chicago Illinois, RB, Series A, 5.25%, 1/01/38

 

 

55

 

 

62,021

 

City of Chicago Illinois, Refunding RB, General, Third
Lien, Series C, 6.50%, 1/01/41

 

 

445

 

 

537,756

 

City of Chicago Illinois Transit Authority, RB, Sales Tax
Receipts, 5.25%, 12/01/36

 

 

45

 

 

50,310

 

Illinois Finance Authority, RB, Navistar International,
Recovery Zone, 6.50%, 10/15/40

 

 

75

 

 

79,583

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

 

250

 

 

272,540

 

Northwestern Memorial Hospital, 6.00%, 8/15/39

 

 

250

 

 

287,522

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

100

 

 

114,092

 

6.00%, 6/01/28

 

 

30

 

 

33,640

 

 

 

 

 

 

 

1,664,080

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana — 5.4%

 

 

 

 

 

 

 

Indiana Finance Authority WasteWater Utility, RB, First
Lien, Series A, 5.25%, 10/01/31

 

$

200

 

$

230,792

 

Indiana Municipal Power Agency, RB, Series B, 6.00%,
1/01/39

 

 

335

 

 

382,067

 

Indianapolis Local Public Improvement Bond Bank, RB,
5.00%, 6/01/25

 

 

170

 

 

195,789

 

 

 

 

 

 

 

808,648

 

Iowa — 0.2%

 

 

 

 

 

 

 

Iowa Tobacco Settlement Authority, RB, Series C, 5.63%,
6/01/46

 

 

40

 

 

30,022

 

Kansas — 1.9%

 

 

 

 

 

 

 

Kansas Development Finance Authority, Refunding RB,
Adventist Health, 5.50%, 11/15/29

 

 

250

 

 

289,350

 

Kentucky — 4.0%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority, RB,
Owensboro Medical Health System, Series A, 6.38%,
6/01/40

 

 

100

 

 

110,416

 

Louisville & Jefferson County Metropolitan Government,
Refunding RB, Jewish Hospital & St. Mary’s
HealthCare, 6.13%, 2/01/37

 

 

215

 

 

230,740

 

Louisville & Jefferson County Metropolitan Government
Parking Authority, RB, Series A, 5.75%, 12/01/34

 

 

220

 

 

256,597

 

 

 

 

 

 

 

597,753

 

Louisiana — 0.7%

 

 

 

 

 

 

 

Louisiana Local Government Environmental Facilities
& Community Development Authority, RB, Westlake
Chemical Corp., Series A-1, 6.50%, 11/01/35

 

 

100

 

 

109,212

 

Maine — 1.5%

 

 

 

 

 

 

 

Maine Health & Higher Educational Facilities Authority,
RB, Maine General Medical Center, 7.50%, 7/01/32

 

 

190

 

 

217,628

 

Massachusetts — 7.0%

 

 

 

 

 

 

 

Massachusetts Development Finance Agency,
Refunding RB, Trustees Deerfield Academy, 5.00%,
10/01/40

 

 

125

 

 

143,846

 

Massachusetts HFA, HRB, Series B, AMT, 5.50%,
6/01/41

 

 

220

 

 

229,691

 

Massachusetts HFA, Refunding HRB, Series F, AMT,
5.70%, 6/01/40

 

 

250

 

 

262,365

 

Massachusetts HFA, Refunding RB, Series C, AMT,
5.35%, 12/01/42

 

 

120

 

 

126,138

 

Massachusetts State College Building Authority, RB,
Series A, 5.50%, 5/01/39

 

 

250

 

 

281,418

 

 

 

 

 

 

 

1,043,458

 

Michigan — 5.6%

 

 

 

 

 

 

 

Lansing Board of Water & Light Utilities System, RB,
Series A, 5.50%, 7/01/41

 

 

130

 

 

150,927

 

Michigan State Building Authority, Refunding RB,
Facilities Program, Series I, 6.00%, 10/15/38

 

 

250

 

 

285,928

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

325

 

 

401,901

 

 

 

 

 

 

 

838,756

 

Nevada — 5.2%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited Tax, Performing
Arts Center, 6.00%, 4/01/34

 

 

250

 

 

291,712

 

County of Clark Nevada, RB, Series B, 5.75%, 7/01/42

 

 

440

 

 

493,698

 

 

 

 

 

 

 

785,410

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

20

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Investment Quality Municipal Income Trust (RFA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 6.6%

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

New Jersey American Water Co., Inc., Series A, AMT,
5.70%, 10/01/39

 

$

175

 

$

192,549

 

School Facilities Construction, Series AA, 5.50%,
12/15/29

 

 

250

 

 

284,845

 

New Jersey State Housing & Mortgage Finance Agency,
RB, S/F Housing, Series CC, 5.25%, 10/01/29

 

 

165

 

 

176,989

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

5.25%, 6/15/36

 

 

100

 

 

112,515

 

Series A, 5.88%, 12/15/38

 

 

190

 

 

218,093

 

 

 

 

 

 

 

984,991

 

New York — 7.0%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB,
5.75%, 2/15/47

 

 

40

 

 

45,200

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Building Aid, Sub-Series 1A, 5.25%, 7/15/37

 

 

150

 

 

169,941

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

250

 

 

276,472

 

Sub-Series S-2A, 5.00%, 7/15/30

 

 

185

 

 

213,697

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One Bryant
Park Project, 6.38%, 7/15/49

 

 

85

 

 

92,013

 

Triborough Bridge & Tunnel Authority, RB, General,
Series A-2, 5.38%, 11/15/38

 

 

225

 

 

256,849

 

 

 

 

 

 

 

1,054,172

 

Pennsylvania — 8.1%

 

 

 

 

 

 

 

Pennsylvania Economic Development Financing
Authority, RB, American Water Co. Project, 6.20%,
4/01/39

 

 

300

 

 

348,456

 

Pennsylvania HFA, Refunding RB, Series 99A, AMT,
5.15%, 4/01/38

 

 

200

 

 

217,266

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

Sub-Series A, 6.00%, 12/01/41

 

 

350

 

 

390,457

 

Sub-Series C (AGC), 6.25%, 6/01/38

 

 

215

 

 

255,867

 

 

 

 

 

 

 

1,212,046

 

Texas — 10.6%

 

 

 

 

 

 

 

Central Texas Regional Mobility Authority, RB, Senior
Lien, 6.00%, 1/01/41

 

 

240

 

 

257,086

 

Conroe ISD Texas, GO, School Building, Series A, 5.75%,
2/15/35

 

 

140

 

 

170,423

 

Harris County Cultural Education Facilities Finance
Corp., RB, 5.25%, 10/01/29

 

 

100

 

 

114,347

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare
System, Series B, 7.13%, 12/01/31

 

 

250

 

 

300,597

 

North Texas Tollway Authority, RB, Special Projects
System, Series A, 5.50%, 9/01/41

 

 

250

 

 

289,080

 

Tarrant County Cultural Education Facilities Finance
Corp., RB, Scott & White Healthcare, 6.00%, 8/15/45

 

 

280

 

 

318,212

 

Texas Private Activity Bond Surface Transportation Corp.,
RB, Senior Lien, NTE Mobility Partners LLC, North
Tarrant Express Managed Lanes Project, 6.88%,
12/31/39

 

 

125

 

 

139,039

 

 

 

 

 

 

 

1,588,784

 

Virginia — 2.0%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School Financing,
6.50%, 12/01/35

 

 

250

 

 

295,717

 

Total Municipal Bonds — 94.9%

 

 

 

 

 

14,219,610

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

California — 19.8%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB,
University of Southern California, Series A,
5.25%, 10/01/39

 

$

300

 

$

336,453

 

Grossmont Union High School District, GO, Election of
2008, Series B, 5.00%, 8/01/40

 

 

300

 

 

327,993

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

Election of 2008, Series C, 5.25%, 8/01/39

 

 

390

 

 

446,901

 

Series A, 6.00%, 8/01/33

 

 

700

 

 

841,293

 

Los Angeles Unified School District California, GO,
Series I, 5.00%, 1/01/34

 

 

60

 

 

65,997

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B, 5.50%, 8/01/39

 

 

615

 

 

707,543

 

University of California, RB, Series O, 5.75%, 5/15/34

 

 

210

 

 

247,096

 

 

 

 

 

 

 

2,973,276

 

District of Columbia — 3.8%

 

 

 

 

 

 

 

District of Columbia, RB, Series A, 5.50%, 12/01/30

 

 

195

 

 

235,759

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.50%, 10/01/39

 

 

300

 

 

339,746

 

 

 

 

 

 

 

575,505

 

Florida — 3.6%

 

 

 

 

 

 

 

Hillsborough County Aviation Authority, RB, Series A,
AMT (AGC), 5.50%, 10/01/38

 

 

280

 

 

296,038

 

Lee County Housing Finance Authority, RB, Multi-County
Program, Series A-2, AMT (Ginnie Mae), 6.00%,
9/01/40

 

 

225

 

 

240,496

 

 

 

 

 

 

 

536,534

 

Illinois — 5.0%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, University of Chicago,
Series B, 6.25%, 7/01/38

 

 

400

 

 

476,128

 

Illinois State Toll Highway Authority, RB, Series B,
5.50%, 1/01/33

 

 

250

 

 

275,199

 

 

 

 

 

 

 

751,327

 

Massachusetts — 1.7%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, Senior,
Series B, 5.00%, 10/15/41

 

 

220

 

 

249,465

 

Nevada — 3.9%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO, Limited
Tax, 6.00%, 7/01/38

 

 

500

 

 

585,040

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

New Hampshire Health & Education Facilities Authority,
Refunding RB, Dartmouth College, 5.25%, 6/01/39

 

 

165

 

 

188,719

 

New Jersey — 2.2%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGM), 5.00%,
12/15/32

 

 

300

 

 

325,677

 

New York — 9.9%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

240

 

 

280,377

 

Series FF-2, 5.50%, 6/15/40

 

 

255

 

 

293,526

 

New York Liberty Development Corp., RB, 1 World Trade
Center Port Authority Construction, 5.25%, 12/15/43

 

 

315

 

 

357,850

 

New York Liberty Development Corp., Refunding RB,
4 World Trade Center Project, 5.75%, 11/15/51

 

 

190

 

 

216,207

 

New York State Dormitory Authority, ERB, Series B,
5.25%, 3/15/38

 

 

300

 

 

335,841

 

 

 

 

 

 

 

1,483,801

 

Ohio — 1.6%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB, Catholic Healthcare,
Series A, 5.25%, 6/01/38

 

 

230

 

 

244,821

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

21



 

 

 

 

Schedule of Investments (concluded)

BlackRock Investment Quality Municipal Income Trust (RFA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

$

130

 

$

144,366

 

South Carolina — 3.9%

 

 

 

 

 

 

 

South Carolina State Public Service Authority, RB,
Santee Cooper, Series A, 5.50%, 1/01/38

 

 

510

 

 

579,880

 

Texas — 5.3%

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding RB, Series A,
5.25%, 2/01/31

 

 

300

 

 

347,185

 

Harris County Cultural Education Facilities Finance
Corp., RB, Hospital, Texas Children’s Hospital Project,
5.50%, 10/01/39

 

 

400

 

 

447,092

 

 

 

 

 

 

 

794,277

 

Virginia — 1.0%

 

 

 

 

 

 

 

Fairfax County IDA Virginia, Refunding RB, Health Care,
Inova Health System, Series A, 5.50%, 5/15/35

 

 

130

 

 

145,347

 

Wisconsin — 1.7%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority,
Refunding RB, Froedtert & Community Health Inc.,
5.25%, 4/01/39

 

 

240

 

 

255,386

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 65.6%

 

 

 

 

 

9,833,421

 

Total Long-Term Investments
(Cost — $21,565,570) — 160.5%

 

 

 

 

 

24,053,031

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (c)(d)

 

 

390,265

 

 

390,265

 

Total Short-Term Securities
(Cost — $390,265) — 2.6%

 

 

 

 

 

390,265

 

Total Investments (Cost — $21,955,835) — 163.1%

 

 

 

 

 

24,443,296

 

Other Assets Less Liabilities — 0.3%

 

 

 

 

 

47,801

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (32.9)%

 

 

 

 

 

(4,930,802

)

AMPS, at Redemption Value — (30.5)%

 

 

 

 

 

(4,575,076

)

Net Assets Applicable to Common Stocks — 100.0%

 

 

 

 

$

14,985,219

 


 

 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

JPMorgan Chase Bank NA

 

$

26,860

 

 

$

270

 

 

Citigroup Global Markets, Inc.

 

$

131,427

 

 

$

1,427

 

 


 

 

(b)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(c)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

 

302,911

 

 

 

 

87,354

 

 

 

 

390,265

 

 

 

$

17

 

 


 

 

(d)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

 

Notional
Value

 

 

Unrealized
Depreciation

5

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March 2012

 

$

661,250

 

$

(8,760)


 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

24,053,031

 

 

 

$

24,053,031

 

Short-Term
Securities

 

$

390,265

 

 

 

 

 

 

390,265

 

Total

 

$

390,265

 

$

24,053,031

 

 

 

$

24,443,296

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(8,760

)

 

 

 

 

$

(8,760

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

22

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma Industrial Development Board, RB, International
Paper Company Project, 5.38%, 12/01/35

 

$

275

 

$

287,480

 

Alaska — 0.2%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp., RB, Asset Backed,
Series A, 5.00%, 6/01/46

 

 

330

 

 

242,903

 

California — 9.8%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/38

 

 

1,315

 

 

1,478,994

 

California Health Facilities Financing Authority, RB,
Scripps Health, Series A, 5.00%, 11/15/40 (a)

 

 

170

 

 

182,650

 

California Health Facilities Financing Authority,
Refunding RB, Catholic Healthcare West, Series A,
6.00%, 7/01/39

 

 

890

 

 

1,012,402

 

Grossmont Union High School District, GO, Election of
2008, Series B, 4.75%, 8/01/45

 

 

1,910

 

 

2,046,488

 

Los Angeles Department of Water & Power, RB, Power
System, Sub-Series A-1, 5.25%, 7/01/38

 

 

1,750

 

 

1,940,505

 

San Diego Regional Building Authority California, RB,
County Operations Center & Annex, Series A, 5.38%,
2/01/36

 

 

1,600

 

 

1,782,208

 

State of California, GO, Various Purpose, 6.00%,
3/01/33

 

 

1,275

 

 

1,514,470

 

 

 

 

 

 

 

9,957,717

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, Refunding RB,
Catholic Healthcare, Series A, 5.50%, 7/01/34

 

 

1,095

 

 

1,212,056

 

Delaware — 1.2%

 

 

 

 

 

 

 

County of Sussex Delaware, RB, NRG Energy, Inc.,
Indian River Project, 6.00%, 10/01/40

 

 

1,230

 

 

1,275,190

 

District of Columbia — 1.1%

 

 

 

 

 

 

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.25%, 10/01/29

 

 

1,000

 

 

1,171,140

 

Florida — 4.1%

 

 

 

 

 

 

 

Orange County Health Facilities Authority, RB, The
Nemours Foundation Project, Series A, 5.00%,
1/01/29

 

 

780

 

 

856,830

 

Village Center Community Development District, RB,
Series A (NPFGC), 5.00%, 11/01/32

 

 

1,795

 

 

1,749,605

 

Village Community Development District No. 9, RB,
Special Assessment, Series 2012, 5.25%, 5/01/31 (a)

 

 

895

 

 

904,827

 

Watergrass Community Development District, Special
Assessment Bonds, Series B, 5.13%, 11/01/14

 

 

980

 

 

683,148

 

 

 

 

 

 

 

4,194,410

 

Georgia — 1.9%

 

 

 

 

 

 

 

Municipal Electric Authority of Georgia, Refunding RB,
Project One, Sub-Series D, 6.00%, 1/01/23

 

 

1,565

 

 

1,899,206

 

Illinois — 16.2%

 

 

 

 

 

 

 

Chicago Board of Education, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

1,000

 

 

1,133,080

 

5.00%, 12/01/41

 

 

1,640

 

 

1,755,768

 

Chicago Park District, GO, Harbor Facilities, Series C,
5.25%, 1/01/40

 

 

975

 

 

1,075,620

 

Chicago Transit Authority, RB:

 

 

 

 

 

 

 

Sales Tax Receipts, Series 2011, 5.25%, 12/01/31

 

 

1,060

 

 

1,213,160

 

Sales Tax Revenue, Series 2011, 5.25%, 12/01/36

 

 

310

 

 

346,580

 

City of Chicago Illinois, RB, Sales Tax Receipts, Series
2011 A, 5.25%, 1/01/38

 

 

385

 

 

434,149

 

City of Chicago Illinois, Refunding RB, General, Third Lien,
Series C, 6.50%, 1/01/41

 

 

2,955

 

 

3,570,940

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

Navistar International, Recovery Zone, 6.50%,
10/15/40

 

$

510

 

$

541,161

 

Rush University Medical Center Obligation Group,
Series B, 7.25%, 11/01/30

 

 

1,600

 

 

1,993,776

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

 

1,000

 

 

1,090,160

 

Northwestern Memorial Hospital, 6.00%, 8/15/39

 

 

1,900

 

 

2,185,171

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

690

 

 

787,235

 

6.00%, 6/01/28

 

 

195

 

 

218,657

 

State of Illinois, RB, Build Illinois, Series B, 5.25%,
6/15/34

 

 

125

 

 

138,416

 

 

 

 

 

 

 

16,483,873

 

Indiana — 5.4%

 

 

 

 

 

 

 

Indiana Finance Authority Waste Water Utility, RB, First
Lien, CWA Authority Project, Series A, 5.25%, 10/01/31

 

 

1,445

 

 

1,667,472

 

Indiana Municipal Power Agency, RB, Series B, 6.00%,
1/01/39

 

 

2,210

 

 

2,520,505

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

1,140

 

 

1,312,938

 

 

 

 

 

 

 

5,500,915

 

Iowa — 0.2%

 

 

 

 

 

 

 

Iowa Tobacco Settlement Authority, RB, Asset Backed,
Series C, 5.63%, 6/01/46

 

 

270

 

 

202,646

 

Kansas — 1.8%

 

 

 

 

 

 

 

Kansas Development Finance Authority, Refunding RB,
Adventist Health, 5.50%, 11/15/29

 

 

1,600

 

 

1,851,840

 

Kentucky — 4.0%

 

 

 

 

 

 

 

Kentucky Economic Development Finance Authority, RB,
Owensboro Medical Health System, Series A, 6.38%,
6/01/40

 

 

660

 

 

728,746

 

Louisville & Jefferson County Metropolitan Government,
RB, Parking Authority, Series A, 5.75%, 12/01/34

 

 

1,500

 

 

1,749,525

 

Louisville & Jefferson County Metropolitan Government,
Refunding RB, Jewish Hospital & St. Mary’s HealthCare,
6.13%, 2/01/37

 

 

1,450

 

 

1,556,154

 

 

 

 

 

 

 

4,034,425

 

Louisiana — 0.8%

 

 

 

 

 

 

 

Louisiana Local Government Environmental Facilities &
Community Development Authority, RB, Westlake
Chemical Corp., Series A-1, 6.50%, 11/01/35

 

 

715

 

 

780,866

 

Maine — 1.4%

 

 

 

 

 

 

 

Maine Health & Higher Educational Facilities Authority,
RB, Maine General Medical Center, 7.50%, 7/01/32

 

 

1,270

 

 

1,454,671

 

Massachusetts — 2.0%

 

 

 

 

 

 

 

Massachusetts Health & Educational Facilities Authority,
RB, Tufts University, 5.38%, 8/15/38

 

 

1,000

 

 

1,174,430

 

Massachusetts State College Building Authority, RB,
Series A, 5.50%, 5/01/39

 

 

750

 

 

844,252

 

 

 

 

 

 

 

2,018,682

 

Michigan — 3.4%

 

 

 

 

 

 

 

Lansing Board of Water & Light, RB, Series A, 5.50%,
7/01/41

 

 

915

 

 

1,062,297

 

Michigan State Building Authority, Refunding RB, Facilities
Program, Series I, 6.00%, 10/15/38

 

 

1,000

 

 

1,143,710

 

Royal Oak Hospital Finance Authority Michigan,
Refunding RB, William Beaumont Hospital, 8.25%,
9/01/39

 

 

995

 

 

1,230,437

 

 

 

 

 

 

 

3,436,444

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

23




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nevada — 5.2%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited Tax, Performing
Arts Center, 6.00%, 4/01/34

 

$

1,600

 

$

1,866,960

 

County of Clark Nevada, RB, Series B, 5.75%, 7/01/42

 

 

3,075

 

 

3,450,273

 

 

 

 

 

 

 

5,317,233

 

New Jersey — 5.6%

 

 

 

 

 

 

 

New Jersey State Housing & Mortgage Finance Agency,
RB, S/F Housing, Series CC, 5.25%, 10/01/29

 

 

1,165

 

 

1,249,649

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

Series A, 5.88%, 12/15/38

 

 

1,295

 

 

1,486,479

 

Series A, 5.50%, 6/15/41

 

 

1,000

 

 

1,147,390

 

Series B, 5.25%, 6/15/36

 

 

1,650

 

 

1,856,497

 

 

 

 

 

 

 

5,740,015

 

New York — 10.9%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB, Series A,
5.75%, 2/15/47

 

 

1,000

 

 

1,130,010

 

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

 

 

 

 

 

 

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

1,500

 

 

1,658,835

 

Fiscal 2012, Sub-Series S-1A, 5.25%, 7/15/37

 

 

2,000

 

 

2,265,880

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One Bryant
Park Project, 6.38%, 7/15/49

 

 

605

 

 

654,913

 

New York State Dormitory Authority, ERB, Series B,
5.25%, 3/15/38

 

 

3,250

 

 

3,638,277

 

Triborough Bridge & Tunnel Authority, RB, General,
Series A-2, 5.38%, 11/15/38

 

 

1,510

 

 

1,723,740

 

 

 

 

 

 

 

11,071,655

 

Pennsylvania — 5.4%

 

 

 

 

 

 

 

Pennsylvania Economic Development Financing
Authority, RB, American Water Co. Project, 6.20%,
4/01/39

 

 

500

 

 

580,760

 

Pennsylvania Turnpike Commission, RB, Sub-Series A:

 

 

 

 

 

 

 

5.63%, 12/01/31

 

 

1,500

 

 

1,717,020

 

6.00%, 12/01/41

 

 

1,500

 

 

1,673,385

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Children’s Hospital of Philadelphia
Project, Series D, 5.00%, 7/01/32

 

 

1,375

 

 

1,522,922

 

 

 

 

 

 

 

