BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21179

Name of Fund:  BlackRock New York Municipal Income Quality Trust (BSE)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, BlackRock New York Municipal Income Quality Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2014

Date of reporting period: 05/31/2014

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2014 (Unaudited)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

New York — 124.5%

                 

Corporate — 1.1%

  

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

    $ 165      $ 176,063   

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

      750        876,533   
    

 

 

  
               1,052,596   

County/City/Special District/School District — 27.0%

  

City of New York New York, GO, Refunding, Series E:

     

5.50%, 8/01/25

      830        1,019,962   

5.00%, 8/01/30

      1,000        1,139,350   

City of New York New York, GO:

     

Series A-1, 5.00%, 8/01/35

      200        222,580   

Sub-Series A-1, 5.00%, 10/01/34

      330        367,274   

Sub-Series D-1, 5.00%, 8/01/31

      440        502,489   

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

     

5.00%, 11/15/44

      2,710        2,843,901   

4.75%, 11/15/45

      500        505,395   

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

     

5.25%, 7/01/32

      915        1,043,265   

5.00%, 7/01/33

      400        442,404   

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

     

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/39 (a)

      1,000        316,360   

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

      150        175,104   

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

      160        162,240   

City of New York New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series B1, 5.00%, 11/01/35

      425        480,692   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

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

  

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A:

     

5.25%, 5/01/31

    $ 200      $ 225,660   

(AGM), 5.75%, 5/01/25

      1,000        1,126,900   

Hudson Yards Infrastructure Corp., RB, Series A:

     

Senior, Fiscal 2012, 5.75%, 2/15/47

      1,000        1,142,240   

5.00%, 2/15/47

      500        516,670   

(AGC), 5.00%, 2/15/47

      1,250        1,295,687   

(AGM), 5.00%, 2/15/47

      750        777,412   

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

      1,000        1,012,190   

New York Liberty Development Corp., Refunding RB:

     

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

      1,000        1,096,330   

4 World Trade Center Project, 5.00%, 11/15/44

      1,250        1,350,825   

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

      670        751,378   

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

      1,100        1,144,803   

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

      6,000        6,100,080   
    

 

 

  
        25,761,191   

Education — 31.6%

     

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

     

American Museum of Natural History, Series A, 5.00%, 7/01/37

      440        498,868   

American Museum of Natural History, Series A (NPFGC), 5.00%, 7/01/44

      2,500        2,508,825   

Museum of Modern Art, Series 1A, 5.00%, 4/01/31

      700        787,017   

Wildlife Conservation Society, Series A, 5.00%, 8/01/42

      410        449,102   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 9/01/40

      1,645        1,761,417   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014    1

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

     

County of Herkimer New York Industrial Development Agency, RB, College Foundation, Inc., Student Housing Project, 6.25%, 8/01/34

    $ 1,000      $ 1,001,070   

County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

      1,600        1,708,144   

County of Madison New York Industrial Development Agency, RB, Colgate University Project, Series A (AMBAC), 5.00%, 7/01/30

      1,000        1,022,920   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

      500        559,670   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

      400        439,804   

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

     

5.00%, 7/01/37

      180        187,898   

5.00%, 7/01/42

      115        119,015   

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 7/01/32

      940        1,046,934   

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

      250        278,865   

County of Tompkins New York Industrial Development Agency, RB, Civic Facility Cornell University Project, Series A, 5.00%, 7/01/37

      1,000        1,110,480   

State of New York Dormitory Authority, RB:

     

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

      300        337,233   

FIT Student Housing Corp. (NPFGC), 5.13%, 7/01/14 (b)

      2,500        2,510,600   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (concluded)

     

State of New York Dormitory Authority, RB (concluded):

     

Fordham University, Series A, 5.00%, 7/01/28

    $ 500      $ 563,735   

New York University, Series B, 5.00%, 7/01/37

      500        553,895   

New York University, Series C, 5.00%, 7/01/38

      1,000        1,120,270   

Rochester Institute of Technology, 5.00%, 7/01/40

      550        612,777   

State University Dormitory Facilities, Series A, 5.00%, 7/01/40

      600        649,272   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

      1,000        1,086,850   

Teachers College, Series B, 5.00%, 7/01/42

      500        541,780   

The New School (AGM), 5.50%, 7/01/43

      350        383,638   

State of New York Dormitory Authority, Refunding RB:

     

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

      250        285,382   

Fordham University, 4.13%, 7/01/39

      330        335,428   

Fordham University, 5.00%, 7/01/44

      640        708,922   

New York University Mount Sinai School of Medicine (NPFGC), 5.00%, 7/01/35

      2,000        2,096,540   

New York University, Series A, 5.00%, 7/01/37

      745        825,304   

Rochester Institute of Technology, 4.00%, 7/01/32

      395        407,111   

Skidmore College, Series A, 5.00%, 7/01/27

      135        153,503   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

      1,500        1,733,070   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

      600        684,612   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

      450        493,182   

Teachers College, Series A, 5.00%, 7/01/31

      525        583,543   
    

 

 

  
        30,146,676   

 

                
2    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Health — 16.5%

     

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30

    $ 500      $ 555,160   

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/37

      850        910,758   

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

      725        835,867   

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

      1,000        1,071,580   

State of New York Dormitory Authority, RB:

     

Hudson Valley Hospital (BHAC), 5.00%, 8/15/36

      1,250        1,368,638   

Mental Health Services (AGM), 5.00%, 8/15/18 (b)

      5        5,843   

Mental Health Services (AGM), 5.00%, 2/15/22

      990        1,136,678   

Mental Health Services (AGM), 5.00%, 8/15/18 (b)

      5        5,857   

New York University Hospitals Center, Series A, 6.00%, 7/01/40

      250        280,490   

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

      350        380,055   

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

      500        510,445   

St. Joachim & Anne Residence, 5.25%, 7/01/27

      3,000        2,999,700   

State of New York Dormitory Authority, Refunding RB:

     

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

      500        520,405   

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

      750        811,395   

North Shore-Long Island Jewish Obligated Group, Series A, 5.25%, 5/01/34

      1,840        2,020,890   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Health (concluded)

     

State of New York Dormitory Authority, Refunding RB (concluded):

     

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

    $ 750      $ 801,465   

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

      1,500        1,561,200   
    

 

 

  
        15,776,426   

Housing — 2.4%

     

City of New York New York Housing Development Corp., RB, M/F Housing, Series B1, 5.25%, 7/01/30

      750        862,718   

State of New York Mortgage Agency, Refunding RB, 48th Series, 3.70%, 10/01/38

      1,425        1,389,617   
    

 

 

  
        2,252,335   

State — 12.8%

     

City of New York New York Transitional Finance Authority, BARB:

     

Fiscal 2008, Series S-4 (AGC), 5.50%, 1/15/33

      1,000        1,152,000   

Series S-2 (AGM), 5.00%, 1/15/37

      850        922,292   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund:

     

Series B, 5.00%, 11/15/34

      540        601,274   

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

      750        852,855   

State of New York Dormitory Authority, ERB:

     

General Purpose, Series B, 5.00%, 3/15/37

      1,000        1,111,560   

Series B, 5.75%, 3/15/36

      600        698,832   

Series C, 5.00%, 12/15/31

      1,500        1,648,440   

State of New York Dormitory Authority, RB, General Purpose, Series B, 5.00%, 3/15/42

      1,500        1,639,365   

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35

      1,000        1,095,580   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

      320        364,349   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014    3

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

State (concluded)

     

State of New York Thruway Authority, Refunding RB, 2nd General Highway and Bridge Trust, Series A, 5.00%, 4/01/32

    $ 250      $ 279,125   

State of New York Urban Development Corp., RB, Personal Income Tax:

     

Series A, 3.50%, 3/15/28

      1,200        1,237,020   

State Series C, 5.00%, 3/15/30

      500        574,255   
    

 

 

  
               12,176,947   

Transportation — 22.0%

     

Metropolitan Transportation Authority, RB:

     