5,494,087

 

Puerto Rico — 2.9%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 5.75%, 8/01/37

 

 

2,605

 

 

2,915,776

 

Texas — 13.1%

 

 

 

 

 

 

 

Central Texas Regional Mobility Authority, RB, Senior Lien,
6.00%, 1/01/41

 

 

1,670

 

 

1,788,887

 

Conroe ISD Texas, GO, School Building, Series A, 5.75%,
2/15/35

 

 

890

 

 

1,083,406

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

640

 

 

731,821

 

Harris County Health Facilities Development Corp.,
Refunding RB, Memorial Hermann Healthcare System,
Series B, 7.13%, 12/01/31

 

 

500

 

 

601,195

 

Lower Colorado River Authority, RB:

 

 

 

 

 

 

 

5.50%, 5/15/19 (b)

 

 

5

 

 

6,489

 

5.50%, 5/15/19 (b)

 

 

80

 

 

103,370

 

5.50%, 5/15/33

 

 

1,915

 

 

2,171,265

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

Special Projects System, Series A, 5.50%, 9/01/41

 

 

1,670

 

 

1,931,054

 

System, First Tier, Series K-1 (AGC), 5.75%, 1/01/38

 

 

1,000

 

 

1,123,410

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Tarrant County Cultural Education Facilities Finance Corp.,
RB, Scott & White Healthcare, 6.00%, 8/15/45

 

$

1,905

 

$

2,164,975

 

Texas Private Activity Bond Surface Transportation Corp.,
RB, Senior Lien, NTE Mobility Partners LLC, North
Tarrant Express Managed Lanes Project, 6.88%,
12/31/39

 

 

1,505

 

 

1,674,027

 

 

 

 

 

 

 

13,379,899

 

Virginia — 1.2%

 

 

 

 

 

 

 

Virginia Public School Authority, RB, School Financing,
6.50%, 12/01/35

 

 

1,000

 

 

1,182,870

 

Total Municipal Bonds — 99.3%

 

 

 

 

 

101,105,999

 

 


Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

California — 19.3%

 

 

 

 

 

 

 

California Educational Facilities Authority, RB, University
of Southern California, Series A, 5.25%, 10/01/39

 

 

1,995

 

 

2,237,412

 

Grossmont Union High School District, GO, Election of
2008, Series B, 5.00%, 8/01/40

 

 

2,400

 

 

2,623,944

 

Los Angeles Community College District California, GO,
Election of 2008:

 

 

 

 

 

 

 

Series A, 6.00%, 8/01/33

 

 

3,898

 

 

4,687,201

 

Series C, 5.25%, 8/01/39

 

 

2,630

 

 

3,013,717

 

Los Angeles Unified School District California, GO,
Series I, 5.00%, 1/01/34

 

 

400

 

 

439,980

 

San Diego Public Facilities Financing Authority,
Refunding RB, Series B, 5.50%, 8/01/39

 

 

4,214

 

 

4,849,261

 

University of California, RB, Series O, 5.75%, 5/15/34

 

 

1,500

 

 

1,764,975

 

 

 

 

 

 

 

19,616,490

 

District of Columbia — 3.7%

 

 

 

 

 

 

 

District of Columbia, RB, Series A, 5.50%, 12/01/30

 

 

1,395

 

 

1,686,583

 

District of Columbia Water & Sewer Authority, RB,
Series A, 5.50%, 10/01/39

 

 

1,799

 

 

2,038,475

 

 

 

 

 

 

 

3,725,058

 

Illinois — 3.3%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, University of Chicago,
Series B, 6.25%, 7/01/38

 

 

2,800

 

 

3,332,896

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts State School Building Authority, RB,
Dedicated Sales Tax, Senior, Series B, 5.00%,
10/15/41

 

 

1,490

 

 

1,689,556

 

Nevada — 5.2%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

2,500

 

 

2,925,200

 

Series B, 5.50%, 7/01/29

 

 

1,994

 

 

2,345,510

 

 

 

 

 

 

 

5,270,710

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

New Hampshire Health & Education Facilities Authority,
Refunding RB, Dartmouth College, 5.25%, 6/01/39

 

 

1,094

 

 

1,252,406

 

New Jersey — 2.1%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGM), 5.00%,
12/15/32

 

 

2,000

 

 

2,171,180

 

New York — 10.0%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

1,410

 

 

1,647,217

 

Series FF-2, 5.50%, 6/15/40

 

 

1,994

 

 

2,296,410

 

New York Liberty Development Corp., RB, 1 World Trade
Center Port Authority Construction, 5.25%, 12/15/43

 

 

2,205

 

 

2,504,946

 


See Notes to Financial Statements.

 

 

 

 

 

 

24

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

New York Liberty Development Corp., Refunding RB,
4 World Trade Center Project, 5.75%, 11/15/51

 

$

1,300

 

$

1,479,309

 

New York State Dormitory Authority, ERB, Series B,
5.25%, 3/15/38

 

 

2,000

 

 

2,238,940

 

 

 

 

 

 

 

10,166,822

 

Ohio — 1.6%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB, Catholic Healthcare,
Series A, 5.25%, 6/01/38

 

 

1,560

 

 

1,660,526

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax,
Senior Series 2011 C, 5.25%, 8/01/40

 

 

880

 

 

977,249

 

South Carolina — 2.0%

 

 

 

 

 

 

 

South Carolina State Public Service Authority, RB, Santee
Cooper, Series A, 5.50%, 1/01/38

 

 

1,755

 

 

1,995,470

 

Texas — 5.3%

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding RB, Series A, 5.25%,
2/01/31

 

 

2,025

 

 

2,343,497

 

Harris County Cultural Education Facilities Finance Corp.,
RB, Hospital, Texas Children’s Hospital Project, 5.50%,
10/01/39

 

 

2,750

 

 

3,073,758

 

 

 

 

 

 

 

5,417,255

 

Virginia — 1.0%

 

 

 

 

 

 

 

Fairfax County IDA Virginia, Refunding RB, Health Care,
Inova Health System, Series A, 5.50%, 5/15/35

 

 

899

 

 

1,006,246

 

Wisconsin — 1.7%

 

 

 

 

 

 

 

Wisconsin Health & Educational Facilities Authority,
Refunding RB, Froedtert & Community Health Inc.,
5.25%, 4/01/39

 

 

1,680

 

 

1,787,702

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 59.0%

 

 

 

 

 

60,069,566

 

Total Long-Term Investments
(Cost — $144,789,003) — 158.3%

 

 

 

 

 

161,175,565

 

 


Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund, 0.01% (d)(e)

 

 

3,319,178

 

 

3,319,178

 

Total Short-Term Securities
(Cost — $3,319,178) — 3.3%

 

 

 

 

 

3,319,178

 

Total Investments (Cost — $148,108,131) — 161.6%

 

 

 

 

 

164,494,743

 

Other Assets Less Liabilities — 1.6%

 

 

 

 

 

1,655,272

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (29.7)%

 

 

 

 

 

(30,189,135

)

VRDP Shares, at Liquidation Value — (33.6)%

 

 

 

 

 

(34,200,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

101,760,880

 


 

 


(a)


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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

JPMorgan Securities

 

$

182,650

 

$

1,838

 

Citigroup Global Markets

 

$

904,827

 

$

9,827

 


 

 

(b)

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

 

 

(c)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(d)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

2,119,108

 

 

1,200,070

 

 

3,319,178

 

$

431

 


 

 

(e)

Represents the current yield as of report date.

 

 

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

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

34

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March
2012

 

$

4,496,500

 

$

(59,565

)


 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

25




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Trust (BBF)

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

161,175,565

 

 

 

$

161,175,565

 

Short-Term
Securities

 

$

3,319,178

 

 

 

 

 

 

3,319,178

 

Total

 

$

3,319,178

 

$

161,175,565

 

 

 

$

164,494,743

 


 

 

1

See above Schedule of Investments for values in each state or political subdivision.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(59,565

)

 

 

 

 

$

(59,565

)


 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

26

SEMI-ANNUAL REPORT

JANUARY 31, 2012



 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 

New Jersey — 130.4%

 

 

 

 

 

 

 

Corporate — 10.2%

 

 

 

 

 

 

 

New Jersey EDA, RB, AMT, Continental Airlines Inc.
Project, 7.00%, 11/15/30 (a)

 

$

925

 

$

925,037

 

New Jersey EDA, Refunding RB, New Jersey American
Water Co., Inc. Project, Series A, AMT, 5.70%,
10/01/39

 

 

175

 

 

192,549

 

Salem County Utilities Authority, Refunding RB, Atlantic
City Electric, Series A, 4.88%, 6/01/29

 

 

300

 

 

329,103

 

 

 

 

 

 

 

1,446,689

 

County/City/Special District/School District — 18.6%

 

 

 

 

 

 

 

City of Margate City New Jersey, GO, Improvement, 5.00%,
1/15/27

 

 

125

 

 

144,600

 

City of Perth Amboy New Jersey, GO, CAB (AGM), 4.50%,
7/01/34 (b)

 

 

100

 

 

103,225

 

Essex County Improvement Authority, RB, Newark Project,
Series A (AGM), 6.00%, 11/01/30

 

 

275

 

 

315,469

 

Essex County Improvement Authority, Refunding RB,
Project Consolidation (NPFGC):

 

 

 

 

 

 

 

5.50%, 10/01/28

 

 

300

 

 

389,487

 

5.50%, 10/01/29

 

 

260

 

 

337,327

 

Hudson County Improvement Authority, RB:
CAB, Series A-1 (NPFGC), 4.53%, 12/15/32 (c)

 

 

1,000

 

 

347,840

 

Harrison Parking Facility Project, Series C (AGC),
5.38%, 1/01/44

 

 

340

 

 

378,189

 

Middlesex County Improvement Authority, RB,
Subordinate, Heldrich Center Hotel, Series B, 6.25%,
1/01/37 (d)(e)

 

 

200

 

 

17,900

 

Newark Housing Authority, RB, South Ward Police Facility
(AGC), 6.75%, 12/01/38

 

 

110

 

 

135,403

 

State of New Jersey, COP, Equipment Lease Purchase,
Series A, 5.13%, 6/15/24

 

 

150

 

 

172,047

 

Union County Utilities Authority, Refunding RB, New Jersey
Solid Waste System, County Deficiency Agreement,
Series A, AMT, 5.00%, 6/15/41

 

 

255

 

 

286,411

 

 

 

 

 

 

 

2,627,898

 

Education — 25.8%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction:

 

 

 

 

 

 

 

Series CC-2, 5.00%, 12/15/31

 

 

200

 

 

220,836

 

Series CC-2, 5.00%, 12/15/32

 

 

200

 

 

219,772

 

Series S, 5.00%, 9/01/36

 

 

200

 

 

211,294

 

Series Y, 5.00%, 9/01/33

 

 

400

 

 

429,884

 

New Jersey Educational Facilities Authority, RB:

 

 

 

 

 

 

 

Montclair State University, Series J, 5.25%, 7/01/38

 

 

100

 

 

108,838

 

Refunding Kean University, Series A, 5.50%, 9/01/36

 

 

240

 

 

267,492

 

New Jersey Educational Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

Georgian Court University, Series D, 5.00%, 7/01/33

 

 

100

 

 

102,860

 

New Jersey Institute of Technology, Series H, 5.00%,
7/01/31

 

 

80

 

 

88,374

 

Rowan University, Series B (AGC), 5.00%, 7/01/24

 

 

255

 

 

288,935

 

University of Medicine & Dentistry, Series B, 7.50%,
12/01/32

 

 

175

 

 

213,833

 

New Jersey Higher Education Assistance Authority,
Refunding RB, Series 1A:

 

 

 

 

 

 

 

5.00%, 12/01/25

 

 

65

 

 

71,304

 

5.00%, 12/01/26

 

 

50

 

 

54,468

 

5.13%, 12/01/27

 

 

200

 

 

220,390

 

5.25%, 12/01/32

 

 

300

 

 

326,883

 

New Jersey Higher Education Student Assistance Authority,
RB, Series 1A, AMT, 5.75%, 12/01/29

 

 

240

 

 

263,611

 

Rutgers-State University of New Jersey, Refunding RB,
Series F, 5.00%, 5/01/39

 

 

500

 

 

551,335

 

 

 

 

 

 

 

3,640,109

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (continued)

 

 

 

 

 

 

 

Health — 16.1%

 

 

 

 

 

 

 

New Jersey EDA, RB, First Mortgage, Lions Gate Project,
Series A:

 

 

 

 

 

 

 

5.75%, 1/01/25

 

$

60

 

$

57,931

 

5.88%, 1/01/37

 

 

110

 

 

101,058

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

First Mortgage, Winchester, Series A, 5.80%,
11/01/31

 

 

500

 

 

511,455

 

Seabrook Village Inc. Facility, 5.25%, 11/15/26

 

 

140

 

 

131,090

 

New Jersey Health Care Facilities Financing Authority, RB:
AHS Hospital Corp., 6.00%, 7/01/41

 

 

230

 

 

270,130

 

Hospital Asset Transformation Program, Series A,
5.25%, 10/01/38

 

 

250

 

 

267,210

 

Meridian Health, Series I (AGC), 5.00%, 7/01/38

 

 

100

 

 

105,433

 

Virtua Health (AGC), 5.50%, 7/01/38

 

 

150

 

 

164,211

 

New Jersey Health Care Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Barnabas Health, Series A, 5.63%, 7/01/32

 

 

70

 

 

74,934

 

Barnabas Health, Series A, 5.63%, 7/01/37

 

 

190

 

 

199,551

 

Meridian Health System Obligated Group Issue,
5.00%, 7/01/26

 

 

115

 

 

130,054

 

St. Barnabas Health Care System, Series A, 5.00%,
7/01/29

 

 

250

 

 

255,338

 

 

 

 

 

 

 

2,268,395

 

Housing — 10.7%

 

 

 

 

 

 

 

New Jersey State Housing & Mortgage Finance Agency, RB:

 

 

 

 

 

 

 

S/F Housing, Series X, AMT, 4.85%, 4/01/16

 

 

500

 

 

513,150

 

S/F Housing, Series X, AMT, 5.05%, 4/01/18

 

 

215

 

 

230,478

 

S/F Housing, Series CC, 5.00%, 10/01/34

 

 

210

 

 

219,631

 

Series A, 4.75%, 11/01/29

 

 

140

 

 

146,644

 

Series AA, 6.38%, 10/01/28

 

 

235

 

 

260,175

 

Series AA, 6.50%, 10/01/38

 

 

125

 

 

135,195

 

 

 

 

 

 

 

1,505,273

 

State — 27.9%

 

 

 

 

 

 

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Kapkowski Road Landfill Project, Series 1998B-MB,
AMT, 6.50%, 4/01/31

 

 

250

 

 

265,275

 

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%,
7/01/24

 

 

300

 

 

363,975

 

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%,
7/01/25

 

 

570

 

 

696,284

 

Newark Downtown District Management Corp., 5.13%,
6/15/37

 

 

100

 

 

100,577

 

School Facilities Construction, Series Z (AGC), 5.50%,
12/15/34

 

 

500

 

 

560,915

 

School Facilities Construction, Series Z (AGC), 6.00%,
12/15/34

 

 

300

 

 

346,041

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

New Jersey American Water Co., Inc., Project, Series B,
AMT, 5.60%, 11/01/34

 

 

150

 

 

167,607

 

School Facilities, Series GG, 5.25%, 9/01/27

 

 

255

 

 

295,198

 

School Facilities Construction, Series AA, 5.50%,
12/15/29

 

 

200

 

 

227,876

 

School Facilities Construction, Series N-1 (NPFGC),
5.50%, 9/01/28

 

 

100

 

 

127,625

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

Series A (AGC), 5.63%, 12/15/28

 

 

100

 

 

115,450

 

Series B, 5.25%, 6/15/36

 

 

300

 

 

337,545

 

State of New Jersey, COP, Equipment Lease Purchase,
Series A:

 

 

 

 

 

 

 

5.25%, 6/15/27

 

 

200

 

 

225,412

 

5.25%, 6/15/28

 

 

100

 

 

112,039

 

 

 

 

 

 

 

3,941,819

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

27




 

 

 

 

Schedule of Investments (continued)

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par 
(000)

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

Transportation — 21.1%

 

 

 

 

 

 

 

Delaware River Port Authority of Pennsylvania and
New Jersey, RB:

 

 

 

 

 

 

 

Port District Project, Series B (AGM), 5.70%,
1/01/22

 

$

400

 

$

401,016

 

Series D, 5.00%, 1/01/40

 

 

95

 

 

101,722

 

New Jersey State Turnpike Authority, RB, Series E,
5.25%, 1/01/40

 

 

215

 

 

236,958

 

New Jersey State Turnpike Authority, Refunding RB,
Series C (AMBAC):

 

 

 

 

 

 

 

6.50%, 1/01/16

 

 

160

 

 

190,520

 

6.50%, 1/01/16 (f)

 

 

180

 

 

202,585

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

6.00%, 12/15/38

 

 

100

 

 

115,611

 

Series A, 6.00%, 6/15/35

 

 

450

 

 

545,220

 

Series A, 5.88%, 12/15/38

 

 

175

 

 

200,875

 

Port Authority of New York & New Jersey, RB,
JFK International Air Terminal, 6.00%, 12/01/42

 

 

170

 

 

183,391

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 152nd Series, AMT, 5.75%, 11/01/30

 

 

250

 

 

294,890

 

South Jersey Transportation Authority, RB,
Series A (NPFGC), 4.50%, 11/01/35

 

 

490

 

 

499,109

 

 

 

 

 

 

 

2,971,897

 

Total Municipal Bonds in New Jersey

 

 

 

 

 

18,402,080

 

 

 

 

 

 

 

 

 

Puerto Rico — 8.7%

 

 

 

 

 

 

 

County/City/Special District/School District — 3.7%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.00%, 8/01/42

 

 

250

 

 

282,815

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
First Sub-Series C, 6.00%, 8/01/39

 

 

205

 

 

234,934

 

 

 

 

 

 

 

517,749

 

State — 5.0%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority, Refunding
RB, Series CC (AGM), 5.50%, 7/01/30

 

 

250

 

 

299,993

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 5.75%, 8/01/37

 

 

365

 

 

408,544

 

 

 

 

 

 

 

708,537

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,226,286

 

Total Municipal Bonds — 139.1%

 

 

 

 

 

19,628,366

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to

 

 

 

 

 

 

 

Tender Option Bond Trusts (g)

 

 

 

 

 

 

 

New Jersey — 9.0%

 

 

 

 

 

 

 

County/City/Special District/School District — 5.2%

 

 

 

 

 

 

 

Union County Utilities Authority, Refunding RB, Covanta
Union, Inc., Series A, AMT, 5.25%, 12/01/31

 

 

670

 

 

732,370

 

Transportation — 3.8%

 

 

 

 

 

 

 

Port Authority of New York & New Jersey,
Refunding RB, AMT:

 

 

 

 

 

 

 

Consolidated, 106th Series, GO, 5.00%, 10/15/41

 

 

255

 

 

272,618

 

Consolidated, 152nd Series, 5.25%, 11/01/35

 

 

240

 

 

260,771

 

 

 

 

 

 

 

533,389

 

Total Municipal Bonds in New Jersey

 

 

 

 

 

1,265,759

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)

 

Par
(000)

 

Value

 

Puerto Rico — 1.1%

 

 

 

 

 

 

 

State — 1.1%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Senior
Series C, 5.25%, 8/01/40

 

$

140

 

$

155,471

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 10.1%

 

 

 

 

 

1,421,230

 

Total Long-Term Investments
(Cost — $19,568,741) — 149.2%

 

 

 

 

 

21,049,596

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BIF New Jersey Municipal Money Fund, 0.00% (h)(i)

 

 

304,465

 

 

304,465

 

Total Short-Term Securities
(Cost — $304,465) — 2.1%

 

 

 

 

 

304,465

 

Total Investments (Cost — $19,873,206) — 151.3%

 

 

 

 

 

21,354,061

 

Other Assets Less Liabilities — (7.6)%

 

 

 

 

 

393,252

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — 5.2%

 

 

 

 

 

(735,050

)

AMPS, at Redemption Value — (48.9)%

 

 

 

 

 

(6,900,175

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

14,112,088

 

 

 

 

 

 

 

 

 


 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(c)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(e)

Non-income producing security.

 

 

(f)

Security is collateralized by Municipal or US Treasury obligations.

 

 

(g)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(h)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF New Jersey Municipal
Money Fund

 

 

209,983

 

 

94,482

 

 

304,465

 

$

15

 


 

 

(i)

Represents the current yield as of report date.

 

 

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


See Notes to Financial Statements.

 

 

 

 

 

 

28

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)


 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

 

 

 

10-Year US

 

 

Chicago

 

 

 

 

 

 

 

 

 

 

 

 

 

Treasury

 

 

Board of

 

 

March

 

 

 

 

 

 

 

5

 

 

Note

 

 

Trade

 

 

2012

 

$

661,250

 

$

(8,760

)


 

 

 

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

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

21,049,596

 

 

 

$

21,049,596

 

Short-Term
Securities

 

$

304,465

 

 

 

 

 

 

304,465

 

Total

 

$

304,465

 

$

21,049,596

 

 

 

$

21,354,061

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(8,760)

 

 

 

 

 

$

(8,760

)


 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

29




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock New Jersey Municipal Income Trust (BNJ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 118.1%

 

 

 

 

 

 

 

Corporate — 8.1%

 

 

 

 

 

 

 

New Jersey EDA, RB, AMT, Continental Airlines Inc.
Project (a):

 

 

 

 

 

 

 

7.00%, 11/15/30

 

$

3,450

 

$

3,450,138

 

7.20%, 11/15/30

 

 

2,000

 

 

1,999,920

 

New Jersey EDA, Refunding RB, New Jersey American
Water Co. Inc., Project, Series A, AMT, 5.70%,
10/01/39

 

 

1,500

 

 

1,650,420

 

Salem County Utilities Authority, Refunding RB, Atlantic
City Electric, Series A, 4.88%, 6/01/29

 

 

2,400

 

 

2,632,824

 

 

 

 

 

 

 

9,733,302

 

County/City/Special District/School District — 14.8%

 

 

 

 

 

 

 

City of Margate City New Jersey, GO, Improvement, 5.00%,
1/15/28

 

 

1,085

 

 

1,246,036

 

City of Perth Amboy New Jersey, GO, CAB (AGM) (b):

 

 

 

 

 

 

 

5.00%, 7/01/34

 

 

1,075

 

 

1,109,669

 

5.00%, 7/01/35

 

 

175

 

 

180,035

 

Essex County Improvement Authority, RB, Newark Project,
Series A (AGM), 6.00%, 11/01/30

 

 

1,090

 

 

1,250,404

 

Essex County Improvement Authority, Refunding RB,
Project Consolidation (NPFGC):

 

 

 

 

 

 

 

5.50%, 10/01/28

 

 

1,440

 

 

1,869,537

 

5.50%, 10/01/29

 

 

2,630

 

 

3,412,188

 

Hudson County Improvement Authority, RB, Harrison
Parking Facility Project, Series C (AGC):

 

 

 

 

 

 

 

5.25%, 1/01/39

 

 

2,000

 

 

2,213,300

 

5.38%, 1/01/44

 

 

2,400

 

 

2,669,568

 

Middlesex County Improvement Authority, RB,
Subordinate, Heldrich Center Hotel, Series B, 6.25%,
1/01/37 (c)(d)

 

 

1,790

 

 

160,205

 

Newark Housing Authority, RB, South Ward Police Facility
(AGC), 6.75%, 12/01/38

 

 

1,020

 

 

1,255,559

 

Newark Housing Authority, Refunding RB, Newark
Redevelopment Project (NPFGC), 4.38%, 1/01/37

 

 

2,600

 

 

2,376,764

 

 

 

 

 

 

 

17,743,265

 

Education — 15.3%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction,
Series CC-2, 5.00%, 12/15/31

 

 

1,525

 

 

1,683,875

 

New Jersey EDA, Refunding RB, School Facilities,
Series GG, 5.25%, 9/01/27

 

 

1,800

 

 

2,083,752

 

New Jersey Educational Facilities Authority, RB:

Montclair State University, Series J, 5.25%, 7/01/38

 

 

580

 

 

631,260

 

Refunding Kean University, Series A, 5.50%, 9/01/36

 

 

2,060

 

 

2,295,973

 

New Jersey Educational Facilities Authority, Refunding RB:

College of New Jersey, Series D (AGM), 5.00%,
7/01/35

 

 

3,230

 

 

3,492,696

 

Georgian Court University, Series D, 5.00%, 7/01/33

 

 

250

 

 

257,150

 

New Jersey Institute of Technology, Series H, 5.00%,
7/01/31

 

 

660

 

 

729,082

 

University of Medicine & Dentistry, Series B, 7.50%,
12/01/32

 

 

1,450

 

 

1,771,755

 

New Jersey Higher Education Assistance Authority,
Refunding RB, Series 1A:

 

 

 

 

 

 

 

5.00%, 12/01/25

 

 

535

 

 

586,890

 

5.00%, 12/01/26

 

 

350

 

 

381,276

 

5.25%, 12/01/32

 

 

500

 

 

544,805

 

New Jersey Higher Education Student Assistance
Authority, RB, Series 1, AMT, 5.75%, 12/01/29

 

 

2,055

 

 

2,257,171

 

Rutgers-State University of New Jersey, Refunding RB,
Series F, 5.00%, 5/01/39

 

 

1,500

 

 

1,654,005

 

 

 

 

 

 

 

18,369,690

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (continued)

 

 

 

 

 

 

 

Health — 21.4%

 

 

 

 

 

 

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

First Mortgage, Lions Gate Project, Series A, 5.75%,
1/01/25

 

$

500

 

$

482,755

 

First Mortgage, Lions Gate Project, Series A, 5.88%,
1/01/37

 

 

855

 

 

785,497

 

Masonic Charity Foundation Project, 5.50%,
6/01/31

 

 

875

 

 

893,200

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

First Mortgage, Winchester, Series A, 5.75%,
11/01/24

 

 

4,050

 

 

4,182,961

 

Seabrook Village Inc. Facility, 5.25%, 11/15/26

 

 

1,790

 

 

1,676,084

 

New Jersey Health Care Facilities Financing Authority, RB:

 

 

 

 

 

 

 

AHS Hospital Corp., 6.00%, 7/01/37

 

 

900

 

 

1,051,596

 

AHS Hospital Corp., 6.00%, 7/01/41

 

 

1,045

 

 

1,227,332

 

Hospital Asset Transformation Program, Series A,
5.25%, 10/01/38

 

 

2,350

 

 

2,511,774

 

Kennedy Health System, 5.63%, 7/01/31

 

 

2,030

 

 

2,033,776

 

Meridian Health, Series I (AGC), 5.00%, 7/01/38

 

 

750

 

 

790,748

 

Virtua Health (AGC), 5.50%, 7/01/38

 

 

1,250

 

 

1,368,425

 

New Jersey Health Care Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Atlantic City Medical System, 5.75%, 7/01/25

 

 

1,255

 

 

1,270,148

 

Barnabas Health, Series A, 5.63%, 7/01/32 (e)

 

 

580

 

 

620,878

 

Barnabas Health, Series A, 5.63%, 7/01/37 (e)

 

 

1,605

 

 

1,685,683

 

Meridian Health System Obligated Group Issue,
5.00%, 7/01/26

 

 

970

 

 

1,096,973

 

Robert Wood Johnson, 5.00%, 7/01/31

 

 

500

 

 

542,455

 

South Jersey Hospital, 5.00%, 7/01/46

 

 

1,650

 

 

1,677,951

 

St. Barnabas Health Care System, Series A, 5.00%,
7/01/29

 

 

1,750

 

 

1,787,363

 

 

 

 

 

 

 

25,685,599

 

Housing — 11.5%

 

 

 

 

 

 

 

Middlesex County Improvement Authority, RB, AMT
(Fannie Mae):

 

 

 

 

 

 

 

Administration Building Residential Project, 5.35%,
7/01/34

 

 

1,400

 

 

1,400,812

 

New Brunswick Apartments Rental Housing, 5.30%,
8/01/35

 

 

4,345

 

 

4,362,641

 

New Jersey State Housing & Mortgage Finance
Agency, RB:

 

 

 

 

 

 

 

S/F Housing, Series CC, 5.00%, 10/01/34

 

 

1,775

 

 

1,856,402

 

S/F Housing, Series X, AMT, 4.85%, 4/01/16

 

 

1,750

 

 

1,796,025

 

Series A, 4.75%, 11/01/29

 

 

1,185

 

 

1,241,240

 

Series AA, 6.38%, 10/01/28

 

 

1,380

 

 

1,527,839

 

Series AA, 6.50%, 10/01/38

 

 

1,520

 

 

1,643,971

 

 

 

 

 

 

 

13,828,930

 

State — 22.4%

 

 

 

 

 

 

 

Garden State Preservation Trust, RB, CAB, Series B (AGM),
5.22%, 11/01/26 (f)

 

 

6,000

 

 

3,670,320

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Kapkowski Road Landfill Project, Series 1998B, AMT,
6.50%, 4/01/31

 

 

5,000

 

 

5,305,500

 

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%,
7/01/24

 

 

1,000

 

 

1,213,250

 

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%,
7/01/25

 

 

1,365

 

 

1,667,416

 

School Facilities Construction, Series Z (AGC), 5.50%,
12/15/34

 

 

3,000

 

 

3,365,490

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

New Jersey American Water Co. Inc. Project, Series B,
AMT, 5.60%, 11/01/34

 

 

1,275

 

 

1,424,659

 

School Facilities Construction, Series AA, 5.50%,
12/15/29

 

 

2,000

 

 

2,278,760

 


See Notes to Financial Statements.

 

 

 

 

 

 

30

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock New Jersey Municipal Income Trust (BNJ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

State (concluded)

 

 

 

 

 

 

 

New Jersey EDA, Special Assessment Bonds, Refunding,
Kapkowski Road Landfill Project, 6.50%, 4/01/28

 

$

2,500

 

$

2,776,625

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

CAB, Series C (AGM), 4.85%, 12/15/32 (f)

 

 

4,000

 

 

1,479,000

 

Series A (AGC), 5.63%, 12/15/28

 

 

670

 

 

773,515

 

State of New Jersey, COP, Equipment Lease Purchase,
Series A:

 

 

 

 

 

 

 

5.25%, 6/15/27

 

 

2,000

 

 

2,254,120

 

5.25%, 6/15/28

 

 

600

 

 

672,234

 

 

 

 

 

 

 

26,880,889

 

Transportation — 22.0%

 

 

 

 

 

 

 

Delaware River Port Authority, RB:

 

 

 

 

 

 

 

Port District Project, Series B (AGM), 5.70%,
1/01/22

 

 

1,000

 

 

1,002,540

 

Series D, 5.00%, 1/01/40

 

 

800

 

 

856,608

 

New Jersey State Turnpike Authority, RB, Series E, 5.25%,
1/01/40

 

 

1,970

 

 

2,171,196

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

Series A, 6.00%, 6/15/35

 

 

3,845

 

 

4,658,602

 

Series A, 5.88%, 12/15/38

 

 

1,770

 

 

2,031,713

 

Series A, 6.00%, 12/15/38

 

 

945

 

 

1,092,524

 

Series A, 5.50%, 6/15/41

 

 

1,000

 

 

1,147,390

 

Series A (AGC), 5.50%, 12/15/38

 

 

1,000

 

 

1,114,080

 

Series B, 5.25%, 6/15/36

 

 

2,500

 

 

2,812,875

 

Port Authority of New York & New Jersey, RB, JFK
International Air Terminal, Special Project, Series 6:

 

 

 

 

 

 

 

6.00%, 12/01/42

 

 

1,430

 

 

1,542,641

 

AMT (NPFGC), 5.75%, 12/01/22

 

 

6,000

 

 

6,000,300

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 152nd Series, AMT, 5.75%, 11/01/30

 

 

1,750

 

 

2,064,230

 

 

 

 

 

 

 

26,494,699

 

Utilities — 2.6%

 

 

 

 

 

 

 

Rahway Valley Sewerage Authority, RB, CAB, Series A
(NPFGC), 4.42%, 9/01/33 (f)

 

 

2,000

 

 

688,980

 

Union County Utilities Authority, Refunding RB, New Jersey
Solid Waste System, County Deficiency Agreement,
Series A, 5.00%, 6/15/41

 

 

2,185

 

 

2,454,148

 

 

 

 

 

 

 

3,143,128

 

Total Municipal Bonds in New Jersey

 

 

 

 

 

141,879,502

 

 

 

 

 

 

 

 

 

Puerto Rico — 18.8%

 

 

 

 

 

 

 

County/City/Special District/School District — 6.6%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A:

 

 

 

 

 

 

 

5.75%, 8/01/37

 

 

3,075

 

 

3,441,847

 

6.00%, 8/01/42

 

 

2,250

 

 

2,545,335

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
First Sub, Series C, 6.00%, 8/01/39

 

 

1,740

 

 

1,994,075

 

 

 

 

 

 

 

7,981,257

 

Housing — 3.7%

 

 

 

 

 

 

 

Puerto Rico Housing Finance Authority, RB,
Mortgage-Backed Securities, Series B, AMT
(Ginnie Mae), 5.30%, 12/01/28

 

 

2,210

 

 

2,211,658

 

Puerto Rico Housing Finance Authority, Refunding RB,
Mortgage-Backed Securities, Series A (Ginnie Mae),
5.20%, 12/01/33

 

 

2,210

 

 

2,212,055

 

 

 

 

 

 

 

4,423,713

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

Puerto Rico (concluded)

 

 

 

 

 

 

 

State — 4.7%

 

 

 

 

 

 

 

Puerto Rico Public Buildings Authority, RB, CAB,
Series D (AMBAC) (b):

 

 

 

 

 

 

 

5.45%, 7/01/17 (e)

 

$

3,665

 

$

4,278,228

 

5.45%, 7/01/31

 

 

1,335

 

 

1,352,662

 

 

 

 

 

 

 

5,630,890

 

Transportation — 2.9%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB:

 

 

 

 

 

 

 

Series AA-1 (AGM), 4.95%, 7/01/26

 

 

295

 

 

319,898

 

Series CC (AGC), 5.50%, 7/01/31

 

 

935

 

 

1,116,035

 

Series CC (AGM), 5.50%, 7/01/30

 

 

1,680

 

 

2,015,949

 

 

 

 

 

 

 

3,451,882

 

Utilities — 0.9%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority, RB, Series WW,
5.50%, 7/01/38

 

 

1,000

 

 

1,064,320

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

22,552,062

 

Total Municipal Bonds — 136.9%

 

 

 

 

 

164,431,564

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)

 

 

 

 

 

 

 

New Jersey — 14.8%

 

 

 

 

 

 

 

Education — 2.9%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction,
Series Z (AGC), 6.00%, 12/15/34

 

 

3,000

 

 

3,460,410

 

Transportation — 6.7%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGM), 5.00%,
12/15/32

 

 

2,000

 

 

2,171,180

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, AMT:

 

 

 

 

 

 

 

152nd Series, 5.25%, 11/01/35

 

 

2,039

 

 

2,216,552

 

169th Series, 5.00%, 10/15/41

 

 

3,495

 

 

3,736,469

 

 

 

 

 

 

 

8,124,201

 

Utilities — 5.2%

 

 

 

 

 

 

 

Union County Utilities Authority, Refunding RB, New
Jersey Resource Recovery Facility, Covanta Union, Inc.,
Series A, AMT, 5.25%, 12/01/31

 

 

5,710

 

 

6,241,544

 

Total Municipal Bonds in New Jersey

 

 

 

 

 

17,826,155

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.1%

 

 

 

 

 

 

 

State — 1.1%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Senior
Series C, 5.25%, 8/01/40

 

 

1,180

 

 

1,310,402

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,310,402

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 15.9%

 

 

 

 

 

19,136,557

 

Total Long-Term Investments
(Cost — $170,760,379) — 152.8%

 

 

 

 

 

183,568,121

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

31




 

 

 

 

Schedule of Investments (concluded)

BlackRock New Jersey Municipal Income Trust (BNJ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

Shares

 

 

Value

 

BIF New Jersey Municipal Money Fund, 0.00% (h)(i)

 

 

1,878,917

 

$

1,878,917

 

Total Short-Term Securities
(Cost — $1,878,917) — 1.6%

 

 

 

 

 

1,878,917

 

Total Investments (Cost — $172,639,296) — 154.4%

 

 

 

 

 

185,447,038

 

Other Assets Less Liabilities — 2.8%

 

 

 

 

 

3,397,611

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (8.0)%

 

 

 

 

 

(9,636,065

)

AMPS, at Redemption Value — (49.2)%

 

 

 

 

 

(59,100,988

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

120,107,596

 

 

 

 

 

 

 

 

 


 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(e)

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

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(h)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

 

Shares Held
at July 31,
2011

 

 

Net
Activity

 

 

Shares Held
at January 31,
2012

 

 

Income

 

BIF New Jersey Municipal
Money Fund

 

 

5,114,806

 

 

(3,235,889

)

 

1,878,917

 

 

 


 

 

(i)

Represents the current yield as of report date.

 

 

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

 

 

Financial futures contracts sold as of January 31,2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

Issue

 

 

Exchange

 

 

Expiration

 

 

Notional
Value

 

 

Unrealized
Depreciation

 

40

 

 

10-Year US
Treasury
Note

 

 

Chicago
Board of
Trade

 

 

March
2012

 

$

5,290,000

 

$

(70,076

)


 

 

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


 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

 

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

183,568,121

 

 

 

$

183,568,121

 

Short-Term
Securities

 

$

1,878,917

 

 

 

 

 

 

1,878,917

 

Total

 

$

1,878,917

 

$

183,568,121

 

 

 

$

185,447,038

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(70,076

)

 

 

 

 

$

(70,076

)


 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

32

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 126.9%

 

 

 

 

 

 

 

Corporate — 14.5%

 

 

 

 

 

 

 

Chautauqua County Industrial Development Agency, RB,
NRG Dunkirk Power Project, 5.88%, 4/01/42

 

$

130

 

$

133,697

 

Essex County Industrial Development Agency New York,
RB, International Paper Co., Series A, AMT, 6.63%,
9/01/32

 

 

100

 

 

108,577

 

Jefferson County Industrial Development Agency
New York, Refunding RB, Solid Waste, Series A,
AMT, 5.20%, 12/01/20

 

 

150

 

 

151,371

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport,
AMT (a)(b)(c):

 

 

 

 

 

 

 

7.63%, 8/01/25

 

 

800

 

 

720,648

 

7.75%, 8/01/31

 

 

300

 

 

270,264

 

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

 

 

 

 

 

 

 

5.25%, 10/01/35

 

 

550

 

 

602,872

 

5.50%, 10/01/37

 

 

200

 

 

227,266

 

Port Authority of New York & New Jersey, RB, Continental
Airlines Inc. and Eastern Air Lines Inc. Project,
LaGuardia, AMT, 9.13%, 12/01/15

 

 

660

 

 

666,798

 

 

 

 

 

 

 

2,881,493

 

County/City/Special District/School District — 39.8%

 

 

 

 

 

 

 

Amherst Development Corp., RB, University at Buffalo
Foundation Faculty-Student Housing Corp.,
Series A (AGM):

 

 

 

 

 

 

 

4.38%, 10/01/30

 

 

250

 

 

264,590

 

4.63%, 10/01/40

 

 

275

 

 

288,601

 

Hudson New York Yards Infrastructure Corp., RB, Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

800

 

 

821,832

 

5.75%, 2/15/47

 

 

100

 

 

113,001

 

(NPFGC), 4.50%, 2/15/47

 

 

260

 

 

256,831

 

Monroe County Industrial Development Corp., RB,
Series A, 5.00%, 7/01/31

 

 

265

 

 

303,743

 

New York City Industrial Development Agency, RB PILOT:

 

 

 

 

 

 

 

CAB, Yankee Stadium (AGC), 5.89%, 3/01/35 (d)

 

 

400

 

 

133,136

 

CAB, Yankee Stadium (AGC), 6.23%, 3/01/45 (d)

 

 

445

 

 

83,451

 

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

 

 

100

 

 

112,488

 

Queens Baseball Stadium (AMBAC), 5.00%,
1/01/39

 

 

250

 

 

226,685

 

Yankee Stadium (FGIC), 5.00%, 3/01/46

 

 

100

 

 

101,756

 

New York City Transitional Finance Authority, RB, Fiscal
2009, Series -3, 5.25%, 1/15/39

 

 

150

 

 

165,884

 

New York Convention Center Development Corp., RB,
Hotel Unit Fee Secured (AMBAC), 5.00%, 11/15/44

 

 

685

 

 

705,660

 

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

 

 

 

 

 

 

 

5.00%, 11/15/31

 

 

250

 

 

273,250

 

5.75%, 11/15/51

 

 

295

 

 

335,689

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One Bryant
Park Project:

 

 

 

 

 

 

 

5.63%, 7/15/47

 

 

1,100

 

 

1,164,614

 

6.38%, 7/15/49

 

 

100

 

 

108,250

 

New York State Dormitory Authority, RB, State University
Dormitory Facilities, Series A, 5.00%, 7/01/39

 

 

100

 

 

109,516

 

Saint Lawrence County Industrial Development Agency,
RB, Clarkson University Project, 6.00%, 9/01/34

 

 

150

 

 

176,161

 

Sales Tax Asset Receivable Corp., RB, Series A (AMBAC),
5.00%, 10/15/32

 

 

2,000

 

 

2,179,860

 

 

 

 

 

 

 

7,924,998

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education — 15.8%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New
Covenant Charter School Project, Series A (b)(c):

 

 

 

 

 

 

 

7.00%, 5/01/25

 

$

95

 

$

21,855

 

7.00%, 5/01/35

 

 

60

 

 

13,803

 

City of Troy New York, Refunding RB, Rensselaer
Polytechnic, Series A, 5.13%, 9/01/40

 

 

100

 

 

106,977

 

Nassau County Industrial Development Agency,
Refunding RB, New York Institute of Technology
Project, Series A, 4.75%, 3/01/26

 

 

100

 

 

108,820

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

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

 

 

150

 

 

174,531

 

Cornell University, Series A, 5.00%, 7/01/40

 

 

100

 

 

112,480

 

Fordham University, Series A, 5.50%, 7/01/36

 

 

50

 

 

57,014

 

Rochester Institute of Technology, Series A, 6.00%,
7/01/33

 

 

175

 

 

205,655

 

University of Rochester, Series A, 5.13%, 7/01/39

 

 

200

 

 

219,420

 

University of Rochester, Series A, 5.75%,
7/01/39 (e)

 

 

175

 

 

171,873

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Brooklyn Law School, 5.75%, 7/01/33

 

 

75

 

 

85,255

 

Skidmore College, Series A, 5.25%, 7/01/30

 

 

250

 

 

288,300

 

Teachers College, 5.50%, 3/01/39

 

 

200

 

 

222,772

 

Schenectady County Industrial Development Agency,
Refunding RB, Union College Project, 5.00%, 7/01/31

 

 

200

 

 

214,628

 

Suffolk County Industrial Development Agency,
Refunding RB, New York Institute of Technology
Project, 5.00%, 3/01/26

 

 

100

 

 

103,581

 

Tompkins County Development Corp., RB, Ithaca
College Project (AGM), 5.50%, 7/01/33

 

 

50

 

 

57,518

 

Trust for Cultural Resources, RB, Series A:

 

 

 

 

 

 

 

Carnegie Hall, 4.75%, 12/01/39

 

 

375

 

 

396,577

 

Carnegie Hall, 5.00%, 12/01/39

 

 

150

 

 

161,247

 

Juilliard School, 5.00%, 1/01/39

 

 

250

 

 

276,735

 

Yonkers Industrial Development Agency New York, RB,
Sarah Lawrence College Project, Series A, 6.00%,
6/01/41

 

 

125

 

 

138,816

 

 

 

 

 

 

 

3,137,857

 

Health — 24.9%

 

 

 

 

 

 

 

Dutchess County Local Development Corp.,
Refunding RB, Health Quest System Inc., Series A,
5.75%, 7/01/30

 

 

150

 

 

167,349

 

Genesee County Industrial Development Agency
New York, Refunding RB, United Memorial Medical
Center Project, 5.00%, 12/01/27

 

 

100

 

 

90,909

 

Monroe County Industrial Development Corp., RB,
Unity Hospital of Rochester Project (FHA), 5.50%,
8/15/40

 

 

100

 

 

113,228

 

New York State Dormitory Authority, MRB, Hospital,
Lutheran Medical (FHA), 5.00%, 8/01/31

 

 

250

 

 

253,580

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

New York State Association for Retarded
Children, Inc., Series A, 6.00%, 7/01/32

 

 

75

 

 

85,783

 

New York University Hospital Center, Series A,
5.75%, 7/01/31

 

 

100

 

 

111,265

 

New York University Hospital Center, Series A,
5.00%, 7/01/36

 

 

500

 

 

508,995

 

New York University Hospital Center, Series B,
5.63%, 7/01/37

 