Series A, 5.00%, 11/15/27

      575        656,598   

Series A-1, 5.25%, 11/15/34

      270        306,831   

Series C, 6.50%, 11/15/28

      750        901,702   

Series D, 5.25%, 11/15/41

      2,000        2,190,860   

Series E, 5.00%, 11/15/38

      650        711,477   

Series H, 5.00%, 11/15/25

      1,500        1,743,480   

Series H, 5.00%, 11/15/30

      500        559,930   

Metropolitan Transportation Authority, Refunding RB, Series D, 5.25%, 11/15/31

      750        866,663   

Port Authority of New York & New Jersey, Refunding ARB, 179th Series, 5.00%, 12/01/38

      245        275,333   

State of New York Thruway Authority, Refunding RB, General:

     

Series H (AGM, NPFGC), 5.00%, 1/01/37

      4,000        4,401,920   

Series I, 5.00%, 1/01/24

      1,000        1,165,750   

Series I, 5.00%, 1/01/37

      2,000        2,189,940   

Series I, 5.00%, 1/01/42

      425        457,453   

Triborough Bridge & Tunnel Authority, Refunding RB:

     

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

      1,250        603,288   

General, Remarketing, Series A, 5.00%, 11/15/34

      1,000        1,122,990   

Series C, 5.00%, 11/15/38

      1,000        1,110,110   

Sub-Series A, 5.00%, 11/15/29

      1,485        1,714,254   
    

 

 

  
        20,978,579   

Utilities — 11.1%

     

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

      1,000        1,130,150   
Municipal Bonds   

Par  

(000)

     Value  

New York (concluded)

                 

Utilities (concluded)

     

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series DD, 5.00%, 6/15/32

    $ 1,100      $ 1,231,142   

Long Island Power Authority, RB, General, Electric System:

     

Series A (AGM), 5.00%, 5/01/36

      500        535,565   

Series C (CIFG), 5.25%, 9/01/29

      1,000        1,200,150   

Long Island Power Authority, Refunding RB, Electric System, Series A (AGC):

     

5.75%, 4/01/39

      1,690        1,954,772   

General, 6.00%, 5/01/33

      2,000        2,351,880   

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

      1,000        1,110,170   

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

      1,000        1,129,430   
    

 

 

  
        10,643,259   
Total Municipal Bonds in New York     118,788,009  
    

Puerto Rico — 0.9%

                 

Housing — 0.9%

     

Puerto Rico Housing Finance Authority, Refunding RB, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27

      855        858,916   
Total Municipal Bonds — 125.4%        119,646,925   
    
                  

Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts (c)

             

New York — 31.7%

                 

County/City/Special District/School District — 8.0%

     

City of New York New York, GO:

     

Sub-Series C-3 (AGC), 5.75%, 8/15/28 (d)

      1,000        1,179,570   

Sub-Series G-1, 5.00%, 4/01/29

      1,000        1,134,970   

Sub-Series I-1, 5.00%, 3/01/36

      250        280,307   

 

                
4    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts (c)

   

Par  

(000)

     Value  

New York (continued)

                 

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

     

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

    $ 2,475      $ 2,746,384   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

      2,085        2,290,602   
    

 

 

  
        7,631,833   

Education — 5.2%

     

State of New York Dormitory Authority, LRB, State University Dormitory Facilities, New York University, Series A, 5.00%, 7/01/35

      1,999        2,239,331   

State of New York Dormitory Authority, RB, (AMBAC), 5.00%, 7/01/37

      2,499        2,756,884   
    

 

 

  
        4,996,215   

State — 0.9%

     

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

      750        819,810   

Transportation — 7.2%

     

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (d)

      1,800        2,055,864   

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

      3,495        3,851,036   

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

      800        915,096   
    

 

 

  
        6,821,996   

Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts (c)

   

Par  

(000)

     Value  

New York (concluded)

                 

Utilities — 10.4%

     

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A, 5.75%, 6/15/40

    $ 495      $ 569,096   

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

     

Fiscal 2011, Series HH, 5.00%, 6/15/32

      2,249        2,545,121   

Fiscal 2012, Series BB, 5.00%, 6/15/44

      2,011        2,188,154   

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

      405        462,888   

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

      3,719        4,200,208   
    

 

 

  
               9,965,467   

Total Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts — 31.7%

              30,235,321   

Total Long-Term Investments

(Cost — $140,640,240) — 157.1%

              149,882,246   
    
                  
Short-Term Securities    Shares         
BIF New York Municipal Money Fund, 0.00% (e)(f)      1,283,164        1,283,164   