 

150

 

 

157,731

 

North Shore-Long Island Jewish Obligated Group,
Series A, 5.00%, 5/01/32

 

 

500

 

 

545,585

 

North Shore-Long Island Jewish Obligated Group,
Series A, 5.50%, 5/01/37

 

 

175

 

 

193,921

 

North Shore-Long Island Jewish Obligated Group,
Series A, 5.75%, 5/01/37

 

 

250

 

 

282,652

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

33




 

 

 

 

Schedule of Investments (continued)

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Health (concluded)

 

 

 

 

 

 

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Kateri Residence, 5.00%, 7/01/22

 

$

1,000

 

$

1,011,340

 

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

 

 

140

 

 

153,374

 

North Shore-Long Island Jewish Health System,
Series E, 5.50%, 5/01/33

 

 

150

 

 

168,341

 

St. Luke’s Roosevelt Hospital (FHA), 4.90%,
8/15/31

 

 

100

 

 

105,919

 

Saratoga County Industrial Development Agency
New York, RB, Saratoga Hospital Project, Series B,
5.25%, 12/01/32

 

 

100

 

 

104,273

 

Suffolk County Industrial Development Agency
New York, Refunding RB, Jeffersons Ferry Project,
5.00%, 11/01/28

 

 

115

 

 

116,641

 

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

 

 

400

 

 

421,756

 

Westchester County Healthcare Corp. New York,
Refunding RB, Senior Lien, Series B, 6.00%, 11/01/30

 

 

100

 

 

115,195

 

Westchester County Industrial Development Agency
New York, MRB, Kendal on Hudson Project, Series A,
6.38%, 1/01/24

 

 

250

 

 

251,067

 

 

 

 

 

 

 

4,958,904

 

Housing — 9.5%

 

 

 

 

 

 

 

New York City Housing Development Corp., RB:

 

 

 

 

 

 

 

Series A (Ginnie Mae), 5.25%, 5/01/30

 

 

1,000

 

 

1,026,790

 

Series B1, AMT, 5.15%, 11/01/37

 

 

250

 

 

256,448

 

Series J-2-A, AMT, 4.75%, 11/01/27

 

 

500

 

 

510,280

 

New York Mortgage Agency, Refunding RB, Series 143,
AMT, 4.90%, 10/01/37

 

 

95

 

 

96,117

 

 

 

 

 

 

 

1,889,635

 

State — 9.8%

 

 

 

 

 

 

 

New York State Dormitory Authority, ERB:

 

 

 

 

 

 

 

Series B, 5.75%, 3/15/36

 

 

150

 

 

176,902

 

Series C, 5.00%, 12/15/31

 

 

150

 

 

170,267

 

New York State Dormitory Authority, LRB, Municipal
Health Facilities, Sub-Series 2-4, 4.75%, 1/15/30

 

 

200

 

 

213,332

 

New York State Dormitory Authority, Refunding RB, State
University Educational Facilities, Series A (AMBAC),
5.25%, 5/15/15

 

 

1,005

 

 

1,114,153

 

New York State Urban Development Corp., RB, State
Personal Income Tax (General Purpose), Series A,
3.50%, 3/15/28

 

 

150

 

 

156,675

 

Onondaga Civic Development Corp., RB, Upstate
Properties Development, Inc., 5.25%, 12/01/41

 

 

120

 

 

128,957

 

 

 

 

 

 

 

1,960,286

 

Transportation — 3.8%

 

 

 

 

 

 

 

Metropolitan Transportation Authority, RB:

 

 

 

 

 

 

 

Series C, 6.50%, 11/15/28

 

 

250

 

 

311,495

 

Transportation, Series A, 5.00%, 11/15/27

 

 

250

 

 

291,530

 

Port Authority of New York & New Jersey, RB, JFK
International Air Terminal, 6.00%, 12/01/42

 

 

150

 

 

161,815

 

 

 

 

 

 

 

764,840

 

Utilities — 8.8%

 

 

 

 

 

 

 

Long Island Power Authority, RB, 5.00%, 5/01/36

 

 

100

 

 

109,771

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Second General Resolution, Series HH, 5.00%,
6/15/32

 

 

1,280

 

 

1,478,707

 

Series B, 5.00%, 6/15/36

 

 

150

 

 

160,298

 

 

 

 

 

 

 

1,748,776

 

Total Municipal Bonds in New York

 

 

 

 

 

25,266,789

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Guam — 1.7%

 

 

 

 

 

 

 

State — 0.5%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A, 7.00%, 11/15/39

 

$

100

 

$

105,914

 

Tobacco — 0.4%

 

 

 

 

 

 

 

Guam Economic Development & Commerce Authority,
Refunding RB, Tobacco Settlement Asset Backed,
5.63%, 6/01/47

 

 

100

 

 

81,524

 

Utilities — 0.8%

 

 

 

 

 

 

 

Guam Government Waterworks Authority, Refunding RB,
Water, 5.88%, 7/01/35

 

 

150

 

 

150,750

 

Total Municipal Bonds in Guam

 

 

 

 

 

338,188

 

 

 

 

 

 

 

 

 

Puerto Rico — 7.2%

 

 

 

 

 

 

 

County/City/Special District/School District — 1.9%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB, Series A,
6.40%, 8/01/32 (d)

 

 

750

 

 

257,887

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.75%, 8/01/41 (d)

 

 

550

 

 

109,709

 

 

 

 

 

 

 

367,596

 

State — 5.0%

 

 

 

 

 

 

 

Commonwealth of Puerto Rico, GO, Refunding,
Sub-Series C-7 (NPFGC), 6.00%, 7/01/28

 

 

250

 

 

275,220

 

Puerto Rico Commonwealth Infrastructure Financing
Authority, RB, CAB, Series A (AMBAC), 4.99%,
7/01/44 (d)

 

 

395

 

 

49,758

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 5.75%, 8/01/37

 

 

600

 

 

671,580

 

 

 

 

 

 

 

996,558

 

Transportation — 0.3%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series AA-1 (AGM), 4.95%, 7/01/26

 

 

60

 

 

65,064

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,429,218

 

Total Municipal Bonds — 135.8%

 

 

 

 

 

27,034,195

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

 

 

 

 

 

 

New York — 19.8%

 

 

 

 

 

 

 

Transportation — 8.1%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB, Series A,
5.75%, 2/15/47

 

 

800

 

 

903,932

 

New York Liberty Development Corp., RB, 1 World Trade
Center Port Authority Construction, 5.25%, 12/15/43

 

 

375

 

 

426,011

 

Port Authority of New York & New Jersey, RB,
Consolidated 169th Series, 5.00%, 10/15/26

 

 

250

 

 

289,538

 

 

 

 

 

 

 

1,619,481

 

Utilities — 11.7%

 

 

 

 

 

 

 

New York City Municipal Water & Sewer Finance
Authority, RB, Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

105

 

 

122,665

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Fiscal 2012, Series B,
AMT, 5.00%, 6/15/44

 

 

750

 

 

835,497

 

New York City Municipal Water Finance Authority,
Refunding RB, Series A, 4.75%, 6/15/30

 

 

1,000

 

 

1,095,820

 

Suffolk County Water Authority, Refunding RB, 3.00%,
6/01/25

 

 

255

 

 

266,197

 

 

 

 

 

 

 

2,320,179

 

Total Municipal Bonds in New York

 

 

 

 

 

3,939,660

 


See Notes to Financial Statements.

 

 

 

 

 

 

34

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

Par
(000)

 

Value

 

Puerto Rico — 0.7%

 

 

 

 

 

 

 

State — 0.7%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

$

130

 

$

144,366

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 20.5%

 

 

 

 

 

4,084,026

 

Total Long-Term Investments
(Cost — $29,086,039) — 156.3%

 

 

 

 

 

31,118,221

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

Shares

 

 

 

 

BIF New York Municipal Money Fund, 0.00% (g)(h)

 

 

386,680

 

 

386,680

 

Total Short-Term Securities
(Cost — $386,680) — 2.0%

 

 

 

 

 

386,680

 

Total Investments (Cost — $29,472,719) — 158.3%

 

 

 

 

 

31,504,901

 

Other Assets Less Liabilities — 1.0%

 

 

 

 

 

204,143

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (10.4)%

 

 

 

 

 

(2,080,684

)

AMPS, at Redemption Value — (48.9)%

 

 

 

 

 

(9,725,070

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

19,903,290

 

 

 

 

 

 

 

 

 


 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(c)

Non-income producing security.

 

 

(d)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(f)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(g)

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


 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF New York Municipal
Money Fund

 

88,605

 

298,075

 

386,680

 

 


 

 

(h)

Represents the current yield as of report date.

 

 

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


 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

6

 

 

10-Year US
Treasury
Note

 

 

Chicago
Board of
Trade

 

 

March
2012

 

$

793,500

 

$

(10,511)

 


 

 

 

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

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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


Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

31,118,221

 

 

 

$

31,118,221

 

Short-Term
Investments

 

$

386,680

 

 

 

 

 

 

386,680

 

Total

 

$

386,680

 

$

31,118,221

 

 

 

$

31,504,901

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(10,511

)

 

 

 

 

$

(10,511

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

35




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 124.4%

 

 

 

 

 

 

 

Corporate — 14.8%

 

 

 

 

 

 

 

Chautauqua County Industrial Development Agency, RB,
NRG Dunkirk Power Project, 5.88%, 4/01/42

 

$

1,000

 

$

1,028,440

 

Essex County Industrial Development Agency New York,
RB, International Paper Co. Project, Series A, AMT,
6.63%, 9/01/32

 

 

550

 

 

597,174

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport,
AMT (a)(b)(c):

 

 

 

 

 

 

 

7.63%, 8/01/25

 

 

3,200

 

 

2,882,592

 

7.75%, 8/01/31

 

 

4,000

 

 

3,603,520

 

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

 

 

6,350

 

 

6,960,425

 

Port Authority of New York & New Jersey, RB, Continental
Airlines Inc. and Eastern Air Lines Inc. Project,
LaGuardia, AMT, 9.13%, 12/01/15

 

 

6,040

 

 

6,102,212

 

Suffolk County Industrial Development Agency New York,
RB, KeySpan, Port Jefferson, AMT, 5.25%, 6/01/27

 

 

7,000

 

 

7,182,560

 

 

 

 

 

 

 

28,356,923

 

County/City/Special District/School District — 28.4%

 

 

 

 

 

 

 

Amherst Development Corp., RB, University at Buffalo
Foundation Faculty-Student Housing Corp., Series A
(AGM), 4.63%, 10/01/40

 

 

1,100

 

 

1,154,406

 

Buffalo & Erie County Industrial Land Development
Corp., RB, Buffalo State College Foundation Housing
Corp., 5.38%, 10/01/41

 

 

140

 

 

153,013

 

City of New York New York, GO:

 

 

 

 

 

 

 

Series A-1, 4.75%, 8/15/25

 

 

750

 

 

859,335

 

Series A-1, 5.00%, 8/01/35

 

 

1,000

 

 

1,125,510

 

Series C, 5.38%, 3/15/12 (d)

 

 

5,000

 

 

5,031,850

 

Series D, 5.38%, 6/01/32

 

 

2,485

 

 

2,522,399

 

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

 

 

500

 

 

618,055

 

Sub-Series I-1, 5.38%, 4/01/36

 

 

1,750

 

 

2,000,390

 

Hudson New York Yards Infrastructure Corp., RB, Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

5,985

 

 

6,148,331

 

(AGM), 5.00%, 2/15/47

 

 

1,000

 

 

1,039,200

 

(NPFGC), 4.50%, 2/15/47

 

 

1,970

 

 

1,945,986

 

Metropolitan Transportation Authority, RB, Transportation,
Series D, 5.00%, 11/15/34

 

 

800

 

 

876,752

 

Monroe County Industrial Development Corp., RB,
Series A, 5.00%, 7/01/31

 

 

1,900

 

 

2,177,780

 

New York City Industrial Development Agency, RB:

 

 

 

 

 

 

 

CAB, Yankee Stadium, PILOT, 6.23%, 3/01/45 (e)

 

 

1,500

 

 

281,295

 

CAB, Yankee Stadium, PILOT (AGC), 6.09%,
3/01/42 (e)

 

 

1,960

 

 

435,394

 

Marymount School of New York Project (ACA),
5.13%, 9/01/21

 

 

750

 

 

766,387

 

Marymount School of New York Project (ACA),
5.25%, 9/01/31

 

 

500

 

 

510,515

 

Queens Baseball Stadium, PILOT (AGC), 6.38%,
1/01/39

 

 

150

 

 

168,732

 

Queens Baseball Stadium, PILOT (AMBAC), 5.00%,
1/01/36

 

 

4,000

 

 

3,661,040

 

Royal Charter, New York Presbyterian (AGM), 5.25%,
12/15/32

 

 

1,550

 

 

1,585,944

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

650

 

 

718,829

 

Fiscal 2012, Future Tax Secured, Sub-Series D-1,
5.00%, 11/01/38

 

 

825

 

 

938,858

 

Series S-2 (NPFGC), 4.25%, 1/15/34

 

 

1,700

 

 

1,738,862

 

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

 

 

 

 

 

 

 

5.00%, 11/15/35

 

 

250

 

 

260,120

 

5.00%, 11/15/44

 

 

9,660

 

 

9,951,346

 

4.75%, 11/15/45

 

 

500

 

 

504,625

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

County/City/Special District/School District

 

 

 

 

 

 

 

(concluded)

 

 

 

 

 

 

 

New York Liberty Development Corp., Refunding RB:

 

 

 

 

 

 

 

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

 

$

860

 

$

939,980

 

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

 

 

1,340

 

 

1,524,826

 

Second Priority, Bank of America Tower at
One Bryant Park Project, 5.63%, 7/15/47

 

 

2,000

 

 

2,117,480

 

Second Priority, Bank of America Tower at
One Bryant Park Project, 6.38%, 7/15/49

 

 

1,200

 

 

1,299,000

 

New York State Dormitory Authority, RB, State University
Dormitory Facilities, Series A, 5.00%, 7/01/39

 

 

750

 

 

821,370

 

New York State Dormitory Authority, Refunding RB,
School Districts Financing Program, Series A (AGM),
5.00%, 10/01/35

 

 

395

 

 

429,452

 

Saint Lawrence County Industrial Development Agency,
RB, Clarkson University Project, 5.38%, 9/01/41

 

 

275

 

 

308,102

 

 

 

 

 

 

 

54,615,164

 

Education — 25.4%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New
Covenant Charter School Project, Series A (b)(c):

 

 

 

 

 

 

 

7.00%, 5/01/25

 

 

910

 

 

209,346

 

7.00%, 5/01/35

 

 

590

 

 

135,730

 

City of Troy New York, Refunding RB, Rensselaer
Polytechnic, Series A, 5.13%, 9/01/40

 

 

875

 

 

936,049

 

Dutchess County Industrial Development Agency
New York, Refunding RB, Bard College Civic Facility,
Series A-2, 4.50%, 8/01/36

 

 

7,000

 

 

7,020,300

 

Madison County Industrial Development Agency
New York, RB:

 

 

 

 

 

 

 

Colgate University Project, Series B, 5.00%, 7/01/33

 

 

2,000

 

 

2,058,680

 

Commons II LLC, Student Housing, Series A (CIFG),
5.00%, 6/01/33

 

 

275

 

 

279,004

 

Nassau County Industrial Development Agency,
Refunding RB, New York Institute of Technology Project,
Series A, 4.75%, 3/01/26

 

 

1,165

 

 

1,267,753

 

New York City Industrial Development Agency, RB,
New York University Project (BHAC), 5.00%, 7/01/41

 

 

4,500

 

 

4,503,960

 

New York City Trust for Cultural Resources, Refunding RB,
Museum of Modern Art, Series 1A, 5.00%, 4/01/31

 

 

1,000

 

 

1,120,640

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Convent of the Sacred Heart (AGM), 5.25%,
11/01/24

 

 

155

 

 

179,681

 

Convent of the Sacred Heart (AGM), 5.63%,
11/01/32

 

 

750

 

 

882,750

 

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

 

 

210

 

 

244,343

 

Cornell University, Series A, 5.00%, 7/01/40

 

 

1,000

 

 

1,124,800

 

Mount Sinai School of Medicine, 5.13%, 7/01/39

 

 

2,000

 

 

2,161,760

 

New School University (NPFGC), 5.00%, 7/01/41

 

 

5,000

 

 

5,002,450

 

New York University, Series 1 (AMBAC), 5.50%,
7/01/40

 

 

1,440

 

 

1,888,718

 

New York University, Series 2 (AMBAC), 5.00%,
7/01/41

 

 

4,000

 

 

4,011,440

 

New York University, Series A (AMBAC), 5.00%,
7/01/37

 

 

1,000

 

 

1,075,960

 

Rochester Institute of Technology, Series A, 6.00%,
7/01/33

 

 

1,000

 

 

1,175,170

 

University of Rochester, Series A, 5.13%, 7/01/39

 

 

850

 

 

932,535

 

University of Rochester, Series A, 5.75%,
7/01/39 (f)

 

 

650

 

 

638,384

 

University of Rochester, Series B, 5.00%, 7/01/39

 

 

500

 

 

527,810

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

36

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Income Trust (BNY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Brooklyn Law School, 5.75%, 7/01/33

 

$

475

 

$

539,947

 

Skidmore College, Series A, 5.00%, 7/01/27

 

 

190

 

 

219,953

 

Skidmore College, Series A, 5.00%, 7/01/28

 

 

75

 

 

86,294

 

Skidmore College, Series A, 5.25%, 7/01/29

 

 

85

 

 

98,768

 

Teachers College, 5.50%, 3/01/39

 

 

450

 

 

501,237

 

Yeshiva University, 5.00%, 9/01/34

 

 

275

 

 

293,384

 

Suffolk County Industrial Development Agency,
Refunding RB, New York Institute of Technology
Project, 5.00%, 3/01/26

 

 

1,000

 

 

1,035,810

 

Tompkins County Development Corp., RB, Ithaca
College Project (AGM), 5.50%, 7/01/33

 

 

700

 

 

805,259

 

Trust for Cultural Resources, RB, Series A:

 

 

 

 

 

 

 

Carnegie Hall, 4.75%, 12/01/39

 

 

2,250

 

 

2,379,465

 

Juilliard School, 5.00%, 1/01/39

 

 

2,100

 

 

2,324,574

 

Westchester County Industrial Development Agency
New York, RB, Windward School Civic Facility
(Radian), 5.25%, 10/01/31

 

 

2,500

 

 

2,501,000

 

Yonkers Industrial Development Agency New York,
RB, Sarah Lawrence College Project, Series A,
6.00%, 6/01/41

 

 

625

 

 

694,081

 

 

 

 

 

 

 

48,857,035

 

Health — 11.6%

 

 

 

 

 

 

 

Dutchess County Local Development Corp., Refunding
RB, Health Quest System Inc., Series A, 5.75%,
7/01/40

 

 

300

 

 

323,838

 

Genesee County Industrial Development Agency
New York, Refunding RB, United Memorial Medical
Center Project, 5.00%, 12/01/27

 

 

500

 

 

454,545

 

Monroe County Industrial Development Corp., RB, Unity
Hospital of Rochester Project (FHA), 5.50%, 8/15/40

 

 

1,050

 

 

1,188,894

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Hudson Valley Hospital (BHAC), 5.00%, 8/15/36

 

 

750

 

 

805,800

 

New York State Association for Retarded
Children, Inc., Series B (AMBAC), 6.00%,
7/01/32

 

 

200

 

 

229,452

 

New York University Hospital Center, Series A,
5.00%, 7/01/36

 

 

3,390

 

 

3,450,986

 

New York University Hospital Center, Series A,
6.00%, 7/01/40

 

 

500

 

 

551,310

 

New York University Hospital Center, Series B,
5.63%, 7/01/37

 

 

530

 

 

557,316

 

North Shore-Long Island Jewish Health System,
5.50%, 5/01/13 (d)

 

 

2,000

 

 

2,131,820

 

North Shore-Long Island Jewish Health System,
Series A, 5.00%, 5/01/32

 

 

1,750

 

 

1,909,548

 

North Shore-Long Island Jewish Health System,
Series A, 5.50%, 5/01/37

 

 

1,775

 

 

1,966,913

 

Nysarc Inc., Series A, 6.00%, 7/01/32

 

 

575

 

 

657,668

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

 

 

1,385

 

 

1,517,309

 

North Shore-Long Island Jewish Health System,
Series E, 5.50%, 5/01/33

 

 

1,100

 

 

1,234,497

 

Suffolk County Industrial Development Agency
New York, Refunding RB, Jeffersons Ferry Project,
5.00%, 11/01/28

 

 

1,175

 

 

1,191,767

 

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

 

 

2,500

 

 

2,635,975

 

Westchester County Healthcare Corp. New York,
Refunding RB, Senior Lien, Series B, 6.00%, 11/01/30

 

 

375

 

 

431,981

 

Westchester County Industrial Development Agency
New York, MRB, Kendal on Hudson Project, Series A,
6.38%, 1/01/24

 

 

1,000

 

 

1,004,270

 

 

 

 

 

 

 

22,243,889

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Housing — 4.5%

 

 

 

 

 

 

 

New York Mortgage Agency, Refunding RB, AMT:

 

 

 

 

 

 

 

Homeowner Mortgage, Series 97, 5.50%, 4/01/31

 

$

1,885

 

$

1,886,263

 

Series 101, 5.40%, 4/01/32

 

 

4,275

 

 

4,277,565

 

New York State HFA, RB, Highland Avenue Senior
Apartments, Series A, AMT (SONYMA), 5.00%,
2/15/39

 

 

1,500

 

 

1,519,950

 

Yonkers EDC, Refunding RB, Riverview II (Freddie Mac),
4.50%, 5/01/25

 

 

1,000

 

 

1,050,570

 

 

 

 

 

 

 

8,734,348

 

State — 2.6%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB,
Series A

 

 

200

 

 

226,002

 

New York State Dormitory Authority, ERB, Series B,
5.75%, 3/15/36

 

 

600

 

 

707,610

 

New York State Dormitory Authority, LRB, Municipal
Health Facilities, Sub-Series 2-4, 4.75%, 1/15/30

 

 

1,850

 

 

1,973,321

 

New York State Dormitory Authority, RB, Mental Health
Services Facilities Improvement, Series B (AMBAC),
5.00%, 2/15/35

 

 

2,000

 

 

2,095,160

 

 

 

 

 

 

 

5,002,093

 

Tobacco — 5.1%

 

 

 

 

 

 

 

New York Counties Tobacco Trust III, RB, Tobacco
Settlement Pass-Thru, Turbo, 6.00%, 6/01/43

 

 

3,700

 

 

3,311,315

 

Rensselaer Tobacco Asset Securitization Corp., RB,
Asset-Backed, Series A, 5.75%, 6/01/43

 

 

2,500

 

 

2,156,900

 

Rockland Tobacco Asset Securitization Corp., RB,
Asset-Backed, 5.75%, 8/15/43

 

 

5,000

 

 

4,312,850

 

 

 

 

 

 

 

9,781,065

 

Transportation — 20.8%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB (AGC),
5.00%, 2/15/47

 

 

1,000

 

 

1,039,200

 

Metropolitan Transportation Authority, RB, Series 2008C,
6.50%, 11/15/28

 

 

1,000

 

 

1,245,980

 

Metropolitan Transportation Authority, Refunding RB,
Series A:

 

 

 

 

 

 

 

5.13%, 1/01/29

 

 

820

 

 

832,612

 

5.00%, 11/15/30

 

 

12,000

 

 

12,339,960

 

5.13%, 11/15/31

 

 

5,000

 

 

5,136,550

 

New York City Industrial Development Agency, RB, Airis
JFK I LLC Project, Series A, AMT, 5.50%, 7/01/28

 

 

9,000

 

 

8,167,680

 

Port Authority of New York & New Jersey, RB:

 

 

 

 

 

 

 

Consolidated, 124th Series, AMT, 5.00%, 8/01/36

 

 

2,000

 

 

2,001,920

 

JFK International Air Terminal, 6.00%, 12/01/42

 

 

1,000

 

 

1,078,770

 

Special Project, JFK International Air Terminal,
Series 6, AMT (NPFGC), 6.25%, 12/01/13

 

 

1,000

 

 

1,041,130

 

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

 

 

7,000

 

 

7,000,350

 

 

 

 

 

 

 

39,884,152

 

Utilities — 11.2%

 

 

 

 

 

 

 

Long Island Power Authority, RB, General:

 

 

 

 

 

 

 

Series A (AGM), 5.00%, 5/01/36

 

 

500

 

 

548,855

 

Series C (CIFG), 5.25%, 9/01/29

 

 

2,000

 

 

2,418,340

 

Long Island Power Authority, Refunding RB,
Series A, 5.75%, 4/01/39

 

 

4,000

 

 

4,595,960

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Second General Resolution, Fiscal 2011,
Series HH, 5.00%, 6/15/32

 

 

5,300

 

 

6,122,772

 

Series B, 5.00%, 6/15/36

 

 

750

 

 

801,488

 

New York City Municipal Water Finance Authority,
Refunding RB:

 

 

 

 

 

 

 

Second General Resolution, Fiscal 2011,
Series BB, 5.00%, 6/15/31

 

 

1,000

 

 

1,147,870

 

Series D, 5.00%, 6/15/39

 

 

5,000

 

 

5,500,450

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

37




 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Utilities (concluded)

 

 

 

 

 

 

 

New York State Environmental Facilities Corp., RB,
Revolving Funds, New York City Municipal Water,
5.00%, 6/15/36

 

$

350

 

$

395,808

 

 

 

 

 

 

 

21,531,543

 

Total Municipal Bonds in New York

 

 

 

 

 

239,006,212

 

 

 

 

 

 

 

 

 

Guam — 0.9%

 

 

 

 

 

 

 

State — 0.6%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A, 7.00%, 11/15/39

 

 

970

 

 

1,027,366

 

Utilities — 0.3%

 

 

 

 

 

 

 

Guam Government Waterworks Authority, Refunding RB,
Water, 5.88%, 7/01/35

 

 

600

 

 

603,000

 

Total Municipal Bonds in Guam

 

 

 

 

 

1,630,366

 

 

 

 

 

 

 

 

 

Puerto Rico — 9.4%

 

 

 

 

 

 

 

Housing — 1.4%

 

 

 

 

 

 

 

Puerto Rico Housing Finance Authority, Refunding RB,
Subordinate, Capital Fund Modernization, 5.13%,
12/01/27

 

 

2,500

 

 

2,735,675

 

State — 5.3%

 

 

 

 

 

 

 

Puerto Rico Public Buildings Authority, Refunding RB,
Government Facilities, Series D:

 

 

 

 

 

 

 

5.25%, 7/01/12 (d)

 

 

3,400

 

 

3,470,754

 

5.25%, 7/01/36

 

 

1,600

 

 

1,604,720

 

Puerto Rico Sales Tax Financing Corp., RB:

 

 

 

 

 

 

 

CAB, Series A, 6.40%, 8/01/32 (e)

 

 

1,685

 

 

579,387

 

First Sub-Series A, 5.75%, 8/01/37

 

 

2,000

 

 

2,238,600

 

First Sub-Series A (AGM), 5.00%, 8/01/40

 

 

1,000

 

 

1,070,010

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC) (e):

 

 

 

 

 

 

 

5.76%, 8/01/41

 

 

3,500

 

 

698,145

 

5.96%, 8/01/43

 

 

2,500

 

 

444,600

 

 

 

 

 

 

 

10,106,216

 

Transportation — 1.8%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB (AGM):

 

 

 

 

 

 

 

Series AA-1, 4.95%, 7/01/26

 

 

145

 

 

157,238

 

Series CC, 5.50%, 7/01/30

 

 

2,750

 

 

3,299,918

 

 

 

 

 

 

 

3,457,156

 

Utilities — 0.9%

 

 

 

 

 

 

 

Puerto Rico Aqueduct & Sewer Authority, RB, Senior
Lien, Series A, 6.00%, 7/01/38

 

 

1,100

 

 

1,192,301

 

Puerto Rico Electric Power Authority, Refunding RB,
Series VV (NPFGC), 5.25%, 7/01/29

 

 

500

 

 

583,350

 

 

 

 

 

 

 

1,775,651

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

18,074,698

 

Total Municipal Bonds — 134.7%

 

 

 

 

 

258,711,276

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)

 

 

 

 

 

 

 

New York — 20.1%

 

 

 

 

 

 

 

Housing — 8.0%

 

 

 

 

 

 

 

New York Mortgage Agency, RB, 31st Series A, AMT,
5.30%, 10/01/31

 

 

15,500

 

 

15,509,300

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Transportation — 5.5%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB, Series A,
5.75%, 2/15/47

 

$

1,250

 

$

1,412,393

 

New York Liberty Development Corp., RB, 1 World Trade
Center Port Authority Construction, 5.25%, 12/15/43

 

 

6,495

 

 

7,378,515

 

Port Authority of New York & New Jersey, RB,
Consolidated 169th Series, AMT, 5.00%, 10/15/26

 

 

1,500

 

 

1,737,225

 

 

 

 

 

 

 

10,528,133

 

Utilities — 6.6%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Fiscal 2009, Series A, 5.75%, 6/15/40

 

 

1,200

 

 

1,401,886

 

Second General Resolution, Fiscal 2012, Series BB,
AMT, 5.00%, 6/15/44

 

 

3,511

 

 

3,910,126

 

Series FF-2, 5.50%, 6/15/40

 

 

810

 

 

932,377

 

New York City Municipal Water Finance Authority,
Refunding RB, Series A, 4.75%, 6/15/30

 

 

4,000

 

 

4,383,280

 

Suffolk County Water Authority, Refunding RB, 3.00%,
6/01/25

 

 

1,996

 

 

2,082,602

 

 

 

 

 

 

 

12,710,271

 

Total Municipal Bonds in New York

 

 

 

 

 

38,747,704

 

 

 

 

 

 

 

 

 

Puerto Rico — 0.9%

 

 

 

 

 

 

 

State — 0.9%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

 

1,520

 

 

1,687,975

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 21.0%

 

 

 

 

 

40,435,679

 

Total Long-Term Investments
(Cost — $286,422,215) — 155.7%

 

 

 

 

 

299,146,955

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BIF New York Municipal Money Fund, 0.00% (h)(i)

 

 

5,447,291

 

 

5,447,291

 

Total Short-Term Securities
(Cost — $5,447,291) — 2.8%

 

 

 

 

 

5,447,291

 

Total Investments (Cost — $291,869,506) — 158.5%

 

 

 

 

 

304,594,246

 

Other Assets Less Liabilities — 1.7%

 

 

 

 

 

3,279,482

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (11.0)%

 

 

 

 

 

(21,231,519

)

AMPS, at Redemption Value — (49.2)%

 

 

 

 

 

(94,501,460

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

192,140,749

 

 

 

 

 

 

 

 

 


 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(f)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(g)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


See Notes to Financial Statements.

 

 

 

 

 

 

38

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock New York Municipal Income Trust (BNY)


 

 

(h)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF New York Municipal
Money Fund

 

 

10,549,049

 

 

(5,101,758

)

 

5,447,291

 

 

 


 

 

(i)

Represents the current yield as of report date.

 

 

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

 

 

Financial futures contracts sold as of January 31,2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

56

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March
2012

 

$

7,406,000

 

$

(98,106)

 


 

 

 

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

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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

 

 

 

 

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

299,146,955

 

 

 

$

299,146,955

 

Short-Term
Securities

 

$

5,447,291

 

 

 

 

 

 

5,447,291

 

Total

 

$

5,447,291

 

$

299,146,955

 

 

 

$

304,594,246

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(98,106

)

 

 

 

 

$

(98,106

)


 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

39




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 31, 2012 (Unaudited)

 

BlackRock
California
Municipal
Income Trust
(BFZ)

 

BlackRock
Florida
Municipal 2020
Term Trust
(BFO)

 

BlackRock
Investment Quality
Municipal
Income Trust
(RFA)

 

BlackRock
Municipal
Income
Investment Trust
(BBF)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

813,330,475

 

$

129,315,653

 

$

24,053,031

 

$

161,175,565

 

Investments at value — affiliated2

 

 

5,547,758

 

 

774,142

 

 

390,265

 

 

3,319,178

 

Cash

 

 

23,885

 

 

 

 

 

 

 

Cash pledged as collateral for financial futures contracts

 

 

116,000

 

 

 

 

10,000

 

 

66,000

 

Interest receivable

 

 

11,845,215

 

 

1,404,835

 

 

300,078

 

 

1,986,424

 

Investments sold receivable

 

 

1,386,182

 

 

20,256

 

 

5,000

 

 

1,120,177

 

Deferred offering costs

 

 

 

 

 

 

 

 

202,345

 

Prepaid expenses

 

 

38,843

 

 

3,664

 

 

870

 

 

5,870

 

Other assets

 

 

53,302

 

 

5,090

 

 

4,194

 

 

11,108

 

Total assets

 

 

832,341,660

 

 

131,523,640

 

 

24,763,438

 

 

167,886,667

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

 

 

13,860

 

 

7,541

 

 

21,776

 

Income dividends payable — Common Shares

 

 

2,409,290

 

 

311,480

 

 

78,982

 

 

504,858

 

Investments purchased payable

 

 

2,843,042

 

 

 

 

156,590

 

 

1,075,812

 

Investment advisory fees payable

 

 

391,376

 

 

55,165

 

 

3,432

 

 

82,675

 

Officer’s and Trustees’ fees payable

 

 

63,661

 

 

6,630

 

 

5,976

 

 

13,386

 

Interest expense and fees payable

 

 

78,404

 

 

453

 

 

2,082

 

 

12,116

 

Margin variation payable

 

 

13,125

 

 

 

 

1,093

 

 

7,438

 

Administration fees payable

 

 

 

 

 

 

5,733

 

 

 

Other accrued expenses payable

 

 

119,355

 

 

46,295

 

 

12,994

 

 

30,688

 

Total accrued liabilities

 

 

5,918,253

 

 

433,883

 

 

274,423

 

 

1,748,749

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust certificates

 

 

153,386,087

 

 

480,000

 

 

4,928,720

 

 

30,177,038

 

VRDP Shares, at liquidation value of $100,000 per share3,4

 

 

 

 

 

 

 

 

34,200,000

 

Total other liabilities

 

 

153,386,087

 

 

480,000

 

 

4,928,720

 

 

64,377,038

 

Total liabilities

 

 

159,304,340

 

 

913,883

 

 

5,203,143

 

 

66,125,787

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AMPS at Redemption Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$25,000 per share at liquidation preference, plus unpaid dividends3,4

 

 

171,327,859

 

 

42,900,310

 

 

4,575,076

 

 

 

Net Assets Applicable to Common Shareholders

 

$

501,709,461

 

$

87,709,447

 

$

14,985,219

 

$

101,760,880

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5,6,7

 

$

448,594,118

 

$

78,891,300

 

$

15,027,557

 

$

95,045,511

 

Undistributed net investment income

 

 

6,760,194

 

 

4,963,938

 

 

88,487

 

 

932,976

 

Accumulated net realized loss

 

 

(27,847,923

)

 

(637,492

)

 

(2,609,526

)

 

(10,544,604

)

Net unrealized appreciation/depreciation

 

 

74,203,072

 

 

4,491,701

 

 

2,478,701

 

 

16,326,997

 

Net Assets Applicable to Common Shareholders

 

$

501,709,461

 

$

87,709,447

 

$

14,985,219

 

$

101,760,880

 

Net asset value per Common Share

 

$

15.76

 

$

15.77

 

$

13.28

 

$

15.19

 

1 Investments at cost — unaffiliated

 

$

739,022,289

 

$

124,823,952

 

$

21,565,570

 

$

144,789,003

 

2 Investments at cost — affiliated

 

$

5,547,758

 

$

774,142

 

$

390,265

 

$

3,319,178

 

3 Preferred Shares outstanding, par value $0.001 per share

 

 

6,853

 

 

1,716

 

 

183

 

 

342

 

4 Preferred Shares authorized

 

 

unlimited

 

 

unlimited

 

 

100 million

 

 

unlimited

 

5 Par value per Common Share

 

$

0.001

 

$

0.001

 

$

0.01

 

$

0.001

 

6 Common Shares outstanding

 

 

31,826,816

 

 

5,562,128

 

 

1,128,369

 

 

6,698,186

 

7 Common Shares authorized

 

 

unlimited

 

 

unlimited

 

 

200 million

 

 

unlimited

 


See Notes to Financial Statements.

 

 

 

 

 

 

40

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 31, 2012 (Unaudited)

 

BlackRock
New Jersey
Investment Quality
Municipal Trust Inc.
(RNJ)

 

BlackRock
New Jersey
Municipal
Income Trust
(BNJ)

 

BlackRock
New York
Investment Quality
Municipal Trust Inc.
(RNY)

 

BlackRock
New York
Municipal
Income Trust
(BNY)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

21,049,596

 

$

183,568,121

 

$

31,118,221

 

$

299,146,955

 

Investments at value — affiliated2

 

 

304,465

 

 

1,878,917

 

 

386,680

 

 

5,447,291

 

Cash pledged as collateral for financial futures contracts

 

 

10,000

 

 

77,000

 

 

12,000

 

 

108,000

 

Interest receivable — unaffiliated

 

 

223,692

 

 

1,875,951

 

 

329,397

 

 

3,461,158

 

Investments sold receivable

 

 

274,980

 

 

2,214,842

 

 

 

 

1,000,000

 

Prepaid expenses

 

 

776

 

 

6,630

 

 

796

 

 

11,046

 

Other assets

 

 

6,339

 

 

13,163

 

 

4,039

 

 

22,432

 

Total assets

 

 

21,869,848

 

 

189,634,624

 

 

31,851,133

 

 

309,196,882

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

6,634

 

 

16,645

 

 

7,138

 

 

25,433

 

Income dividends payable

 

 

66,612

 

 

603,417

 

 

96,007

 

 

1,060,491

 

Investment advisory fees payable

 

 

6,226

 

 

92,829

 

 

9,097

 

 

152,896

 

Officer’s and Trustees’ fees payable

 

 

8,517

 

 

15,596

 

 

5,947

 

 

33,614

 

Interest expense payable

 

 

133

 

 

1,769

 

 

387

 

 

4,804

 

Margin variation payable

 

 

1,094

 

 

8,750

 

 

1,313

 

 

12,250

 

Administration fees payable

 

 

1,797

 

 

 

 

2,609

 

 

 

Other affiliates payable

 

 

1,283

 

 

2,024

 

 

1,292

 

 

2,050

 

Other accrued expenses payable

 

 

30,372

 

 

50,714

 

 

18,686

 

 

36,420

 

Total accrued liabilities

 

 

122,668

 

 

791,744

 

 

142,476

 

 

1,327,958

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust certificates

 

 

734,917

 

 

9,634,296

 

 

2,080,297

 

 

21,226,715

 

Total liabilities

 

 

857,585

 

 

10,426,040

 

 

2,222,773

 

 

22,554,673

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AMPS at Redemption Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$25,000 per share at liquidation preference, plus unpaid dividends3,4

 

 

6,900,175

 

 

59,100,988

 

 

9,725,070

 

 

94,501,460

 

Net Assets Applicable to Common Shareholders

 

$

14,112,088

 

$

120,107,596

 

$

19,903,290

 

$

192,140,749

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5,6,7

 

$

13,223,144

 

$

108,407,582

 

$

17,784,853

 

$

182,498,550

 

Undistributed net investment income

 

 

188,480

 

 

2,371,037

 

 

340,488

 

 

3,768,482

 

Accumulated net realized loss

 

 

(771,631

)

 

(3,408,689

)

 

(243,722

)

 

(6,752,916

)

Net unrealized appreciation/depreciation

 

 

1,472,095

 

 

12,737,666

 

 

2,021,671

 

 

12,626,633

 

Net Assets Applicable to Common Shareholders

 

$

14,112,088

 

$

120,107,596

 

$

19,903,290

 

$

192,140,749

 

Net asset value per Common Share

 

$

13.88

 

$

15.74

 

$

15.13

 

$

14.95

 

1 Investments at cost — unaffiliated

 

$

19,568,741

 

$

170,760,379

 

$

29,086,039

 

$

286,422,215

 

2 Investments at cost — affiliated

 

$

304,465

 

$

1,878,917

 

$

386,680

 

$

5,447,291

 

3 Preferred Shares outstanding, par value $0.001 per share

 

 

276

 

 

2,364

 

 

389

 

 

3,780

 

4 Preferred Shares authorized

 

 

300

 

 

unlimited

 

 

392

 

 

unlimited

 

5 Par value per Common Share

 

$

0.01

 

$

0.001

 

$

0.01

 

$

0.001

 

6 Common Shares outstanding

 

 

1,017,070

 

 

7,628,895

 

 

1,315,526

 

 

12,854,930

 

7 Common Shares authorized

 

 

200 million

 

 

unlimited

 

 

200 million

 

 

unlimited

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

41




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended January 31, 2012 (Unaudited)

 

BlackRock
California
Municipal
Income Trust
(BFZ)

 

BlackRock
Florida
Municipal 2020
Term Trust
(BFO)

 

BlackRock
Investment Quality
Municipal
Income Trust
(RFA)

 

BlackRock
Municipal
Income
Investment Trust
(BBF)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

18,422,859

 

$

2,933,350

 

$

579,767

 

$

3,855,832

 

Income — affiliated

 

 

2,503

 

 

205

 

 

185

 

 

878

 

Total income

 

 

18,425,362

 

 

2,933,555

 

 

579,952

 

 

3,856,710

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

2,286,750

 

 

323,136

 

 

40,696

 

 

478,143

 

Administration

 

 

 

 

 

 

11,627

 

 

 

Professional

 

 

112,246

 

 

27,395

 

 

18,597

 

 

42,020

 

Accounting services

 

 

25,083

 

 

14,559

 

 

8,618

 

 

18,443

 

Liquidity fees

 

 

 

 

 

 

 

 

107,594

 

Printing

 

 

31,587

 

 

10,372

 

 

3,238

 

 

8,856

 

Transfer agent

 

 

14,830

 

 

9,433

 

 

5,093

 

 

8,442

 

Custodian

 

 

16,799

 

 

5,225

 

 

3,145

 

 

6,406

 

Officer and Trustees

 

 

23,954

 

 

4,112

 

 

743

 

 

5,541

 

Registration

 

 

5,200

 

 

4,721

 

 

 

 

4,272

 

Remarketing fees on Preferred Shares

 

 

105,463

 

 

32,447

 

 

3,082

 

 

15,495

 

Miscellaneous

 

 

33,782

 

 

19,480

 

 

10,660

 

 

21,220

 

Total expenses excluding interest expense and fees

 

 

2,655,694

 

 

450,880

 

 

105,499

 

 

716,432

 

Interest expense and fees1

 

 

509,392

 

 

1,428

 

 

16,412

 

 

166,304

 

Total expenses

 

 

3,165,086

 

 

452,308

 

 

121,911

 

 

882,736

 

Less fees waived by advisor

 

 

(110,590

)

 

(49

)

 

(61

)

 

(1,294

)

Total expenses after fees waived

 

 

3,054,496

 

 

452,259

 

 

121,850

 

 

881,442

 

Net investment income

 

 

15,370,866

 

 

2,481,296

 

 

458,102

 

 

2,975,268

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

4,561,997

 

 

160,365

 

 

95,398

 

 

597,522

 

Financial futures contracts

 

 

54,879

 

 

 

 

(12,893

)

 

(203,022

)

 

 

 

4,616,876

 

 

160,365

 

 

82,505

 

 

394,500

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

54,789,940

 

 

3,871,131

 

 

1,630,672

 

 

11,620,540

 

Financial futures contracts

 

 

(105,114

)

 

 

 

6,640

 

 

76,650

 

 

 

 

54,684,826

 

 

3,871,131

 

 

1,637,312

 

 

11,697,190

 

Total realized and unrealized gain

 

 

59,301,702

 

 

4,031,496

 

 

1,719,817

 

 

12,091,690

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to AMPS Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(184,039

)

 

(45,916

)

 

(4,842

)

 

(17,731

)

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

 

$

74,488,529

 

$

6,466,876

 

$

2,173,077

 

$

15,049,227

 


 

 

 

 

1

Related to TOBs and/or VRDP Shares.


See Notes to Financial Statements.