Total Short-Term Securities

(Cost — $1,283,164) — 1.4%

  

  

     1,283,164   

Total Investments

(Cost — $141,923,404*) — 158.5%

  

  

     151,165,410   
Other Assets Less Liabilities — 1.3%        1,252,419   

Liability for TOB Trust Certificates, Including Interest

Expense and Fees Payable — (17.3%)

  

  

     (16,538,396 ) 
VRDP Shares, at Liquidation Value — (42.5%)        (40,500,000 ) 
    

 

 

  

Net Assets Applicable to Common Shares — 100.0%

  

   $ 95,379,433   

* As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

   

Tax cost

      $ 125,693,010   
    

 

 

  

Gross unrealized appreciation

      $ 9,500,454   

Gross unrealized depreciation

        (564,069 ) 
    

 

 

  

Net unrealized appreciation

      $ 8,936,385   
    

 

 

  

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014    5

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

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

 

(c)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction.

 

(d)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from February 15, 2017 to February 15, 2019 is $1,482,592.

 

(e)   Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2013		        Net
Activity		        Shares Held
at May 31,
2014		        Income  

BIF New York Municipal Money Fund

        3,752,091           (2,468,927 )         1,283,164         $ 373   

 

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

 

Portfolio Abbreviations

 

AGC

      Assured Guarantee Corp.

AGM

      Assured Guaranty Municipal Corp.

AMBAC

      American Municipal Bond Assurance Corp.

AMT

      Alternative Minimum Tax (subject to)

ARB

      Airport Revenue Bonds

BARB

      Building Aid Revenue Bonds

BHAC

      Berkshire Hathaway Assurance Corp.

CAB

      Capital Appreciation Bonds

CIFG

      CDC IXIS Financial Guaranty

ERB

      Education Revenue Bonds

FHA

      Federal Housing Administration

GO

      General Obligation Bonds

LRB

      Lease Revenue Bonds

M/F

      Multi-Family

NPFGC

      National Public Finance Guarantee Corp.

PILOT

      Payment in Lieu of Taxes

RB

      Revenue Bonds

 

Ÿ  

Financial futures contracts outstanding as of May 31, 2014 were as follows:

 

Contracts Sold     Issue   Exchange   Expiration  

Notional

Value

       

Unrealized

Depreciation

  
  (142 )    10-Year U.S. Treasury Note   Chicago Board of Trade   September 2014   $ 17,823,219         $ (73,418 ) 

 

                
6    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

Ÿ  

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Ÿ  

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

 

  Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                 
Investments:                 

Long-Term Investments1

     —         $ 149,882,246           —         $ 149,882,246   

Short-Term Securities

   $ 1,283,164           —           —           1,283,164   
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ 1,283,164         $ 149,882,246           —         $ 151,165,410   
 

 

 

       

 

 

       

 

 

       

 

 

  

 

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

      

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2             

Liabilities:

                 

Interest rate contracts

   $ (73,418 )         —           —         $ (73,418 ) 

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

      

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014    7

Schedule of Investments (concluded)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                 

Cash pledged for financial futures contracts

   $ 186,000           —           —         $ 186,000   

Liabilities:

                 

TOB trust certificates

     —         $ (16,536,015 )         —           (16,536,015 ) 

VRDP Shares

     —           (40,500,000 )         —           (40,500,000 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ 186,000         $ (57,036,015 )         —         $ (56,850,015 ) 
 

 

 

       

 

 

       

 

 

       

 

 

  

There were no transfers between levels during the period ended May 31, 2014.

 

                
8    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2014   

Item 2 – Controls and Procedures

 

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

 

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

Item 3 – Exhibits

Certifications – Attached hereto

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

BlackRock New York Municipal Income Quality Trust

By:      

/s/ John M. Perlowski

  
 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock New York Municipal Income Quality Trust

  

Date: July 23, 2014

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 New York Municipal Income Quality Trust

  

Date: July 23, 2014

By:      

/s/ Neal J. Andrews

  
 

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock New York Municipal Income Quality Trust

  

Date: July 23, 2014