 

 

 

 

 

 

42

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended January 31, 2012 (Unaudited)

 

BlackRock
New Jersey
Investment Quality
Municipal Trust Inc.
(RNJ)

 

BlackRock
New Jersey
Municipal
Income Trust
(BNJ)

 

BlackRock
New York
Investment Quality
Municipal Trust Inc.
(RNY)

 

BlackRock
New York
Municipal
Income Trust
(BNY)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

503,521

 

$

4,467,731

 

$

727,562

 

$

7,395,166

 

Income — affiliated

 

 

269

 

 

535

 

 

168

 

 

971

 

Total income

 

 

503,790

 

 

4,468,266

 

 

727,730

 

 

7,396,137

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

35,705

 

 

530,042

 

 

51,541

 

 

876,332

 

Administration

 

 

10,201

 

 

 

 

14,726

 

 

 

Professional

 

 

17,164

 

 

33,696

 

 

18,630

 

 

39,320

 

Accounting services

 

 

6,462

 

 

21,110

 

 

8,164

 

 

30,118

 

Printing

 

 

1,996

 

 

11,268

 

 

2,756

 

 

17,242

 

Transfer agent

 

 

5,943

 

 

9,172

 

 

5,811

 

 

15,732

 

Custodian

 

 

2,777

 

 

6,138

 

 

3,413

 

 

8,766

 

Officer and Trustees

 

 

534

 

 

5,771

 

 

1,157

 

 

9,079

 

Registration

 

 

216

 

 

4,528

 

 

276

 

 

4,420

 

Remarketing fees on Preferred Shares

 

 

5,140

 

 

34,153

 

 

7,161

 

 

60,974

 

Miscellaneous

 

 

11,531

 

 

18,892

 

 

11,860

 

 

19,998

 

Total expenses excluding interest expense and fees

 

 

97,669

 

 

674,770

 

 

125,495

 

 

1,081,981

 

Interest expense and fees1

 

 

955

 

 

17,083

 

 

4,023

 

 

43,357

 

Total expenses

 

 

98,624

 

 

691,853

 

 

129,518

 

 

1,125,338

 

Less fees waived by advisor

 

 

(414

)

 

(3,808

)

 

(402

)

 

(3,199

)

Total expenses after fees waived

 

 

98,210

 

 

688,045

 

 

129,116

 

 

1,122,139

 

Net investment income

 

 

405,580

 

 

3,780,221

 

 

598,614

 

 

6,273,998

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(130,143

)

 

(1,166,080

)

 

51,098

 

 

393,246

 

Financial futures contracts

 

 

(34,846

)

 

(147,861

)

 

(42,371

)

 

(418,528

)

 

 

 

(164,989

)

 

(1,313,941

)

 

8,727

 

 

(25,282

)

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

1,743,127

 

 

13,933,797

 

 

1,792,084

 

 

13,921,831

 

Financial futures contracts

 

 

6,640

 

 

20,758

 

 

7,272

 

 

76,167

 

 

 

 

1,749,767

 

 

13,954,555

 

 

1,799,356

 

 

13,997,998

 

Total realized and unrealized gain

 

 

1,584,778

 

 

12,640,614

 

 

1,808,083

 

 

13,972,716

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to AMPS Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(7,494

)

 

(62,568

)

 

(10,434

)

 

(101,003

)

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

 

$

1,982,864

 

$

16,358,267

 

$

2,396,263

 

$

20,145,711

 


 

 

 

 

1

Related to TOBs.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

43




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock California
Municipal Income Trust (BFZ)

 

BlackRock Florida
Municipal 2020 Term Trust (BFO)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

15,370,866

 

$

31,139,016

 

$

2,481,296

 

$

5,119,761

 

Net realized gain (loss)

 

 

4,616,876

 

 

(8,357,610

)

 

160,365

 

 

(290,392

Net change in unrealized appreciation/depreciation

 

 

54,684,826

 

 

(5,958,674

)

 

3,871,131

 

 

(751,097

)

Dividends to AMPS Shareholders from net investment income

 

 

(184,039

)

 

(627,551

 

(45,916

)

 

(157,673

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

74,488,529

 

 

16,195,181

 

 

6,466,876

 

 

3,920,599

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(14,523,754

)

 

(28,943,204

)

 

(1,868,875

)

 

(3,737,750

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

 

 

194,043

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

59,964,775

 

 

(12,553,980

)

 

4,598,001

 

 

182,849

 

Beginning of period

 

 

441,744,686

 

 

454,298,666

 

 

83,111,446

 

 

82,928,597

 

End of period

 

$

501,709,461

 

$

441,744,686

 

$

87,709,447

 

$

83,111,446

 

Undistributed net investment income

 

$

6,760,194

 

$

6,097,121

 

$

4,963,938

 

$

4,397,433

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Investment Quality
Municipal Income Trust (RFA)

 

BlackRock Municipal
Income Investment Trust (BBF)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

458,102

 

$

923,036

 

$

2,975,268

 

$

6,496,368

 

Net realized gain (loss)

 

 

82,505

 

 

(292,991

)

 

394,500

 

 

(1,501,564

)

Net change in unrealized appreciation/depreciation

 

 

1,637,312

 

 

(243,441

)

 

11,697,190

 

 

(2,227,084

)

Dividends to AMPS Shareholders from net investment income

 

 

(4,842

)

 

(16,673

)

 

(17,731

)

 

(125,459

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

2,173,077

 

 

369,931

 

 

15,049,227

 

 

2,642,261

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(473,865

)

 

(947,484

)

 

(3,028,945

)

 

(6,056,216

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

2,232

 

 

6,427

 

 

15,082

 

 

66,589

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

1,701,444

 

 

(571,126

)

 

12,035,364

 

 

(3,347,366

)

Beginning of period

 

 

13,283,775

 

 

13,854,901

 

 

89,725,516

 

 

93,072,882

 

End of period

 

$

14,985,219

 

$

13,283,775

 

$

101,760,880

 

$

89,725,516

 

Undistributed net investment income

 

$

88,487

 

$

109,092

 

$

932,976

 

$

1,004,384

 


 

 

 

See Notes to Financial Statements.

 

 

 

44

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock New Jersey Investment
Quality Municipal Trust Inc. (RNJ)

 

BlackRock New Jersey
Municipal Income Trust (BNJ)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

405,580

 

$

803,724

 

$

3,780,221

 

$

7,450,209

 

Net realized gain (loss)

 

 

(164,989

)

 

13,257

 

 

(1,313,941

)

 

(51,013

)

Net change in unrealized appreciation/depreciation

 

 

1,749,767

 

 

(247,930

)

 

13,954,555

 

 

(2,320,006

)

Dividends to AMPS Shareholders from net investment income

 

 

(7,494

)

 

(25,275

)

 

(62,568

)

 

(215,849

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

1,982,864

 

 

543,776

 

 

16,358,267

 

 

4,863,341

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(401,362

)

 

(798,842

)

 

(3,618,583

)

 

(7,208,599

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

5,666

 

 

15,882

 

 

141,934

 

 

314,646

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

1,587,168

 

 

(239,184

)

 

12,881,618

 

 

(2,030,612

)

Beginning of period

 

 

12,524,920

 

 

12,764,104

 

 

107,225,978

 

 

109,256,590

 

End of period

 

$

14,112,088

 

$

12,524,920

 

$

120,107,596

 

$

107,225,978

 

Undistributed net investment income

 

$

188,480

 

$

191,756

 

$

2,371,037

 

$

2,271,967

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock New York Investment
Quality Municipal Trust Inc. (RNY)

 

BlackRock New York
Municipal Income Trust (BNY)

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

Year Ended
July 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

598,614

 

$

1,231,459

 

$

6,273,998

 

$

12,917,415

 

Net realized gain (loss)

 

 

8,727

 

 

(201,022

)

 

(25,282

)

 

(2,476,985

)

Net change in unrealized appreciation/depreciation

 

 

1,799,356

 

 

(372,137

)

 

13,997,998

 

 

(2,499,722

)

Dividends to AMPS Shareholders from net investment income

 

 

(10,434

)

 

(35,976

)

 

(101,003

)

 

(347,184

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

2,396,263

 

 

622,324

 

 

20,145,711

 

 

7,593,524

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(577,782

)

 

(1,151,343

)

 

(6,357,965

)

 

(12,677,483

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

7,754

 

 

28,773

 

 

360,090

 

 

704,984

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

1,826,235

 

 

(500,246

)

 

14,147,836

 

 

(4,378,975

)

Beginning of period

 

 

18,077,055

 

 

18,577,301

 

 

177,992,913

 

 

182,371,888

 

End of period

 

$

19,903,290

 

$

18,077,055

 

$

192,140,749

 

$

177,992,913

 

Undistributed net investment income

 

$

340,488

 

$

330,090

 

$

3,768,482

 

$

3,953,452

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

45




 

 

 

 

Statements of Cash Flows

 


 

 

 

 

 

 

 

 

 

 

 

Six Months Ended January 31, 2012 (Unaudited)

 

BlackRock
California
Municipal
Income Trust
(BFZ)

 

BlackRock
Investment Quality
Municipal
Income Trust
(RFA)

 

BlackRock
Municipal
Income
Investment Trust
(BBF)

 

Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations, excluding dividends to AMPS Shareholders

 

$

74,672,568

 

$

2,177,919

 

$

15,066,958

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

Decrease in interest receivable

 

 

650,404

 

 

4,949

 

 

115,950

 

(Increase) decrease in other assets

 

 

(507

)

 

45

 

 

(32

)

(Increase) decrease in prepaid expenses

 

 

(46

)

 

1,050

 

 

9,046

 

Decrease in income receivable — affiliated

 

 

205

 

 

25

 

 

62

 

Increase in cash pledged as collateral for financial futures contracts

 

 

(116,000

)

 

(3,400

)

 

(9,000

)

Increase in investment advisory fees payable

 

 

39,288

 

 

519

 

 

4,145

 

Decrease in interest expense and fees payable

 

 

(43,025

)

 

(1,231

)

 

(8,934

)

Increase in administration fees payable

 

 

 

 

148

 

 

 

Decrease in other accrued expenses payable

 

 

(54,519

)

 

(27,981

)

 

(64,354

)

Increase (decrease) in margin variation payable

 

 

13,125

 

 

(4,845

)

 

(43,625

)

Increase (decrease) in Officer’s and Trustees’ fees payable

 

 

5,453

 

 

229

 

 

(134

)

Net realized and unrealized gain on investments

 

 

(59,351,937

)

 

(1,726,117

)

 

(12,218,267

)

Amortization of premium and accretion of discount on investments

 

 

858,988

 

 

7,829

 

 

99,678

 

Amortization of deferred offering costs

 

 

 

 

 

 

24,243

 

Proceeds from sales of long-term investments

 

 

146,565,457

 

 

3,548,345

 

 

35,699,943

 

Purchases of long-term investments

 

 

(155,353,540

)

 

(3,891,234

)

 

(33,749,267

)

Net proceeds from sales (purchases) of short-term securities

 

 

(2,827,515

)

 

(87,354

)

 

(1,200,070

)

Cash provided by (used for) operating activities

 

 

5,058,399

 

 

(1,104

)

 

3,726,342

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

Cash receipts from issuance of VRDP Shares

 

 

 

 

 

 

34,200,000

 

Cash payments on redemption of AMPS

 

 

 

 

 

 

(34,250,000

)

Cash receipts from TOB trust certificates

 

 

12,319,999

 

 

480,000

 

 

3,305,000

 

Cash payments for TOB trust certificates

 

 

(2,646,849

)

 

(10,000

)

 

(3,745,000

)

Cash dividends paid to Common Shareholders

 

 

(14,523,754

)

 

(471,624

)

 

(3,013,799

)

Cash dividends paid to AMPS Shareholders

 

 

(183,910

)

 

(4,813

)

 

(17,731

)

Cash payments for offering costs

 

 

 

 

 

 

(226,588

)

Increase in bank overdraft

 

 

 

 

7,541

 

 

21,776

 

Cash provided by (used for) financing activities

 

 

(5,034,514

)

 

1,104

 

 

(3,726,342

)

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

 

 

 

Net change in cash

 

 

23,885

 

 

 

 

 

Cash at beginning of period

 

 

 

 

 

 

 

Cash at end of period

 

$

23,885

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

Cash paid during the period for interest and fees

 

$

552,417

 

$

17,643

 

$

150,995

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends paid to Common Shareholders

 

 

 

$

2,232

 

$

15,082

 


 

 

 

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.


 

 

 

See Notes to Financial Statements.

 

 

 

46

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock California Municipal Income Trust (BFZ)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.88

 

$

14.28

 

$

12.71

 

$

13.98

 

$

14.97

 

$

15.74

 

$

15.18

 

Net investment income

 

 

0.48

1

 

0.98

1

 

1.00

1

 

1.03

1

 

0.82

1

 

1.08

 

 

1.11

 

Net realized and unrealized gain (loss)

 

 

1.87

 

 

(0.45

)

 

1.50

 

 

(1.35

)

 

(0.90

)

 

(0.64

)

 

0.62

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.01

)

 

(0.02

)

 

(0.02

)

 

(0.12

)

 

(0.22

)

 

(0.30

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

2.34

 

 

0.51

 

 

2.48

 

 

(0.44

)

 

(0.30

)

 

0.14

 

 

1.47

 

Dividends to Common Shareholders from net investment income

 

 

(0.46

)

 

(0.91

)

 

(0.91

)

 

(0.83

)

 

(0.69

)

 

(0.91

)

 

(0.91

)

Net asset value, end of period

 

$

15.76

 

$

13.88

 

$

14.28

 

$

12.71

 

$

13.98

 

$

14.97

 

$

15.74

 

Market price, end of period

 

$

15.45

 

$

13.16

 

$

14.21

 

$

12.40

 

$

13.99

 

$

15.82

 

$

17.12

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

17.19

%3

 

4.05

%

 

20.15

%

 

(2.36

)%

 

(2.09

)%3

 

0.77

%

 

9.93

%

Based on market price

 

 

21.17

%3

 

(0.86

)%

 

22.55

%

 

(4.81

)%

 

(7.29

)%3

 

(2.09

)%

 

21.65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.35

%5

 

1.46

%

 

1.36

%

 

1.54

%

 

1.25

%5

 

1.21

%

 

1.25

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.31

%5

 

1.39

%

 

1.27

%

 

1.35

%

 

0.98

%5

 

0.91

%

 

0.87

%

Total expenses after fees waived and paid indirectly4

 

 

1.31

%5

 

1.39

%

 

1.27

%

 

1.35

%

 

0.98

%5

 

0.91

%

 

0.87

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees and reorganization expense4,6

 

 

1.09

%5

 

1.12

%

 

1.04

%

 

1.08

%

 

0.91

%5

 

0.91

%

 

0.87

%

Net investment income4

 

 

6.57

%5

 

7.19

%

 

6.94

%

 

8.27

%

 

7.39

%5

 

7.09

%

 

7.26

%

Dividends to AMPS Shareholders

 

 

0.08

%5

 

0.15

%

 

0.15

%

 

1.00

%

 

1.95

%5

 

1.98

%

 

1.71

%

Net investment income to Common Shareholders

 

 

6.49

%5

 

7.04

%

 

6.79

%

 

7.27

%

 

5.44

%5

 

5.11

%

 

5.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

501,709

 

$

441,745

 

$

454,299

 

$

192,551

 

$

211,671

 

$

225,939

 

$

236,573

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

171,325

 

$

171,325

 

$

171,325

 

$

71,000

 

$

100,900

 

$

131,950

 

$

131,950

 

Portfolio turnover

 

 

19

%

 

36

%

 

47

%

 

58

%

 

26

%

 

26

%

 

17

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

98,210

 

$

89,460

 

$

91,293

 

$

92,801

 

$

77,457

 

$

67,816

 

$

69,836

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

47




 

 

 

 

Financial Highlights

BlackRock Florida Municipal 2020 Term Trust (BFO)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2008 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended December 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.94

 

$

14.91

 

$

13.35

 

$

14.16

 

$

14.72

 

$

15.16

 

$

14.90

 

Net investment income

 

 

0.45

1

 

0.92

1

 

0.95

1

 

0.96

1

 

0.58

1

 

0.99

 

 

0.98

 

Net realized and unrealized gain (loss)

 

 

0.73

 

 

(0.19

)

 

1.31

 

 

(1.00

)

 

(0.62

)

 

(0.45

)

 

0.23

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.01

)

 

(0.03

)

 

(0.03

)

 

(0.15

)

 

(0.16

)

 

(0.31

)

 

(0.29

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.02

)

 

 

Net increase (decrease) from investment operations

 

 

1.17

 

 

0.70

 

 

2.23

 

 

(0.19

)

 

(0.20

)

 

0.21

 

 

0.92

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.34

)

 

(0.67

)

 

(0.67

)

 

(0.62

)

 

(0.36

)

 

(0.61

)

 

(0.66

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

 

Total dividends and distributions to Common Shareholders

 

 

(0.34

)

 

(0.67

)

 

(0.67

)

 

(0.62

)

 

(0.36

)

 

(0.65

)

 

(0.66

)

Net asset value, end of period

 

$

15.77

 

$

14.94

 

$

14.91

 

$

13.35

 

$

14.16

 

$

14.72

 

$

15.16

 

Market price, end of period

 

$

15.41

 

$

13.91

 

$

14.30

 

$

12.31

 

$

12.50

 

$

12.93

 

$

13.85

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

7.94

%3

 

5.07

%

 

17.35

%

 

(0.48

)%

 

(1.12

)%3

 

1.86

%

 

6.73

%

Based on market price

 

 

13.28

%3

 

2.00

%

 

22.05

%

 

3.95

%

 

(0.63

)%3

 

(2.06

)%

 

8.83

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.06

%5

 

1.13

%

 

1.14

%

 

1.29

%

 

1.22

%5

 

1.16

%

 

1.20

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.06

%5

 

1.13

%

 

1.13

%

 

1.26

%

 

1.22

%5

 

1.16

%

 

1.20

%

Total expenses after fees waived and paid indirectly4

 

 

1.06

%5

 

1.13

%

 

1.13

%

 

1.26

%

 

1.22

%5

 

1.16

%

 

1.18

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.05

%5

 

1.09

%

 

1.09

%

 

1.13

%

 

1.17

%5

 

1.16

%

 

1.18

%

Net investment income4

 

 

5.80

%5

 

6.29

%

 

6.72

%

 

7.39

%

 

6.74

%5

 

6.63

%

 

6.54

%

Dividends to AMPS Shareholders

 

 

0.11

%5

 

0.19

%

 

0.22

%

 

1.13

%

 

1.92

%5

 

2.07

%

 

1.96

%

Net investment income to Common Shareholders

 

 

5.69

%5

 

6.10

%

 

6.50

%

 

6.26

%

 

4.82

%5

 

4.56

%

 

4.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

87,709

 

$

83,111

 

$

82,929

 

$

74,256

 

$

78,747

 

$

81,896

 

$

84,300

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

42,900

 

$

42,900

 

$

42,900

 

$

42,900

 

$

42,900

 

$

48,900

 

$

48,900

 

Portfolio turnover

 

 

9

%

 

6

%

 

6

%

 

9

%

 

6

%

 

17

%

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

76,113

 

$

73,433

 

$

73,329

 

$

68,275

 

$

70,900

 

$

66,872

 

$

68,114

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

5

Annualized.

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

48

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock Investment Quality Municipal Income Trust (RFA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

11.77

 

$

12.29

 

$

11.15

 

$

12.31

 

$

13.43

 

$

14.24

 

$

14.39

 

Net investment income

 

 

0.41

1

 

0.82

1

 

0.80

1

 

0.84

1

 

0.62

1

 

0.83

 

 

0.82

 

Net realized and unrealized gain (loss)

 

 

1.52

 

 

(0.49

)

 

1.19

 

 

(1.32

)

 

(1.14

)

 

(0.69

)

 

0.40

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.00

)2

 

(0.01

)

 

(0.02

)

 

(0.12

)

 

(0.20

)

 

(0.26

)

 

(0.21

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

(0.05

)

Net increase (decrease) from investment operations

 

 

1.93

 

 

0.32

 

 

1.97

 

 

(0.60

)

 

(0.72

)

 

(0.16

)

 

0.96

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.42

)

 

(0.84

)

 

(0.83

)

 

(0.56

)

 

(0.40

)

 

(0.60

)

 

(0.85

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.05

)

 

(0.26

)

Total dividends and distributions to Common Shareholders

 

 

(0.42

)

 

(0.84

)

 

(0.83

)

 

(0.56

)

 

(0.40

)

 

(0.65

)

 

(1.11

)

Net asset value, end of period

 

$

13.28

 

$

11.77

 

$

12.29

 

$

11.15

 

$

12.31

 

$

13.43

 

$

14.24

 

Market price, end of period

 

$

14.00

 

$

11.65

 

$

12.60

 

$

10.08

 

$

10.93

 

$

11.86

 

$

16.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

16.68

%4

 

2.90

%

 

18.09

%

 

(3.68

)%

 

(5.03

)%4

 

(1.02

)%

 

6.46

%

Based on market price

 

 

24.27

%4

 

(0.66

)%

 

33.92

%

 

(1.93

)%

 

(4.51

)%4

 

(22.21

)%

 

15.91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.74

%6

 

1.84

%

 

1.69

%

 

1.72

%

 

1.60

%6,7

 

1.44

%

 

1.43

%

Total expenses after fees waived and before fees paid indirectly5

 

 

1.74

%6

 

1.84

%

 

1.69

%

 

1.68

%

 

1.58

%6,7

 

1.43

%

 

1.43

%

Total expenses after fees waived and paid indirectly5

 

 

1.74

%6

 

1.84

%

 

1.69

%

 

1.68

%

 

1.58

%6,7

 

1.39

%

 

1.37

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees5,8

 

 

1.50

%6

 

1.56

%

 

1.47

%

 

1.56

%

 

1.53

%6,7

 

1.39

%

 

1.37

%

Net investment income5

 

 

6.53

%6

 

7.03

%

 

6.66

%

 

7.79

%

 

6.42

%6,7

 

6.03

%

 

5.80

%

Dividends to AMPS Shareholders

 

 

0.07

%6

 

0.13

%

 

0.13

%

 

1.10

%

 

2.03

%6

 

1.88

%

 

1.49

%

Net investment income to Common Shareholders

 

 

6.46

%6

 

6.90

%

 

6.53

%

 

6.69

%

 

4.39

%6,7

 

4.15

%

 

4.31

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

14,985

 

$

13,284

 

$

13,855

 

$

12,565

 

$

13,871

 

$

15,134

 

$

16,054

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

4,575

 

$

4,575

 

$

4,575

 

$

4,575

 

$

7,125

 

$

8,500

 

$

8,500

 

Portfolio turnover

 

 

14

%

 

27

%

 

44

%

 

88

%

 

29

%

 

40

%

 

57

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

106,886

 

$

97,589

 

$

100,711

 

$

93,664

 

$

73,687

 

$

69,526

 

$

72,229

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Certain non-recurring expenses have been included in the ratio but not annualized. If these expenses were annualized, the ratios of total expenses, total expenses after fees waived and before fees paid indirectly, total expenses after fees waived and paid indirectly, total expenses after fees waived and paid indirectly and excluding interest expense and fees, net investment income and net investment income to Common Shareholders would have been 1.71%, 1.68%, 1.68%, 1.63%, 6.31% and 4.28%, respectively.

 

 

 

 

8

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

49




 

 

 

 

Financial Highlights

BlackRock Municipal Income Investment Trust (BBF)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.40

 

$

13.91

 

$

12.71

 

$

14.08

 

$

15.05

 

$

15.68

 

$

15.48

 

Net investment income

 

 

0.44

1

 

0.97

1

 

0.92

1

 

1.01

1

 

0.80

1

 

1.07

 

 

1.11

 

Net realized and unrealized gain (loss)

 

 

1.80

 

 

(0.56

)

 

1.20

 

 

(1.36

)

 

(0.89

)

 

(0.49

)

 

0.26

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.00

)2

 

(0.02

)

 

(0.02

)

 

(0.14

)

 

(0.22

)

 

(0.31

)

 

(0.27

)

Net increase (decrease) from investment operations

 

 

2.24

 

 

0.39

 

 

2.10

 

 

(0.49

)

 

(0.31

)

 

0.27

 

 

1.10

 

Dividends to Common Shareholders from net investment income

 

 

(0.45

)

 

(0.90

)

 

(0.90

)

 

(0.88

)

 

(0.66

)

 

(0.90

)

 

(0.90

)

Net asset value, end of period

 

$

15.19

 

$

13.40

 

$

13.91

 

$

12.71

 

$

14.08

 

$

15.05

 

$

15.68

 

Market price, end of period

 

$

14.99

 

$

12.74

 

$

13.90

 

$

12.49

 

$

13.68

 

$

15.10

 

$

16.30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

17.04

%4

 

3.15

%

 

17.04

%

 

(2.57

)%

 

(2.04

)%4

 

1.78

%

 

7.34

%

Based on market price

 

 

21.49

%4

 

(1.86

)%

 

19.01

%

 

(1.46

)%

 

(5.14

)%4

 

(1.76

)%

 

13.26

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.86

%6

 

1.60

%

 

1.46

%

 

1.47

%

 

1.31

%6

 

1.28

%

 

1.30

%

Total expenses after fees waived and before fees paid indirectly5

 

 

1.86

%6

 

1.60

%

 

1.37

%

 

1.27

%

 

1.06

%6

 

0.97

%

 

0.93

%

Total expenses after fees waived and paid indirectly5

 

 

1.86

%6

 

1.60

%

 

1.37

%

 

1.27

%

 

1.06

%6

 

0.96

%

 

0.92

%

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5,7

 

 

1.51

%6

 

1.33

%

 

1.17

%

 

1.16

%

 

1.02

%6

 

0.96

%

 

0.92

%

Net investment income5

 

 

6.27

%6

 

7.35

%

 

6.84

%

 

8.13

%

 

7.26

%6

 

7.02

%

 

7.12

%

Dividends to AMPS Shareholders

 

 

0.04

%6

 

0.14

%

 

0.16

%

 

1.11

%

 

1.96

%6

 

2.04

%

 

1.75

%

Net investment income to Common Shareholders

 

 

6.23

%6

 

7.21

%

 

6.68

%

 

7.02

%

 

5.30

%6

 

4.98

%

 

5.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

101,761

 

$

89,726

 

$

93,073

 

$

85,050

 

$

94,176

 

$

100,564

 

$

104,451

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

 

 

$

34,250

 

$

34,250

 

$

34,250

 

$

49,550

 

$

57,550

 

$

57,550

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

 

$

34,200

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio turnover

 

 

19

%

 

24

%

 

46

%

 

66

%

 

13

%

 

25

%

 

20

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

 

 

$

90,493

 

$

92,938

 

$

87,082

 

$

72,521

 

$

68,688

 

$

70,391

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

 

$

397,546

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Interest expense, fees and amortization of offering costs relate to TOBs and/or VRDP Shares. See Note 1 and Note 7 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.


 

 

 

See Notes to Financial Statements.

 

 

 

50

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

12.32

 

$

12.57

 

$

11.33

 

$

12.20

 

$

13.57

 

$

14.47

 

$

14.48

 

Net investment income

 

 

0.40

1

 

0.79

1

 

0.82

1

 

0.86

1

 

0.66

1

 

0.91

 

 

0.85

 

Net realized and unrealized gain (loss)

 

 

1.56

 

 

(0.23

)

 

1.22

 

 

(0.96

)

 

(1.26

)

 

(0.70

)

 

0.34

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.01

)

 

(0.02

)

 

(0.03

)

 

(0.13

)

 

(0.16

)

 

(0.23

)

 

(0.20

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.02

)

 

(0.03

)

Net increase (decrease) from investment operations

 

 

1.95

 

 

0.54

 

 

2.01

 

 

(0.23

)

 

(0.76

)

 

(0.04

)

 

0.96

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.39

)

 

(0.79

)

 

(0.77

)

 

(0.64

)

 

(0.61

)

 

(0.82

)

 

(0.84

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

(0.13

)

Total dividends and distributions to Common Shareholders

 

 

(0.39

)

 

(0.79

)

 

(0.77

)

 

(0.64

)

 

(0.61

)

 

(0.86

)

 

(0.97

)

Net asset value, end of period

 

$

13.88

 

$

12.32

 

$

12.57

 

$

11.33

 

$

12.20

 

$

13.57

 

$

14.47

 

Market price, end of period

 

$

13.97

 

$

12.02

 

$

12.96

 

$

11.68

 

$

11.96

 

$

14.96

 

$

15.95

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

16.19

%3

 

4.63

%

 

18.01

%

 

(1.09

)%

 

(6.10

)%3

 

(1.03

)%

 

6.14

%

Based on market price

 

 

19.86

%3

 

(0.99

)%

 

18.02

%

 

4.01

%

 

(16.50

)%3

 

(1.02

)%

 

15.25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.50

%5

 

1.55

%

 

1.59

%

 

1.70

%

 

1.88

%5,6

 

1.48

%

 

1.51

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.49

%5

 

1.53

%

 

1.57

%

 

1.67

%

 

1.86

%5,6

 

1.47

%

 

1.51

%

Total expenses after fees waived and paid indirectly4

 

 

1.49

%5

 

1.53

%

 

1.57

%

 

1.67

%

 

1.86

%5,6

 

1.40

%

 

1.41

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,7

 

 

1.48

%5

 

1.52

%

 

1.56

%

 

1.64

%

 

1.84

%5,6

 

1.40

%

 

1.41

%

Net investment income4

 

 

6.16

%5

 

6.55

%

 

6.75

%

 

7.91

%

 

6.97

%5,6

 

6.49

%

 

5.91

%

Dividends to AMPS Shareholders

 

 

0.11

%5

 

0.20

%

 

0.23

%

 

1.20

%

 

1.89

%5

 

1.67

%

 

1.41

%

Net investment income to Common Shareholders

 

 

6.05

%5

 

6.35

%

 

6.52

%

 

6.71

%

 

5.08

%5,6

 

4.82

%

 

4.50

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

14,112

 

$

12,525

 

$

12,764

 

$

11,474

 

$

12,351

 

$

13,694

 

$

14,576

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

6,900

 

$

6,900

 

$

6,900

 

$

6,900

 

$

7,075

 

$

7,500

 

$

7,500

 

Portfolio turnover

 

 

14

%

 

26

%

 

23

%

 

32

%

 

18

%

 

31

%

 

27

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

76,131

 

$

70,381

 

$

71,248

 

$

66,576

 

$

68,647

 

$

70,649

 

$

73,603

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Certain non-recurring expenses have been included in the ratio but not annualized. If these expenses were annualized, the ratios of total expenses, total expenses after fees waived and before fees paid indirectly, total expenses after fees waived and paid indirectly, total expense after fees waived and paid indirectly and excluding interest expense and fees, net investment income and net investment income to Common Shareholders would have been 2.00%, 1.98%, 1.98%, 1.96%, 6.85% and 4.96%, respectively.

 

 

 

 

7

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

51




 

 

 

 

Financial Highlights

BlackRock New Jersey Municipal Income Trust (BNJ)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.07

 

$

14.38

 

$

12.78

 

$

14.15

 

$

15.49

 

$

16.35

 

$

15.87

 

Net investment income

 

 

0.50

1

 

0.98

1

 

1.02

1

 

1.05

1

 

0.89

1

 

1.14

 

 

1.17

 

Net realized and unrealized gain (loss)

 

 

1.65

 

 

(0.32

)

 

1.54

 

 

(1.38

)

 

(1.24

)

 

(0.74

)

 

0.52

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.01

)

 

(0.03

)

 

(0.03

)

 

(0.11

)

 

(0.24

)

 

(0.30

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

2.14

 

 

0.63

 

 

2.53

 

 

(0.44

)

 

(0.59

)

 

0.10

 

 

1.43

 

Dividends to Common Shareholders from net investment income

 

 

(0.47

)

 

(0.94

)

 

(0.93

)

 

(0.93

)

 

(0.75

)

 

(0.96

)

 

(0.95

)

Net asset value, end of period

 

$

15.74

 

$

14.07

 

$

14.38

 

$

12.78

 

$

14.15

 

$

15.49

 

$

16.35

 

Market price, end of period

 

$

16.75

 

$

14.10

 

$

14.82

 

$

14.00

 

$

15.09

 

$

16.90

 

$

18.40

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

15.51

%3

 

4.74

%

 

20.22

%

 

(2.62

)%

 

(4.12

)%3

 

0.17

%

 

9.18

%

Based on market price

 

 

22.66

%3

 

1.85

%

 

13.11

%

 

0.04

%

 

(6.28

)%3

 

(2.89

)%

 

22.56

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.23

%5

 

1.25

%

 

1.23

%

 

1.38

%

 

1.28

%5

 

1.24

%

 

1.27

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.22

%5

 

1.24

%

 

1.13

%

 

1.17

%

 

1.03

%5

 

0.94

%

 

0.91

%

Total expenses after fees waived and paid indirectly4

 

 

1.22

%5

 

1.24

%

 

1.13

%

 

1.17

%

 

1.03

%5

 

0.93

%

 

0.89

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.19

%5

 

1.22

%

 

1.12

%

 

1.14

%

 

1.02

%5

 

0.93

%

 

0.89

%

Net investment income4

 

 

6.73

%5

 

7.09

%

 

7.42

%

 

8.49

%

 

7.92

%5

 

7.18

%

 

7.31

%

Dividends to AMPS Shareholders

 

 

0.11

%5

 

0.21

%

 

0.23

%

 

1.22

%

 

1.94

%5

 

1.86

%

 

1.63

%

Net investment income to Common Shareholders

 

 

6.62

%5

 

6.88

%

 

7.19

%

 

7.27

%

 

5.98

%5

 

5.32

%

 

5.68

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

120,108

 

$

107,226

 

$

109,257

 

$

96,696

 

$

106,596

 

$

116,152

 

$

121,987

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

59,100

 

$

59,100

 

$

59,100

 

$

59,100

 

$

60,475

 

$

63,800

 

$

63,800

 

Portfolio turnover

 

 

12

%

 

20

%

 

11

%

 

29

%

 

12

%

 

23

%

 

2

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

75,807

 

$

70,358

 

$

71,218

 

$

65,905

 

$

69,083

 

$

70,528

 

$

72,812

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

52

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Financial Highlights

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.75

 

$

14.15

 

$

12.81

 

$

13.30

 

$

14.40

 

$

15.18

 

$

15.03

 

Net investment income

 

 

0.46

1

 

0.94

1

 

0.95

1

 

0.95

1

 

0.67

1

 

0.95

 

 

0.97

 

Net realized and unrealized gain (loss)

 

 

1.37

 

 

(0.43

)

 

1.28

 

 

(0.61

)

 

(0.89

)

 

(0.61

)

 

0.37

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.01

)

 

(0.03

)

 

(0.03

)

 

(0.10

)

 

(0.15

)

 

(0.25

)

 

(0.21

)

Net realized gain

 

 

 

 

 

 

(0.00

)2

 

(0.00

)2

 

(0.04

)

 

(0.01

)

 

(0.02

)

Net increase (decrease) from investment operations

 

 

1.82

 

 

0.48

 

 

2.20

 

 

0.24

 

 

(0.41

)

 

0.08

 

 

1.11

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.44

)

 

(0.88

)

 

(0.84

)

 

(0.72

)

 

(0.60

)

 

(0.85

)

 

(0.88

)

Net realized gain

 

 

 

 

 

 

(0.02

)

 

(0.01

)

 

(0.09

)

 

(0.01

)

 

(0.08

)

Total dividends and distributions to Common Shareholders

 

 

(0.44

)

 

(0.88

)

 

(0.86

)

 

(0.73

)

 

(0.69

)

 

(0.86

)

 

(0.96

)

Net asset value, end of period

 

$

15.13

 

$

13.75

 

$

14.15

 

$

12.81

 

$

13.30

 

$

14.40

 

$

15.18

 

Market price, end of period

 

$

15.27

 

$

13.49

 

$

14.70

 

$

12.61

 

$

12.83

 

$

15.39

 

$

16.65

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

13.47

%4

 

3.63

%

 

17.60

%

 

2.71

%

 

(2.98

)%4

 

0.10

%

 

7.32

%

Based on market price

 

 

16.73

%4

 

(2.14

)%

 

24.11

%

 

4.81

%

 

(12.43

)%4

 

(2.46

)%

 

19.95

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.38

%

 

1.39

%

 

1.31

%

 

1.42

%

 

1.48

%6,7

 

1.29

%

 

1.33

%

Total expenses after fees waived and before fees paid indirectly5

 

 

1.38

%

 

1.39

%

 

1.30

%

 

1.41

%

 

1.47

%6,7

 

1.29

%

 

1.33

%

Total expenses after fees waived and paid indirectly5

 

 

1.38

%

 

1.39

%

 

1.30

%

 

1.41

%

 

1.47

%6,7

 

1.24

%

 

1.25

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees5,8

 

 

1.33

%

 

1.36

%

 

1.30

%

 

1.41

%

 

1.47

%6,7

 

1.24

%

 

1.25

%

Net investment income5

 

 

6.39

%

 

6.90

%

 

6.92

%

 

7.72

%

 

6.53

%6,7

 

6.42

%

 

6.48

%

Dividends to AMPS Shareholders

 

 

0.11

%

 

0.20

%

 

0.21

%

 

1.14

%

 

1.47

%6

 

1.72

%

 

1.42

%

Net investment income to Common Shareholders

 

 

6.28

%

 

6.70

%

 

6.71

%

 

6.58

%

 

5.06

%6,7

 

4.70

%

 

5.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

19,903

 

$

18,077

 

$

18,577

 

$

16,796

 

$

17,448

 

$

18,848

 

$

19,839

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

9,725

 

$

9,725

 

$

9,725

 

$

9,725

 

$

9,800

 

$

9,800

 

$

9,800

 

Portfolio turnover

 

 

19

%

 

19

%

 

35

%

 

24

%

 

8

%

 

37

%

 

24

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

76,165

 

$

71,471

 

$

72,758

 

$

68,180

 

$

69,521

 

$

73,090

 

$

75,614

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Certain non-recurring expenses have been included in the ratio but not annualized. If these expenses were annualized, the ratios of total expenses, total expenses after fees waived and before fees paid indirectly, total expenses after fees waived and paid indirectly, total expenses after fees waived and paid indirectly and excluding interest expense and fees, net investment income and net investment income to Common Shareholders would have been 1.56%, 1.55%, 1.55%, 1.55%, 6.46% and 4.99%, respectively.

 

 

 

 

8

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

53




 

 

 

 

Financial Highlights

BlackRock New York Municipal Income Trust (BNY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
January 31,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.87

 

$

14.27

 

$

12.71

 

$

13.88

 

$

15.11

 

$

15.88

 

$

15.44

 

Net investment income

 

 

0.49

1

 

1.01

1

 

1.04

1

 

1.06

1

 

0.86

1

 

1.11

 

 

1.13

 

Net realized and unrealized gain (loss)

 

 

1.10

 

 

(0.39

)

 

1.54

 

 

(1.22

)

 

(1.17

)

 

(0.70

)

 

0.47

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.01

)

 

(0.03

)

 

(0.03

)

 

(0.10

)

 

(0.21

)

 

(0.28

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

1.58

 

 

0.59

 

 

2.55

 

 

(0.26

)

 

(0.52

)

 

0.13

 

 

1.34

 

Dividends to Common Shareholders from net investment income

 

 

(0.50

)

 

(0.99

)

 

(0.99

)

 

(0.91

)

 

(0.71

)

 

(0.90

)

 

(0.90

)

Net asset value, end of period

 

$

14.95

 

$

13.87

 

$

14.27

 

$

12.71

 

$

13.88

 

$

15.11

 

$

15.88

 

Market price, end of period

 

$

16.12

 

$

14.20

 

$

15.11

 

$

13.95

 

$

15.26

 

$

15.55

 

$

17.35

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return Applicable to Common Shareholders2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

11.54

%3

 

4.39

%

 

20.35

%

 

(1.28

)%

 

(3.71

)%3

 

0.64

%

 

8.91

%

Based on market price

 

 

17.48

%3

 

0.94

%

 

16.11

%

 

(1.44

)%

 

2.87

%3

 

(5.20

)%

 

20.95

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.22

%5

 

1.27

%

 

1.25

%

 

1.43

%

 

1.25

%5

 

1.22

%

 

1.25

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.22

%5

 

1.27

%

 

1.16

%

 

1.25

%

 

1.00

%5

 

0.92

%

 

0.88

%

Total expenses after fees waived and paid indirectly4

 

 

1.22

%5

 

1.27

%

 

1.16

%

 

1.25

%

 

1.00

%5

 

0.92

%

 

0.87

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.17

%5

 

1.22

%

 

1.11

%

 

1.13

%

 

0.97

%5

 

0.92

%

 

0.87

%

Net investment income4

 

 

6.83

%5

 

7.35

%

 

7.50

%

 

8.67

%

 

7.79

%5

 

7.23

%

 

7.30

%

Dividends to AMPS Shareholders

 

 

0.11

%5

 

0.20

%

 

0.22

%

 

1.17

%

 

1.91

%5

 

1.84

%

 

1.69

%

Net investment income to Common Shareholders

 

 

6.72

%5

 

7.15

%

 

7.28

%

 

7.50

%

 

5.88

%5

 

5.39

%

 

5.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

192,141

 

$

177,993

 

$

182,372

 

$

161,727

 

$

175,927

 

$

190,962

 

$

199,717

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

94,500

 

$

94,500

 

$

94,500

 

$

94,500

 

$

95,850

 

$

109,750

 

$

109,750

 

Portfolio turnover

 

 

9

%

 

17

%

 

16

%

 

18

%

 

5

%

 

23

%

 

27

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

75,831

 

$

72,089

 

$

73,248

 

$

67,787

 

$

70,892

 

$

68,509

 

$

70,502

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

54

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock New Jersey Investment Quality Municipal Trust Inc. (“RNJ”) and BlackRock New York Investment Quality Municipal Trust Inc. (“RNY”) are organized as Maryland corporations. BlackRock Investment Quality Municipal Income Trust (“RFA”) is organized as a Massachusetts business trust. RNJ, RNY and RFA are herein referred to as the “Investment Quality Trusts.” BlackRock California Municipal Income Trust (“BFZ”), BlackRock Municipal Income Investment Trust (“BBF”), BlackRock New Jersey Municipal Income Trust (“BNJ”), BlackRock New York Municipal Income Trust (“BNY”) (collectively, the “Income Trusts”) and BlackRock Florida Municipal 2020 Term Trust (“BFO”) are organized as Delaware statutory trusts. The Investment Quality Trusts, Income Trusts and BFO are referred to herein collectively as the “Trusts.” The Trusts are registered under the 1940 Act as non-diversified, closed-end management investment companies. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Board of Directors and the Board of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts’ determine and make available for publication the NAV of their Common Shares on a daily basis.

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

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts fair value their financial instruments at market value using independent dealers or pricing services under policies approved by each Trust’s Board. Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. Financial futures contracts traded on exchanges are valued at their last sale price. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value. Investments in open-end registered investment companies are valued at NAV each business day.

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

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

Forward Commitments and When-Issued Delayed Delivery Securities: The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Municipal Bonds Transferred to TOBs: The Trusts leverage their assets through the use of TOBs. A TOB is established by a third party sponsor forming a special purpose entity, into which one or more funds, or an agent on behalf of the funds, transfers municipal bonds. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB into which a Trust has contributed bonds. A TOB typically issues two classes of beneficial interests: short-term floating rate certificates, which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating funds that made the transfer. The TOB Residuals held by a Trust include the right of a Trust (1) to cause the holders of a proportional share of the short-term floating rate certificates to tender their certificates at par, including during instances of a rise in short-term interest rates, and (2) to transfer, within seven days, a corresponding share of the municipal bonds from the TOB to a Trust. The TOB may also be terminated without the consent of a Trust upon the occurrence of certain events as defined in the TOB agreements. Such termination events may include the bankruptcy or default of the municipal bond, a substantial downgrade in credit quality of the municipal bond, the inability of the TOB to obtain quarterly or annual renewal of the liquidity support agreement, a substantial decline in market value of the municipal bond or the inability to remarket the short-term floating rate certificates to third party investors. During the six months ended January 31, 2012, no TOBs that the Trusts participated in were terminated without the consent of the Trusts.

 

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

55




 

 

Notes to Financial Statements (continued)

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

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Trusts on an accrual basis. Interest expense incurred on the secured borrowing and other expenses related to remarketing, administration and trustee services to a TOB are shown as interest expense fees and amortization of offering costs in the Statements of Operations. The short-term floating rate certificates have interest rates that generally reset weekly and their holders have the option to tender certificates to the TOB for redemption at par at each reset date. At January 31, 2012, the aggregate value of the underlying municipal bonds transferred to TOBs, the related liability for TOB trust certificates and the range of interest rates on the liability for trust certificates were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

Underlying
Municipal Bonds
Transferred to TOBs

 

Liability for
TOB Trust
Certificates

 

Range of
Interest Rates

 

BFZ

 

$

321,251,650

 

$

153,386,087

 

0.05% – 0.23%

 

BFO

 

$

769,586

 

$

480,000

 

0.16%

 

RFA

 

$

9,833,421

 

$

4,928,720

 

0.07% – 0.18%

 

BBF

 

$

60,069,566

 

$

30,117,038

 

0.07% – 0.18%

 

RNJ

 

$

1,421,230

 

$

734,917

 

0.09% – 0.14%

BNJ

 

$

19,136,557

 

$

9,634,296

 

0.09% – 0.14%

 

RNY

 

$

4,084,026

 

$

2,080,297

 

0.05% – 0.18%

 

BNY

 

$

40,435,679

 

$

21,226,715

 

0.05% – 0.18%

 

For the six months ended January 31, 2012, the Trusts’ average TOB trust certificates outstanding and the daily weighted average interest rate, including fees, were as follows:

 

 

 

 

 

 

 

 

 

 

Average TOB
Trust Certificates
Outstanding

 

Daily Weighted
Average
Interest Rate

 

BFZ

 

$

147,475,736

 

 

0.69

%

BFO

 

$

482,283

 

 

0.59

%

RFA

 

$

4,606,301

 

 

0.71

%

BBF

 

$

29,962,010

 

 

0.71

%

RNJ

 

$

292,227

 

 

0.65

%

BNJ

 

$

4,937,584

 

 

0.69

%

RNY

 

$

931,745

 

 

0.86

%

BNY

 

$

13,346,471

 

 

0.64

%

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

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

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

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

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statutes of limitations on Investment Quality Trusts’, Income Trusts’ and BFO’s US federal tax returns remains open for each of the following periods:

 

 

 

 

 

 

 

 

Year Ended

 

Period

 

BFZ

 

July 31, 2011

 

November 1, 2008 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

BFO

 

July 31, 2011

 

January 1, 2008 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

RFA

 

July 31, 2011

 

November 1, 2007 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

BBF

 

July 31, 2011

 

November 1, 2007 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

RNJ

 

July 31, 2011

 

November 1, 2007 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

BNJ

 

July 31, 2011

 

November 1, 2007 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

RNY

 

July 31, 2011

 

November 1, 2007 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 

BNY

 

July 31, 2011

 

November 1, 2007 to

 

 

 

July 31, 2010

 

July 31, 2008

 

 

 

July 31, 2009

 

 

 


 

 

 

 

 

 

56

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

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 does not believe there are any uncertain tax positions that require recognition of a tax liability.

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

In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statement with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts’ financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

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

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

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

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

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

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

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

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

57




 

 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure:

Fair Values of Derivative Financial Instruments as of January 31, 2012

 

 

 

 

 

Liability Derivatives

 

 

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

 

 

Statements of Assets
and Liabilities Location

 

Value

 

Interest rate contracts

 

Net unrealized appreciation/depreciation1

 

$

105,114

 

$

8,760

 

$

59,565

 

$

8,760

 

$

70,076

 

$

10,511

 

$

98,106

 


 

 

 

 

1

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended January 31, 2012

 

 

 

 

 

Net Realized Gain (Loss) From

 

 

 

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial future contracts

 

$

54,879

 

$

(12,893

)

$

(203,022

)

$

(34,846

)

$

(147,861

)

$

(42,371

)

$

(418,528

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial future contracts

 

$

(105,114

)

$

6,640

 

$

76,650

 

$

6,640

 

$

20,758

 

$

7,272

 

$

76,167

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the six months ended January 31, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Financial future contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts sold

 

 

30

 

 

3

 

 

17

 

 

3

 

 

20

 

 

3

 

 

28

 

Average notional value of contracts sold

 

$

3,967,500

 

$

330,625

 

$

2,248,250

 

$

330,625

 

$

2,645,000

 

$

396,750

 

$

3,703,000

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

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

 

 

BFZ

0.58%

BFO

0.50%

RFA

0.35%

BBF

0.60%

RNJ

0.35%

BNJ

0.60%

RNY

0.35%

BNY

0.60%

Average weekly net assets is the average weekly value of each Trust’s total assets minus the sum of its accrued liabilities.

The Manager contractually agreed to waive a portion of the investment advisory fee on BFZ at an annual rate of 0.05% of average weekly net assets through December 31, 2010, 0.03% through December 31, 2011 and 0.01% through December 31, 2012. For the six months ended January 31, 2012, the Manager waived $104,552, which is included in fees waived by advisor in the Statements of Operations.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended January 31, 2012, the amounts waived were as follows:

 

 

 

 

 

BFZ

 

$

6,038

 

BFO

 

$

49

 

RFA

 

$

61

 

BBF

 

$

1,294

 

RNJ

 

$

414

 

BNJ

 

$

3,808

 

RNY

 

$

402

 

BNY

 

$

3,199

 


 

 

 

 

 

 

58

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

Each Investment Quality Trust has an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate of 0.10% of each respective Trust’s average weekly net assets for the Investment Quality Trusts.

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments excluding short-term securities for the six months ended January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BFZ

 

$

147,206,470

 

$

147,951,639

 

BFO

 

$

10,871,617

 

$

12,555,627

 

RFA

 

$

3,269,762

 

$

3,543,158

 

BBF

 

$

29,859,434

 

$

36,820,120

 

RNJ

 

$

2,774,201

 

$

2,883,399

 

BNJ

 

$

25,903,478

 

$

20,079,723

 

RNY

 

$

6,568,166

 

$

5,400,257

 

BNY

 

$

36,009,942

 

$

25,825,668

 

5. Income Tax Information:

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expires July 31,

 

BFZ

 

BFO

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

2012

 

$

2,050,253

 

 

 

 

 

$

518,297

 

 

 

$

3,833

 

 

 

$

151,220

 

2014

 

 

1,681,553

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2015

 

 

465,742

 

 

 

$

137,267

 

 

426,674

 

 

 

 

592,744

 

 

 

 

 

2016

 

 

186,028

 

 

 

 

389,530

 

 

866,417

 

$

223,484

 

 

15,502

 

 

 

 

505,354

 

2017

 

 

3,782,470

 

$

521,006

 

 

299,461

 

 

 

 

 

 

 

 

 

 

2,599,716

 

2018

 

 

12,894,572

 

 

62,100

 

 

1,266,317

 

 

6,858,066

 

 

345,722

 

 

1,390,524

 

 

 

 

1,480,575

 

2019

 

 

 

 

 

 

318,235

 

 

651,464

 

 

26,179

 

 

27,464

 

$

150,605

 

 

1,982,931

 

Total

 

$

21,060,618

 

$

583,106

 

$

2,410,810

 

$

9,320,918

 

$

595,385

 

$

2,060,067

 

$

150,605

 

$

6,719,796

 

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

As of January 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

BFO

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Tax cost

 

$

591,681,152

 

$

125,094,624

 

$

17,092,588

 

$

118,433,235

 

$

19,129,431

 

$

162,861,471

 

$

27,390,899

 

$

269,926,988

 

Gross unrealized appreciation

 

$

74,339,062

 

$

6,561,532

 

$

2,508,303

 

$

16,757,836

 

$

1,723,524

 

$

14,894,682

 

$

2,337,068

 

$

16,995,405

 

Gross unrealized depreciation

 

 

(528,068

)

 

(2,046,361

)

 

(86,315

)

 

(873,366

)

 

(233,811

)

 

(1,943,411

)

 

(303,363

)

 

(3,554,862

)

Net unrealized appreciation

 

$

73,810,994

 

$

4,515,171

 

$

2,421,988

 

$

15,884,470

 

$

1,489,713

 

$

12,951,271

 

$

2,033,705

 

$

13,440,543

 

6. Concentration, Market and Credit Risk:

Each Trust invests a substantial amount of their assets in issuers located in a single state or a limited number of states. Please see the Schedules of Investments for concentrations in specific states.

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities, less any collateral held by the Trusts.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

59




 

 

Notes to Financial Statements (continued)

As of January 31, 2012, BFZ invested a significant portion of its assets in securities in the County/City/Special District/School District and Utilities sectors. BFO, RFA, BBF and RNY invested a significant portion of their assets in securities in the County/City/Special District/School District sector. RNJ and BNJ invested a significant portion of their assets in securities in the State sector. Changes in economic conditions affecting the County/City/Special District/School District, State and Utilities sectors would have a greater impact on the Trusts, and could affect the value, income and/or liquidity of positions in such securities.

7. Capital Share Transactions:

Each Investment Quality Trust is authorized to issue 200 million shares, par value $0.01 per share, all of which were initially classified as Common Shares. There are an unlimited number of $0.001 par value Common Shares authorized for the Income Trusts and BFO. Each Trust’s Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders. At January 31, 2012, Common Shares of BFO owned by affiliates of the Manager was 8,028 shares.

Common Shares

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SIx Months
Ended
January 31,
2012

 

Year Ended
July 31,
2011

 

BFZ

 

 

 

 

13,214

 

RFA

 

 

179

 

 

546

 

BBF

 

 

1,081

 

 

4,809

 

RNJ

 

 

436

 

 

1,268

 

BNJ

 

 

9,751

 

 

22,508

 

RNY

 

 

551

 

 

2,077

 

BNY

 

 

25,361

 

 

50,883

 

Shares issued and outstanding remained constant for BFO for the six months ended January 31, 2012 and the year ended July 31, 2011.

Preferred Shares

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

The holders of Preferred Shares have voting rights equal to the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees for each Trust. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

BBF has issued Series W-7 VRDP Shares, $100,000 liquidation value per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933 and include a liquidity feature that allows the holders of VRDP Shares to have their shares purchased by the liquidity provider in the event of a failed remarketing. BBF is required to redeem the VRDP Shares owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Upon the occurrence of an unsuccessful remarketing, BBF is required to segregate liquid assets to fund the redemption. The VRDP Shares are subject to certain restrictions on transfer. The VRDP Shares issued for the six months ended January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issue
Date

 

Shares
Issued

 

Aggregate
Principal

 

Maturity
Date

 

BBF

 

 

9/15/11

 

 

342

 

$

34,200,000

 

 

10/1/41

 

BBF entered into a fee agreement with the liquidity provider that required a per annum liquidity fee to be paid to the liquidity provider. These fees are shown as liquidity fees in the Statements of Operations.

The fee agreement between BBF and the liquidity provider is for a 1-year term and is scheduled to expire on September 12, 2012 unless renewed or terminated in advance. In the event the fee agreement is not renewed or is terminated in advance, and BBF 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. BBF is required to redeem any VRDP Shares purchased by the liquidity provider six months after the purchase date. Immediately after the purchase of any VRDP Shares by the liquidity provider, BBF is required to begin to segregate liquid assets with BBF’s custodian to fund the redemption. There is no assurance BBF will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

BBF is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to maturity date, BBF is required to begin to segregate liquid assets with BBF’s custodian to fund the redemption. In addition, BBF is required to redeem certain of its outstanding VRDP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, VRDP Shares may be redeemed, in whole or in part, at any time at the option of BBF. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. In the event of an optional redemption of VRDP Shares prior to the initial termination date of the fee agreement, BBF must pay the liquidity

 

 

 

 

60

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Notes to Financial Statements (continued)

provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to the initial termination date.

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 as discussed below. 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. At the date of issuance, the VRDP Shares were assigned a long-term rating of Aaa from Moody’s and AAA from Fitch. Moody’s has announced a review of its rating methodologies with respect to investment company securities, and any amendments to its rating methodologies may adversely affect Moody’s current long-term ratings of the VRDP Shares.

The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares. Although not directly correlated, a change in the short-term credit rating of the VRDP Shares may adversely affect the dividend rate paid on such shares. As of January 31, 2012, the short-term ratings of the liquidity provider and the VRDP Shares are P-1/F-1 and P-1/F-1 as rated by Moody’s and Fitch, respectively. 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. Moody’s has placed the liquidity provider and the short-term ratings of the VRDP Shares on review for possible downgrade.

For financial reporting purposes, VRDP Shares are considered debt of the issuer; therefore, the liquidation value of VRDP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

BBF pays commissions of 0.10% on the aggregate principal amount of all VRDP Shares, which are included in remarketing fees on Preferred Shares in the Statements of Operations. All of BBF’s VRDP Shares have successfully remarketed since issuance with an annualized dividend rate of 0.27% for the six months ended January 31, 2012.

VRDP Shares issued and outstanding remained constant for the six months ended January 31, 2012.

AMPS

The AMPS are redeemable at the option of BFZ, BFO, RFA, RNJ, BNJ, RNY and BNY (collectively, the “AMPS Funds”), in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The AMPS are also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of the AMPS Funds, as set forth in each AMPS Funds’ Articles Supplementary (the “Governing Instrument”) are not satisfied.

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

The AMPS Funds had the following series of AMPS outstanding, effective yields and reset frequency as of January 31, 2012:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

AMPS

 

Effective
Yield

 

Reset
Frequency
Days

 

BFZ

 

 

F7

 

 

2,151

 

 

0.12

%

 

7

 

 

 

 

R7

 

 

2,351

 

 

0.12

%

 

7

 

 

 

 

T7

 

 

2,351

 

 

0.12

%

 

7

 

BFO

 

 

F7

 

 

1,716

 

 

0.12

%

 

7

 

RFA

 

 

R7

 

 

183

 

 

0.12

%

 

7

 

RNJ

 

 

T7

 

 

276

 

 

0.12

%

 

7

 

BNJ

 

 

R7

 

 

2,364

 

 

0.12

%

 

7

 

RNY

 

 

F7

 

 

389

 

 

0.12

%

 

7

 

BNY

 

 

F7

 

 

1,890

 

 

0.12

%

 

7

 

 

 

 

W7

 

 

1,890

 

 

0.12

%

 

7

 


Dividends on seven-day AMPS are cumulative at a rate which is reset every seven days based on the results of an auction. If the AMPS fail to clear the auction on an auction date, each Trust is required to pay the maximum applicable rate on the AMPS to holders of such shares for successive dividend periods until such time as the shares are successfully auctioned. The maximum applicable rate on all series of AMPS is the higher of 110% of the AA commercial paper rate or 100% of 90% of the Kenny S&P 30-day High Grade Index rate divided by 1.00 minus the marginal tax rate. The low, high and average dividend rates on the AMPS for each Trust for the six months ended January 31, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Low

 

High

 

Average

 

BFZ

 

 

F7

 

 

0.11

%

 

0.31

%

 

0.21

%

 

 

 

R7

 

 

0.11

%

 

0.31

%

 

0.21

%

 

 

 

T7

 

 

0.11

%

 

0.31

%

 

0.21

%

BFO

 

 

F7

 

 

0.11

%

 

0.31

%

 

0.21

%

RFA

 

 

R7

 

 

0.11

%

 

0.31

%

 

0.21

%

BBF

 

 

Y7

 

 

0.24

%

 

0.31

%

 

0.27

%

RNJ

 

 

Y7

 

 

0.11

%

 

0.31

%

 

0.21

%

BNJ

 

 

R7

 

 

0.11

%

 

0.31

%

 

0.21

%

RNY

 

 

F7

 

 

0.11

%

 

0.31

%

 

0.21

%

BNY

 

 

F7

 

 

0.11

%

 

0.31

%

 

0.21

%

 

 

 

W7

 

 

0.11

%

 

0.31

%

 

0.21

%


 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

61




 

 

Notes to Financial Statements (concluded)

Since February 13, 2008, the AMPS of the Trusts failed to clear any of their auctions. As a result, the AMPS dividend rates were reset to the maximum applicable rate, which ranged from 0.11% to 0.31% for the six months ended January 31, 2012. A failed auction is not an event of default for the Trusts but it has a negative impact on the liquidity of AMPS. A failed auction occurs when there are more sellers of a Trust’s AMPS than buyers. A successful auction for the Trusts’ AMPS may not occur for some time, if ever, and even if liquidity does resume, holders of AMPS may not have the ability to sell the AMPS at their liquidation preference.

The AMPS Funds pay commissions of 0.15% on the aggregate principal amount of all shares that fail to clear their auctions and 0.25% on the aggregate principal amount of all shares that successfully clear their auctions. Certain broker dealers have individually agreed to reduce commissions for failed auctions. The commissions paid to these broker dealers are included in remarketing fees on Preferred Shares in the Statements of Operations.

During the six months ended January 31, 2012, BBF announced the following redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Redemption
Date

 

Shares
Redeemed

 

Aggregate
Principal

 

BBF

 

 

T-7

 

 

10/12/2011

 

 

1,370

 

$

34,250,000

 

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

AMPS issued and outstanding remained constant for the six months ended January 31, 2012 and the year ended July 31, 2011 for the AMPS Funds.

8. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Trust paid a net investment income dividend on March 1, 2012 to Common Shareholders of record on February 15, 2012 as follows:

 

 

 

 

 

 

 

Common Dividend
Per Share

 

BFZ

 

$

0.075700

 

BFO

 

$

0.056000

 

RFA

 

$

0.070000

 

BBF

 

$

0.075375

 

RNJ

 

$

0.065500

 

BNJ

 

$

0.791000

 

RNY

 

$

0.073000

 

BNY

 

$

0.082500

 

The dividends declared on VRDP Shares and AMPS for the period February 1, 2012 to February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

Series

 

Dividends
Declared

 

BFZ AMPS

 

 

F7

 

$

7,722

 

 

 

 

R7

 

$

8,370

 

 

 

 

T7

 

$

11,355

 

BFO AMPS

 

 

F7

 

$

6,160

 

RFA AMPS

 

 

R7

 

$

651

 

BBF VRDP Shares

 

 

W7

 

$

7,802

 

RNJ AMPS

 

 

Y7

 

$

1,333

 

BNJ AMPS

 

 

R7

 

$

8,416

 

RNY AMPS

 

 

F7

 

$

1,397

 

BNY AMPS

 

 

F7

 

$

6,785

 

 

 

 

W7

 

$

6,691

 

On February 10, 2012, the Boards of RFA, RNJ and RNY approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of RFA’s, RNJ’s and RNY’s assets is expected to occur by the end of the third quarter of 2012.

On March 22, 2012, the following Trusts issued W-7 Variable Rate Muni Term Preferred Shares (“VMTP Shares”), $100,000 liquidation value per share, with a maturity date of April 1, 2015 in a privately negotiated offering and sale of VMTP Shares exempt from registration under the Securities Act of 1933 to finance the AMPS redemption. The VMTP Shares issued were as follows:

 

 

 

 

 

 

 

 

 

 

Shares
Issued

 

Proceeds

 

BFZ

 

 

1,713

 

$

171,300,000

 

BNJ

 

 

591

 

$

59,100,000

 

BNY

 

 

945

 

$

94,500,000

 

On March 23, 2012, the following Trusts announced the redemptions of AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the redemption date:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Redemption
Date

 

Shares
to be
Redeemed

 

Aggregate
Principal to be
Redeemed

 

BFZ

 

 

F7

 

 

4/16/12

 

 

2,151

 

$

53,775,000

 

 

 

 

R7

 

 

4/13/12

 

 

2,351

 

$

58,775,000

 

 

 

 

T7

 

 

4/8/12

 

 

2,351

 

$

58,775,000

 

BNJ

 

 

R7

 

 

4/13/12

 

 

2,364

 

$

59,100,000

 

BNY

 

 

F7

 

 

4/16/12

 

 

1,890

 

$

47,250,000

 

 

 

 

W7

 

 

4/12/12

 

 

1,890

 

$

47,250,000

 


 

 

 

 

62

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Officers and Trustees1


 

Richard E. Cavanagh, Chairman of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee

Paul L. Audet, Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Henry Gabbay, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

John M. Perlowski, President and Chief Executive Officer

Anne Ackerley, Vice President

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Ira P. Shapiro, Secretary


 

 

 

 

1

John F. Powers, who was a Trustee of the Trusts, resigned as of February 21, 2012.

Investment Advisor

BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor

BlackRock Financial Management, Inc.
New York, NY 10055

Custodian

State Street Bank and Trust Company
Boston, MA 02110

Transfer Agent

Common Shares:
Computershare Trust Company, N.A.
Providence, RI 02940

AMPS Auction Agent

BNY Mellon Shareowner Services
Jersey City, NJ 07310

VRDP Tender and Paying Agent and
VMTP Redemption and Paying Agent


The Bank of New York Mellon
New York, NY 10289

VRDP Liquidity Provider and Remarketing Agent

Morgan Stanley & Co. LLC
New York, NY 10056

Accounting Agent

State Street Bank and Trust Company
Boston, MA 02110

Independent Registered Public Accounting Firm

Deloitte & Touche LLP
Boston, MA 02116

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP
New York, NY 10036

Address of the Trusts

100 Bellevue Parkway
Wilmington, DE 19809

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

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Additional Information

 

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 dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

On July 29, 2010, the Manager announced that a shareholder derivative complaint was filed on July 27, 2010 in the Supreme Court of the State of New York, New York County with respect to BFZ and BNJ, which had previously received a demand letter from a law firm on behalf of each trust’s common shareholders. The complaint was filed against the Manager, BlackRock, BFZ, BNJ and certain of the directors, officers and portfolio managers (collectively, the “BlackRock Parties”) in connection with the redemption of auction-market preferred shares, auction rate preferred shares, auction preferred shares and auction rate securities (collectively, “AMPS”). The complaint alleges, among other things, that the BlackRock Parties breached their fiduciary duties to the common shareholders of BFZ and BNJ (the “Shareholders”) by redeeming AMPS at their liquidation preference and alleges that such redemptions caused losses to the Shareholders. The plaintiffs are seeking monetary damages for the alleged losses suffered and to enjoin BFZ and BNJ from future redemptions of AMPS at their liquidation preference. The BlackRock Parties believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.

On March 29, 2011, the Manager announced that BBF received a demand letter from a law firm on behalf of BBF’s common shareholders. The demand letter alleges that the Manager and BBF’s officers and Board of Trustees (the “Board”) breached their fiduciary duties by redeeming at par certain of BBF’s AMPS, and demanded that the Board take action to remedy those alleged breaches. A committee consisting of the Independent Directors, with the assistance of their independent counsel, reviewed these demands. Based on the committee’s investigation and unanimous recommendation, the Board rejected these demands as inconsistent with the best interests of BBF and its shareholders.

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.

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

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

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

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

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 441-7762.

 

 

 

 

 

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Additional Information (continued)

 

General Information (concluded)

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 and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

65




 

 

Additional Information (concluded)

 

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.

 

 

 

 

 

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JANUARY 31, 2012

 



This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term dividend rates of the Preferred Shares may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

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Item 2 –

Code of Ethics – 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 – Not Applicable

 

 

Item 10 –

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

 

 

Item 11 –

Controls and Procedures

 

 

 

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

 

 

 

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

 

 

Item 12 –

Exhibits attached hereto

 

 

 

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

 

 

 

(a)(2) – Certifications – Attached hereto

 

 

 

(a)(3) – Not Applicable

 

 

 

(b) – Certifications – Attached hereto

 


 

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

 

 

 

BlackRock California Municipal Income Trust

   

 

By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock California Municipal Income Trust

 

 

 

Date: April 2, 2012

 

 

 

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 California Municipal Income Trust

 

 

 

Date: April 2, 2012

 

 

 

By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock California Municipal Income Trust

 

 

 

 

Date: April 2, 2012